The generalized Leontief model is particularly suitable for the study of indirect taxation and, yet, to my knowledge, it had not been extended to a world where taxes are levied. Three features of the model distingush it from others usually employed in the study of public finance. First, it assumes the existence of one primary factor or, if more than one, the relative prices between them is kept constant so that they can be treated as if there was only one combined factor. This limits the validity of the analysis to the study of short-run phenomena but, on the other hand, makes the model extremely manageable enabling one to derive a series of results on the effects of taxes by means of simple geometry. Second, it admits the possibility of substitution in production instead of fixed-coefficient production functions that characterize the simple Leontief model and which is the version commonly used in the study of taxes. Unlike the fixed-coefficient version that rules out the possibility of inefficiencies being introduced in an economy due to the existence of taxes, in the generalized version of the Leontief model it is seen that most partial taxes shift downward the production possibility frontier. Finally, unlike the standard neo-classical model in "net" terms, the model explicitly deals with intermediate flows of goods. As a consequence of the existence of taxation on intermediate transactions, one can show, for instance, that the claim that the method of collection of value-added taxes (VAT) has no economic effect is, in general, false. A partial VAT collected via the accounts method always provokes inefficiencies in production while a partial VAT collected via the invoice method is only inefficient if there exists exemptions. Furthermore, the nature of the inefficiency of the latter tax is necessarily distinct from that of the former. If smooth, differentiable production functions are best suited for the development of theoretical (graphical) results, the assumption of a finite number of activities describing the technology of each sector seems more appropriate for an empirical application of the model to the study of Brazilian indirect taxes. The information needed to construct these activities can be derived from input-output tables of several countries, transforming those matrices which are expressed in value terms into quantity indexes coefficients by means of some elementary operations on matrices. The effects that taxes have on producers' prices can, then, be determined with the use of linear programming. Taking the number of activities to be finite, tax rates have to be sufficiently large to induce a producer to switch from an activity to another in order to maximize profits. There is reason to believe that Brazilian tax rates levied on intermediate transactions are not large enough to lead to such switching of activities so that a fixed-coefficient production function leads to approximate results on the effects of taxes on producers' prices. Note, however, that the use of a fixed-coefficient production function, in such a procedure, is adopted as a result of experimenting with a model that admits substitution, its validity not being assumed from the outset. Once producers prices are estimated, prices for consumers are easily obtained by adding taxes on final sales. In models with only one primary factor, prices are technologically determined and as a consequence, the set of consumers' prices estimated is independent of demand.

Previous theoretical analysis suggests that by reducing the real value of depreciation deductions based on historic-cost asset prices, inflation reduces the incentive to purchase depreciable plant and equipment. This analysis also suggests that the negative effects of inflation on investment will be greater for equipment than structure, and will vary according to different initial assumptions about real interest rates and asset purchase prices. Further, previous arguments indicate that increases in inflation uncertainty lead to reductions in business investment, brought about by increased hurdle rates, greater planning costs, and an overall slower rate of economic activity. This research is designed to supply data necessary to evaluate the importance of these factors as determinants of investment demand. From the data provided in this dissertation, four basic conclusions are identified. First, the empirical evidence supports the hypothesis that the decline in the real value of depreciation deductions brough about by inflation leads to a decline in real business investment. The data suggests that such effects are substantial, and that failure to account for the interaction of inflation and historic cost depreciation leads to incorrect predictions of investment demand. Second, the evidence in this dissertation supports the hypothesis that inflation leads to a much greater decline in equipment than structures investment. This result persists over a wide range of assumed economic conditions, indicating that the recent shift in the composition of business investment toward equipment is not explained by increases in inflation. Third, the data also confirm the hypothesis that the effects of inflation and historic cost depreciation on investment will vary over time. Changes in investment brought about by changes in inflation are jointly determined with real interest rates and asset purchase prices, and proper measurement of such effects is critically dependent on additional economic variables. Finally, the evidence obtained by this research confirms the hypothesis that inflation uncertainty is a significant determinant of investment demand. Although these effects are much smaller than the measured effects of inflation and historic cost depreciation on investment, they are nevertheless significant to the explanation of recent business investment behavior.

