Contenu | Menu

EM Strasbourg
Autres sites
EM Strasbourg

Enseignants-chercheurs


Patrick ROGER

Professeur de finance
Site perso: http://sites.google.com/site/strasproger/home
Disciplines : Finance-Assurance-Banque
Laboratoire : LaRGE

Domaines d'enseignement

Behavioral Finance
Investments
Derivatives

Thèmes de recherche

Finance comportementale
Asset Pricing
Gambling studies

Prix 2015 du meilleur article utilisant les données EUROFIDAI pour "The 99% Market Sentiment Index"

Finaliste du 2015 Hillcrest Behavioral Finance Award pour "Behavioral Biases in Number Processing: The Case of Analysts' Target Prices" avec Tristan Roger, Université Paris-Dauphine et Alain Schatt, HEC Lausanne

Parcours

Agrégation de sciences de gestion, 1989
Habilitation à Diriger des Recherches, 1988
Doctorat ès sciences de gestion, 1983
Doctorat de mathématiques appliquées, 1982

Director of the MsC in Finance
Member of the Orientation Council of the European Savings Institute

CNRS Research Fellow, Paris-Dauphine University, 2012-2013
Visiting Researcher at Boston College, April-May 2013
Articles académiques sciences de gestion / section 37
"Idiosyncratic risk, private benefits, and the value of family firms" (with A. Schatt), Finance Research Letters, Vol. forthcoming, 2016 [CNRS cat.3 / HCERES / FNEGE rang 3]
"Entrepreneur's Overconfidence, Private Benefits and the Market Performance of the Firm" (with A. Schatt), International Journal of Entrepreneurship and Small Business, Vol. 24, n° 3, June 2015 [CNRS cat.4 / / FNEGE rang 4]
"Diversification, Gambling, and Market Forces" (with M.H. Broihanne, M. Merli), Review of Quantitative Finance and Accounting, Vol. Vol. DOI 10.100, n° 1, January 2015 [CNRS cat.3 / HCERES / FNEGE rang 3]
"The 99% Market Sentiment Index" , Finance, Vol. 35, n° 3, December 2014 [CNRS cat.2 / HCERES / FNEGE rang 2]
"Overconfidence, Risk Perception and Risk-Taking Behavior of Finance Professionals" (with Broihanne Marie-Hélène, Merli Maxime), Finance Research Letters, Vol. 11, May 2014 [CNRS cat.3 / HCERES / FNEGE rang 3]
"La prise de décision: l'apport de l'économie expérimentale en stratégie" (with M.Pfiffelmann), Revue Interdisciplinaire sur le Management et l'Humanisme (RIMHE), Vol. 5, January 2013 [FNEGE rang 4]
"The Individual Investor" (with M.H. Broihanne, M. Merli), Bankers, Markets and Investors, Vol. 118, 2012 [CNRS cat.3 / HCERES / FNEGE rang 3]
"Testing alternative theories of financial decision making: a survey study with lottery bonds" , Journal of Behavioral Finance, Vol. 12, n° 4, December 2011
"Capital protected notes for loss averse investors: a counterintuitive result" , Bankers, Markets and Investors, Vol. 115, novembre 2011 [CNRS cat.3 / HCERES / FNEGE rang 3]
"Mixed Risk Aversion and Preference for Risk Disaggregation: a Story of Moments" , Theory and Decision, Vol. 70, janvier 2011 [CNRS cat.2 / HCERES]
"La demande de grilles d'Euromillions : une comparaison internationale" , Revue Economique, Vol. 62, n° 1, janvier 2011 [CNRS cat.2 / HCERES]
"Does the Consciousness of the Disposition Effect Increase the Equity Premium ?" , Journal of Behavioral Finance, Vol. 10, n° 3, September 2009
"On the Robustness of Mutual Funds Ranking with an Index of Relative Efficiency " (with M.H. Broihanne, M.Merli), Bankers, Markets and Investors, Vol. 94, May 2008 [CNRS cat.3 / HCERES / FNEGE rang 3]
