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Concept

Délit d'initié

Un délit d'initié est un délit de marché que commet délibérément un investisseur en valeurs mobilières en utilisant des informations sensibles qui sont de nature confidentielle et dont ne disposent pas les autres investisseurs. La communication ou l'utilisation d'informations privilégiées susceptibles d'avoir un impact sur la tenue du cours de bourse peut permettre des gains illicites lors de transactions boursières. La dissémination à des fins d'enrichissement (ou non) de ces informations est interdite par les autorités de contrôle des marchés financiers, moralement répréhensible (avantage par rapport aux autres investisseurs non avertis), et donc pénalement condamnable dans le cadre du droit boursier répressif. Il faut cependant noter que le raisonnement, aussi confidentiel soit-il, découlant de l'analyse fine d'informations publiques conduisant à se faire une opinion sur l'avenir d'une entreprise cotée n'est évidemment pas un délit d'initié. Il est dit d'une personne qu'elle es

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Three Problems of Liquidity under Asymmetric Information

Sylvain Jean Pascal Carré

This thesis develops models for three problems of liquidity under asymmetric information. In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt runs without perfect information in order to understand the impact of asset opacity and disclosure policies on run likelihood and economic efficiency. I find that opacity is desirable with respect to both these metrics if and only if fundamentals are strong enough; and that a bank should commit to disclose truthfully any information it has unless the level of opacity is large. The model also uncovers rich interactions between debt dynamics, beliefs dynamics and equilibrium outcomes: short-term yields may remain low while risk builds up in the background, and therefore may not contain a warning sign of an upcoming crisis; and a disclosure regime might produce higher beliefs about collateral quality but nevertheless imply larger financing costs and thus lead to a bank failure. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", we extend the modelling toolbox of the global games literature by providing a fully rational setup where liquid reserves are modeled explicitly. The banks' balance sheet decisions and the prices of all securities are endogenous in the model. A bank possesses two instruments to manage illiquidity risk: its funding policy and the size of its liquid asset holdings,modeled as government bonds. Higher short-term indebtness allows the bank to better capture the liquidity benefits priced into deposits but increases illiquidity risk. Holding more bonds makes the bank more robust to withdrawals but it reduces the bank's asset returns. The impact of an increase in bond supply on bank leverage depends on the general-equilibrium change in the cost of absorbing the supply. The model also illustrates how considering an endogenous leverage decision is key to predict the impact of the economic environment on the liquidity premium. In the chapter "Insider Trading under Penalties", we establish existence and uniqueness of equilibrium in a generalised one-period Kyle (1985)model where insider trades can be subject to a size-dependent penalty. The result is obtained by considering uniform instead of Gaussian noise and holds for virtually any penalty function. We apply this result to regulation issues. We show that the penalty functions maximising price informativeness for given noise traders' losses eliminate small rather than large trades. We generalise this result to cases where a budget constraint distorts the set of penalties available to the regulator.

EPFL2019

Chargement

Three Essays on Corporate Disclosure

Evgeny Petrov

Corporate disclosure is the most important source of information about the firm for the outside investors. While some disclosure of public firms is mandated by regulation, firm managers can provide extra information at their discretion by making voluntary disclosures. On the other hand, even the reports required by regulation can be disclosed untruthfully. This thesis is structured in three chapters, each addressing a specific issue in voluntary disclosure and misreporting. In the first chapter, titled

Voluntary Disclosure and Informed Trading'', I study the impact of informed trading on voluntary corporate disclosure in the presence of two frictions: cost of disclosure and value of manager's information. In the absence of both frictions, informed trading has no impact on disclosure even when traders are not certain whether the manager has information. If disclosure is costly, then informed trading reduces disclosure. Since traders can discover favorable information about the firm, additional disclosure of the information is not necessary. If manager's information is valuable for the firm, then informed trading increases disclosure. Since traders can discover unfavorable information about the firm, the manager with such information has less incentives to pool with uninformed managers and discloses to show that he is informed. I also show that informed trading can have both a positive and a negative real effect on the firm value by crowding in or crowding out information production in the firm. These results hold for general information structures and are robust if traders can choose how much information to acquire. The second chapter, titled

Misreporting and Feedback Effect'' and co-authored with Prof. Hui Chen of the University of Zurich, studies the incentives of firms to misreport information in the presence of feedback effect from financial markets. Stock price often provides firms with new information, which can be used in the firms' subsequent real decisions. We examine how this informational feedback from the financial market affects a myopic firm manager's incentive to misreport, and how the misreporting further affects the firm's price and value. We find that the manager overstates his report more in the presence of feedback, but this misreporting brings forth both positive price and real effects for the firm. Intuitively, overstating the report encourages information production in the market because (a) it renders accounting reports less reliable as a source of information, and (b) investors expect higher trading profits from larger capital investment. The new incremental information improves investment efficiency when it is revealed to the firm manager through trading and used in the firm's subsequent investment decisions. As a consequence, the capital investment is higher when there is feedback effect. In the third chapter, titled ``Voluntary Disclosure and Margin Constraints'', I develop a dynamic model of voluntary corporate disclosure that explains clustering of negative announcements observed in practice. A manager may receive a signal about the firm's asset value and can disclose it to traders with margin constraints. I show that the manager postpones delivery of a negative signal until the margin constraints tighten. In contrast to previous studies, the clustering of announcements happens even if there are no negative updates in traders' beliefs about the firm value.

EPFL2017

Chargement

Trading mechanisms in over-the-counter markets

Sebastian Vogel

In the chapter

When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dealer directly. The main takeaway is that platforms increase the bargaining power of traders with search costs, thereby increasing their market participation and potentially also welfare. Another friction that affects trading in OTC markets are informational frictions. market participants may learn from trading activity on platforms and trade on that information in other trading venues. The interplay between an electronic trading platform in the dealer-to-customer market and the interdealer market is analysed in the chapter

Electronic Trading in OTC Markets vs. Centralized Exchange.'' In that chapter, a two-tiered OTC market is compared with a fully centralized market, showing that informed traders may prefer the two-tiered structure in order to benefit from their information. This ability of decentralized OTC markets to deal with asymmetric information is also a major benefit of OTC markets compared to exchange markets in welfare considerations. In the chapter ``Informed Traders and Dealers in the FX Forward Market,'' it is analyzed whether such informational frictions exist, whether dealers are able to mitigate those by charging different markups to different clients and whether we behavior consistent with the alleviation of informational frictions.

EPFL2020

Chargement

FIN-419: Ethical behavior in the financial industry

We will focus on ethical dilemmas facing professionals in the financial industry. Cases based on real events will illustrate various kinds of transgressions. We will then study what regulators and firms have put in place to mitigate these issues and propose some guiding principles for individuals.

FIN-405: Investments

The course covers a wide range of topics in investment analysis

MGT-301: Foundations in financial economics

The aim of this course is to expose EPFL bachelor students to some of the main areas in financial economics. The course will be organized around six themes. Students will obtain both practical insights through real-world examples and understand how one can model the main economic trade-offs.

Crise financière mondiale de 2007-2008

La crise financière mondiale de 2007-2008 est une crise financière, marquée par une crise de liquidité et parfois par des crises de solvabilité tant au niveau des banques que des États, et une raréfac

Gestion alternative

thumb|Les investissements des fonds spéculatifs entre 2000 et 2007 La gestion alternative (en anglais : hedge fund) est un mode de gestion de portefeuille alternative risqué par lequel le fonds d'inv

Stock

Stock (also capital stock, or sometimes interchangeably, shares) consist of all the shares by which ownership of a corporation or company is divided. A single share of the stock means fractional owner