Dissertations / Theses on the topic 'Finances – Information'
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Yu, Suxiu. "Essays on Corporate Finance, Security Design and Information Choice." Thesis, Toulouse 1, 2017. http://www.theses.fr/2017TOU10028.
Full textZhang, Renbin. "Expectations, information frictions and macro-finance." Doctoral thesis, Universitat Autònoma de Barcelona, 2020. http://hdl.handle.net/10803/670991.
Full textEl primer capítulo documenta la prima AH alta, volátil y persistente en el mercado de valores de China. Mostramos que varios modelos estándar de precios de activos RE y Bayesianos no pueden explicar la prima AH, pero un modelo de aprendizaje interno racional donde los agentes aprenden sobre los precios de las acciones proporciona una explicación natural. Al relajar la fuerte suposición de información sobre el conocimiento de los agentes sobre el mapeo de precios, el precio esperado de los agentes se convierte en un factor adicional para determinar el precio del capital además de la información dada por los fundamentos. Encontramos que los modelos de aprendizaje sobre los precios de las acciones proporcionan una explicación muy natural para esta prima. Documentos recientes basados en la racionalidad interna muestran que aprender sobre los precios de las acciones es compatible con los inversores racionales y ese modelo explica empíricamente la alta volatilidad de los precios de las acciones. Las creencias subjetivas de los inversores sobre los precios de las acciones están dadas por un modelo que es una buena descripción de los precios reales y este modelo percibido es difícil de rechazar dados los precios reales de las acciones. Bajo este marco, los agentes se dan cuenta de que una acción A es en realidad una seguridad diferente de una acción H y que se puede comprar o vender el próximo período a un precio posiblemente diferente. El segundo capítulo desarrolla nuevas pruebas de formación de expectativas que generalmente son aplicables en modelos de precios de activos con varios supuestos informativos. Mostramos que estos modelos suelen imponer una gran cantidad de restricciones de cointegración entre las predicciones de las variables económicas, y estas restricciones de cointegración implican que los agentes tienen un conjunto de información sólido cuando forman sus expectativas. Nuestras pruebas utilizan estas restricciones. Los investigadores pueden aplicar estas pruebas para estudiar la cointegración entre pronósticos de variables exógenas y pronósticos de variables endógenas en su modelo, así como la cointegración entre pronósticos de diferentes variables endógenas. Además, estos modelos imponen restricciones de cointegración entre pronósticos de la misma variable (por ejemplo, precios de acciones) en diferentes horizontes de pronóstico. El tercer capítulo establece que la creencia dispersa como resultado de la fricción de la información crea un nuevo canal a través del cual el costo de bienestar de la inflación en un sector está aumentando en su flexibilidad de precios y altera el índice de inflación óptimo. Primero, en un modelo de dos sectores estático y simétrico, derivamos analíticamente las condiciones bajo las cuales un aumento de la flexibilidad de precios en toda la economía deteriora el bienestar, la paradoja de la flexibilidad de precios. Con información perfecta, tal reducción en la fricción nominal mejora el bienestar. Sin embargo, en presencia de fricciones de información, el canal de creencias dispersas podría dominar. En consecuencia, surge la paradoja de la flexibilidad de precios. En segundo lugar, la paradoja es más grave si la reducción de las fricciones nominales es simplemente un fenómeno sectorial. En nuestro análisis de referencia, nos enfocamos en un banco central con metas de inflación que estabiliza completamente el Índice de Precios al Consumidor (IPC), que es el principal mandato entre muchos bancos centrales del mundo. Dada esta política, una mayor flexibilidad de precios sectoriales es perjudicial para el bienestar social, incluso en ausencia de fricciones de información.
Agents' belief and information friction are crucial for asset price and macroeconomy. This thesis applies ""Internal Rationality"" learning approach to explain some interesting facts in the financial market and investigate the implication of information friction for social welfare. The first chapter documents the high, volatile and persistent AH premium in China stock market. We show that various standard RE and Bayesian RE asset pricing models cannot explain the AH premium, but a model of internally rational learning where agents learn about stock prices provides a natural explanation. By relaxing the strong information assumption about agents' knowledge about pricing mapping, agents' expected price becomes an additional factor to determine the equity price on top of the information given by fundamentals. We find that models of learning about stock prices provide a very natural explanation for this premium. Recent papers based on Internal Rationality show that learning about stock prices is compatible with rational investors and that model explains high volatility of stock prices empirically. Investors' subjective beliefs about stock prices are given by a model that is a good description of actual prices and this perceived model is hard to reject given actual stock prices. Under this framework, agents realize that an A-share is actually a different security from an H-share and that it can be purchased or sold next period at a possibly different price. The second chapter develops new tests of expectation formation which are generally applicable in asset pricing models with various informational assumptions. We show these models typically impose a large number of cointegration restrictions between forecasts of economic variables, and these cointegration restrictions imply that agents have strong information set when they form their expectations. Our tests utilize these restrictions. Researchers can apply these tests to study the cointegration between forecasts of exogenous variables and forecasts of endogenous variables in their model as well as the cointegration between forecasts of different endogenous variables. Moreover, these models impose cointegration restrictions between forecasts of the same variable (e.g., stock prices) over different forecasting horizons. The evidence casts some doubt on the modeling of expectation formation in the asset pricing models which assume agents possess the knowledge of the equilibrium pricing function as in Rational Expectations and Bayesian Rational Expectations models. Relaxing this knowledge appears necessary for models to reconcile the survey evidence and potential resolutions are discussed. The third chapter establishes that the dispersed belief as a result of information friction creates a novel channel through which the welfare cost of inflation in a sector is increasing in its price flexibility and alters the optimal inflation index. First, in a static and symmetric two-sector model, we derive analytically the conditions under which an economy-wide increase in price flexibility is welfare-deteriorating---the paradox of price flexibility. With perfect information, such a reduction in nominal friction is welfare-improving. However, in the presence of information frictions, the dispersed beliefs channel might dominate. Consequently, the paradox of price flexibility arises. Second, the paradox is more severe if the reduction in nominal frictions is merely a sectoral phenomenon. In our baseline analysis, we focus on an inflation-targeting central bank that fully stabilizes the Consumer Price Index (CPI), which is the principal mandate among many central banks in the world. Given this policy, increased sectoral price flexibility is detrimental to social welfare, even in the absence of information frictions. These results are carried over to the dynamic model. We find that a monetary policy that stabilizes the optimal inflation index mitigates the paradox.