The first wave of debt reschedulings started in the early 1980s, when a number of African and small Latin American countries began to experience liquidity problems. The number of countries rescheduling their debt suddenly jumped from 2 or 3 per year to 8 in 1980 and 11 in 1981. In 1983, 29 countries rescheduled their debts, valued at $68.8 billion. One explanation of the record number of reschedulings is that it was the result of a number of adverse economic shocks such as the severe recession, the escalation of real interest rates, oil price fluctuations, declines in commodity prices and a decrease in world trade. The decline in bank lending restricted the supply of funds available for international lending to the developing countries and was a factor causing the debt reschedulings. There were two major areas of research in this study. First, the model of borrowing with default risk used by Eaton and Gersovitz (1981) was analyzed and updated to include data from 1977 and 1981. The inclusion of the new data changed some of the early conclusions of Eaton and Gersovitz. It was found that the probability of a country being credit constrained fell substantially in 1977 and 1981. Also, it was determined that the model covering the period from 1970 to 1981 was inferior to a model composed of subsets of the sample. Estimation of the model by individual years revealed that the coefficients and their significance varied from year to year. The explanatory value of the model declined after 1970. This raised the possibility that the model was not stable and could be misspecified. A logit model covering the years 1975 to 1982 and containing 30 countries was constructed to find indicators that distinguish between countries that reschedule their debts from other countries. Four variables (real GDP growth, debt to exports, the current debt service ratio, and reserves to imports) consistently appeared to be significant. The amount of bank lending to the developing countries was also significant. The logit model was found to be efficient in forecasting debt reschedulings.

When estimating probabilities of repayment problems in Less Developed Countries (LDCs), the standard approach has been the application of logit models. Since there are few cases of LDCs, panel data has been used to increase the number of observations. The problem with this method is that when there exists state dependence the observations are not independent. In this case the logit models have to be adapted to deal with serial correlation and, possibly, with heterogeneity. Serial correlation is present because when a rescheduling occurs creditors will probably restrict credit in the future to the country having repayment difficulties. If the borrowing country has been using new loans to service the old debt the restriction of credit will probably create financial difficulties. Heterogeneity is a problem because different country-specific or time-specific covariates are unobserved. In this dissertation we use duration models to estimate probabilities of repayment problems, in particular probabilities of rescheduling. We consider a rescheduling as exit from the state of financial "health". Since a country can face more than one rescheduling, we have the case of multiple-spells multiple-states models. When using duration models to estimate probabilities of rescheduling we take into account the past. In this case, to estimate the probability of repayment problems at some particular period of time, we need to know the number of previous repayments problems and the number of periods the borrowing country has been "healthy". The importance of indentifying state dependence is that we can differentiate the first rescheduling from recurrent reschedulings. This differentiation helps to characterize the current debt crisis, when most of the debtor countries have been facing debt restructuring for the second or third time, and where there is a general withdrawal of creditors from the financial market for LDCs. In this case the probability of occurrence of financial problems will be different because these problems are recurrent. Economic policy has to differentiate simple from recurrent financial problems because they behave in a different way.

This dissertation consists of three essays with technical efficiency as the focus. The first essay uniquely integrates three literatures: technical efficiency, comovement and convergence. Using a panel data set of eleven domestic airlines followed quarterly from 1970 to 1990, time series technical efficiency scores are determined using the linear programming approaches of Data Envelopment Analysis and Free Disposable Hull and the parametric approach of Stochastic Frontiers. Interesting patterns, such as the dramatic decline in Eastern's efficiency prior to its demise, emerge. The market structure theory stating that an increasingly competitive environment fosters efficiency, is examined by testing these scores for comovement and convergence. Of those technical efficiency series exhibiting unit roots, a majority of firm pairs do not reject the null hypothesis of long run comovement (i.e. cointegration). Furthermore, tests of convergence support the hypothesis that firm performance is becoming less disperse over time--firms are becoming more alike as efficiency advances diffuse through the industry. The second essay derives a semi-parametric efficient estimator which allows firm specific effects to be orthogonal to certain regressors and correlated with other regressors. The multi-product nature of the airline industry is modelled and the effects are allowed to be correlated with the long run product mix. Efficiency gains are found to be as high as 64% over the first-step consistent within estimator. The final essay presents evidence linking two measures of firm performance: technical efficiency and stock market returns. Innovations in linear programming technical efficiencies and industry adjusted returns are found to exhibit significant correlation only in the two months following each quarter-end. This period corresponds to the time frame during which data necessary for determining the scores becomes available. Further, using the linear programming scores to identify firms which improve or decline in performance, an investment strategy, where the former is bought and the latter is sold short, is adopted. This strategy produces significantly different returns between the two portfolios over the same two month period. Thus, strong support is found for the hypothesis that a company's stock market performance is linked to its resource utilization ability.

