Robert Joliet

• Ph.D. in Economics and Management
• Managing Director at IÉSEG School of Management

The radical restructuring of the German utility giants RWE and E.ON in the wake of Germany's shift to renewable energy motivates the need of a formal model of corporate social responsible (CSR) investment appraisal with environmental externalities. We offer in this paper a model that uses the tools of decision analysis to value the option to postpo...

This paper studies optimal equity portfolios with long-term horizon under heterogeneous risk aversion levels. We focus on European stocks and empirically show that contemporaneous excess returns of semi-active strategies are negatively associated with market conditions and sentiment. Consistent with our long-horizon perspective, we find that the ef...

We consider a two-period irreversible investment decision problem in which the firm can either invest in period 0 or in period 1. The firm is assumed to be able to specify a set of three scenarios or more but not a probability measure. Assuming the option to wait is valued with the no-arbitrage principle, when the firm makes use of the criteria α-m...

We provide a detailed holdings-based analysis of investment decisions made by U.S. equity SRI funds. Besides incorporating conventional fundamental factors, such as earnings growth, leverage, dividend yield, stock return and volatility, SRI funds adjust portfolio weights by considering companies’ relative ESG performance. This holds for all categor...

In this paper, we derive a cost-minimizing approach for governments in the eurozone that have to define their debt structure in terms of currency of issuance and maturity. We introduce and characterize the concept of weighted coalitional α-equilibrium to assure stability of two tiers of the eurozone, the stronger (White) countries and the weaker (Y...

Based on a broad set of stocks traded in emerging markets in Asia from 2000 to 2012, we document that commonality in liquidity is generally greater for stocks with greater synchronicity or less firm-specific information content. Nevertheless, our results further show that such relationship is not strictly linear. Such nonlinearity depends on supply...

Through a cost-minimizing approach, this paper derives joint indicators to assess the efficiency of the mix of sovereign debt currencies between the countries belonging to the European Monetary Union (EMU). This theoretical insight enables us to explain why and how the introduction of the euro and the adoption of a common monetary policy may have l...

Résumé Suite à l’adoption d’un programme de soutien de la liquidité par la bourse de Varsovie en juin 2008, cet article examine la sensibilité de la liquidité du marché aux signaux financiers émis par les entreprises dans leur communication avec les investisseurs. Plus spécifiquement, cet article se focalise sur les déterminants financiers de la li...

In this paper, we examine the opportunity to create a Central Agency of European Debt (CAED) to improve the coordination between the issuances of sovereign debt in the EMU, by allowing the Agency to issue euro - bonds and determine the optimal proportion of foreign currency denominated debt and the corresponding maturity at the EMU level. We argue...

Following the adoption of a liquidity support programme by the Warsaw Stock Exchange in June 2008, this paper investigates the corporate financial signals on which firms can rely in their communication to investors to enhance the liquidity of their securities in the market. More specifically, this paper takes a new look at the corporate determinant...

The author emphasizes that multinational firms from East-Asian markets report significant aggregate currency exposures to both the home currency - U.S. dollar real exchange rate and the U.S. dollar real effective value. Moreover, by identifying cash flow exposures, the short-term unlevered and financing cash-flow exposure, in addition to the standa...

This study examines whether foreign region- and country-specific performance disclosures relate differentially to shareholder wealth compared to domestic performance disclosures. Bearing in mind the fact that, in previous literature, empirical findings regarding the value-relevance of geographic performance disparities have been surprisingly confli...

This study uses Hines' (1996) dividend process model to test the effect of domestic versus foreign profitability shocks on firms' dividend payout policy. Investigating an international sample of 283 companies from Europe, Australia, New-Zealand, the U.S.A. and Canada, we find that increases in some foreign market earnings stimulate higher cash dist...

This paper analyzes the impact of corporate international diversification (CID) on domestic and world betas through the notion of psychic distance between countries. Using a large European sample of 598 firms, our findings indicate that this dimension significantly influences corporate risk exposure. By isolating three additive components of the Fo...

This paper investigates the cross-sectional evolution of corporate financial leverage and debt structure, as well as the evolution of cross-sectional averages of variables generally associated with capital structure, consecutive to investments into new geographical areas. By taking into account the firm's internationalization experience and the cou...

In this paper, we find that multinational firms from countries pegging or somehow nominally adjusting their home currency to the U.S. dollar report many significant aggregate currency exposures to both the home currency-U.S. dollar exchange rate and the U.S. dollar real effective value. In addition, by identifying three exposures, the short-term un...

We analyze the association of operating country profitability with stock returns on a large sample of Australasian, European and North American multinationals. Our evidence suggests that it heavily depends on investors' expectations of operating regions, which are not totally met. Investors in non-dividend paying stocks comparatively seem to be sen...

The benefits of corporate international diversification on stock prices are ana-lyzed through the notion of psychic distance between countries. Our findings on a European sample indicate that this dimension significantly influences corporate risk exposure. In the Materials sector, domestic and international betas decrease as firms operate among psy...

This study aims at characterizing the bene…ts of corporate international di-versi…cation on stock values by introducing the notion of psychic distance in the analysis. In order to capture this crucial dimension, we construct a new internationalization index. Our …ndings display evidence that this dimen-sion signi…cantly inuences international expos...