PANNECIERE, FREDERIC. "L'impact de l'introduction d'options." Jouy-en Josas, HEC, 2000. http://www.theses.fr/2000EHEC0070.
Full textLai, Wan Ni. "Three essays on the information content in option prices." Aix-Marseille 3, 2009. http://www.theses.fr/2009AIX32048.
Full textMichenaud, Sébastien. "Three essays on information, rationality, and financial decision making." Jouy-en Josas, HEC, 2008. http://www.theses.fr/2008EHEC0019.
Full textThis research is made up of three independent essays that study the effects of information production and emotions on financial decision-making. The objective of this research is to examine conditions under which managers may take biased investment decisions. I emphasize the information production activity of sell-side financial analysts and regret aversion, the most widely studied emotion in decision science, as potential channels of such distorted decisions. In the first essay, I empirically investigate whether executives reduce corporate investment to meet or exceed financial analysts’ earnings per share consensus forecasts. The second essay theoretically investigates whether financial analysts influence investment decisions through their impact on the stock market informativeness. The third essay is a theoretical investigation of regret aversion and its impact on the currency hedging decisions of portfolio managers
Ghozzi, Mohamed Khaled. "De la communication volontaire sur les risques : Utilité pour les marchés financiers." Paris 9, 2009. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2009PA090053.
Full textThis dissertation examines voluntary risk disclosures utility on French market. Empirical studies carried out in this research test short and long term effect between risk disclosures and information asymmetry. Short-term study shows that only operational and interest rate risk disclosures reduce investor disagreements about firms’ risk exposures. Quantitative disclosures are more likely to reduce investor disagreements. These disagreements are measured by transactions volume and seem to be less important for firms listed in the US market in which firms disclose more about their risks. We conclude on the existence of short-term effect of risk disclosures level. Throughout long-term study, we measure risk disclosures level for French market listed firms during three years. We examine the impact of this level on financial analysts’ forecasts. Our findings show no significant relationship between risk disclosures level and financial analysts’ forecasts errors and dispersion. However, disclosures level of reports issued by French firms reduces analysts’ forecasts errors and dispersion
Zylbersztejn, Adam michal. "Information, institutions et efficacité : essais en économie expérimentale." Phd thesis, Université Panthéon-Sorbonne - Paris I, 2013. http://tel.archives-ouvertes.fr/tel-00984244.
Full textDinh, Thanh Huong Gajewski Jean-François. "Le comportement des marchés financiers à l'annonce d'information comptable." Créteil : Université de Paris-Val-de-Marne, 2006. http://doxa.scd.univ-paris12.fr:80/theses/th0248045.pdf.
Full textDiaw, Alassane Bocar. "Dynamique de l'indice CAC 40 et du contrat à terme dérivé à partir des données à haute fréquence." Nice, 2009. http://www.theses.fr/2009NICE0031.
Full textThis work aims to study intraday dynamics of CAC 40 index futures and the underlying spot index. Theoretically, if the markets are linked by activity, futures prices should be equal to spot prices suggesting that information flows simultaneously in the two markets. However, the majority of the studies highlight the leading role of the futures markets, in price discovery, allotted to microstructure issues. The primary goal of this study is to quantify and study the stability of informational flows. We seek to determine whether, between microstructure bias and information volume, time interval is significant in the characterization of the returns and volatility dynamics. The bivariate analysis is based on an error correction model for the returns equation and an EGARCH model to capture the volatility spillover. The first has shown the predominance of the futures market in the price discovery process, specifically for short time intervals. The latter has highlighted high volatility clustering in the futures market and unidirectional transmission of information shocks to spot market, particularly at higher time intervals. The second goal is to explain futures market volatility clustering by the intensity of the activity and the information asymmetry based on volumes and prices proxies. The Autoregressive Conditional Duration (ACD) model has shown some predictability of the volatility clustering at the level of ultra-high frequencies (tick-data). However, the role of the information asymmetry in the futures market volatility seems, globally, negligible and non permanent. The use of mixed duration and conditional volatility models (ACD- GARCH) confirms these results. Therefore, the volatility in the French major index futures market shouldn’t be allotted to informed agents with private information, as documented by market microstructure literature in some foreign markets
Bachman, Peggy. "L'autonomie financière des métropoles internationales." Thèse, Lyon 3, 2007. http://scd.univ-lyon3.fr/information-sur-les-theses-indisponibles-894416.kjsp?RH=SCD-NUM-thes.
