HOMMAGE À MINH CHAU TO

NUMÉRO SPÉCIAL PORTANT SUR LA FINANCE

INTRODUCTION

par Georges Dionne

ARTICLES ÉVALUÉS

DYNAMIC OPTIMAL FUTURES HEDGING WITH JUMP RISK AND STOCHASTIC INTEREST RATES

by Nabil Chahdoura, Minh Chau To and Pierre Laroche

DETERMINANTS OF UNDERWRITING FEES FOR DOMESTIC AND NON-DOMESTIC SEASONED EQUITY OFFERINGS BY CANADIAN CROSS-LISTED SHARES

by Lawrence Kryzanowski and Arturo Rubalcav

MOMENTUM ET VOLUME DE TRANSACTION SUR LE MARCHÉ BOURSIER CANADIEN

par Kodjovi G. Assoé, Suzy Champagne et Oumar Sy

LA GESTION CORPORATIVE DES RISQUES FINANCIERS : PRIMES DE RISQUE ET OPTION PANIER-ASIATIQUE

par Chakib Aabouche, Simon Lalancette et Frank Leclerc

DYNAMIC HEDGING UNDER TRANSACTION COSTS IS RISK FREE RETURN ATTAINABLE?

par Maher Yaghi         

Chroniques

FAITS D’ACTUALITÉ
par Rémi Moreau

CHRONIQUE ACTUARIELLE
par divers collaborateurs du Groupe-conseil Aon

CHRONIQUE DE DOCUMENTATION

par Rémi Moreau

GARANTIES PARTICULIÈRES

par Rémi Moreau

CHRONIQUE JURIDIQUE

par Rémi Moreau

DYNAMIC OPTIMAL FUTURES HEDGING WITH JUMP RISK AND STOCHASTIC INTEREST RATES

by Nabil Chahdoura, Minh Chau To and Pierre Laroche

In this paper, we derive dynamic optimal futures hedge ratios when the relative change in the spot price follows a Poisson jump-diffusion process, and when basis and marking-to-market create additional risks. We show that our hedge ratios could be more efficient than the regression hedge ratio, and those obtained by Chang, Chang and Fang (1996a, 1996b), either because of a different model specification, or because of a different process specification. We apply our model to the West Texas Intermediate crude oil contract quoted on the NYMEX, and we show that our hedge ratios are more efficient than the other ratios under the shorter hedging horizons.

DETERMINANTS OF UNDERWRITING FEES FOR DOMESTIC AND NON-DOMESTIC SEASONED EQUITY OFFERINGS BY CANADIAN CROSS-LISTED SHARES

by Lawrence Kryzanowski and Arturo Rubalcav

This paper examines whether the determinants of underwriter fees are the same for domestic and non-domestic seasoned equity offerings (SEOs) by Canadian shares cross-listed on the TSE and on the NYSE/AMEX and NASDAQ. The results indicate that gross proceeds, firm size, return volatility, relative size of the offering and the inclusion of an overallotment option are the determinants of fees for domestic SEOs. Firm size, number of underwriters, type of offering and U.S. listing venue are the determinants of underwriting fees for non-domestic SEOs. After controlling for differences in other relevant fee determinants, underwriter fees are significantly higher for non-domestic compared to domestic SEOs, and for non-domestic SEOs for Canadian shares cross-listed on the NASDAQ compared to those cross-listed on the NYSE/AMEX. These results suggest that the Canadian and the U.S. investment banking markets are not integrated in the sense of sharing underwriting cost functions with an identical set of determinants.

MOMENTUM ET VOLUME DE TRANSACTION SUR LE MARCHÉ BOURSIER CANADIEN

par Kodjovi G. Assoé, Suzy Champagne et Oumar Sy

Using various valuation models, this study investigates the performance of price momentum strategies and volume-based momentum strategies in the Canadian stock market. Unlike Lee and Swaminathan (2000) in the U.S. stock market, it shows that accounting for past trading volume has an insignificant impact on the performance of momentum strategies in the Canadian stock market. However, the price momentum portfolios and the volume-based momentum portfolios exhibit abnormal returns that cannot be fully explained either by their market risk, size risk and financial distress risk exposures, or by the time variation in risk premiums.

LA GESTION CORPORATIVE DES RISQUES FINANCIERS : PRIMES DE RISQUE ET OPTION PANIER-ASIATIQUE

par Chakib Aabouche, Simon Lalancette et Frank Leclerc

This study proposes an integrated financial risk management approach for corporations, based on the existence of risk premia on financial markets. The empirical characteristics of those premia are captured in optimization problems cast in an expected gain-risk framework which generates a collection of optimal linear and nonlinear hedging solutions. Option hedging is performed by means of an Asian basket option which integrates through time and asset categories the risk exposures. An historical simulation is implemented to assess the empirical hedging performance of the Asian basket option in comparison to a portfolio of European options.

DYNAMIC HEDGING UNDER TRANSACTION COSTS IS RISK FREE RETURN ATTAINABLE?

par Maher Yaghi

This article presents an introduction to dynamic hedging with a description of the different methods already used to implement a discrete hedging program. Two very distinct approaches have been taken in the pursuit of dynamic hedging under transaction costs: Local in time and Global in time. In the first approach, the hedge timing strategy is fixed exogenously or the risk taken is fixed exogenously. The second approach proposes to achieve an element of optimality under the utility maximization approach. In the first section of the article, we will discuss the background into dynamic hedging. The second section will elaborate on the different methods that have been proposed so far and in the final section some concluding remarks are discussed.