How do R&D investments impact stock return? / Josselin DREAN / 2022

Titre : How do R&D investments impact stock return? Type de document : Mémoire Auteurs : Josselin DREAN, Auteur Année de publication : 2022 Importance : 33 p. Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec cotre compte Office 365 via le bouton CONNEXION en haut de la page. Langues : Anglais (eng) Mots-clés : Management RECHERCHE ET DEVELOPPEMENT ; ACTION Résumé : The price of a share changes over time according to investors' expectations. To predict pricevariations on the markets, the investors try to anticipate the future value of the company andobserve the capabilities the company has, to perform in the long run. In this way, one of the keys available to the company to remain competitive is R&D spendings, aimed at innovation(coming back to Schumpeter’s theory). Therefore, if R&D investments impact the company’s growth prospects, and if these growth prospects impact the stock return, the importance of company R&D investments’ influence on its stock return is being questioned. We will therefore observe how R&D investments, and more particularly R&D intensity, influence the stock return. we will first review the literature, which develops the idea that two phenomena participate in explaining the R&D anomaly. These two phenomena are the risk investors bear while supporting R&D spendings, and the mispricing phenomenon resulting from mistakes noise traders do on the markets. Then, we will see how the impact of R&D over the Stock Return can vary following company’s size, nationality, and sector. Finally, we will develop the great importance of investors’ behavioural factors in linking R&D spendings and a positive stock return Programme : PGE-Reims Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=571575

Between Private Equity, Risk-free Investment, and Traditional Stocks, What Have We Learned from SPACs, and Who Are They Best For? Literature review on the growing SPAC phenomenon / Thomas ETIENNE / 2021

Titre : Between Private Equity, Risk-free Investment, and Traditional Stocks, What Have We Learned from SPACs, and Who Are They Best For? Literature review on the growing SPAC phenomenon Type de document : Mémoire Auteurs : Thomas ETIENNE, Auteur Année de publication : 2021 Importance : 29 p. Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec votre compte Office 365 via le bouton CONNEXION en haut de page. Langues : Anglais (eng) Mots-clés : Management ACTION ; CAPITAL INVESTISSEMENT ; RISQUE Résumé : Between Private Equity, Risk-free Investment, and Traditional Stocks, What Have We Learned from SPACs and Who Are They Best For? Special Purpose Acquisition Companies (SPACs) have been around for years. They have known different phases and faced different market conditions. SPACs, often r eferred to as “blank check companies”, “development stage companies”, “or “shell companies” (V. M. Jog & Sun, 2007) are founded by one or several skilled managers who have acquired a positive reputation with investors. With a life span of two years, SPACs raise money through an IPO and then are given eighteen months to identify a private com pany and complete an acquisition, thereby taking it public. Known as an alternative and cheaper way to go public, SPACs IPOs have recently surged dramatically. The recent and sudden gain in popularity of SPACs has raised questions about the sustainability of the phenomenon. Are SPACs’ risks underestimated? Who benefits from these IPOs? What type of investors has been investing in SPACs? Are shell companies appropriately regulated? Is it a local or worldwide phenomenon? These are some of the questions that one could ask when considering these trendy companies. Although these investment vehicles have existed for decades, the literature on the subject is rather scarce. In this literature review, we will identify what research has been conducted on SPACs, what we know so far about them, and attempt to identify new horizons and questions that remain unanswered to date. Programme : MSc Finance, Investment & Wealth Management Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=538605

Can a stock split be used to generate abnormal returns and does it lead to a higher performance? Focus on financial services industry / Omar LAMZOURI / 2021