"Solving Some Financial Puzzles with Prospect Theory and Mental Accounting: a Survey" (with M.H. Broihanne, M.Merli), Revue d'Economie Politique, Vol. 118, n° 4, 2008 [CNRS cat.3 / HCERES]
"Efficiency of Betting Markets and Rationality of Players: Evidence from the French 6/49 Lotto " (with M.H. Broihanne), Journal of Applied Statistics, Vol. 34, n° 5, 2007 [CNRS cat.3 / HCERES]
"La théorie comportementale du portefeuille : intérêts et limites " (with M.H. Broihanne, M. Merli), Revue Economique, Vol. 57, n° 2, 2006 [CNRS cat.2 / HCERES]
"Le comportement des investisseurs individuels " (with M.H. Broihanne, M. Merli), Revue Française de Gestion, Vol. 31, n° 157, July 2005 [CNRS cat.4 / HCERES / FNEGE rang 3]
"Les comptes d’épargne associés à des loteries : approche comportementale et études de cas " (with M. Pfiffelmann), Bankers, Markets and Investors, Vol. 78, 2005 [CNRS cat.3 / HCERES / FNEGE rang 3]
"On the optimality of dollar cost averaging strategies for a loss averse investor" , Bankers, Markets and Investors, Vol. 70, 2004 [CNRS cat.3 / HCERES / FNEGE rang 3]
"On the long-run risk in stocks: a west-side story" , Bankers, Markets and Investors, Vol. 61, 2002 [CNRS cat.3 / HCERES / FNEGE rang 3]
"Sur une mesure d’efficience relative des portefeuilles dans la théorie de Markowitz " (with M. Merli), Bankers, Markets and Investors, Vol. 58, 2002 [CNRS cat.3 / HCERES / FNEGE rang 3]
"Properties of Bid and Ask Prices in the Rank Dependent Expected Utility Model" , Journal of Mathematical Economics, Vol. 34, n° 3, 2000 [CNRS cat.1 / HCERES]
"A Decision Theoretic Approach to Bid-Ask Spreads: a Note" , Finance, Vol. 21, n° 1, 2000 [CNRS cat.2 / HCERES / FNEGE rang 2]
"Probabilité de défaut et spread de taux : étude empirique du marché français" (with M. Merli), Finance, Vol. 20, n° 1, 1999 [CNRS cat.2 / HCERES / FNEGE rang 2]
"Confiance et Performance : le Couple Franco-allemand au sein de l’Europe " (with J.C Usunier), Finance Contrôle Stratégie, 1999 [CNRS cat.3 / HCERES / FNEGE rang 3]
"Risk Aversion and the Bid-Ask Spread " (with L. Eeckhoudt), European Financial Management, Vol. 5, n° 3, 1999 [CNRS cat.3 / HCERES / FNEGE rang 3]
"Valeur ajoutée d’un partage de risque et Pareto-optimalité " (with Louis Eeckhoudt), Revue Economique, Vol. 49, n° 2, 1998 [CNRS cat.2 / HCERES]
"The Design of Optimal Insurance Contracts: a Topological Approach " (with Sandrine Spaeter), Geneva Risk and Insurance Review, Vol. 22, 1997 [CNRS cat.2 / HCERES / FNEGE rang 2]
"Estimation de la Structure par Termes des Taux d’Intérêt par le Simplexe et le Lissage des Taux Forward " (with Nathalie Rossiensky), Finance, Vol. 16, 1995 [CNRS cat.2 / HCERES / FNEGE rang 2]
"Partage des Risques et Création de Valeur Ajoutée" (with Louis Eeckhoudt), Revue Economique, Vol. 45, 1994 [CNRS cat.2 / HCERES]
"Definition and Valuation of Optional Reinvestment Coupon Bonds " (with Philippe Artzner), Finance, Vol. 14, 1993 [CNRS cat.2 / HCERES / FNEGE rang 2]
"Options et complétude des marchés" , Revue Economique, Vol. 42, 1991 [CNRS cat.2 / HCERES]
"Théorie des marchés efficients et asymétrie de l'information: une revue de la littérature" , Finance, Vol. 9, 1988 [CNRS cat.2 / HCERES / FNEGE rang 2]
"Description of consumer spatial behaviour: a new approach, International Journal of Research in Marketing, 1, 1984." , International Journal of Research in Marketing, Vol. 1, 1984 [CNRS cat.2 / HCERES / FNEGE rang 1]
Articles académiques (autres revues)
"Portefeuilles et biais comportementaux des petits porteurs" (with M.H. Broihanne, M. Merli), Analyse Financière, Vol. 43, September 2012
"Aversion au risque, prise de risque et finance comportementale " (with M.H. Broihanne, M. Merli), Risques, Vol. 85, March 2011
"Structure De Propriété, Bénéfices Privés et Risque Idiosyncratique " , Revue Francaise de Gouvernance d` Entreprise, Vol. 6, mars 2010
"Mesures de risque et notation " (with M. Merli), Risques , Vol. 65, 2005
"Stock timing with genetic algorithms" (with J. Korczak), Applied Stochastic Models in Business and Industry, August 2002
Manuels pédagogiques
Corrigés de Options, Futures et autres actifs dérivés, Pearson Education, 9 ed., September 2014, 250 p., (with L. Deville, C. Hénot, J. Hull)
Options, Futures et autres actifs dérivés, Pearson Education, 9 ed., August 2014, 896 p., (with J. Hull, C. Hénot, L. Deville)
Analysis and Linear Algebra for Finance: Part II, Ventus Publishing APS, Frederiksberg, Denmark, 1 ed., mai 2013, 150 p.,
Analysis and Linear Algebra for Finance: Part I, Ventus Publishing APS, Frederiksberg, Denmark, 1 ed., avril 2013, 130 p.,
Corrigés de Options, Futures et autres actifs dérivés, Pearson, 8 ed., 2012, 250 p., (with John Hull, Laurent Deville, Christophe Hénot)
Options, Futures et autres actifs dérivés, Pearson Education, 8 ed., August 2011, 850 p., (with John Hull, Laurent Deville, Christophe Hénot)
Stochastic Processes for Finance, Ventus publishing APS, Frederiksberg, Denmark, 1 ed., September 2010, 100 p.,
Probability for Finance, Ventus Publishing, Frederiksberg, Denmark, 1 ed., June 2010, 115 p.,
Corrigés de Futures et options : principes fondamentaux , Pearson Education, 6 ed., septembre 2009, 140 p., (with John Hull, Laurent Deville, Christophe Hénot)
Futures et options: principes fondamentaux, Pearson, www.pearson.fr, 6 ed., juillet 2009, 600 p., (with John Hull, Laurent Deville, Christophe Hénot)
Options, futures et autres actifs dérivés, Pearson, www.pearson.fr, 6 ed., April 2007, 820 p., (with John Hull, Laurent Deville, Chrietophe Hénot)
Probabilités, statistique et processus stochastiques, Pearson, www.pearson.fr, 1 ed., juillet 2004, 250 p.,
Options, futures et autres actifs dérivés, Pearson, www.pearson.fr, 5 ed., April 2004, 650 p., (with John Hull, Laurent Deville, Christophe Hénot)
Evaluation des actifs financiers : modèles à temps discret, Deboeck, 1996, 350 p.,
Gestion de la production, Dalloz, 1992, 300 p.,
Les outils de la modélisation financière, Presses Universitaires de France (PUF), 1991, 250 p.,
Mathématiques pour l’économie et la gestion : applications avec Excel, Pearson Education, www.pearson.fr, 1 ed., October 2006,
Finance Comportementale, Economica, www.economica.fr, 1 ed., november 2004, 300 p., (with M.H. Broihanne, M. Merli)
Chapitres d'ouvrages scientifiques
"Finance comportementale et design des actifs financiers", in : B. Pras, Management: enjeux de demain, Vuibert, 2009, (with M. Pfiffelmann)
"Evolution Strategy in Portfolio Optimization (avec J. Korczak et P. Lipinski)", in : P. Collet, Artificial Evolution, Springer, Lecture Notes in Computer Science, 2002, 156-167, (with J. Korczak, P.Lipinski)
Chapitres d'autres ouvrages
"Le comportement des investisseurs", in : , Encyclopedia Universalis, Encyclopedia Universalis, January 2010,
