Curriculum vitae

Alexandre Hervé

Professeur des universités
DRM

Herve.ALEXANDREping@dauphinepong.fr
Tel : 01 41 16 75 91
Bureau : E 653

Biographie

Je suis un enseignant chercheur en sciences de gestion, spécialisé en banque et intermédiaition financière.

 

 

Publications

Articles

Alexandre H., Clavier J. (2017), Adoption of IAS/IFRS, liquidity constraints, and credit rationing: the case of the European banking industry, Quarterly Review of Economics and Finance, 63, p. 249-258

With imperfections, theory suggests that banks dependent on external resources have greater difficulty refinancing their lending than banks with a lot of internal resources. Hence, there is an increased risk of credit rationing to these institutions. In this context, this empirical study tests the hypothesis that the adoption of the IAS/IFRS, deemed as of superior quality for economic decision-making, results in an increase in the amount of credit offered by banks with liquidity constraints. For a sample of European banks over the period of 2003 to 2008, we find that results are only partly consistent with this hypothesis. The results depend on the measure of the constraint, the bank size, and the enforcement regime. Our results show that the adoption (both voluntary and mandatory) of the IAS/IFRS lead to an increase in the credit supply only for small and constrained banks. These results are important with respect to the goal of banking stability and with the scarcity of credit observed in Europe since the financial crisis.

Alexandre H., Guillemin F., Refait-Alexandre C. (2016), Disclosure, banks CDS spreads and the European sovereign crisis, Revue Economique, 67, 5, p. 1007-1035

Nous étudions l'impact de la transparence des banques sur l'évolution des spreads de leurs credit default swaps (CDS) pendant la crise de la dette souveraine au sein de l'Union européenne. La transparence aide les investisseurs à fonder leurs anticipations et peut réduire la prime de risque informationnelle ainsi que les spreads de CDS. Nous calculons la variation anormale cumulée du spread (VACS) lors de seize annonces de dégradation de notation souveraine, de 2011 à mi-2013. Nous construisons deux indices de transparence : l'un mesure la transparence globale de la banque, l'autre mesure sa transparence vis-à-vis de l'exposition au risque souverain. Nous montrons que l'exposition au risque souverain accroît la VACS, alors que la transparence de la banque vis-à-vis de ce risque réduit la VACS ; l'information tend donc à réduire la prime de risque. Cependant, la transparence globale augmente la VACS ; les investisseurs semblent désapprouver une communication trop large et trop abondante.

We investigate the impact of banks disclosure on the evolution of their CDS spreads during the European sovereign debt crisis. We focus on the CDS spreads changes following the announcements of sovereign credit rating downgrades. The disclosure of information helps investors in building expectations and may participate into the reduction of the information risk premium and of the CDS spreads. We assess the cumulative abnormal CDS spread changes (CASC) around sixteen downgrades from 2011 to 2013. We build two disclosure indexes: one general and one dedicated to sovereign exposure. We show that the bank exposure to sovereign risk has a positive impact on the CASC whilst a sovereign disclosure has a negative impact: information thus reduces risk premiums. However, the global disclosure increases the CASC, since investors may disapprove the disclosure of too much abundant and broad information.

Alexandre H., Bouaiss K., Refait-Alexandre C. (2014), Banking relationships and syndicated loans during the 2008 financial crisis, Journal of Financial Services Research, 46, 1, p. 99-113

The research shows that banking relationships are important to lending. However, few studies focus on the banking relationships in syndicated loans, although these loans have became a major source of financing. The last financial crisis clearly shows the impacts of credit rationing and tightening credit conditions, even in the syndicated loans market. We investigate whether banking relationships help firms to benefit from better terms for syndicated loans in a chaotic financial environment. Using a sample of syndicated loans arranged from 2003 to 2008 in North America and Europe, we find that firms with a previously developed relationship with a lead bank obtained a lower spread and a longer maturity during the financial crisis but did not benefit from larger loan facilities.

Alexandre H., Buisson H. (2014), Contribution des S.I. aux innovations managériales : le cas Valeo, Revue internationale P.M.E., 27, 2, p. 95-113

Le rationnement du crédit est un phénomène étudié depuis longtemps, mais que la crise de 2008 remet sur le devant de la scène. Les PME sont particulièrement touchées et semblent être les principales victimes de la crise financière actuelle. Cet article estime l'ampleur du rationnement du crédit pour les PME françaises sur la période 2000-2008. Celles-ci semblent rationnées sur l'ensemble de la période et tout particulièrement en 2008, année de la crise financière. Par ailleurs, les PME les plus exposées au rationnement du crédit bancaire sont plus jeunes, présentent un plus fort taux de croissance, dégagent moins de cash-flow et ont moins d'actifs disponibles à mettre en garantie.

Credit rationing is a classical phenomenon studied for a long period but the last financial crisis put it in the news. SMEs are particularly affected by this phenomenon and may be the main victims of the financial crisis and economic situation. This paper tries to estimate the scale of credit rationing for French SMEs over the period 2000-2008. French SMEs seem rationed throughout the period and especially in 2008, the year of financial crisis. The most rationed SME are younger, have a higher growth rate, emit less cash-flow and have fewer assets available to be guaranteed.

Alexandre H., Juillard C., Cusin F. (2010), L'attractivité résidentielle des agglomérations françaises. Enjeux, mesure et facteurs explicatifs, L'Observateur de l'immobilier, 76, p. 3-66

Alexandre H. (2010), Trop de transparence tue la transparence, RB. Revue Banque, 724, p. 45-46

Bouaiss K., Alexandre H. (2009), The Complementarity of Regulatory and Internal Governance Mechanisms in Banks, Bankers, Markets & Investors, 98, p. 6-15

Decisions taken by the manager of a bank are subject to the regulatory discipline of the Basel Committee in conjunction with the supervisory discipline of the Board of Directors, a body that represents shareholders. This research demonstrates that the two types of discipline act in complement to each other, whereas the extant literature shows that regulatory discipline is replacing the internal discipline exercised by the Board of Directors. We also show that these internal and external governance mechanisms are relevant to explain the simultaneous influences between financial performance, risk-taking and the capitalization of French banks from 1998 to 2004.

Alexandre H. (2006), Les privatisations, Banque & marchés, 80, p. 40-46

Les privatisations sont un phénomène maintenant ancien mais dont la nature a fortement évolué ces dix dernières années. Parallèlement à ce mouvement observé depuis la fin des années quatre-vingt-dix, les recherches se focalisent sur les privatisations des pays émergents et (ou) sortant d'une èconomie planifiée et centralisée. Les privatisations menées actuellement dans les pays de l'OCDE concernent des entreprises agissant sur des secteurs réglementés, souvent en position de monopole, et suscitent une littérature plutôt axée sur les problèmes de recherche d'une réglementation optimale que nous n'aborderons pas ici.

Privatization is an old phenomenon but with important changes for the ten last years. According to the movement observed in practice, since the end of the nineties, researches are focused on privatizations in emergent countries and (or) outgoing of a planned and centralized economy. Privatizations currently carried out in the OECD countries relate to companies acting on regulated sectors, often in position of monopoly, and cause a literature centered on the problems of the search for an optimal regulation which we will not approach here.

Alexandre H., Charreaux G. (2004), L'efficacité des privatisations françaises : une vision dynamique à travers la théorie de la gouvernance, Revue Economique, 55, 4, p. 791-821

Une lecture du processus de privatisation à travers la théorie de la gouvernance des entreprises conduit à élaborer un modèle permettant de prendre en compte, d'une part, la dimension temporelle du processus de privatisation, d'autre part, les variables contextuelles, organisationnelles, de gouvernance et stratégiques qui contraignent ce processus. Après avoir répliqué un certain nombre de tests traditionnels, nous avons testé ce modèle sur un échantillon d'entreprises privatisées françaises et sur un horizon de sept ans. L'incidence favorable attribuée traditionnellement aux privatisations n'est pas confirmée, tout au moins sur l'horizon considéré. L'importance de l'effet apparaît subordonnée à certaines des variables proposées

A reading of the process of privatization through the corporate governance theory leads to propose a model taking into account, on the one hand, the time dimension of the process of privatization, on the other hand, the contextual, organizational, governance and strategic variables which influence this process. After replicating some traditional tests, we test this model on a sample of French privatized firms and on a seven years horizon. The positive effect traditionally attributed to privatizations is not confirmed. The importance of the effect is subordinated to some of the suggested variables.