Titre : Can a stock split be used to generate abnormal returns and does it lead to a higher performance? Focus on financial services industry Type de document : Mémoire Auteurs : Omar LAMZOURI, Auteur Année de publication : 2021 Importance : 39 p. Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec votre compte Office 365 via le bouton CONNEXION en haut de page. Langues : Anglais (eng) Mots-clés : Management ACTION ; PRIX ; EFFICACITE ; FINANCE DE MARCHE ; CAPITALISATION BOURSIERE Résumé : We find it amazing to wonder about how really markets are functioning, whether they are reliable or not and whether they really reflect the true value of a company. These basic questions led us to think of a situation where the Efficient Markets Hypothesis can be empirically tested. We found some impressive financial events that are called stock splits and stock dividends. While those events do not generate any added value, their effect on the market value of a stock is subject to discussion. We believe that by studying how a stock reacts to the split we would be able to end up with a conclusion on this subject. Furthermore, we were wondering whether a stock split truly reflects a company’s ability to generate higher future performance, and if price changes are just investors’ reaction to the signal about an increasing performance of the firm. We also wanted to highlight the fact that stock splits have always been a subject of interest for finance academics, and in many ways. Some researchers were interested in analyzing market prices reaction after the split event, while others were more interested by the volatility of the stock. We also found many papers that tried to understand the reasons behind the stock’s behavior after the split. Explanations varied so largely, sometimes academics referred to market’s efficiency, investors reactions or even the dividends policy of the company, while some others explained it by the company’s characteristics, signaling theory or the way the split was announced. This rich and diversified theoretical background encouraged us to seek a sort of “Theory of everything” in the stock split area, and to try to explain splits by the most relevant and logical ideas. We will also focus on understanding a company’s performance after it has made a split. Since many believe that a split announcement is generally a sign of higher performance expectations, we will test this hypothesis and see whether the company truly perform better after the split. It’s quite relevant to this research because to our knowledge no other paper have treated this subject exactly with the same metrics that we are going to use. Another point worth mentioning is that we are trying to see whether a stock investor could benefit from the split by buying the stock at the announcement and selling it later. Programme : MSc Corporate Finance Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=538626

Learning by filtering : a stock price forecasting competition using state-space models / Camilo VELASCO FRANCO / 2021

Titre : Learning by filtering : a stock price forecasting competition using state-space models Type de document : Mémoire Auteurs : Camilo VELASCO FRANCO, Auteur Année de publication : 2021 Importance : 57 p. Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec votre compte Office 365 via le bouton CONNEXION en haut de page. Langues : Anglais (eng) Mots-clés : Management ACTION ; COMPETITIVITE ; PREVISION ; PRIX Résumé : Forecasting competitions draw the attention of both researchers and professionals. In fact, they have proven their pertinence by challenging different methods with multiple time series from a wide range of sectors and different frequencies, unveiling the capability of such methods to anticipate the movements of the studied time series. There have been controversies on whether these applications provide beneficial results or not, but what is true is that these competitions have played an essential role in the developments made in the predictive data science field. In this research, a forecasting competition is proposed exclusively using around 1 697 time series from stocks of 11 world indices since 2007. The competitors are known benchmarks such as the naïve method, but also proprietary methods developed by Prof. Giacomo Sbrana and other widely known ones, most of which were presented using a state space representation in the MSOE world applying the Kalman Filters. The results of this competition show, in a general and detailed way, the performance of the different methods and specific information on which method is best fitted for predicting specific asset prices. Moreover, the competition provides the accuracy of predicting single prices and the accuracy of predicting the direction. This information could be handy in the investment process. In conclusion, there is proof that competitions provide exciting and valuable results suggesting that assets behave differently. Thus their price movements can be anticipated by applying methods that are not necessarily the conventional ones Programme : MS Analyse Financière Internationale (ft)- Reims Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=539126

Options, futures et autres actifs dérivés / John C. HULL / Pearson (2021)  

Titre : Options, futures et autres actifs dérivés Type de document : e-book Auteurs : John C. HULL Mention d'édition : 11e éd. Editeur : Pearson Année de publication : 2021 Importance : 906 p. ISBN/ISSN/EAN : 978-2-326-05869-9 Langues : Français (fre) Mots-clés : Management ACTION ; MARCHE FINANCIER ; OPTION ; PRIX ; RISQUE DE CREDIT ; STOCK OPTION ; SWAP ; TAUX D'INTERET Résumé : Cet ouvrage traite des actifs dérivés : contrats à terme, options, futures, swaps, etc. offre de nombreux développements sur Bâle III, le modèle variance-gamma, les ajustements de convexité des contrats futures Eurodollar, les modèles de copula et les stock-options. Il intègre une cinquantaine d'encadrés analysant des pratiques ou des cas d'entreprise. Et plus de 700 mises en situation sous forme de problèmes et exercices pour s'entraîner ou de questions d'approfondissement. Actualisée et enrichie, cette 10e édition se distingue notamment par : un nouveau chapitre (chapitre 9) sur les ajustements de valeur tels que le CVA, le DVA, le FVA, le MVA et le KVA ; la mise à jour du chapitre 7 afin de prendre en compte les changements de pratique par rapport aux swaps ; de nouveaux éléments sur les CCP et la régulation des marchés de gré à gré ; un développement sur les modèles d'équilibre de la structure par termes ; l'évocation des taux d'intérêt négatifs dans l'ensemble de l'ouvrage. Nombre d'accès : 10 En ligne : https://neoma-bs.idm.oclc.org/login?url=https://bc.vitalsource.com/tenants/neoma [...] Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=485585

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