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The impact of political risk on the volatility of stock returns: the case of Canada
This paper examines the impact of political risk in Canada on the volatility of stock returns. Our results suggest that political news associated with the possible separation of Quebec from CanadaExpand
Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors
We develop exact mean–variance efficiency tests of the market portfolio in the context of (conditional and unconditional) capital asset pricing models (CAPM), allowing for a wide class of possiblyExpand
Identification-Robust Estimation and Testing of the Zero-Beta CAPM
We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown, and (ii) building confidence intervals for the zero-beta rate. On observingExpand
Does tick size influence price discovery? Evidence from the Toronto Stock Exchange
We investigate the price discovery role of an exchange‐traded fund and the futures contract for the same market index. We find that the fund predicts the index in the subperiod after but not in theExpand
Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions
In this paper we propose a multivariate regression based assessment of the multifactor model first developed by Fama and French (1993). We study mean-variance efficiency and spanning, as well asExpand
Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models*
Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modele de regression lineaire multivarie (RLM). Les tests que nous developpons sont fonction des residusExpand
Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR). We focus on tests for serial dependence and ARCH effects with possibly non-GaussianExpand
Political Uncertainty and Stock Market Returns: Evidence from the 1995 Quebec Referendum
In this study, we investigate the short run effect of the 30 October 1995 Quebec referendum on the common stock returns of Quebec firms. Our results show that the uncertainty surrounding theExpand
Testing Black ’ s CAPM with possibly non-Gaussian errors : an exact identification-robust simulation-based approach ∗
In this paper we test the mean variance efficiency of the benchmark portfolio in the absence of a risk-free rate. We propose exact likelihood-based bound mean-variance efficiency tests of the marketExpand
Testing Black’s CAPM with possibly non-Gaussian errors: an exact simulation-based approach
In this paper we test the mean variance efficiency of the benchmark portfolio in the absence of a riskfree rate. We propose likelihood-based exact bound mean-variance efficiency tests of the marketExpand
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