Mikael Petitjean

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The predictability of stock returns in ten countries is assessed taking into account recently developed out-of-sample statistical tests and risk-adjusted metrics. Predictive variables include both valuation ratios and interest rate variables. Out-of-sample predictive power is found to be greatest for the short-term and long-term interest rate variables.(More)
The aggression of erythrocytes by an oxidative stress induces hemolysis. This paper aims to valid a model of erythrocytes in terms of composition of the phosphate buffer solution and of concentration of a well-known oxidant, AAPH. Three compositions of phosphate buffer solution are mixed with three concentrations of oxidant. The influence of these two(More)
Liquidity co-movements are studied within three different market capitalization indices, each made up of 100 NYSE stocks. To condition the analysis of liquidity comovements upon index volatility, three regimes of volatility are defined using the Markovswitching methodology. Our results shows that volatility bears on liquidity co-movements in a subtle way.(More)
The Bond-Equity Yield Ratio (BEYR) has recently become a popular relative pricing tool favored by market practitioners. In this paper we compare the short-term profitability of a naive strategy based on the extreme values of the BEYR to the short-term profitability of a more sophisticated strategy relying on regime switches. Although the latter seems to(More)
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