This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that over the life-cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and...

We introduce a tractable class of non-affine price processes with multifrequency stochastic volatility and jumps. The specifi cations require few fixed parameters and deliver fast option pricing. One key ingredient is a tight link between jumps and volatility regimes, as asset pricing theory...

Due to non-linear transaction costs, the fi nancial performance of a trading strategy decreaseswith portfolio size. Using a dynamic trading model a la Garleanu and Pedersen (2013), wederive closed-form formulas for the performance-to-scale frontier reached by competitive tradersendowed with a...

Using historical price records for Bordeaux Premiers Crus, we examine the impact of aging on wine prices and the long-term investment performance of fine wine. In line with the predictions of an illustrative model, young maturing wines from high-quality vintages provide the highest financial...

French Abstract: Le risque de défaut est le grand oublié de l'évaluation des actions. Nous démontrons dans cet article que son effet sur la valeur est pourtant plus important pour une action que pour une obligation.Pour ce faire nous nous basons sur un modèle à fonction d'intensité de...

French Abstract: Après avoir présenté les grands indicateurs environnementaux existants et leurs limites, nous proposons une définition des caractéristiques d'un indicateur pertinent et efficace dans une approche holistique : embrassant l'ensemble des enjeux environnementaux, analysant le...

English Abstract: In this article we discuss the impact of financial debt on shareholder value using a new approach that aims: i) to explain the effect that leverage from debt has on a stock's systematic risk, or what we shall call here “the systematic cost of leverage,” and ii) to account...

French abstract: Dans le présent papier, nous essayons d’étudier les actions de la bourse régionale de valeur mobilière (BRVM) tout en mettant en relief le modèle de Fama-French et les dérivés du modèle d’évaluation des actifs financiers (MEDAF). Les résultats montrent que le...

This paper characterizes the short- and long-run effects of overtime de-taxation. A dynamic general equilibrium with overtime hours is first developed and calibrated to French data. A fiscal shock consisting of a complete de-taxation of overtime hours is then implemented in the model. Several...

This paper contributes to the already vast literature on demography-induced international capital flows by examining the role of labor market imperfections and institutions. We setup a two-country overlapping generations model with search unemployment, which we calibrate on EU15 and US data....