Gérard C., Alexandre H. (2004), Efficiency of French privatizations: a dynamic vision, Journal of corporate finance, 10, 3, p. 467-494

We interpret privatization in light of corporate governance theory. After replicating some traditional tests, we test our new model on a sample of privatized French firms. We cannot confirm for French privatizations the positive effect on overall static and dynamic efficiency of the firm traditionally attributed to privatizations. In addition, we find that whatever positive value accrues from privatization is affected by the contextual, organizational, governance, and strategic variables that influence the privatization process.

Merli M., Alexandre H. (2003), Notations et écarts de rentabilité : le marché français avant l'euro, Finance contrôle stratégie, 6, 3, p. 5-22

L'objectif de cet article est de confronter deux mesures classiques du risque de défaillance de l'émetteur, la notation et l'écart de rentabilité. La première est attribuée par des agences spécialisées dans cette activité (Standard and Poor's et Moody's) alors que la seconde résulte du prix de l'obligation sur le marché financier. Cet article illustre et étudie ce lien sur une période de deux ans pour une quarantaine d'obligations émises en francs. Deux types de mesures de l'écart de rentabilité sont retenus et les résultats obtenus sur la grille de notation complète puis sur une grille de notation réduite montrent la prise en compte très partielle de cette information par les investisseurs sur le marché français.

The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This article studies this link over a period of two years for about forty French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of this information by the investors on the French bond market.

Alexandre H., Paquerot M. (2000), Efficacité des structures de contrôle et enracinement des dirigeants, Finance contrôle stratégie, 3, 2, p. 5-29

Dans le cadre théorique du gouvernement d'entreprise, cet article étudie l'efficacité du contrôle exercé par la structure de propriété et le conseil d'administration sur les dirigeants. La confrontation des théories de l'enracinement et de l'agence permet de déterminer les conditions nécessaires à l'efficacité des contrôleurs. La structure de propriété et le conseil d'administration réunissent rarement l'ensemble des conditions. Les tests réalisés avec la méthode du bootstrap corroborent les hypothèses de la théorie de l'enracinement et rejettent en partie les arguments de la théorie de l'agence.

In the theoretical framework of corporate governance this article studies the efficiency of the control exerted by the ownership structure and the board of directors on managers. The confrontation of entrenchment theory and agency theory allows to determine the necessary conditions of the controller's efficiency. The ownership structure and the board of directors rarely unite all these conditions. Tests realized with the bootstrap method corroborate the entrenchment theory hypotheses and reject partially the arguments of agency theory.

Alexandre H., Ertur K. (1994), Effect of sampling frequency on efficiency tests: application to the French stock market, Finance, 15, 2, p. 7-27

L'efficience des marchés financiers est un des thèmes les plus débattus de la recherche en finance. La formalisation de ce concept est réalisée à travers le modèle de la marche au hasard. De nombreux tests ont été développés pour valider l'hypothèse selon laquelle l'innovation est identiquement et indépendamment distribuée. Les résultats des travaux empiriques sont loin d'être unanimes; l'acceptation de l'hypothèse de marche au hasard n'est pas systématique et dépend trop des caractéristiques de l'échantillon. Cette constatation nous conduit à étudier l'impact de l'intervalle d'échantillonnage sur les résultats en distinguant deux méthodologies distinctes de tests: les tests fondés sur la détection de la racine unitaire (Dickey et Fuller, 1979, 1981) et les tests fondés sur le ratio de variance (Lo et MacKinlay, 1988). La question que nous nous posons est donc la suivante: le rejet ou l'acceptation de l'hypothèse nulle de marche au hasard est-il lié à l'intervalle d'échantillonnage et/ou à la méthodologie de test?

