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Volume 32 - Numéro 1

June 2011

Are Jumps Contagious? An Empirical Investigation of Jumps Transmission Mechanisms in the Nasdaq Sector Indexes - 15 June 2011

ANÉ Thierry, MÉTAIS Carole

This article relies on the comparison of the realized variance and the realized bipower variation to provide a nonparametric extraction of jumps in Nasdaq sector indexes. It proceeds with their empirical analysis along two directions: intensity and size. Whereas the jump intensity appears to be sector-specific, the average jump contribution to the total variance is approximately constant across sectors. Moreover, unlike volatility, jumps do not cluster through time. A multivariate analysis reveals that jump arrivals are significantly linked even though the contemporaneous occurrence of discontinuities does not increase the average jump size. Finally, despite their interdependence, jumps do not seem to be very contagious and few spillover effects can be observed.


Capital Structure Decisions of French Very Small Businesses - 15 June 2011

AKTAS, Nihat ; BELLETTRE, Ingrid ; COUSIN, Jean-Gabriel

Very small businesses (VSB) experience financing constraints unlike those encountered by larger companies; however, they are rarely studied. Their unique characteristics, including the important information asymmetry they suffer and the predominant role of their shareholder-manager, may be well suited to a pecking order theory framework as a means to analyze their capital structure decisions. Specifically, VSB financing choices appear to follow a hierarchical order, such that they prefer internal to external financing and debt to stock issuance. Using a sample of 393,662 firm-year observations from 56,605 individual French VSB, this study shows that the pecking order theory can explain most of their financing decisions. In addition, a change in debt relates asymmetrically to financing deficit. Firms with a positive deficit rely almost entirely on debt for financing, whereas firms with a negative deficit (excess of financing) behave more conservatively and are less likely to repay their debts spontaneously in advance.


A survey of ‘culture and finance' - 15 June 2011

REUTER Charles H. J.

In this research article, peer-reviewed academic journals in the area of finance have been screened to investigate the recent rise in interest for “cultural approaches”. The aim has been to let the definitions emerge from the screening process; thus, building a field-based analysis about “culture” in finance, and its operationalization. The results of that screening are as follows: firstly, the concept of “culture” is mainly connected to the notion of “national cultures”. Secondly, the survey shows that “culture” is now used in a very large range of financial research areas: from the study of international financial flows, to corporate financial management, through to the analysis of the development, efficiency and robustness of stock markets and financial macro-structures. Thirdly, a marked polarization has been noted: some approaches rely on “national cultural indices” (dimensionalism), while others generally provide no definition of “culture”. Taken together, these other approaches provide a fuzzy view, and no consistent framework emerges to compete with dimensionalism. As a consequence, the review, presented here, is extended to all dimensionalist work that can be identified in the field of finance, which provides a fourth result: the only framework with current generality in finance is not likely to be adapted as a unifying model anytime soon. Overall, the research contributes to a preliminary roadmap for cross-referencing with other disciplines; it suggests the adoption of backward definitions, and the building upon of complementarities in existing approaches, including, in particular, dimensionalism, trust, religions, or, still, the idea of “culture”, as layers, derived, in particular, from recent advances in cognitive sciences.


Report of Editors of FINANCE for years 2009 & 2010 - 15 June 2011

DERRIEN François, MORAUX, Franck

This report aims at exposing official statistics about Finance – the official publication of the French Finance Association. For this first report, we will analyze a couple of years 2009 and 2010 and present first some elements on the Submission process and then turn to some descriptive statistics related to publications. In this report, we want to mention...