Aller au contenu principal
A propos d'HEC A propos d'HEC Faculté et Recherche Faculté et Recherche Grande Ecole
& Masters Grande Ecole
& Masters
Programmes MBA Programmes MBA Programme PhD Programme PhD Executive Education Executive Education Summer School Summer School HEC Online HEC Online
A propos d'HEC En bref En bref Qui sommes-nous ? Qui sommes-nous ? Egalité des chances Egalité des chances Centre Carrières Centre Carrières International International Vie du campus Vie du campus Stories Stories Fondation HEC Fondation HEC Faculté et Recherche À propos À propos Corps professoral Corps professoral Départements Départements Centres Centres Chaires Chaires Knowledge Knowledge Grande Ecole
& Masters
Programme
Grande Ecole Programme
Grande Ecole
MSc International
Finance MSc International
Finance
MS et MSc MS et MSc Programmes
X-HEC Programmes
X-HEC
Doubles Diplômes
en Admission directe Doubles Diplômes
en Admission directe
Visiting students Visiting students Certificats Certificats Vie
Etudiante Vie
Etudiante
Programmes MBA MBA MBA EMBA EMBA TRIUM EMBA TRIUM EMBA Programme PhD Overview Overview HEC Difference HEC Difference Program details Program details Research areas Research areas HEC Community HEC Community Placement Placement Job Market Job Market Admissions Admissions Financing Financing Executive Education Executive Mastères Executive Mastères Certificats Executive Certificats Executive Programmes courts Executive Programmes courts Executive Online Online Executive MBA Executive MBA Formez vos équipes Formez vos équipes Summer School Youth Leadership Initiative Youth Leadership Initiative Summer programs Summer programs Admissions Admissions FAQ FAQ HEC Online En bref En bref Programme diplômant Programme diplômant Certificats Executive Certificats Executive MOOCs MOOCs
Faculté et Recherche

Asset Pricing with Heterogeneous Intermediaries

18 déc
2018
14H00
Jouy-en-Josas
Anglais

Participer

Ajouter au calendrier
2018-12-18T14:00:00 2018-12-18T15:15:00 Asset Pricing with Heterogeneous Intermediaries   Accounting and Management Control Speaker : François Geerolf  UCLA HEC Campus - Buil. T - Room T004 Jouy-en-Josas

Economie et Sciences de la décision

Intervenant : François Geerolf 
UCLA

HEC Campus - Bât.T - Salle T004

 

I propose an asset pricing model based on heterogeneity and scarcity of financial expertise. This corporate-finance view of asset pricing has several predictions in common with intermediary-based asset pricing, but also has several distinguishing features. First, the model microfounds intermediaries’ technologies explicitly, in line with textbook models of corporate finance and financial frictions; it applies even if intermediaries are risk neutral. Second, expected returns do not just correlate with intermediaries’ wealth, but also with borrowers’ wealth, intermediaries’ heterogeneity and borrowers’ heterogeneity. Third, identical securities in the sense of Arrow-Debreu may have different prices, opening arbitrage opportunities from the econometrician’s point of view. Applications of the model to different market settings where financial expertise is key are then discussed: private equity, venture capital, syndicated loans, mutual funds. Finally, the theory is related to earlier evidence previously put forward in favor of intermediary-based asset pricing.

Participer

Ajouter au calendrier
2018-12-18T14:00:00 2018-12-18T15:15:00 Asset Pricing with Heterogeneous Intermediaries   Accounting and Management Control Speaker : François Geerolf  UCLA HEC Campus - Buil. T - Room T004 Jouy-en-Josas