Efficiency of financial markets is one of the most studied subjects in theoretical finance. Formalization of this idea is realised by the random walk model. Numerous tests have been developed to validate the hypothesis of identically and independently distributed innovations. But the results of empirical work are not unanimous; the acceptation of the random walk is not systematic and depends too much on sample features. This leads us to study the impact of the sample frequency on empirical results by distinguishing two different methodologies of tests : the first one is based on unit root (Dickey and Fuller, 1979, 1981) and the other one on variance ratio (Lo and MacKinlay, 1988). The question is the following: does rejection or acceptation of the null hypothesis of random walk depend on the sample frequency and/or on the methodology of test?

Alexandre H. (1992), The Quasi Random Walk, Finance, 13, 2, p. 5-21

Le but de cet article est de profiter de récentes découvertes en économétrie (processus ARCH) pour reformuler les tests classiques d'efficience des marchés financiers. Il est tenté, également, d'améliorer la qualité de la prévision des indices boursiers. Les tests classiques d'efficience sont réalisés à partir du modèle de la marche aléatoire. Le changement intervient, ici, en posant l'innovation du processus de marche aléatoire non plus comme un bruit blanc mais comme un processus ARCH dont les caractéristiques sont telles qu'elles respectent les conditions posées par Granger et Morgenstern (1970) pour tester l'efficience des marchés. Ce modèle, la Quasi Marche Aléatoire, permet une approche moins restrictive de la notion d'efficience. L'autre avantage de la Quasi Marche Aléatoire est qu'il va permettre d'affiner la prévision, grâce aux intervalles de confiance de prévision qui ne sont plus constants. Une étude empirique basée sur cinq indices boursiers mondiaux (Allemagne, États-Unis, France, Grande-Bretagne et Japon) va mettre à jour une plus grande tolérance de la Quasi Marche Aléatoire dans les tests d'efficience des marchés financiers et une meilleure appréhension de la prévision.

The intention of this article is to take advantage of recent discoveries in econometrics (ARCH processes) to reformulate classical tests about the efficiency of financial market. It is also intended to improve the quality of stock index forecasts. Classical tests about the efficiency are realized from random walk. The change occurs here, considering the innovation of the random walk not like a white noise but like an ARCH process whose characteristics are such that they respect conditions given by Granger and Morgenstern (1970) to test the market's efficiency. This model, the Quasi Random Walk, allows a less restrictive approach to the notion of efficiency. The other advantage of the Quasi Random Walk is that it will help to refine the forecast, owing to confidence interval of forecast which aren't constant anymore. An empirical study based on five financial indexes (Germany, the United States, France, Great-Britain and Japan) shows a bigger tolerance of the Quasi Random Walk in tests of financial market's efficiency and a better approach to forecast.

Ouvrages

Alexandre H. (2000), L'individu face au marché : investisseurs, spéculateurs et crises boursières, Caen, EMS Management et société, 110 p.

Direction d'ouvrages

Alexandre H. (2013), Banque et intermédiation financière, Paris, Economica, 487 p. p.

Les banques sont depuis plusieurs années au centre de nombreux débats et controverses. Les interrogations suscitées par ces institutions ne sont pas nouvelles, mais depuis la crise de 2008 elles concernent des acteurs économiques, tels les déposants, dont le métier n'est pas directement lié à l'activité bancaire. Cette nouvelle édition, actualisée et enrichie, intègre de nouveaux chapitres relatifs au financement de projet, à la gestion d'actifs, au risque systémique et à la gouvernance des banques. Elle répond aux questions que se posent les différents acteurs économiques désireux de mieux connaître l'univers des banques. Cet ouvrage s'adresse également aux étudiants en master d'économie et de gestion à travers quatre parties consacrées : - à la présentation des différents métiers bancaires, facteurs de performance mais également de complexité, - au contexte réglementaire omniprésent au quotidien et déterminant au moment des choix stratégiques, - au pilotage de la performance et des risques, activité rendue encore plus incontournable par la crise et les avancées réglementaires, - aux réflexions nécessaires de gouvernance et de conformité.