Full textTwo dimensions of the financial autonomy of metropolises are presented : financial potential and financial power. Based on two case studies, one of Lyon, the other of Montreal, this thesis seeks to show that a financial autonomy model is a strategic dimension in the development of the international metropolises. The findings result in two different metropolitan portraits. One emphasizes the importance of financial power : in Lyon, the debate over financial autonomy chiefly concerns the ways of guaranteeing its financial power, while its financial potential remains relatively intact. The other emphasizes the role of financial potential : in Montreal, the main problem concerns its financial potential and the question of whether this problem should be resolved before even attempting to deal with the question of financial power. The complementarity and interdependance of these two dimensions translate directly into choices in policy and strategic planning around a unifying element : the citizen
Daudé, Bénédicte. "Marchés financiers et données fondamentales : essai structurale d'une économie de l'information et de l'incertain." Lyon 3, 2001. http://www.theses.fr/2001LYO33013.
Full textSaengkassanee, Thanawut. "Information Risk and Returns in High-Tech Firms : an empirical study of French companies." Montpellier 2, 2008. http://www.theses.fr/2008MON20069.
Full textThis thesis examines the relationship between information risk and returns of high-tech firms and compares the level of information risk in high-tech firms and non high-tech firms. We use seven proxies of information risk, which are derived from bid-ask spread and analyst forecasts. From a sample of French firms during the period 1997-2004, we document that the level of information risk in high-tech firms is higher than in non high-tech firms, and that returns are positively related to information risk
Dinh, Thanh Huong. "Le comportement des marchés financiers à l'annonce d'information comptable." Paris 12, 2006. https://athena.u-pec.fr/primo-explore/search?query=any,exact,990002480450204611&vid=upec.
Full textThe objective of this doctoral research is to study, from a experimental point of view, investors' reactions to annual earnings announcement. Several aspects of investors' reactions are deeply investigated in different information structures. More importantly, they are put into relation with investors' expectations about annual net income. Major results of the study can be summarized as follows. First, price underreaction appears in short term whereas price overreaction rather exists in long term when investors' belief on firm's perspectives is strengthened. These abnormal reactions are partly due to investors' biased earnings expectations. Second, despite the common structure of information between participants, their earnings expectations remain heterogeneous. Such heterogeneity does not decrease when investors have more information about the final results. This is the main explanation for transactions in our experimental asset markets. However, too large a dispersion prevents the investors from trading. Finally, when financial analysts have biased and heterogeneous opinions, their forecasts deteriorate market efficincy. In fact, they infringe the convergence of prices towards the fundamental value of stock. In addition, trades are influenced by analyst forecast heterogeneity even through the latter is independent to the construction of the fundamental value
Kaunissaar, Christian, Fredrik Selmersson, and Peter Holmberg. "Digitala kvitton och dess framtida tillämpningar." Thesis, Umeå University, Department of Informatics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-34872.
Full textConsumers today leave a fragment of information when they pay with their debit and credit cards. The aim of our work is to investigate ways to design a concept of a system in which digitally stored information that today is fragmented among several different holders, can be assembled into a system and made available to consumers. In our study of how a system for financial flow of information should be designed, we intend to study the present situation and the attempts made to alter it into a more informative reality. We intend to investigate the flow of information when a consumer pays by card, and the possible solutions regarding the design and transportation of digital receipts. A majority of the information of our digital consumption is today handled digitally. We pay bills and make purchases online with debit- and credit cards. Some of this information is available digitally for the parties involved. However, there is an essential element of information that is not being made available digitally to consumers. The digital receipt is a natural part of the whole that is our idea. The digital nature of the information creates opportunities for new services and markets, but the digital receipt also replaces the unwanted physical receipt. We found that there is an interest among consumers for the introduction of the digital receipt and the information that it enables. We have for this purpose created a conceptual design, and initiated a discussion on the future systems of private financial information.
Consumers today leave a fragment of information when they pay with their debit and credit cards. The aim of our work is to investigate ways to design a concept of a system in which digitally stored information that today is fragmented among several different holders, can be assembled into a system and made available to consumers. In our study of how a system for financial flow of information should be designed, we intend to study the present situation and the attempts made to alter it into a more informative reality. We intend to investigate the flow of information when a consumer pays by card, and the possible solutions regarding the design and transportation of digital receipts. A majority of the information of our digital consumption is today handled digitally. We pay bills and make purchases online with debit- and credit cards. Some of this information is available digitally for the parties involved. However, there is an essential element of information that is not being made available digitally to consumers. The digital receipt is a natural part of the whole that is our idea. The digital nature of the information creates opportunities for new services and markets, but the digital receipt also replaces the unwanted physical receipt. We found that there is an interest among consumers for the introduction of the digital receipt and the information that it enables. We have for this purpose created a conceptual design, and initiated a discussion on the future systems of private financial information.
Decroix, Arnaud. "Question fiscale et réforme financière en France, 1749-1789 : logique de la transparence et recherche de la confiance publique /." Aix-en-Provence : PUAM, Presses universitaires d'Aix-Marseille, 2006. http://catalogue.bnf.fr/ark:/12148/cb401962920.
Full textBibliogr. p. 571-623. Index.
Bensimhon, Larry. "Excès de confiance et mimétisme informationnel sur les marchés d'actions." Paris 1, 2006. http://www.theses.fr/2006PA010081.
Full textAGARWAL, Rachit. "Towards enhancing information dissemination in wireless networks." Phd thesis, Institut National des Télécommunications, 2013. http://tel.archives-ouvertes.fr/tel-00919417.
Full textIelpo, Florian. "L'intégration de l'information dans le prix des actifs financiers." Phd thesis, Université Panthéon-Sorbonne - Paris I, 2008. http://tel.archives-ouvertes.fr/tel-00354454.
Full textGamas, Rieu Marie-Noëlle. "Le contenu en information des options sur taux d'interêt pour la politique monétaire." Bordeaux 4, 2000. http://www.theses.fr/2000BOR40030.
Full textWilliams, Benjamin. "Efficience informationnelle et équilibre du marché boursier des actions : spéculation rationnelle et anomalies." Clermont-Ferrand 1, 1998. http://www.theses.fr/1998CLF10195.
