L’objectif de cette étude est de développer et analyser les déterminants du rendement excédentaire (ou prime de marché) des actifs financiers dans l’hypothèse que ces derniers suivent une loi normale asymétrique. Ainsi, sous la base de cette hypothèse, nous avons élaboré un modèle dans lequel le rendement excédentaire de l’actif financier en question est déterminé par l’effet combiné du coefficient d’asymétrie(skewness), de la prime de risque et de sa variance (ou volatilité). Par la suite nous avons estimé ce modèle en supposant que la variance suit un processus ARCH-GARCH . L’analyse empirique porte sur les données du SP500, et sont tirées de la banque de données de Fama-French. Les résultats de l’analyse montrent que l’ARCH(1) décrit mieux les données de la série du SP500 contrairement au GARCH(1,1).

This thesis is divided in four chapters. The two first chapters introduce a parametric quantile-based estimation method of univariate heavy-tailed distributions and elliptical distributions, respectively. If one is interested in estimating the tail index without imposing a parametric form for the entire distribution function, but only on the tail behaviour, we propose a multivariate Hill estimator for elliptical distributions in chapter three. In the first three chapters we assume an independent and identically distributed setting, and so as a first step to a dependent setting, using quantiles, we prove in the last chapter the asymptotic normality of marginal sample quantiles for stationary processes under the S-mixing condition.<p><p><p>The first chapter introduces a quantile- and simulation-based estimation method, which we call the Method of Simulated Quantiles, or simply MSQ. Since it is based on quantiles, it is a moment-free approach. And since it is based on simulations, we do not need closed form expressions of any function that represents the probability law of the process. Thus, it is useful in case the probability density functions has no closed form or/and moments do not exist. It is based on a vector of functions of quantiles. The principle consists in matching functions of theoretical quantiles, which depend on the parameters of the assumed probability law, with those of empirical quantiles, which depend on the data. Since the theoretical functions of quantiles may not have a closed form expression, we rely on simulations.<p><p><p>The second chapter deals with the estimation of the parameters of elliptical distributions by means of a multivariate extension of MSQ. In this chapter we propose inference for vast dimensional elliptical distributions. Estimation is based on quantiles, which always exist regardless of the thickness of the tails, and testing is based on the geometry of the elliptical family. The multivariate extension of MSQ faces the difficulty of constructing a function of quantiles that is informative about the covariation parameters. We show that the interquartile range of a projection of pairwise random variables onto the 45 degree line is very informative about the covariation.<p><p><p>The third chapter consists in constructing a multivariate tail index estimator. In the univariate case, the most popular estimator for the tail exponent is the Hill estimator introduced by Bruce Hill in 1975. The aim of this chapter is to propose an estimator of the tail index in a multivariate context; more precisely, in the case of regularly varying elliptical distributions. Since, for univariate random variables, our estimator boils down to the Hill estimator, we name it after Bruce Hill. Our estimator is based on the distance between an elliptical probability contour and the exceedance observations. <p><p><p>Finally, the fourth chapter investigates the asymptotic behaviour of the marginal sample quantiles for p-dimensional stationary processes and we obtain the asymptotic normality of the empirical quantile vector. We assume that the processes are S-mixing, a recently introduced and widely applicable notion of dependence. A remarkable property of S-mixing is the fact that it doesn't require any higher order moment assumptions to be verified. Since we are interested in quantiles and processes that are probably heavy-tailed, this is of particular interest.<p> / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

Along this dissertation I propose to walk the reader through several macroeconomic<p>implications of information asymmetries, with a special focus on financial<p>issues. This exercise is mainly theoretical: I develop stylized models that aim<p>at capturing macroeconomic phenomena such as self-fulfilling liquidity dry-ups,<p>the rise and the fall of securitization markets, and the creation of systemic risk.<p>The dissertation consists of three chapters. The first one proposes an explanation<p>to self-fulfilling liquidity dry-ups. The second chapters proposes a formalization<p>of the concept of market discipline and an application to securitization<p>markets as risk-sharing mechanisms. The third one offers a complementary<p>analysis to the second as the rise of securitization is presented as banker optimal<p>response to strict capital constraints.<p>Two concepts that do not have unique acceptations in economics play a central<p>role in these models: liquidity and market discipline.<p>The liquidity of an asset refers to the ability for his owner to transform it into<p>current consumption goods. Secondary markets for long-term assets play thus<p>an important role with that respect. However, such markets might be illiquid due<p>to adverse selection.<p>In the first chapter, I show that: (1) when agents expect a liquidity dry-up<p>on such markets, they optimally choose to self-insure through the hoarding of<p>non-productive but liquid assets; (2) this hoarding behavior worsens adverse selection and dries up market liquidity; (3) such liquidity dry-ups are Pareto inefficient<p>equilibria; (4) the government can rule them out. Additionally, I show<p>that idiosyncratic liquidity shocks à la Diamond and Dybvig have stabilizing effects,<p>which is at odds with the banking literature. The main contribution of the<p>chapter is to show that market breakdowns due to adverse selection are highly<p>endogenous to past balance-sheet decisions.<p>I consider that agents are under market discipline when their current behavior<p>is influenced by future market outcomes. A key ingredient for market discipline<p>to be at play is that the market outcome depends on information that is observable<p>but not verifiable (that is, information that cannot be proved in court, and<p>consequently, upon which enforceable contracts cannot be based).<p>In the second chapter, after introducing this novel formalization of market<p>discipline, I ask whether securitization really contributes to better risk-sharing:<p>I compare it with other mechanisms that differ on the timing of risk-transfer. I<p>find that for securitization to be an efficient risk-sharing mechanism, it requires<p>market discipline to be strong and adverse selection not to be severe. This seems<p>to seriously restrict the set of assets that should be securitized for risk-sharing<p>motive.<p>Additionally, I show how ex-ante leverage may mitigate interim adverse selection<p>in securitization markets and therefore enhance ex-post risk-sharing. This<p>is interesting because high leverage is usually associated with “excessive” risktaking.<p>In the third chapter, I consider risk-neutral bankers facing strict capital constraints;<p>their capital is indeed required to cover the worst-case-scenario losses.<p>In such a set-up, I find that: 1) banker optimal autarky response is to diversify<p>lower-tail risk and maximize leverage; 2) securitization helps to free up capital<p>and to increase leverage, but distorts incentives to screen loan applicants properly; 3) market discipline mitigates this problem, but if it is overestimated by<p>the supervisor, it leads to excess leverage, which creates systemic risk. Finally,<p>I consider opaque securitization and I show that the supervisor: 4) faces uncertainty<p>about the trade-off between the size of the economy and the probability<p>and the severity of a systemic crisis; 5) can generally not set capital constraints<p>at the socially efficient level. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished