Seminar and Study Days

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Seminar: The Contribution of Frictions to Expected Returns by George Skiadopoulos


On September 6th Audencia Business School will welcome the following seminar: The Contribution of Frictions to Expected Returns by  George Skiadopoulos (Queen Mary and University of Piraeus), joint with Kazuhiro Hiraki, (Queen Mary University of London) .


Venue: Audencia Business School, Amphi 270, 15h45-17h00.



We derive an option-based formula to estimate the contribution of market frictions to expected returns (CFER). Our formula makes no assumptions on the types of frictions nor on investors' preferences. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of frictions on expected returns as expected theoretically. The sizable alpha of a long-short portfolio formed on CFER is consistent with the size of market frictions and it is not due to model mis-specification. Moreover, we show that various option-implied measures proxy CFER, thus providing a theoretical explanation for their ability to predict stock returns.

Workshop: Pension Funding and Risks Management.



More informations Here.

Workshop Savings, Risks and Pension Funding

The March 20, 2018.

Informations Here!

FRG SeminarOrganiser: GRANEM Laboratory

The March 19, 2018.

Séminar FRG organised by the GRANEM.


  •  Bernard Coupez, Membre du Collège de l'Autorité des Marchés Financiers, Professeur Associé, Centre de Recherche en Economie et Droit (CRED), Paris 2 Assas.

"La régulation des ICO (Initial Coin Offering)"

  • James CHEN, Professor of Law & Finance, Michigan University.

An attorney and professor of law with a quarter-century of experience in the law of regulated industries, economics, and regulatory policy, James Ming Chen holds the Justin Smith Morrill Chair in Law at Michigan State University and is of counsel to the Technology Law Group, a Washington, D.C.-based firm specializing in telecommunications law.

"Alternative Finance and Financial Regulation in United States"

Contact : Granem (secretariat.granem @