Full textThe thesis treats the problem of the informational efficiency of developed countries' stock markets. In the first chapter, we analyse samuelson's equilibria, which have been used to test efficiency since the sixties. The results of these tests, applied to French and American stock markets, are presented in the second chapter. These tests show evidence against the joint hypothesis of informational efficiency and samuelson's equilibria. The third chapter reviews the literature explaining the anomalies, cited in chapter two, by the following models : equilibrium models of rational expectations versus informational inefficiency and irrationality. But none of these theories are fully satisfactory. Indeed, stock markets are informationally efficient but samuelson's model must be replaced by an equilibrium model which deals with rational speculators. The fourth chapter presents the general properties of rational speculation equilibria. In the fifth chapter, we show that this model entails the stylized facts described by the anomalies. Finally, in the sixth chapter, we show that our model can be applied to a particular stock market - the paris stock exchange - for which the joint hypothesis of informational efficiency and rational speculation equilibrium is not rejected
Louhichi, Wael. "Le rôle informationnel des annonces : une étude intrajournalière sur Euronext Paris." Perpignan, 2004. http://www.theses.fr/2004PERP0534.
Full textThis study is included in the field of market microstructure. The goal of this work is to examine market behavior around the times of public information made in the paris bourse. In the first chapter, we propose to study intraday speed of adjustement of stock prices to new information. The aim of the second chapter is to examine asymmetric information around earnings announcements. In the third chapter, we study investors' bahavior around public information. The last chapter deals with intraday relation between information flow and market activity
Platet, Françoise. "L' information financière à la lumière d'un changement de cadre conceptuel comptable : Etude du message du Président des sociétés cotées françaises." Montpellier 1, 2009. http://www.theses.fr/2009MON10026.
Full textSince january 1st 2005, French public companies have been required to edit their consolidated accounts under the international accounting standards IAS/IFRS, which have been adopted by the European Union in 2002. This new set of standards is developed by a private organisation the IASB, and is corresponding to a change of accounting model for most European countries and more particularly for France. Effectively, the previous accounting rules were based on the European continental accounting model based on a stakeholders approach, whereas the IAS/IFRS are grounded on the anglo-saxon accounting model preferring a stockholders approach. Principles and concepts underlying these standards are gathered within the accounting conceptual framework, which introduces the standards and defines, among others, the objectives and users of the financial information issued by companies. This doctoral research analyses the consequences of this transition from one accounting model to another, on the content of financial reporting of French listed companies. In order to do so, we chose to operate a content analysis of the chairman's letter appearing as an introduction of the annual report. We used a textual analysis software called ALCESTE. This longitudinal study, going from 2001 to 2007, is regarding 60 SBF 250 index companies and allows the identification of an evolution in the presentation of performance towards the place devoted to the stockholders, within the chaiman's discourse
Praxede, Evelyne. "Un outil stratégique : la communication financière des organisations cotées en bourse." Nice, 1996. http://www.theses.fr/1996NICE0003.
Full textCommunication applied to business is a particularly complex system of interacting elements. Communication in finance is a sowe what large share of global communication that companies quoted on the stock exchange marcket have to deal with. The impact and the results of such a communication way vary according to the target to be reached and the media used. In spite of the many theoretical tools and techniques available in finance communication, the tansmitter has to face many difficulties. They are due to the many targets to be reached, with attitudes, behaviour and expectations that may vary considerably. The annual report, an attractive but multi-targeted document, has changed condiderably over the years, both in contents and quality of print, sometimes beyond the basic requirements. Has finance communication, thanks to the many tools available, evolved into a new type of communication reaching a larger audience?
Le, hir Boris. "Capturing Information and Communication Technologies as a General Purpose Technology." Phd thesis, Ecole Centrale Paris, 2012. http://tel.archives-ouvertes.fr/tel-00997417.
Full textJemel, Hager. "Informations sociétales et valorisation financière des titres de l'entreprise." Thesis, Lille 1, 2010. http://www.theses.fr/2010LIL12021/document.
Full textSocial information (data and analysis dealing with the Corporate Social Performance– CSP) has been used for decades by socially responsible investors who take this information into account when choosing company stocks representing companies seen as acceptable from an ethical and social point of view. For almost a decade, initiatives have been taken in persuading traditional investors to integrate this information in the financial evaluation of stocks. This thesis questions the usefulness of social information for traditional investors as well as the way they use it in evaluating stocks. From a theoretical point of view, this thesis relies on the efficient market hypothesis, especially in its advanced version (admitting, the heterogeneity of beliefs), and conceptual papers on the link between CSP and financial performance. By considering the contributions of this research, we show that social information can be useful for the value increase of stocks, but this information needs to be considered from different angles. Indeed, signals are likely to be interpreted differently according to the investor or to the company’s context. On an empirical level, events studies (long and short-term) show that some information items generate abnormal returns which are statistically significant. Moreover the exploratory qualitative research corroborates some of our proposals and gives an additional and interesting perspective to the questions which have been considered
Bisière, Christophe. "Théorie de la structure par terme des taux d'intérêt : une analyse de l'effet richesse et de l'effet information en économie d'échange et de production." Aix-Marseille 2, 1994. http://www.theses.fr/1994AIX24008.
