La production résidentielle comme levier de la régénération urbaine à Bruxelles

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ACKNOWLEDGMENTS .......................................................................................................................... I
TABLE OF CONTENTS ........................................................................................................................ III
TABLE OF FIGURES AND TABLES ................................................................................................. VII
INTRODUCTION ..................................................................................................................................... 1
1 CONSTRAINED INVESTORS AND THE COST OF CAPITAL ............................................... 9
1.1 LITERATURE .................................................................................................................................. 9
1.2 CONVENTIONS .............................................................................................................................. 10
1.3 NOTATIONS .................................................................................................................................. 11
1.4 TERMINOLOGY .............................................................................................................................. 12
1.5 ASSUMPTIONS ............................................................................................................................... 13
1.6 MODEL DEVELOPMENT AND MAIN RESULTS .................................................................................. 14
1.6.1 Unconstrained investors (benchmark case) ........................................................................ 14
1.6.1.1 Derivation of the optimal matrix of demanded quantities ............................................................ 14
1.6.1.2 Derivation of the equilibrium prices ............................................................................................. 16
1.6.1.3 Cost of capital ............................................................................................................................... 18
1.6.2 Constrained investors ......................................................................................................... 18
1.6.2.1 Derivation of the optimal matrix of demanded quantities ............................................................ 18
1.6.2.2 Derivation of the equilibrium prices ............................................................................................. 25
1.6.2.3 Derivation of the expected utility ................................................................................................. 26
1.6.2.4 Comments on the effects of the deviations ................................................................................... 29
1.6.3 Extension with a more realistic supply curve ..................................................................... 38
1.6.4 Addition of a short-selling constraint ................................................................................. 39
1.6.5 Does under-diversification really matter? .......................................................................... 42
1.6.5.1 General discussion ........................................................................................................................ 42
1.6.5.2 Relevancy of some empirical settings .......................................................................................... 43
2 EMPIRICAL ESTIMATION: S&P 500 MEMBERSHIP AND THE COST OF CAPITAL .. 47
2.1 INTRODUCTION ............................................................................................................................. 47
2.2 THEORETICAL BACKGROUND ........................................................................................................ 50
2.2.1 The « index effect » ............................................................................................................. 50
IV
2.2.2 Competing hypotheses ........................................................................................................ 53
2.2.2.1 Imperfect elasticity based hypotheses........................................................................................... 54
2.2.2.1.1 The Price Pressure Hypothesis ........................................................................................... 54
2.2.2.1.2 The Imperfect Substitutes and the Downward-Sloping Demand Curve Hypothesis .......... 56
2.2.2.2 Perfect elasticity based hypotheses ............................................................................................... 57
2.2.2.2.1 The Liquidity Cost Hypothesis .......................................................................................... 57
2.2.2.2.2 The Information Content Hypothesis ................................................................................. 58
2.2.2.2.3 The Market-Segmentation and Investor Recognition Hypothesis ...................................... 61
2.2.3 Contribution ....................................................................................................................... 63
2.2.3.1 Positioning of our theoretical model ............................................................................................. 63
2.2.3.1.1 Discussion about the elasticity of the demand curve .......................................................... 63
2.2.3.1.2 The link between the five hypotheses and our theoretical model ....................................... 66
2.2.3.2 Positioning of our empirical model .............................................................................................. 66
2.3 DATA ........................................................................................................................................... 69
2.3.1 Data sample ........................................................................................................................ 69
2.3.2 Variables definition ............................................................................................................ 73
2.4 ECONOMETRIC SPECIFICATION ..................................................................................................... 80
2.4.1 Morck and Yang cross-sectional regression ....................................................................... 80
2.4.2 Pooled OLS regression ....................................................................................................... 83
2.4.3 Endogeneity and self-selection ........................................................................................... 87
2.4.3.1 Fixed-effect panel estimation ....................................................................................................... 88
2.4.3.2 Instrumental variables estimation ................................................................................................. 88
2.4.3.3 Self-selection estimation .............................................................................................................. 89
2.5 RESULTS ...................................................................................................................................... 93
2.5.1 Morck and Yang cross-sectional regression ....................................................................... 93
2.5.2 Pooled OLS regression ....................................................................................................... 96
2.5.3 Fixed-effect panel estimation ............................................................................................ 100
2.5.4 Probit estimation .............................................................................................................. 101
2.5.5 Instrumental variables estimation .................................................................................... 103
