Richesse | EPFL Graph Search

thumb|350px|Le PIB nominal par habitant permet de mesurer la création de richesse annuelle moyenne par individu dans chaque pays. La richesse est la valeur de l'ensemble des biens détenus (patrimoine) par un agent économique (ménage, individu, nation, etc.) pouvant être soit produite par un revenu ou une plus-value, soit acquise par un legs ou une donation. Un individu, communauté ou pays qui possède une abondance de biens et d'actifs possédés est couramment défini comme « riche ». A l'opposé lorsqu'un individu possède peu de biens ou d'actifs on parle de pauvreté, notamment lorsque cette situation ne lui permet pas de vivre dignement. Le concept de richesse est très central dans le domaine de l’économie. La production de richesse dans un pays (et non la richesse directement) et la croissance de cette production sont mesurées respectivement par le produit intérieur net (PIN) et son taux de croissance ou, si on ne tient pas compte des amortissements et des dépréciations des actifs,

Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces some of the features of the long-run risk literature, that is, endogenous consumption growth departs slightly from the i.i.d. framework, and shocks to realized and expected consumption growth are priced in equilibrium. Equilibrium dynamics suggest the use of general investment based measures, such as the R&D-to-capital ratio, to identify the long-run risk component in aggregate consumption growth. The second chapter examines the impact of risk-based portfolio constraints on asset prices in a standard exchange economy model where agents have different risk aversion. Constrained agents scale down their benchmark portfolio and behave locally like power utility investors with risk aversion that depends on current market conditions. The equilibrium is characterized using the consumption share of the constrained agents and allows for explicit existence results. The imposition of constraints on active market participants dampens fundamental shocks when they bind, a result that challenges recent studies that suggest that risk management rules serve to amplify aggregate fluctuations. The results also dispute the belief that capital regulations make financial crises larger and more costly, as constraints are more likely to bind in bad times. Constraints may give rise to equilibrium asset pricing bubbles, a result that is associated to the risk aversion distribution across agents and the severity of the constraint. The third chapter studies a pure exchange economy with three types of agents: constrained agents are subject to portfolio constraints, unconstrained agents are free to choose the composition of their portfolio and face a standard nonnegativity constraint on wealth, and arbitrageurs, who are unconstrained, and may incur in marked-to-market losses which are bounded by a state-dependent constraint. This credit condition is valuable when there are asset pricing bubbles, which arise endogenously because of the presence of constrained agents. The size of bubbles depends, primarily, on the ability of the arbitrageur to exploit the arbitrages available due to the mispriced assets, and hence, on the credit conditions. The bubble on the stock vanishes in the limit of infinite credit. Even though all agents have logarithmic utility, the stock price and volatility display the "leverage effect". The impact of the form of the wealth constraint on the results is also assessed.

EPFL2010

IT Investment and its impacts

Shameem Hasan

This thesis empirically explored the impacts of IT investment on three different scenarios under the common denominator / threads of IT investments. It comprises three different essays on the impacts of IT investments. IT investments and its impact on many aspects of the firms are well known - like performance / productivity, output, market value etc. But I looked into areas that were not explored before and examined events that didnât take place after the advent and integration of Information Technology â like the past financial crisis. The main contribution of my dissertation is to examine how IT investments helps in the debt market, how it helps firms fare comparatively better during crisis period and how CEO characteristics influence the well-established existing link between IT investment and Innovation intensity. The first essay examines the effect of IT investment on the cost of bank loan for firms. We argue that IT affects the decision of banks through three mechanisms: wealth effect, risk effect, and information effect. First, IT investment serves as a signal for higher future revenue and lower operational costs, thus greater future cash flows. Second, on one hand, IT may be able to reduce the risk of being locked out to competition or adverse situations; on the other hand, IT investment itself can bring risk to business. Last, the use of IT can lead to better information quality and thus reduce the information asymmetry between firms and banks. Using a sample of 270 firms between the year of 1991 and 2006, we find that IT investment is associated with lower interest rate from banks. More important, we find the strength of this relationship is contingent upon the role of IT in the industry and time period. In my second essay, the goal was to investigate whether IT investment contributed to better or worse performance during the financial crisis of 2007-2009. We took the available data for U.S. public companies (the final sample comprises 570 companies) and traced IT investments made in the years prior to the crisis period, we checked the impact of IT investments on the annual stock returns and relative changes in return (as well as for book values). After controlling for relevant risk and other independent variables during the 2007-2009 periods, we found evidence that indicates that although most of the firms suffered during the crisis period, expenditure in IT was significantly associated with relatively better performance for sample firms during the crisis period. The third essay brings in the role of CEO to examine whether CEOâs characteristics affects the already established link between IT investments and Innovation activities. We constructed data from multiple sources; we also developed empirical model to test our hypothesis and ran a series of regression tests. We find that CEOâs managerial ability and risk-taking incentive (determined by compensation scheme) are complements for IT investment. Thus for CEOs with lower ability and/or lower risk-taking incentive, firms can still achieve higher innovation efficiency by increasing expenditure in IT. On the other hand, CEOâs ownership of the firm substitutes the link. CEO with larger ownership enhances firmâs innovation efficiency by due diligence, but not necessarily through the channel of IT investment. In together, this paper shows that CEO is an important and significant factor in the conversion of IT investment to innovation efficiency.

EPFL2018

IT Investment and its impacts

Shameem Hasan

EPFL2018

Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

EPFL2010