Full textThis thesis is devoted to the theoretical analysis of the term structure rates, from a microeconomic point of view. The first chapter inspects the traditional theories. These approaches are built on an imprecise definition of uncertainty an d microeconomic behaviour. The next two chapters show that the modern theory of financial assets' pricing extenuates these shortcomings. We pay attention of the Cox, Ingersoll, and Ross'equilibrium models of the term structure. Two continuous-time stochastic calculus models are examined in detail and then compared. The former, grounded on an arbitrage principle, is inadequate. The latter is an intertemporal general equilibrium model. It allows the connection of the term structure to uncertainty, individual preferences, and to fundamental variables of the economy (production, consumption,. . . ). The analysis developed in the last chapter relies on the theoretical foundations of this last model, but explore s more specifically the structure of uncertainty. The study is developed in the form of a two-period contingent market model, in which the term structure is characterised by the sign of two premiums : the liquidity premium and the solidity premium. The structure of uncertainty refers to the type of economy (exchange or production economy) and the content of messages that can reach the markets. Depending on whether these messages reveal the current situation, or bring information about the future situation, they define a wealth effect or an information effect. Existing work on this topic is reconsidered and completed. In particular, the wealth and information effect are studied in the case of an economy in which endowments are stochastic but some production technologies are available
Song, Hui. "Three Essays on the Economic Analysis of Marketing Pratices on the Internet." Phd thesis, Université de Cergy Pontoise, 2013. http://tel.archives-ouvertes.fr/tel-00913206.
Full textAmadieu, Paul. "L'information sectorielle publiée par les entreprises et son utilisation financière." Phd thesis, Université Montpellier I, 1998. http://tel.archives-ouvertes.fr/tel-00611604.
Full textCopin, Frédérique. "La relation banque - entreprise : interprétation théorique et approche économétrique." Paris 10, 2002. http://www.theses.fr/2002PA100175.
Full textThe topic of this thesis is about understanding what the banking sector do in a financial system. We study precisely the bank's role in financing firm's investment. In the early eighties, the banking theory took profits of the developments of economics of information. This part of the banking theory is based on usual activities (collecting savings and making loans) of banks which actually are a non-essential part of their business. In this way, literature focuses on financial market's intermediation. But assuming this functions, they are not able to develop a particular comparative advantage. Though, they are weak to the financial market competition. In real fact, the comparative advantage of the bank stay in collecting and processing information about the quality of lender's projects. Their skills are increased when financing the small and medium size firms whose information is particularly opaque. Banks are able to reduce credit risk with those borrowers essentially due to their engagement in relationship lending. Thanks to their informational advantage, they offer an individual debt contract to borrowers that otherwise would be rationed on financial markets. Differences between small and large business allows banks to concentrate their financing activities in an efficient way : on the one hand, they commit in arm's length relationships with public advertised firms and on the other hand, they commit in relationship's lending with advertiseless firms. We adopted a practical approach and specify the determinants of banking information. We used the panel data methods in the purpose of confirming the duality of banking strategy in building information about borrowers
Fernández, Bariviera Aurelio. "Ensayos sobre la E ciencia Informativa del Mercado de Capitales." Doctoral thesis, Universitat Rovira i Virgili, 2015. http://hdl.handle.net/10803/308667.
Full textLa Hipótesis del Mercado Eficiente (HME) es uno de los pilares de la economía financiera. Decimos que un mercado financiero es informativamente eficiente si los precios reflejan toda la informacion disponible en un determinado momento. A pesar de las varias décadas de investigación sobre la HME, todavía quedan aspectos sobre los cuales no se ha llegado a un consenso en la literatura. Por ello, abordamos este estudio desde una perspectiva novedosa en tres aspectos. En primer lugar, asumiendo el carácter dinámico de la eficiencia informativa, estudiamos la misma mediante ventanas móviles para ver su evolución en el tiempo. En segundo lugar, introducimos técnicas estadísticas no utilizadas habitualmente en economía financiera. En tercer lugar, relacionamos los niveles de eficiencia informativa con determinadas variables económicas, con el objeto de ver su interacción. El capítulo 1 provee una introducción al tema y detalla la estructura de la tesis. En el capítulo 2 se establece el marco teórico y se realiza una pormenorizada descripcion de la evolución y los tests empíricos llevados a cabo sobre la HME. El capítulo 3 se compone de 4 ensayos que estudian mediante técnicas estadísticas avanzadas diferentes aspectos sobre la HME, como son la memoria de largo plazo, el carácter variable de la eficiencia informativa y su relación con determinadas variables economicas. Finalmente el capítulo 4 proporciona las principales conclusiones.
The Efficient Market Hypothesis (EMH) is one of the pillars of the financial economy. We say that a financial market is informationally efficient if the prices reflect all available information at a given time. Despite several decades of research on EMH, there are still issues on which no consensus has been reached in the literature. Therefore, we approach this study from a new perspective in three respects. First, assuming the dynamic nature of information efficiency, we study it by sliding windows to observe their evolution in time. Secondly, we introduce statistical techniques not commonly used in financial economics. Third, we relate information efficiency levels with certain economic variables, in order to see their interaction. Chapter 1 provides an introduction to the topic and details the structure of the thesis. Chapter 2 provides the theoretical framework and a detailed description of the evolution and empirical tests carried out on the EMH is done. Chapter 3 consists of 4 essays which, using advanced statistical techniques different aspects of the EMH, such as long-term memory, the variable nature of the information efficiency and its relation to certain economic variables. Finally, Chapter 4 provides the main conclusions.
Malherbe, Frédéric. "Essays on the macroeconomic implications of information asymmetries." Doctoral thesis, Universite Libre de Bruxelles, 2010. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210085.
Full textimplications of information asymmetries, with a special focus on financial
issues. This exercise is mainly theoretical: I develop stylized models that aim
at capturing macroeconomic phenomena such as self-fulfilling liquidity dry-ups,
the rise and the fall of securitization markets, and the creation of systemic risk.