This thesis comprises of three essays on the pricing of financial derivatives. In the first essay, we assess the return fitting and option valuation performance of generalized autoregressive conditional heteroscedasticity (GARCH) models. We compare component versus GARCH(1,1) models, affine versus nonaffine GARCH models, and conditionally normal versus nonnormal GED models. We find that nonaffine models dominate affine models in terms of both fitting returns and option valuation. For the affine models, we find strong evidence in favor of the component structure for both returns and options; for the nonaffine models, the evidence is less convincing in option valuation. The evidence in favor of the nonnormal GED models is strong when fitting daily returns, but not when valuing options. In the second essay, we introduce a dynamic volatility model in which stock market volatility varies around a time-varying fundamental level. This fundamental level is determined by macroeconomic risk, quantified using a mixed data sampling (MIDAS) structure to account for changes in the recently introduced Aruoba-Diebold-Scotti (ADS) Business Conditions Index. The new model outperforms the benchmark in fitting asset returns and in pricing options, especially in the 1990-1991 and 2001 recessions. The benchmark model exhibits a counter-cyclical option-valuation bias across all maturities and moneyness levels, and the newly introduced model removes this cyclicality by allowing the conditional expected level of volatility to evolve with business conditions. We extract the volatility premium implied by the model and find that an economically significant 13% of its variation through time can be explained by the impact of macroeconomic risk. In the third essay, we study the impact of systematic risk on the pricing of two economically similar derivative contracts: credit default swaps and equity put options. We document, for roughly 130 firms that have been part of the CDX index between / Cette thèse repose sur trois essais traitant de l'évaluation de produits dérivés financiers. Le premier essai porte sur la performance relative de différents modèles d'évaluation d'option à variance GARCH. Nous comparons ces modèles suivants trois axes : variance à deux composantes vs. GARCH(1,1), variance affine versus non affine, rendements conditionnellement Gaussiens ou non. Les différents modèles sont comparés sur la base de leur capacité à correctement expliquer la série des rendements (estimation) et à prédire le prix des options (prédiction). Les résultats obtenus favorisent largement les modèles à volatilité non affine sur ceux à volatilité affine, tant du point de vue de l'estimation que de la prédiction. Pour les modèles à volatilité affine, les modèle à composantes sont favorisée par les données, à l'estimation et à la prédiction ; pour les modèles à volatilité non affine, les résultats sont moins convaincants au point de vue de la prédiction. À l'estimation, la supériorité des modèles qui ne reposent pas sur une hypothèse de normalité conditionnelle est clairement démontrée, mais les résultats à la prédiction sont plus mitigés. Dans le second essai, nous introduisons un modèle de volatilité dynamique suivant lequel la volatilité du marché varie autour d'un processus de volatilité fondamental dont le niveau est déterminé par une mesure de risque macroéconomique. Ce risque est quantifié à l'aide d'une structure de données échantillonnées à intervalles irréguliers (MIDAS) permettant de capturer les variations d'un nouvel indicateur macroéconomique, le Aruoba-Diebold-Scotti (ADS) Business Conditions Index. Le nouveau modèle performe mieux que le modèle de référence, tant en ce qui à trait à l'estimation qu'à la prédiction, tout particulièrement aux environs des récessions de 1990-1991 et de 2001. Peu importe la maturité ou le degré de parité des options, le modèle de réf

This thesis consists of three essays that examine various measures of equity risk implied in the prices of options on individual stocks and stock market indices and their effects on equity pricing. The focus is on the higher moments of the risk-neutral return distribution such as skewness and kurtosis. The first essay is an empirical investigation of whether the innovations in option-implied volatility, skewness, or kurtosis of the S&P 500 index are priced risk factors. We compute the option-implied moments of the S&P 500 index by using the methodology developed in Bakshi, Kapadia, and Madan (2003), and conduct an extensive series of asset pricing tests on the cross-section of stocks between 1996 and 2005. We find strong evidence that the innovation in the option-implied skewness of the S&P 500 index is a priced risk factor with a negative price of risk. The second essay examines the time series predictability of the stock market return by option-implied measures of the stock market risk with an emphasis on downside risk. As measures of downside risk, we propose the option-implied 5th and 1st percentiles of the S&P 500 index return computed in two different ways. The first method is purely non-parametric and was first introduced by Ait-Sahalia and Lo (2000) in the context of the VaR computation. The second method, which is new to the literature, is an application of the Cornish-Fisher approximation using the option-implied volatility, skewness, and kurtosis. We run the stock market return forecast regressions over 1, 3, 6, and 12-month horizons and find that the changes in option-implied quantiles in the past 3-7 months have the largest predictive power for the stock market return over the 3 and 6-month horizons. In the third essay, we propose the use of firm risk measures based on stock option prices to assess change in risk of acquiring firms around acquisitions. We apply the methodology developed in Chang, Christoffersen, Jacobs, and Vainberg (2009) to compute option-implied betas. We then use option implied beta to decompose option implied volatility into systematic and idiosyncratic components. Through an event study, we find that acquiring firms are on average riskier after acquisitions with the added risk reflected in higher option-implied total and systematic volatilities as well as lower skewness. We show that the same conclusion cannot be reached using the traditional estimates of market beta using lagged stock returns because of their backward-looking nature and their sensitivity to temporary abnormal stock price movements around acquisitions. / Cette thèse se compose de trois essais qui examinent les différentes mesures de risque des actions, implicite dans les prix des options. L'emphase est mise sur les moments de la distribution de probabilité risque-neutre tels que l'asymétrie et le kurtosis. Le premier essai verifie si les innovations de la volatilité, l'asymétrie, et le kurtosis implicites en prix des options de l'indice S & P 500 sont des facteurs de risque valorisant des actions. On calcule les moments option-implicites du S & P 500 en utilisant la méthodologie développée dans Bakshi, Kapadia et Madan (2003), et mène une vaste série de tests d'évaluation d'actifs sur la section transversale des actions entre 1996 et 2005. On confirme que l'innovation dans l'asymétrie option-implicite du S & P 500 est un facteur de risque pour les prix des actions avec un prix négatif de risque. Le deuxième essai examine la prévisibilité des séries temporelles du rendement de l'indice boursier par des mesures option-implicites du risque de la bourse, mettant l'accent sur le risque de baisse. Comme les mesures de risque de baisse, on propose les 5e et 1er percentiles option-implicites du rendement de l'indice S & P 500, calculés de deux manières différentes. La première méthode est purement non-paramétrique et a été introduite par Ait-Sahalia et Lo (2000) dans le cadre du calcul de la VaR. La seconde méthode, qui est nouvelle à la littérature, est une application de l'approximation de Cornish-Fisher en utilisant la volatilité, l'asymétrie, et le kurtosis implicites dans les prix des options. On effectue des régressions sur le future rendement de l'indice boursier pour la période de 1, 3, 6, et 12 mois. Par la suite, on constate que les changements dans les quantiles option-implicites dans les 3-7 derniers mois ont le plus grand pouvoir de prédiction pour le rendement de la bourse au cours des prochains 3 et 6 mois. Dans le troisième essai, on propose l'utilisation des mesures de risque de la société qui sont basées sur les prix des options pour évaluer l'évolution du risque de l'acquisition des entreprises autour des acquisitions. On applique la méthodologie développée dans Chang, Christoffersen, Jacobs et Vainberg (2009) pour calculer les betas option-implicites. On utilise ensuite le beta option-implicite pour décomposer la volatilité option-implicite en composants systématique et idiosyncratique. Nos résultats montrent que les entreprises sont plus risquées après des acquisitions. Le risque élevé est reflété dans l'hausse de la volatilité option-implicite totale et systématique ainsi que la baisse de l'asymétrie option-implicite. On montre que la même conclusion ne peut être atteinte en utilisant les estimations traditionnelles de la beta en raison de leur nature rétrospective et leur sensibilité aux mouvements temporaires anormaux du prix de l'action autour des acquisitions.

The objective of this dissertation is to shed light on the decision-making behavior of banks under liquidity and credit risks as well as the impact of market structure (competition and mergers) on such behavior. The analysis of this dissertation differs from the previous studies in that we explicitly analyze the effects of liquidity and credit risks on banks' decisions and profits. The analysis of this dissertation can be separated into two main parts. The first part focuses on the effect of liquidity risk on banks' decisions and profits (Chapters 2 and 3 ) while the second part concentrates on the effects of credit risk and bank regulations (Chapter 4 ).The main objective of Chapter 2 is to investigate how the uncertainty in terms of early withdrawals from depositors (which creates liquidity shortage) affects banks' behavior. We examine a model of horizontal mergers within the banking industry based on an inventory-theoretic approach. In our model, banks compete by offering differentiated loan products and face uncertainty in terms of liquidity shortage. Their goal is to optimally allocate the amount of deposits collected into loans and reserves so as to maximize their expected profits. We analyze how the equilibrium loan rate and reserve holdings of each bank are affected by the risk of early deposit withdrawals. An interesting result is obtained when the liquidity risk is relatively large: the equilibrium reserve holdings can then actually decrease in the risk of early withdrawals. A merger increases the loan rate charged to the customers and profits of all banks. The risk of early withdrawals is also a key factor in determining the profitability of mergers. Lastly, mergers, in general, decrease total reserves, thereby potentially increasing liquidity shortages in the banking system.In Chapter 3 , the analysis still focuses on the impact of liquidity risk. However, the aim of this chapter is to examine the stability of bank mergers by using the definition of stable cartel proposed by d'Aspremont et al. (1983). We find that as long as the number of banks in the market is more than three, a no-merger scenario is never externally stable. Also, we consider the stability of the grand merger where all the banks merge. The result shows that the less differentiated the loans are, the more likely it is that the grand merger is stable. For the impact of the risk of early withdrawals, we show that a high degree of liquidity risk might weaken the stability of a grand merger, i.e., a merger of all banks in the industry, irrespective of the degree of loan differentiation.In Chapter 4, we examine the effects of market structure and bank regulations (capital adequacy requirements and deposit insurance premium schemes) on bank decisions in presence of risk of loan repayment (credit risk). Then, we analyze how mergers affect the equilibrium decisions and profits of banks. It is shown that when a risk-based insurance premium is used, the equilibrium loan rates and probability of bank failures increase but profits decrease in the risk of loan repayment. On the other hand, when flat rate insurance premium is used, banks have incentives to take more risk because their profits increase in the credit risk. Moreover, a higher capital adequacy ratio decreases the probability of bankruptcy due to credit risk. Regarding the effects of merger, our analysis shows that mergers are not necessarily beneficial for merged banks. Indeed, it might result in lower profits and higher risk of bank failures for merged banks compared to their pre-merger scenario. On the other hand, non-merged banks benefit from a merger by earning higher profits and lower risk of bank failures compared to the pre-merger scenario. / L'objectif de cette thèse est d'analyser le comportement des banques assujetties aux risques de manque de liquidités et de crédit lors d'une prise de décision, et de déterminer l'impact de la structure du marché (compétition et fusions) sur ce comportement. L'approche de cette thèse se distingue de celles d'autres études en ce que nous analysons de façon explicite les effets de liquidités et les risque qu'ils comportent pour les décisions et les profits des banques. Cette thèse se divise en deux parties. La première se concentre sur les effets de risques de liquidités sur les décisions et les profits des banques (voir Chapitres 2 et 3), tandis que la deuxième se concentre sur les effets du risque de crédit et de la réglementation des banques.L'objectif principal du Chapitre 2 est de montrer jusqu'à quel point l'incertitude concernant des retraits précipités par les déposants peut influencer le comportement des banques. Nous examinons un modèle composé de fusions horizontales dans le contexte du secteur bancaire basé sur la théorie des inventaires. Les banques se font concurrence en offrant des prix différenciés et font face à un risque de manque de liquidités. Leur but est d'allouer de façon optimale leurs dépôts entre prêts et réserves afin de maximiser leurs profits anticipés. Nous étudions comment le taux d'intérêt des prêts octroyés et les réserves de chaque banque à l'équilibre sont influencés par le risque de retraits de dépôts précipités. On obtient un résultat intéressant lorsque le risque de liquidité est relativement élevé: les réserves peuvent diminuer lorsque le risque de retraits précipités augmente. Lors d'une fusion, le taux d'intérêt payé par les clients et les profits générés par chaque banque augmentent. Le risque de retraits précipités est aussi un facteur clé qui détermine la profitabilité des fusions. Finalement, les fusions ont tendance à diminuer les réserves totales, ce qui pourrait augmenter les manques de liquidités dans le système bancaire.L'analyse dans le chapitre 3 se concentre sur l'impact du risque de liquidité. L'objectif de ce chapitre est d'investiguer la stabilité des fusions bancaires au biais de la définition d'un cartel stable tel que défini par d'Aspremont et al. (1983). Nos résultats montrent qu'à condition d'avoir plus de trois banques, un scénario sans fusion n'est jamais stable car la fusion entre deux banques est toujours profitable. De plus, nous prenons en considération la stabilité d'une grande fusion où chaque banque participe à la fusion. Nos résultats indiquent que moins les prêts sont différenciés, plus il est probable que la grande fusion soit stable. Nous montrons qu'un degré élevé de risque de liquidité diminue la stabilité d'une grande fusion c'est-à-dire une fusion entre toutes les banques.Dans le quatrième chapitre, nous étudions les effets de la structure du marché et des règlementations des banques sur les décisions prises par les banques en présence du risque de crédit. Nous démontrons que lorsqu'une prime d'assurance basée sur le risque est utilisée, les taux d'intérêt à l'équilibre et les probabilités de faillites bancaires augmentent mais que les profits diminuent avec le risque de crédit. Par contre, lorsqu'il y a une prime d'assurance à taux fixe, cela incite les banques à prendre plus de risques étant donné que leurs profits augmentent avec le risque de crédit. Cependant, un ratio d'adéquation de fonds propres plus élevé diminue la probabilité de faillite. Concernant les effets de fusions, notre analyse démontre que celles-ci ne sont pas nécessairement avantageuses pour les banques déjà fusionnées. En effet, elles peuvent engendrer une baisse de profits et accroître le risque de faillite bancaire pour les banques fusionnées comparativement au scénario pré-fusion. D'autre part, les banques non fusionnées bénéficient d'une fusion en voyant leurs profits augmenter et courent un risque de faillite moins élevé en comparaison avec le scénario pré-fusion.

