1,720,973 research outputs found
Les rachats d'actions par émission d'options de vente négociables en Suisse
Get PDFCe travail s’intéresse aux rachats d’actions par des sociétés suisses qui distribuent à leurs actionnaires des options de vente (option put) gratuites et négociables (Transferable Put Rights). A l’issue de recherches sur les autres marchés, il apparaît que cette procédure de rachat est aujourd’hui une particularité du marché helvétique.Une étude des programmes de rachat de 13 entreprises entre 1993 et 2004 a permis de mettre en évidence que le volume total d’échange des options peut être décrit par une relation linéaire avec la volatilité du titre sous-jacent, sa rentabilité moyenne et la prime de rachat. Les coefficients sont positifs pour les trois. Les volumes quotidiens de l’option sont par contre plus difficilement explicables. A partir de données résumant l’activité journalière de chaque titre et de chaque option put, il est possible de montrer que l’écart entre la valeur intrinsèque et le prix de l’option, connu sous le nom de valeur-temps, dépend fortement des caractéristiques propres aux titres sous-jacents. A titre d’exemple, le programme de rachat de l’entreprise EMS-Chemie a été étudié de façon détaillée. Le prix de son option peut être reproduit relativement bien par une relation linéaire avec le prix du titre sous-jacent. L’application du modèle de Black et Scholes indique un écart de 2.1% entre le cours de l’option théorique et le cours observé, montant pouvant correspondre aux frais de transaction prélevés par les intermédiaires financiers suisses. La décroissance parabolique de la valeur-temps avec le temps, prédite par la théorie, n’est pas observée dans le cas EMS. L’analyse des volumes indique que plus de la moitié des transactions sur les options est réalisée sur des volumes inférieurs ou égaux à 500 put par transaction.L’étude d’événement à court terme, utilisant la méthode de Fama, Fisher, Jensen et Roll (1969), a mis en évidence une rentabilité anormale (moyenne cumulée) significative sur les deux jours avant et les deux jours après l’annonce, s’élevant à + 4.7%. Ces résultats sont très proches de ceux obtenus par Isakov, Dumont et Pérignon (2004). Trois méthodes ont été utilisées pour calculer la rentabilité anormale à long terme et celles-ci aboutissent toutes à la même conclusion, à savoir que la performance des entreprises suisses, ayant racheté leurs actions avec une émission d’options de vente, ne présente aucune anomalie significative. Enfin, la comparaison des techniques d’analyse montre que la méthode de Fama, Fisher, Jensen et Roll (1969) diverge d’autant plus des deux autres méthodes que l’on s’éloigne de la date d’annonce. La procédure de calcul du Return Across Time and Securities Method de Ibbotson (1975) et celle des rentabilités anormales par achat-conservation (BHAR) sont, quant à elles, à peu de choses près équivalentes.IGMBusiness School (HEC) of the University of Geneva (Switzerland
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Is beta still alive? Conclusive evidence from the Swiss stock market
Get PDFRecent evidence by Fama and French (1992,1996) and others shows that betas and returns are not related empirically. They interpret this as evidence against the validity of the capital asset pricing model and they conclude that the beta is not a good measure of risk. This paper claims that usual tests do not leave much opportunity for beta to appear as a useful variable capable of explaining returns, because tests are often performed in periods where the average realised market excess return is not significantly different from zero. In order to assess the usefulness of beta, I propose an alternative approach that dissociates results obtained in period where the realised market excess is positive from those where it is negative. These new tests are then applied to a representative sample of the Swiss stock market over the period 1983-1991. The different results unambiguously support the fact that beta is a good measure of risk, because beta is strongly related to the cross section of realised returns. These results also confirm that there are no arbitrage opportunities on this marke
Tests du CAPM pour le marché des actions suisses
No full textCet article teste la validité du Capital Asset Pricing Model pour le marché des actions suisses sur une période allant de 1973 à 1991. Deux versions du modèle sont examinées: le modèle inconditionnel et conditionnel. Le test de la version inconditionnelle du CAPM donne des résultats défavorables au modèle. La version conditionnelle est testée en faisant l'hypothèse que les rentabilités présentent de l'hétéroscédastcité conditionnelle du type GARCH. Malgré cet effort de modélisation, le CAPM conditionnel n'est pas vérifi
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
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