Asymétrie d'information | EPFL Graph Search

Une asymétrie d'information est une situation où, sur un marché, les agents économiques qui contractent ou échangent ne sont pas sur un pied d'égalité en termes d'informations, l'un des deux agents détenant une information que l'autre n'a pas. La présence d'asymétries d'information conduit à des problèmes d'anti-sélection et de risque moral. Ils sont notamment étudiés dans le cadre de la théorie des contrats et de la théorie des mécanismes d'incitation. Concept On voit que l’asymétrie d’information enrichit le raisonnement économique, en montrant les difficultés d'application d'une des conditions de la théorie de la concurrence pure et parfaite. L'information est imparfaitement distribuée, certains agents étant naturellement, et de manière transitoire, mieux informés que d'autres. De plus, l'utilisation de l'information ne suit pas totalement les hypothèses de rationalité des agents (finance comportementale). Par ailleurs, l'agent peut détourner l'information à son avant

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

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston (1993), we assess the error distribution by computing its moments under the real-world probability measure. It turns out that one is better off implementing either a delta hedging or a variance-minimizing strategy, depending on the strike and maturity of the option under consideration. In the second paper, which is a joint work with Damir Filipovic and Loriano Mancini, we develop a practicable continuous-time dynamic arbitrage-free model for the pricing of European contingent claims. Using the framework introduced by Carmona and Nadtochiy (2011, 2012), the stock price is modeled as a semi-martingale process and, at each time t , the marginal distribution of the European option prices is coded by an auxiliary process that starts at t and follows an exponential additive process. The jump intensity that characterizes these auxiliary processes is then set in motion by means of stochastic dynamics of Itô's type. The model is a modification of the one proposed by Carmona and Nadtochiy, as only finitely many jump sizes are assumed. This crucial assumption implies that the jump intensities are taken values in only a finitedimensional space. In this setup, explicit necessary and sufficient consistency conditions that guarantee the absence of arbitrage are provided. A practicable dynamic model verifying them is proposed and estimated, using options on the S&P 500. Finally, the hedging of variance swap contracts is considered. It is shown that under certain conditions, a variance-minimizing hedging portfolio gives lower hedging errors on average, compared to a model-free hedging strategy. In the third and last chapter, which is a joint work with Rémy Praz, we concentrate on the commodity markets and try to understand the impact of financiers on the hedging decisions. We look at the changes in the spot price, variance, production and hedging choices of both producers and financiers, when the mass of financiers in the economy increases. We develop an equilibrium model of commodity spot and futures markets in which commodity production, consumption, and speculation are endogenously determined. Financiers facilitate hedging by the commodity suppliers. The entry of new financiers thus increases the supply of the commodity and decreases the expected spot prices, to the benefits of the end-users. However, this entry may be detrimental to the producers, as they do not internalize the price reduction due to greater aggregate supply. In the presence of asymmetric information, speculation on the futures market serves as a learning device. The futures price and open interest reveal different pieces of private information regarding the supply and demand side of the spot market, respectively. When the accuracy of private information is low, the entry of new financiers makes both production and spot prices more volatile. The entry of new financiers typically increases the correlation between financial and commodity markets.

EPFL2014

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets are subject to both diffusion and tail risk. Of these two types of risk, tail risk causes uninsured deposits to be risky, as the bank's asset value can unexpectedly fall below the value of deposits in case of default. The model shows that tail risk, rather than diffusion risk, is the main driver of the risk on deposits when the bank is unregulated and of the endogenous deposit insurance premium when the bank is regulated. Keeping total volatility constant, the model shows that a high tail risk component leads to higher credit spreads, default risk, and magnitude of bank losses in default than a high diffusion risk component.The second chapter, titled Bank Regulation and Market Discipline in the Presence of Risk-Taking Incentives, presents a bank capital structure model in which equity holders can increase asset risk once debt is in place. I study the effects of capital requirements and subsidized deposit insurance on the bank's privately optimal funding and operational risk level. The model predicts that there are synergetic effects of regulation and market discipline. When the regulator sets the capital charge and deposit insurance premium payments sufficiently high for a risky portfolio, the bank commits to the low-risk asset portfolio by setting a lower leverage ratio and substituting market debt for deposits. This market discipline effect disappears when the regulatory costs become too high. In the third chapter that is titled Dividend Restrictions and Asymmetric Information, we develop a dynamic model of a bank whose management has superior information about the impact of a pending shock to the bank's cash holdings and can signal the bank's type through its dividend policy. Banks that will be adversely affected by the shock have incentives to pool with unaffected banks to increase their market value. To avoid being mimicked, the unaffected banks can credibly signal via a more aggressive payout strategy. Dividend payout restrictions have the potential to prevent a separating equilibrium from forming. This leads to the bad type adopting a more aggressive payout policy with a higher risk of default but mitigates the distortion of the good type's policy. We identify a number of scenarios where this trade-off presents an opportunity for regulatory intervention and some where it does not.

EPFL2021