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Les stratégies 'stop-loss' : théorie et application au Contrat Notionnel du Matif

Author

Listed:
  • Bernard Bensaid
  • Olivier De Bandt

Abstract

To explain the existence of "stop-loss" rules in financial institutions, we develop a principal/agent model, where an investment firm relies on a trader to invest in a risky asset like a future contract. When the trader faces a limited liability constraint, the investment firm may increase its gains by committing to force the trader to liquidate the position when very low results are observed. The empirical analysis of the daily positions on the French Treasury bond future market confirms such a conclusion for 20% of individual accounts.

Suggested Citation

  • Bernard Bensaid & Olivier De Bandt, 2000. "Les stratégies 'stop-loss' : théorie et application au Contrat Notionnel du Matif," Annals of Economics and Statistics, GENES, issue 58, pages 21-56.
    • Handle: RePEc:adr:anecst:y:2000:i:58:p:21-56
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    File URL: http://www.jstor.org/stable/20076227
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    Cited by:

    1. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    2. 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.
    3. John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-rate Dynamics: Theory And Evidence," Working Papers 39, Brandeis University, Department of Economics and International Business School.
    4. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
    5. 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.
    6. repec:bla:jfinan:v:58:y:2003:i:5:p:1791-1820 is not listed on IDEAS

    More about this item

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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