This thesis comprises of three essays. The first essay examines the performance of a discrete time reduced form no-arbitrage model with observable covariates in explaining the term structure of credit spreads. The default intensity is specified as a quadratic function of the covariates, ensuring that the intensity function is always positive. The model yields economically plausible results in terms of fit, sign of coefficients and statistical significance. We demonstrate that macroeconomic and firm-specific information can explain most of the variation in credit default swap (CDS) spreads over time and across firms, even with a parsimonious specification. We also investigate the importance of statistical assumptions for analyzing the effects of observable covariates. Our results suggest that although swap spreads are highly auto-correlated, the analysis of spread levels is very informative, and it is often difficult to discern the impact of observable covariates from difference regressions. In the second essay, we estimate a reduced form no-arbitrage stochastic recovery model using information from senior and subordinate credit default swaps. The simultaneous use of information from senior and subordinate credit default swaps allows for improved identification of the dynamics of the term-structure of recovery rates. We find that, on average, the term structure of expected recovery rates is downward sloping. However, an inversion takes place during bad economic times, during which it is upward sloping. Thus, during such periods, the market expects higher recoveries conditional on short-term survival. The inversion of the recovery term structure during economic downturns is more pronounced for firms in distressed industries. Overall, we provide strong empirical evidence for the cyclical nature of recovery. The third essay examines how local and global political risks affect industry return volatility. Our central premise is that some industries are more sensitive to political events than others. We find that industries that are more dependent on trade, contract enforcement, and labor exhibit greater return volatility when local political risks are higher. Volatility is also larger for labor-intensive industries under leftist governments. Political uncertainty in countries of trading partners of trade-dependent industries similarly results in greater volatility. Volatility decomposition results indicate that while systematic volatility is associated with domestic political uncertainty, global political risks translate into larger idiosyncratic volatility. / Cette thèse comporte trois essais. Le premier essai traite d'un modèle de forme réduite à temps discret et analyse sa capacité à expliquer la structure à terme des écarts de crédit. Les variables explicatives du modèle sont théoriquement motivées par un argument d'absence d'opportunité d'arbitrage (AOA). L'intensité de défaut y est une fonction quadratique des variables explicatives, ce qui assure la positivité. La variabilité expliquée, le signe des coefficients et la significativité statistique obtenus à l'aide de ce modèle sont économiquement vraisemblables. Nous démontrons que des données macroéconomiques et d'autres spécifiques à la firme peuvent expliquer une large part de la variation des écarts sur CDS à travers le temps et pour différentes firmes, le tout avec un modèle parcimonieux. Nous considérons aussi l'impact de certaines hypothèses statistiques sur l'analyse des variables explicatives. Nos résultats suggèrent que, malgré que les écarts de crédit soient fortement autocorrélés, le niveau des écarts est fort informatif; l'impact des variables explicatives est difficile à quantifier si on ne considère que les différences premières. Le deuxième essai porte sur l'estimation d'un modèle en forme réduite de recouvrement stochastique en AOA qui utilise l'information de CDS séniors et subordonnés. L'utilisation conjointe de ces données permet de mieux identifier la dynamique de la structure à terme des taux de recouvrement. En moyenne, la pente de la structure à terme ainsi obtenue est négative. Toutefois, lorsque les conditions économiques se détériorent, cette pente devient positive. Ainsi, durant ces périodes, le marché anticipe un meilleur recouvrement si une firme arrive à survivre à court terme. Cette inversion de la pente de la structure à terme est plus marquée pour les entreprises faisant partie d'un secteur d'activité en difficultés. En somme, nous démontrons clairement que le recouvrement a un caractère cyclique. Le troisième essai examine l'impact des risques politiques locaux et mondiaux sur la volatilité des rendements d'une industrie. Notre prémisse centrale est que certaines industries sont plus sensibles aux évènements politiques que d'autres. Nous démontrons que les industries qui dépendent plus fortement des échanges commerciaux, des contraintes contractuelles et de la main-d'œuvre présente des rendements plus volatiles lorsque les risques politiques locaux sont plus grands. L'incertitude politique à l'étranger, chez les partenaires commerciaux d'industries reposant fortement sur les échanges internationaux, se traduit aussi par une augmentation de la volatilité des rendements. En décomposant la volatilité, on constate que la composante systématique de la volatilité est associée avec l'incertitude politique locale, alors que la composante idiosyncratique dépend de l'incertitude à l'étranger.

This thesis comprises three essays on asset pricing on the stock and options markets. The first essay finds a positive relation between the slope of the volatility term structure and subsequent option returns. The second essay finds a negative relation between realized skewness, extracted from high-frequency data, and stock returns. The third essay finds a negative relation between price jumps of intraday data and future stock returns. / Cette thèse se compose de trois essais qui analysent l'évaluation d'actifs dans le marché boursier et le marché d'options. Le premier essai trouve une relation positive entre la pente de la surface de volatilité implicite et les rendements futurs des options. Le deuxième essai trouve une relation négative entre le coefficient de dissymétrie, calculé a partir des données intra-journalières, et les rendements des actions. Le troisième essai trouve une relation negative entre les sauts des prix intra-journaliers et les rendements futurs des actions.