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©IAE, juillet 2006
Mentions légales
Abstract: In this paper, we argue that, although the true market portfolio of financial theory cannot be observed directly, it can be constructed from macro-economic cash flow data. The argument is based on the intuition that if the “market portfolio” of financial theory represents the value of all the assets in the economy, it, in fact, represents the total value of the economy. We then follow the framework of Hicks (1987) to construct this proxy that we call the “world market portfolio” and test it over the period 1974-2003. Importantly, this portfolio differs from other proxy portfolios in that it is not a simple summation of prices of individual assets and thus the tests do not suffer from the tautology problem. We find that the portfolio is efficient with respect to a broad asset universe that includes international money markets, medium and long term government bonds, stock market indices, commodities and real estate. It also has a statistically significant correlation across all the asset classes. Finally, we show that it is a powerful forecasting tool for constructing portfolios that outperform other popular portfolio proxies and benchmarks.
About the author: Ephraim Clark is ... His resumé can be found at http://mubs.mdx.ac.uk/Staff/personal_pages/Ephraim1/ephraimcv.pdf.
Introduction: This paper focuses on a three-page document (Annexe 1), that would be called today a deal. This deal, originated and structured in Genoa, closed on 29 October 1298, is one of the most fascinating and mysterious contract discovered in archives of late Medieval Europe. The contract, called instrumentum, at that time, stands today in the Archivio di Stato di Genova where can be found the cartulari of the author, the Genoese notary Andreolus de Laneris. The purpose of this transaction was a venture involving the shipment and trade of 650 cantarii, or about 35 tons, of alum from Aigues-Mortes to Bruges. Bruges was one of the big centre of the drapery industry, and alum (di roca, minuto, di piuma) was known for its coloring properties....
About the authors:
Abstract: We compare the information content of insider trading in UK companies cross-listed in the US (cross-listed) to that in UK companies without a US-listing (domestically listed). We argue that insiders of cross-listed companies are less likely to trade on private information because they are subject to their domestic as well as foreign regulations. While the abnormal returns on the announcement and trading dates of insider trading in domestic companies are consistent with previous evidence, we find low or no abnormal returns for cross-listed companies and the news preceding insider trading in cross-listed companies is, in general, immaterial while that of domestically-listed companies is price-sensitive. These results hold even after controlling for endogeneity and other differences across the two samples. Overall, the results suggest that the bonding contract mitigates the propensity of insiders in cross-listed firms to trade on insider information.
About the author: Meziane Lasfer is .... His personal page can be found at http://www.cass.city.ac.uk/faculty/m.a.lasfer/.