Alexandre H. (2012), Banque et intermédiation financière, Paris, Economica, 380 pages p.

Les banques sont aujourd'hui au centre de nombreux débats et de multiples controverses. Les interrogations suscitées par ces institutions ne sont certes pas nouvelles, mais depuis la crise de 2008, elles concernent des acteurs économiques dont le métier n'est pas directement lié à l'activité bancaire. Par exemple, les déposants sont touchés par l'ampleur d'une crise de liquidité pouvant affecter leurs dépôts, pourtant considérés depuis des années comme hors d'atteinte de tout réel danger. Désireux de mieux connaître ces organisations réputées opaques, les différents acteurs économiques trouveront dans ce livre des réponses aux questions qu'ils se posent. Cet ouvrage s'adresse également aux étudiants en master d'économie et de gestion à travers quatre parties consacrées : - à la présentation des différents métiers bancaires et de leur diversité, facteurs de performance mais également de complexité, - au contexte réglementaire omniprésent au quotidien, mais également déterminant au moment des choix stratégiques, - au pilotage de la performance et des risques, une activité rendue encore plus incontournable par la crise et les avancées réglementaires, - aux réflexions de gouvernance et de conformité.

Chapitres d'ouvrage

Alexandre H. (2013), Régulation et gestion des fonds propres bancaires, in Alexandre H. (dir.), Banque et intermédiation financière, Paris, Economica, p. 223-248

Alexandre H. (2010), Les banques et la crise, in Pezet A., Nogatchewsky G. (dir.), L'état des entreprises 2011, Paris, la Découverte, p. 81-90

Alexandre H. (2008), Histoire des banques en France : du public au privé, de l'économie au management, in Institut d'administration des entreprises (Toulouse) . (dir.), Mélanges offerts à Pierre Spiteri Tome 1, Toulouse, Presses Universitaires de Toulouse

Communications

Guillemin F., Alexandre H., Refait-Alexandre C. (2015), Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?, 32es Journées de Microéconomie Appliquée - JMA 2105, Montpellier, France

This paper investigates the relationship between disclosure and bank CDS spread during the sovereign debt crisis over the period 2011-2013. We cumulated the evolution of the spread of CDS on 4 different timeframes. We modeled two transparency index: one global and one specifically dedicated to sovereign exposure. We obtained significant results on the impact of targetted sovereign disclosure on the evolution of the CDS spreads, while the global index have not significant impact on the evolution of the CDS spread.

Albert S., Alexandre H. (2012), Banks' Earnings: an empirical evidence of the influence of economic and financial markets factors, 30th International French Finance Association Conference, Lyon, France

Since the 1990s', a relatively ample research has been undertaken regarding the measurement of the volatility of bank earnings over time. The comparison between traditional deposits-loans banking and financial activities is a further specific theme in bank performance research. Few analyses have however directly addressed the explanation of the volatility of earnings. The present paper provides with an analysis of the influence of economic and financial factors through the sub-components of net earnings. Using a panel of European banks over 2005-2010, a period of marked changes in banks' earnings, we identify significant influences and shed a light on the sensitivity of activity types. We find that net earnings are positively influenced by GDP growth, stock markets and, for most banks, negatively by interest rates. The influence of GDP is primarily located with loan impairments but also with commissions. Stock markets support both commissions and, in a greater extent, trading. We identify a negative effect of interest rates for both net interest income and trading. Earnings associated with financial activities appear slightly more sensitive, but the resilience of more traditional banking activities is also affected by economic and financial factors. Our results also head towards more exposure of banks running significant additional equities-related commission activities and equity trading. On the other hand, exposure to changes in interest rates may mitigate the sensitivity of earnings.