The dissertation consists of three chapters. The first one proposes an explanation
to self-fulfilling liquidity dry-ups. The second chapters proposes a formalization
of the concept of market discipline and an application to securitization
markets as risk-sharing mechanisms. The third one offers a complementary
analysis to the second as the rise of securitization is presented as banker optimal
response to strict capital constraints.
Two concepts that do not have unique acceptations in economics play a central
role in these models: liquidity and market discipline.
The liquidity of an asset refers to the ability for his owner to transform it into
current consumption goods. Secondary markets for long-term assets play thus
an important role with that respect. However, such markets might be illiquid due
to adverse selection.
In the first chapter, I show that: (1) when agents expect a liquidity dry-up
on such markets, they optimally choose to self-insure through the hoarding of
non-productive but liquid assets; (2) this hoarding behavior worsens adverse selection and dries up market liquidity; (3) such liquidity dry-ups are Pareto inefficient
equilibria; (4) the government can rule them out. Additionally, I show
that idiosyncratic liquidity shocks à la Diamond and Dybvig have stabilizing effects,
which is at odds with the banking literature. The main contribution of the
chapter is to show that market breakdowns due to adverse selection are highly
endogenous to past balance-sheet decisions.
I consider that agents are under market discipline when their current behavior
is influenced by future market outcomes. A key ingredient for market discipline
to be at play is that the market outcome depends on information that is observable
but not verifiable (that is, information that cannot be proved in court, and
consequently, upon which enforceable contracts cannot be based).
In the second chapter, after introducing this novel formalization of market
discipline, I ask whether securitization really contributes to better risk-sharing:
I compare it with other mechanisms that differ on the timing of risk-transfer. I
find that for securitization to be an efficient risk-sharing mechanism, it requires
market discipline to be strong and adverse selection not to be severe. This seems
to seriously restrict the set of assets that should be securitized for risk-sharing
motive.
Additionally, I show how ex-ante leverage may mitigate interim adverse selection
in securitization markets and therefore enhance ex-post risk-sharing. This
is interesting because high leverage is usually associated with “excessive” risktaking.
In the third chapter, I consider risk-neutral bankers facing strict capital constraints;
their capital is indeed required to cover the worst-case-scenario losses.
In such a set-up, I find that: 1) banker optimal autarky response is to diversify
lower-tail risk and maximize leverage; 2) securitization helps to free up capital
and to increase leverage, but distorts incentives to screen loan applicants properly; 3) market discipline mitigates this problem, but if it is overestimated by
the supervisor, it leads to excess leverage, which creates systemic risk. Finally,
I consider opaque securitization and I show that the supervisor: 4) faces uncertainty
about the trade-off between the size of the economy and the probability
and the severity of a systemic crisis; 5) can generally not set capital constraints
at the socially efficient level.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
Foucault, Thierry. "Formation des prix et stratégies de placement d'ordres dans les marchés financiers." Phd thesis, Jouy-en Josas, HEC, 1994. http://pastel.archives-ouvertes.fr/pastel-00994931.
Full textGallo, Jérome. "Information et pouvoir dans les organisations : un essai de quantification par la théorie des graphes d'influence." Phd thesis, Université Panthéon-Sorbonne - Paris I, 2006. http://tel.archives-ouvertes.fr/tel-00174158.
Full textFinalement sur la base de trois définitions des notions d'organisation, d'information et de pouvoir, élaborées à partir d'une large revue de la littérature en économie des organisations, cette thèse propose des indicateurs permettant de déterminer qui a le pouvoir dans une organisation concrète définie comme une structure d'échanges d'informations.
Elgannab, Jawad. "La production du sens dans les pratiques d'audit : le rôle informationnel de l'audit dans l'élaboration des publications financières." Toulouse 3, 2013. http://www.theses.fr/2013TOU30133.
Full textFinancial transparency is based largely on the financial reporting of the company. It takes more and more a strategic dimension, especially in societies that rely on financial markets and are exposed by this occasion, the requirements of transparency and visibility relatively marked. Thus the growing importance of communication in business life has led to the development of the means of communication that amplified by the rapid and significant technologies. Several interpretations of the data can be used to classify these tools against targets in relation to their appearance on the market, their speed of implementation, etc. . In this context, our study is the communicative role of audit quality in the production of financial statements where the accounting information useful result of a compromise between two fundamental attributes: relevance and reliability
Shi, Xucheng. "Three Essays on Information Intermediaries in Capital Markets." Thesis, Jouy-en Josas, HEC, 2021. http://www.theses.fr/2021EHEC0003.
Full textThis dissertation consists of three chapters that empirically investigate the economics of information intermediaries. The first chapter investigates whether a proxy advisory firm’s parent company has a vested interest in proxy votes. The second chapter presents a joint work with Han Wu, examining whether proxy advisors exert an active role in influencing executive compensation or merely a passive role as information intermediaries. The third chapter, joint with Zhang Zhang, explores whether credit reports from investor-paid rating agencies provide incremental information of corporate debt issuers’ credit risk
Zylstra, Andrew. "Transposing the 'real effects of financial markets' perspective onto the marketingfinance interface." Thesis, Paris 1, 2019. https://ecm.univ-paris1.fr/nuxeo/site/esupversions/cc1fc8b2-1794-477f-baba-9be8bf7d855a.
