Research topic 1

Asset pricing, asset allocation, and investment performance

Our work in asset pricing adopts two perspectives. The first relates to valuation in the absence of arbitrage opportunities. This paradigm takes some market prices as a starting point and highlights the relations between the prices of different assets, particularly between underlying instruments and derivatives. The second perspective is based on determining the equilibrium between supply and demand for any kind of assets. It uses the fundamentals of economics to analyse the behaviour of agents and how prices result from this behaviour and the interactions between them (impact of agents’ anticipations– possibly subjective and heterogeneous – in relation with the formation of asset prices). Our work in asset pricing covers a very broad range of assets: non-conditional financial assets, derivatives from financial assets and real assets, indices, commodities, and real estate. This research on asset pricing is complemented by research on risk and portfolio management, and on the performance of alternative investments such as real estate investments, unlisted securities, and commodities. The research planned for this programme is both theoretical is empirical. We will be drawing on the no-arbitrage theory, term structure of interest rates theories, the normal backwardation theory, the theory of storage, option theory, and partial and general equilibrium models. The methodological approaches used include stochastic calculations, the resolution of equilibria with rational or heterogeneous anticipations, measuring portfolio performances, empirical modelling of stock returns using multifactorial models, and multivariate analysis of deviations between theoretical and observed prices. The empirical methodologies used include difference-in-differences tests, the econometrics of time series, panel regressions, principal component analysis, numerical simulations, etc.

Researchers involved in this programme

Eser Arisoy, Serge Darolles, Kaouther Jouaber, Delphine Lautier, Gaëlle Le Fol, Clotilde Napp, Tamara Nefedova, Evgenia Passari, Fabrice Riva, Arnaud Simon, Marius Zoican.