Clavier J., Alexandre H. (2012), Passage obligatoire aux normes comptables IAS/IFRS, contraintes en liquidité et rationnement du crédit : une étude empirique dans l'industrie bancaire européenne, 33ème Congrès de l'AFC, Grenoble, France

La théorie financière indique que les banques dépendantes en ressources externes et/ou fragiles financièrement éprouvent plus de difficultés à refinancer leurs opérations de prêt, en raison des problèmes informationnels auxquels elles font face et/ou qu'elles suscitent, d'où un risque accru de rationnement du crédit dans ces établissements. Dans ce cadre, cette étude teste l'hypothèse selon laquelle l'adoption obligatoire par les banques des normes comptables IAS/IFRS, réputées d'une qualité supérieure pour la prise de décision économique, a entraîné une hausse de la quantité de crédit offerte par les établissements contraints en liquidité, toutes choses égales par ailleurs. Pour un échantillon de banques européennes, sur la période 2003-2008, nous obtenons des résultats conformes à cette hypothèse.

Financial theory indicates that banks dependent on external resources and/or financially fragile have more difficulties in refinancing their operations of credit supply, due to the informational problems they face and/or they cause. In this context, this study tests the hypothesis that the mandatory adoption by banks of the IAS/IFRS accounting standards, known to be of higher quality, leads to an increase in the quantity of loans granted by banks constrained in liquidity, all else equal. Based on a sample of European banks, between 2003 and 2008, we obtain results in favour of this hypothesis.

Bouaiss K., Refait-Alexandre C., Alexandre H. (2011), Banking relationship and syndicated loans during the last financial crisis, 28th GdRE Annual International Symposium on Money, Banking and Finance, Reading, Royaume-Uni

Banking relationship has been showed to be important in lending, especially in small business lending. Few studies focus on banking relationship in syndicated loan, although they have became a major way of financing. The last financial crisis has clearly shown credit rationing, and credit conditions tightening, even in syndicated loans market. We investigate whether banking relationship helps firms to benefit from better syndicated loans terms in a chaotic financial environment. Using a sample of syndicated loans issued in 2008 in North America and Europe, and records of syndicated loans since 2003, we find that firms that had developed a previous relationship with an investment bank obtained a lower spread and for longer maturity during the financial crisis but did not benefit from greater loan facilities.

Refait-Alexandre C., Bouaiss K., Alexandre H. (2011), Does a banking relationship help a firm on the syndicated loans market in a time of financial crisis?, Annual Meeting of the Midwest Finance Association, Chicago, Etats-Unis

The volume of credit granted in the form of syndicated loans saw a marked downturn in 2008. This article seeks to understand how certain firms were nonetheless able to benefit from larger facilities or a lower interest rate than others. Using a sample of syndicated loans issued in 2008 in North America and Europe, and records of syndicated loans since 2003, we show that firms that had developed a relationship with an investment bank obtained a lower spread, but did not benefit from greater loan facilities or longer maturities.

Alexandre H., Smondel A. (2010), Substitution or complementarity between "soft" information and "hard" information: why and which effect on bank profitability?, AFFI 2010, Saint-Malo, France

The Basel II committee set up directives encouraging banks to use internal scores in order to assess the risk of their customers. This new form of information competes with the existing ones. SMEs are most concerned by these new stakes, due to the lack of transparency. The aim of this paper is to understand the determinants of the choice between substitution and complementarity between the two types of information: "soft" and "hard", to test a potential effect of this choice on the banking performance and to describe which variables are involved in the decision-making process. The originality of this work is to try to quantify the information costs and to use it as a variable which is affecting the adopted choice.

Smondel A., Alexandre H. (2010), Substitution or complementarity between "soft" information and "hard" information : why and which effect on bank profitability ?, 2010 FMA Annual Meeting, New York, États-Unis

The Basel II committee set up directives encouraging banks to use internal scores in order to assess the risk of their customers. This new form of information competes with the existing ones. SMEs are most concerned by these new stakes, due to the lack of transparency. The aim of this paper is to understand the determinants of the choice between substitution and complementarity between the two types of information: "soft" and "hard", to test a potential effect of this choice on the banking performance and to describe which variables are involved in the decision-making process. The originality of this work is to try to quantify the information costs and to use it as a variable which is affecting the adopted choice.