Full textTo obtain deeper insights into the relationship between marketing and equity markets, this thesis investigates whether the ‘real effects of financial markets’ perspective (P. Bond et al., 2012) is suitable for integrating the two streams of the marketing-finance-accounting interface research area. The four studies in this thesis highlight the bidirectional flows of information in stock prices between marketing investments and equity markets. The first two studies (Chapters 3 and 4) show empirically the impact of information flows from marketing investments to equity markets while the third and fourth studies (Chapters 5 and 6) show empirically the inverse flow of information from equity markets to marketing. Together, the four studies suggest that information flows bidirectionally between marketing investments and equity markets, reflecting the contentions of the ‘real effects of financial markets’ perspective. We make two arguments based on this finding. First, we contend that the ‘real effects of financial markets’ perspective should be transposed onto the marketing-finance interface because it enhances our understanding of the two research streams of the marketing-finance interface and provides a suitable theoretical framework to account for how marketing investments both affect and reflect information in equity markets. Second, transposing the 'real effects of financial markets' perspective onto the marketing- finance interface opens up many research possibilities to generate new insights into the two-way interactions between marketing investments and equity markets
Smondel, Aymen. "Comment les banques octroient les crédits aux PME ?" Paris 9, 2011. http://basepub.dauphine.fr/xmlui/handle/123456789/8003.
Full textThe recommendations of Basel II impose to banks the use of the "hard" information in the decision making process of SMEs loans. These banks must choose between replacing the "soft" information, already used, by the "hard" information and combining the two forms of information. This thesis explores the various elements that can influence this choice and tries to get the effect of this choice on the bank performance. Since, the cost of information is a fundamental element to adopt this choice; we tried to represent a measure to this cost of information. This cost is based on the time required for the collection and processing of the information. It turns out that the use of "hard" information decreases the flexibility of banks to grant loans to SMEs, for this purpose we tried to examine the different elements that influence the decision-making. We tried to integrate the nature of information among the elements studied. The results show a positive relationship between credit availability and the use of "soft" information. Information asymmetry is a major handicap for banks to distinguish between different types of borrower so the decision of rationing can penalize the good borrowers. Banks, which fear the loss of their customers, are looking to find a solution to this situation: they adopt new activities in search to make profits from riskier loans. The latest study of our thesis tries to show the effect of such services on the volume of loans granted and the net interest margin. Keywords: "soft" information, "hard" information, bank-SME relationship, information asymmetries, credit rationing, new services, non-interest income
García, Appendini Maria Emilia. "Financing small firms: lender relationships and information spillovers." Doctoral thesis, Universitat Pompeu Fabra, 2007. http://hdl.handle.net/10803/7365.
Full textThis thesis investigates reasons that award financial intermediaries and input suppliers a central role in the financing of small firms. The first part examines whether 'soft' information is accumulated by relationship banks. By taking an indirect approach, I identify the soft and hard components of private information, and explore how each of them is used in the credit decision. I find that soft information plays a central role for small firms' access to credit. Further, the interest rate charged on the loans to small firms is lower, and probability of collateral requirement is higher, when financial intermediaries have soft information about the lenders.
The second part of the thesis investigates whether suppliers convey information to banks about the credit quality of the firms. Using instrumental variables estimation I find a positive answer to this question. However, this information is valuable only when intermediaries do not have private information about their borrowers.
Alshammari, Turki. "The composition and characteristics of stockholders in GCC markets, and their response to the released information : an application to credit rating agencies' and Imams' announcements." Thesis, Université de Lorraine, 2020. http://www.theses.fr/2020LORR0098.
Full textWe examine the possible influence of the domination of individual investors on stock markets’ behaviour in Gulf Cooperation Council (GCC) countries, with respect to the credit rating agencies’ and Imams’ “Islamic scholars” announcements. We assume that the English language used by the international Credit Rating Agencies (CRAs) to publish their news may fail to reduce the asymmetric information in GCC markets, due to the low level of English knowledge amongst the individual investors. We also assume that Sharia law (Islamic law) is an essential characteristic that is likely to affect the formulation of investment decisions in GCC countries. Hence, we suggest, in Saudi Arabia, the Imams’ announcements (the announcements that classify the listed firms in Saudi Stock Exchange to Sharia and non-Sharia compliant firms) are likely to affect the stock prices and the firms’ financial health. Arguing that the religious status of a firm may control the market reaction to CRAs’ decisions, as Sharia legitimacy might come first compared to the default risk. To examine our assumptions, we firstly apply a questionnaire to investigate the behaviour of individual investors in the Saudi market. We tend to investigate how the individual investors reach the financial information concerning the stock market, and how these individuals treat the foreign news (announced in the English language). We find that the majority of individual investors tend to rely only on the Arabic sources and pay attention to the translated news, whereas following the English news directly from the source is appeared to be only amongst the individual investors who understand the English language. Regarding the Imams’ announcements, we also aim in our questionnaire to find out whether the religion factor plays a role in their investment’ decisions, and to which extent the religious status of a firm can affect the individual investors’ desire to hold and purchase its securities. This investigation will allow us to examine whether the religion factor has the power to impact the firms’ financial health in high religious markets, which also allows us to suggest taking into consideration this factor when assessing firms for a credit rating in high religious areas. Based on the survey, the findings indicate an essential role played by the religion amongst the individual investors, where the religion factor is likely to affect the market as much as other financial indicators could do. Secondly, we apply an event study methodology and find positive (negative) abnormal returns following the positive (negative) credit rating events, indicating that the market participants see the positive (negative) rating events as good (bad) news. Interestingly, the stock reaction on markets characterised with lower individual investors’ domination is found to occur faster than on the markets characterised with higher individual investors’ domination. We assume the language used by the CRAs to publish their decisions is likely to be one cause of the lag, due to the low level of English knowledge amongst the individual investors. Then, we use the raw data of a previous Meta-Analysis study with respect to the CRAs’ announcements, to examine the difference in times of reactions in markets located in Anglophone countries and non-Anglophone countries. The results provide insights about a faster response in Anglophone countries than non-Anglophone countries. Furthermore, the event study applied on the Imams’ announcements in the Saudi market proves the influence of the religion factor on the stock prices, as the market immediately reacts positively (negatively) to the Imams’ announcements.Therefore, we suggest that international CRAs should 1- choose the proper language to deliver their opinions (not only in English), and 2- take into consideration the religion factor when assessing firms in high religious areas, especially the ones characterized by a high proportion of individual investors
Bouden, Amine. "L' information contenue dans les prix des options sur futures de pétrole brut : que disent les densités de probabilités neutres au risque ?" Paris 2, 2008. http://www.theses.fr/2008PA020028.
