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L'intégration de l'information dans le prix des actifs financiers

Abstract : This PhD dissertation mainly focuses on the information processing of financial markets. It consists in five different contributions. The first three of them focus on the econometrics of asset pricing models. (1) First, I propose a new methodology to estimate the subjective distribution implicit in interest rate futures. I show how to use it to investigate the market participants' perception of the expected monetary policy over 2006. (2) Then, using both options and futures on the European Carbon market, I document the impact of the May 2006 information disclosure regarding alloted carbon emission quotas on the risk aversion implicit in market prices. (3) Next, building on the assumption of an exponential affine pricing kernel, I show how to price options for conditionally Generalized Hyperbolic distributed returns under the historical measure. I provide empirical tests that indicate that the model yields very low mis-pricing errors when compared to the existing literature. Lastly, I present new results regarding the term structure impact of news on the bond market. (4) First, I show how neglecting the US influence over the Euro bond market leads to a misleading diagnostic about European market mover figures. (5) Then, I show how American macroeconomic announcements produce a term structure effect over the US curve that strongly depends
on the business cycle.
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Submitted on : Monday, January 19, 2009 - 6:14:13 PM
Last modification on : Tuesday, January 19, 2021 - 11:08:28 AM
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  • HAL Id : tel-00354454, version 1



Florian Ielpo. L'intégration de l'information dans le prix des actifs financiers. Economics and Finance. Université Panthéon-Sorbonne - Paris I, 2008. English. ⟨tel-00354454⟩



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