Documents de travail

Alexandre H., De Benoist A. (2010), Oil prices and government bond risk premiums,, 31

This article analyses the impact of oil price on bond risk premiums issued by emerging economies. No empirical study has yet focussed on the effects of the oil price on government bond risk premiums. We develop a model of credit spread with data from the EMBIG index of seventeen countries, from 1998 to 2008. An analysis in time series has been carried out on each country. Then we use a panel analysis to determine the global impact of oil prices on the risk perceptions of investors. Finally, we suggest a new estimator for the oil price to take into account the effect of the price variance. We show that the oil price influences the risk premiums of sovereign bonds, along with the price volatility that increases the accuracy of the model.

Bouaiss K., Refait-Alexandre C., Alexandre H. (2010), Will Bank Transparency really Help Financial Markets and Regulators?, Cahiers de recherche de DRM, Paris, Université Paris-Dauphine, 23

The transparency of credit institutions is currently an issue of crucial importance not only with regard to the adaptation of regulatory tools (Basle II, IAS-IFRS international norms etc.)but also to the banking, financial and economic consequences. The current crisis places the importance of information about all banking activities centre stage in any debate. At a time when banks are controlled more than ever before, it is surprising to see them being swamped with criticism about their opaqueness and their reluctance to communicate, especially about the risks they are taking. This paper therefore, presents state of the art works on disclosure and bank transparency.It deals with questioning whether it is beneficial or not to increase disclosure levels in order to improve the discipline that the regulators and the markets exert on the banks.

Mirza N., Alexandre H. (2010), Size Value and Asset Quality Premium in European Banking Stocks,, Paris, Université Paris-Dauphine, 32

Banking firms exhibit unique business and financial dynamics that are priced in their stock returns. This paper compares traditional empirical asset pricing models on portfolio of banking firms from fourteen European countries and proposes a banking specific risk factor. We compared a single factor CAPM with three factors Fama and French model on exchange rate adjusted returns and found substantial support for firm specific factors of size and value. We propose that asset quality premium (proportion of non-performing loans to total advances and measured as BMG - bad minus good) constitutes an important asset pricing factor for banking stocks. The portfolios sorted on size, value and asset quality explained the maximum variation in returns depicting asset quality as a critical investment factor for banking stocks. These results have considerable implications for investment appraisals, cost of capital and risk management in financial stocks.

Buisson H., Alexandre H. (2010), L'impact de la crise sur le rationnement du crédit des PME françaises, Cahiers de recherche DRM, Paris, Université Paris-Dauphine, 21

Le rationnement du crédit se produit lorsque des investissements rentables ne trouvent pas de financement. Les PME, particulièrement touchées par ce phénomène, seraient les principales victimes de la crise financière et économique actuelle. Ce mémoire estime le rationnement du crédit pour les PME françaises sur la période 2000-2008. Celles-ci sembleraient rationnées sur l'ensemble de la période et tout particulièrement en 2008, année de crise financière. Les PME les xlus axPosées au rationnement du crédit bancaire sont plus jeunes, présentent un plus fort taux de croissance, dégagent moins de cash flow et ont moins d'actifs disponibles à mettre en garantie

De Benoist A., Alexandre H. (2009), Petrol Prices and Government Bond Risk Premium,, Paris, Université Paris-Dauphine, 26

Emerging countries, like Brazil, China and India are in constant evolution since the early 90s. During this period, the issuance of bonds by developing countries has increased significantly reflecting their needs substantial investment in infrastructure and long-term projects. But at the same time, they had to face a series of financial crises that has significantly reduced their credit capacity and increasing the spread, therefore the cost of financing. The aim of this paper is to understand the determinants of this spread and the macroeconomic indicators and other variables which can explain it.

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