2.5.6 Self-selection estimation ................................................................................................... 106
2.6 CONCLUSION .............................................................................................................................. 109
V
3 NEWS AND THE COST OF CAPITAL IN A UNIVERSE OF CONSTRAINED
INVESTORS .......................................................................................................................................... 113
3.1 INTRODUCTION ........................................................................................................................... 113
3.2 LITERATURE ............................................................................................................................... 115
3.3 CONVENTIONS, NOTATIONS AND ASSUMPTIONS .......................................................................... 116
3.4 MODEL DEVELOPMENT ............................................................................................................... 116
3.4.1 General setting ................................................................................................................. 116
3.4.2 Introduction of two simplifications ................................................................................... 117
3.4.2.1 Maximum one signal by asset .................................................................................................... 118
3.4.2.2 Two signals: micro (on asset j) and macro (on market M) ......................................................... 118
3.4.3 Determination of the unconditional distribution of prices ................................................ 121
3.4.4 Determination of the distribution of prices conditional to signals ................................... 123
3.4.4.1 Computation of the conditional expectation ............................................................................... 124
3.4.4.2 Computation of the conditional variance and covariance ........................................................... 126
3.4.5 Extension from one to several stock and market signals .................................................. 129
3.4.6 Link between micro and macro signals ............................................................................ 130
3.4.7 Final pricing equation ...................................................................................................... 132
3.5 INTERPRETATIONS ...................................................................................................................... 134
3.5.1 Impact of micro information on the cost of capital ........................................................... 134
3.5.2 Impact of macro information on the cost of capital .......................................................... 142
3.5.3 Impact of the unconditional variance of firm j on the cost of capital ............................... 145
3.5.4 Impact of the unconditional variance of the market on the cost of capital ....................... 146
3.5.5 Impact of the unconditional correlation on the cost of capital ......................................... 146
3.6 CONCLUSION .............................................................................................................................. 146
4 EMPIRICAL ESTIMATION OF THE IMPACT OF PUBLIC INFORMATION ON THE
CONDITIONAL VOLATILITY OF STOCK RETURNS ................................................................. 149
4.1 THE FRENCH CASE ...................................................................................................................... 149
4.1.1 Introduction ...................................................................................................................... 149
4.1.2 Information and conditional volatility .............................................................................. 153
4.1.2.1 Modeling the conditional volatility ............................................................................................ 153
4.1.2.2 News arrivals and market reactions ............................................................................................ 155
VI
4.1.3 Sample selection ............................................................................................................... 156
4.1.4 Model specification........................................................................................................... 171
4.1.4.1 The GARCH model .................................................................................................................... 171
4.1.4.2 The two-state market model (TSMM) ........................................................................................ 173
4.1.5 Results .............................................................................................................................. 176
4.1.5.1 GARCH framework.................................................................................................................... 176
4.1.5.2 MSR framework: the two-state market model (TSMM). ............................................................ 181
4.1.5.2.1 “Firm by firm” analysis.................................................................................................... 185
4.1.5.2.1.1 Probit regression: the dependent variable is a dummy ............................................... 185
4.1.5.2.1.2 GMM regression: the dependent variable is the smooth probability itself ................. 189
4.1.5.2.2 Panel data analysis ........................................................................................................... 192
4.1.5.2.3 Analysis refinement: categorization by topic and by timing ............................................ 195
4.1.5.3 Informational content and asymmetry issues .............................................................................. 200
4.1.6 Conclusion ........................................................................................................................ 205
4.2 THE US CASE .............................................................................................................................. 207
4.2.1 Sample Selection ............................................................................................................... 207
4.2.2 Model Specification .......................................................................................................... 222
4.2.3 Results .............................................................................................................................. 222
4.2.3.1 GARCH framework.................................................................................................................... 222
4.2.3.2 MSR framework ......................................................................................................................... 222
4.2.3.2.1 Panel data analysis with the smooth probability .............................................................. 222
4.2.3.2.1.1 Global analysis ........................................................................................................... 222
4.2.3.2.1.2 Introduction of a time effect ....................................................................................... 227
4.2.3.2.1.3 Analysis by category .................................................................................................. 230
4.2.3.2.1.3.1 Categorization by topic ...................................................................................... 230
4.2.3.2.1.3.2 Categorization by timing .................................................................................... 233
4.2.3.2.2 Cross-sectional data analysis with the transition probability ........................................... 234
4.2.4 Conclusion ........................................................................................................................ 236