Full textSon, Jiyeon. "Factors Related to Choosing between the Internet and a Financial Planner." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1343423126.
Full textBOUGLET, Tania. "Incertitude et environnement: essai de représentation et analyse des choix publics." Phd thesis, Université Panthéon-Sorbonne - Paris I, 2002. http://tel.archives-ouvertes.fr/tel-00002304.
Full textNeumann, Mark W. "Equity finance under asymmetric information." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0015/NQ48683.pdf.
Full textEvans, David A. "The Predisposition of Women to Use the Services of a Financial Planner for Saving and Investing." The Ohio State University, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=osu1259767469.
Full textFazio, Dimas Mateus. "Short selling and inside information." Universidade de São Paulo, 2014. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-28082014-163356/.
Full textUsando-se de dados relativos à totalidade dos contratos de empréstimos de ações no mercado brasileiro de 2009 a 2011, este trabalho responde às seguintes questões: i) vendedores a descoberto são mais informados no Brasil?, ii) quais desses vendedores a descoberto são informados?, e iii) como eles são informados? A resposta para a primeira pergunta é positiva: o investidor médio brasileiro é informado. Dentre esses, vendedores a descoberto individuais são tão informados quanto aqueles institucionais. Para responder a terceira pergunta, nossa abordagem é a de observar como a venda a descoberto se comporta ao redor de dias onde notícias corporativas são reveladas. Este trabalho mostra que fundos institucionais são mais informados logo depois da divulgação da notícia, um indicativo que estes investidores vendem a descoberto após processar notícias. Por outro lado, investidores individuais aumentam a venda a descoberto antes de notícias ruins, e diminuem antes de notícias boas.
Hillairet, Caroline. "Equilibres sur un marché financier avec asymétrie d'information et discontinuité des prix." Phd thesis, Université Paul Sabatier - Toulouse III, 2004. http://tel.archives-ouvertes.fr/tel-00008278.
Full textDammak, Neila. "Notation financière et comportement des acteurs sur le marché financier." Thesis, Paris Est, 2013. http://www.theses.fr/2013PEST0048.
Full textThe main objective of this thesis is to analyze the role of rating agencies on the financial market. Our contribution consists in a better understanding of the impact of rating announcements on the agents on the French financial market (both investors and analysts).First we focus on the information content of announcements by rating agencies and the impact of theirs decisions in the market. To answer this question, we made an event study at the rating announcements, by identifying them by nature, type and category.This research highlights the fact that the rating announcements generally have an impact on the stock market. This impact depends on the nature of the announcement, the information provided in the reports as well as score changes between categories and within the speculative category. Moreover, the rating level depends on the firm financial and accounting characteristics.Second, we intend to understand the beneficial role of rating agencies on the financial markets. To answer this question, we analyzed the evolution of the information asymmetry and stock market liquidity around rating announcements.Our results show that positive announcements (respectively negative) lead to a decrease (respectively increase) of information asymmetry. We also found that positive and neutral announcements, unlike the negative ones, lead to a reduction of bid-ask spread and to an increase of transactions volumes. Both effects reflect higher (respectively lower) stock market liquidity when the announcements are positive or neutral (respectively negative).Finally, we focus on the study of the impact of rating announcements on analysts' forecasts. For this purpose, we studied the evolution of the analysts' forecasts dispersion and errors around rating announcements.Our results indicate an inverse relationship between the characteristics of financial analysts' forecasts and the nature of the rating announcement. Indeed, positive and neutral announcements reduce the error and the dispersion of analysts' forecasts.This research shows the informative content of rating announcements on the stock market and the real contribution of the announcements by improving financial communication
Saleem, Muhammad Shoaib. "Mobility management for the information centric future internet." Phd thesis, Institut National des Télécommunications, 2012. http://tel.archives-ouvertes.fr/tel-00790419.
Full textSantoni, Daniel Marc. "Identification conceptuelle et empirique des déterminants de la prime d'offre publique." Aix-Marseille 3, 1995. http://www.theses.fr/1995AIX32034.
Full textOur analysis provide a model of takeover premium. First, some determinants of takeover premium arise from a general model of takeover bidding process in an environment of asymetric and costly information. This general model alloing for the different motives usually mentioned in the literature: synergies, undervaluation of the target and managerial ineffeciencies. Secondly, we blend in our model the results of conflict of interest between managers and shareholders in bidding firms and target firms. The final model is tested in france (1990-1994, estimation sample 83 offers). The proposed model seems to be a good estimation of the premium (five out of six variables are statistically significant)
Trouillet, Julien. "Credit Rating Agencies." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED045/document.
Full textCredit rating agencies have recently been under a lot of scrutiny. Their responsibility in the last financial crisis has been questioned. They received much attention from the media. The credit rating agencies have been blamed for their too generous ratings before the crisis and also for being too severe during the European debt crisis. In this thesis, after an overlook of the recent literature, I look at two specific issues related to their activity: • What issues arise when public information is released by a private entity on financial markets? • Can reputation explains why a credit rating agency can be caught underrating (respectively overrating)