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Les strategies de "Stop Loss" : Theorie et application au contrat notionnel du MATIF

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Author Info

  • Bensaid, B.
  • De Bandt, O.

Abstract

Pour expliquer l'existence de règles de «stop-loss» dans les institutions financières, nous développons un modèle principal-agent, où une firme d'investissement (le principal) doit faire appel à l'expertise d'un opérateur (l'agent) pour investir dans un actif risqué et sophistiqué (par exemple, un contrat à terme). Quand l'opérateur a une «responsabilité limitée», nous montrons que la firme d'investissement peut accroître ses gains en s'engageant à mettre en place des règles de «stop-loss», c'est-à-dire a liquider la position de l'opérateur quand ses résultats sont mauvais. En utilisant des données journalières sur les positions individuelles sur le Contrat Notionnel du Matif, nous trouvons certains éléments en faveur d'une des conclusions testables du modèle, à savoir que les positions sont plus souvent liquidées lorsque les pertes sont importantes. Il ressort de l'analyse empirique que plus de 20 % des comptes utilisent des stratégies de ce type.

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File URL: http://www.banque-france.fr/uploads/tx_bdfdocumentstravail/ner36.pdf
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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 36.

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Length: 31 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:bfr:banfra:36

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research

Keywords: Information ; Institutions financières;

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References

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  1. Sanford J. Grossman, 1989. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," NBER Working Papers 2357, National Bureau of Economic Research, Inc.
  2. Gerard Gennotte and Hayne Leland., 1989. "Market Liquidity, Hedging and Crashes," Research Program in Finance Working Papers RPF-192, University of California at Berkeley.
  3. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  4. Krugman, P. & Miller, M., 1992. "Why Have a Target Zone?," The Warwick Economics Research Paper Series (TWERPS) 394, University of Warwick, Department of Economics.
  5. Shefrin, Hersh & Statman, Meir, 1985. " The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 777-90, July.
  6. Shiller, 021Robert J. & Pound, John, 1989. "Survey evidence on diffusion of interest and information among investors," Journal of Economic Behavior & Organization, Elsevier, vol. 12(1), pages 47-66, August.
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Cited by:
  1. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, School of Economics and Management, University of Aarhus.
  2. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
  3. Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, vol. 58(5), pages 1791-1820, October.
  4. Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers 2007-02, Department of Economics, Williams College.
  5. Carol L. Osler, 2001. "Currency orders and exchange-rate dynamics: explaining the success of technical analysis," Staff Reports 125, Federal Reserve Bank of New York.

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