CONCLUSION ...................................................................................................................................... 239
REFERENCES ...................................................................................................................................... 242
APPENDIX A ........................................................................................................................................ 252
APPENDIX B ......................................................................................................................................... 262
VII
Table of Figures and Tables
Figure 1-1: Impact of the deviation on the equilibrium price and quantities ..................................... 23
Figure 1-2: Impact of the deviation on the equilibrium with a partially elastic supply ..................... 39
Figure 2-1: Impact of a positive deviation on the equilibrium with a partially inelastic demand ..... 64
Figure 2-2: Impact of a positive deviation on the equilibrium with a perfectly elastic demand ........ 64
Figure 2-3: Evolution of the t-stats of the Membership Dummy and the Index Weight over Time .. 95
Figure 3-1: The risk component as a function of deviations and signaling ....................................... 136
Figure 4-1: Daily number of news releases on the French market from Jan. 1999 to Dec. 2003 ..... 158
Figure 4-2: Weekly number of news releases on the French market from Jan. 1999 to Dec. 2003 . 159
Figure 4-3: Total news releases average by day of the week on the French market ......................... 160
Figure 4-4: Total number of news releases by company on the French market ............................... 166
Figure 4-5: Total number of news releases by industry on the French market ................................ 167
Figure 4-6: Total number of news releases by subject on the French market .................................. 168
Figure 4-7: Comparison of the volatility with the level of communication for Vivendi ................... 184
Figure 4-8: Coefficients of various regressions with different subsets of news releases ................... 198
Figure 4-9: Daily number of news releases on the US market from Nov. 1995 to Dec. 2005 ........... 209
Figure 4-10: Weekly number of news releases on the US market from Nov. 1995 to Dec. 2005 ..... 210
Figure 4-11: Total news releases average by day of the week on the US market .............................. 211
Figure 4-12: Total news releases average by hour of the day in New-York on the US market ....... 212
Figure 4-13: Total number of news releases by company on the US market .................................... 217
Figure 4-14: Total number of news releases by industry on the US market ..................................... 218
Figure 4-15: Total number of news releases by subject on the US market ....................................... 219
Table 2-1: Summary of the theoretical reasoning underlying the competing hypotheses .................. 68
Table 2-2: Historical evolution of S&P 500 additions and deletions .................................................... 70
Table 2-3: Descriptives statistics ............................................................................................................. 71
Table 2-4: Summary of the underlying empirical implications of the competing hypotheses ........... 92
Table 2-5: Cross-Sectional OLS Regression of Tobin’s Q on the S&P 500 Membership Dummy.... 93
Table 2-6: Cross-Sectional OLS Regression of Tobin’s Q On S&P 500 Index Weight ...................... 93
Table 2-7: How Regression Coefficients on the S&P Dummy (and Weight) Changed over Time .... 95
Table 2-8: Pooled OLS regression ........................................................................................................... 96
Table 2-9: Pooled OLS regression without SPxWeight ......................................................................... 99
Table 2-10: Fixed-effect panel estimation ............................................................................................. 100
Table 2-11: Probit estimation of SP on relevant variables .................................................................. 101
Table 2-12: Instrumental variables regression .................................................................................... 105
Table 2-13: Instrumental variables regression without SPxWeight_F .............................................. 105
Table 2-14: Self-selection estimation ..................................................................................................... 108
Table 2-15: Self-selection estimation without the dummy SP ............................................................. 108
VIII
Table 4-1: Factiva classification of companies (“CO” field) on the French market ......................... 161
Table 4-2: Factiva classification of industries (“IN” field).................................................................. 162
Table 4-3: Factiva classification of companies (“NS” field) ................................................................ 163
Table 4-4: Summary statistics on the French market ......................................................................... 169
Table 4-5: GARCH model ..................................................................................................................... 177
Table 4-6: Estimates of the Market Model (MM) and of the Two-State Market Model (TSMM) .. 182
Table 4-7: Probit regressions ................................................................................................................. 187
Table 4-8: GMM regressions ................................................................................................................. 190
Table 4-9: Panel data analysis ............................................................................................................... 194
Table 4-10: Panel data analysis for various types of news: categories are not mixed ...................... 197
Table 4-11: Panel data analysis for various types of news: categories are mixed together .............. 199
Table 4-12: Summary Statistics across volatility regimes on the French market ............................. 203
Table 4-13: Informational value and asymmetry issues ...................................................................... 204
Table 4-14: Factiva classification of 50 companies (“CO” field) on the US market ......................... 214
Table 4-15: Summary statistics on the US market .............................................................................. 220
Table 4-16: Panel fixed-effect regression of Prob on D ....................................................................... 224
Table 4-17: Panel fixed-effect regression of Prob on four dummies D(k) .......................................... 225
Table 4-18: Panel fixed-effect regression of Prob on the number of news releases NBN ................. 226
Table 4-19: Panel fixed-effect regression of Prob on NBN and Vol .................................................... 227
Table 4-20: Panel fixed-effect regression of Prob on NBN with time effect ....................................... 229
Table 4-21: Panel fixed-effect regression on various topics of news .................................................. 230
Table 4-22: Panel fixed-effect regression of Prob on category Reg/Gov Policy ................................. 231
Table 4-23: Panel fixed-effect regression of Prob on category Ownership Change ........................... 231
Table 4-24: Panel fixed-effect regression of Prob on category Contracts ........................................... 232
Table 4-25: Panel fixed-effect regression of Prob on NBN split by timing ........................................ 233
Table 4-26: Cross-sectional regression of the transition probabilities ............................................... 235

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