Redouane Elkamhi

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  • Peter Christo¤ersen, Mathieu Fournier, Kris Jacobs, Yakov Amihud, Menachem Brenner, George Constantinides +17 others
  • 2013
Principal component analysis of equity options on Dow-Jones …rms reveals a strong factor structure. The …rst principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew, and 60% of the implied volatility term structure across equities. Furthermore, the …rst principal component has a 92%(More)
We explore how asymmetric information in financial markets affects outcomes in product markets. Difference-indifference tests around brokerage house merger/closure events (which increase asymmetric information through reductions in analyst coverage) indicate worse industry-adjusted sales growth for shocked firms than for their peers. Our results are(More)
We thank the anonymous referee for excellent comments and suggestions that have significantly improved the paper. We would also like to thank the Editor (Abstract In a model of dual agency problems where borrower-lender and bank-nonbank incentives may conflict, we predict a hockey stick relation between bank skin in the game and covenant tightness. As bank(More)
T his paper proposes a new methodology to infer investors' expectations about the speed of leverage adjustment implicit in the prices of credit instruments. On average, the credit markets imply a fairly rapid annual speed of adjustment of 26% toward a firm's predicted leverage. The speed varies considerably across partitions formed by the differential(More)
  • Art Durnev, Henrie B, Nick Bloom, Hitesh Doshi, Redouane Elkamhi, Brandon Fleming +8 others
  • 2010
We show that political uncertainty surrounding elections can affect how corporate investment responds to stock prices. In a large panel of elections around the world, investment is 40% less sensitive to stock prices during election years compared to non-election years. The decrease in investment-to-price sensitivity appears to be due to stock prices(More)
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