Communications scientifiques
"Does financial literacy reduce the familiarity bias? Evidence from bank employees", International French Finance Association Conference 2015, Paris, 2015 (with D. Egarius)
"Trading Fixed-Price Shares", International French Finance Association Conference , mai 2014 (with Damien EGARIUS)
"Diversification, Gambling and Market Forces", International French Finance Association Conference , May 2014 (with Marie-Hélène BROIHANNE, Maxime MERLI)
" Overconfidence, Risk Perception and Risk-Taking Behavior of Finance Professionals", International AFFI Meeting , Lyon, May 2013 (with M. H. Broihanne, M. Merli)
"Portfolio Diversification Dynamics of Individual Investors: A New Measure of Investor Sentiment", 2012 Conference of the Midwest Finance Association, New Orleans, February 2012
"Underdiversification of French individual investors’portfolios and skewness seeking ", 28éme Congrès international de l'AFFI, Montpellier, mai 2011 (with Marie-Hélène Broihanne, Maxime Merli)
"Testing Alternative Theories of Financial decision Making: An Experimental Study with Lottery Bonds ", Academy of Behavioral Finance and Economics, septembre 2010
"Do low priced stocks carry more idiosyncratic volatility?", AFFI International Meeting, Saint-Malo, http://affi2010.univ-rennes1.fr/, May 2010 (with A. Schatt)
"Capital Protected Notes for Loss Averse Investors: A Counterintuitive Result", MFA 2010, Las Vegas, http://www.mfa-2010.com/, February 2010
"Testing Alternative Theories of Financial Decision Making: A Survey Study with Lottery Bonds", MFA 2010, Las Vegas, February 2010
"The demand for Euromillions lottery tickets: an international comparison", Journées de l'AFSE, juin 2009
"Heuristics in financial decision making : an experimental study with lottery bonds", AFFI International Meeting, Brest, 2009, mai 2009
"La cannibalisation des produits à prix aléatoires : l’Euromillions a-t-il tué le loto français ? ", Congrès de l'AFM, Londres, Londres, May 2009 (with Sylvie Chabi)
"Capital Protected Notes for Loss Averse Investors : a Counterintuitive Result ?, ", International AFFI meeting, May 2008
"Does the consciousness of the disposition effect increase the equity premium?", International AFFI meeting, mai 2007
Autres conférences académiques / conférences professionnelles
"Behavioral biases in number processing: the case of analysts' target prices", Academy of Behavioral Finance and Economics, Philadelphia, 2015, (with T. Roger, A. Schatt)
"Trading Fixed Price Shares", ICA2014, Pula, Croatia, June 2014, (with Damien EGARIUS)
" Overconfidence, Risk Perception and Risk-Taking Behavior of Finance Professionals", Academy of Behavioral Finance and Economics, Chicago, septembre 2013, (with M. H. Broihanne, M. Merli)
"The 99% Market Sentiment Index", Academy of Behavioral Finance and Economics, New York, septembre 2012,
"Underdiversification of French individual investors’portfolios and skewness seeking ", Behavioral Insurance Meeting, Munich, décembre 2011, (with Marie-Hélène Broihanne, Maxime Merli)
"Structure De Propriété, Bénéfices Privés et Risque Idiosyncratique ", 8e Conférence de gouvernance, juin 2009, (with Alain Schatt)
"Lottery-Linked Savings Accounts and Lottery Bonds: a Behavioral Approach", Financial Engineering and Economics Symposium, juin 2008, (with M. Pfiffelmann)
"Does the consciousness of the disposition effect increase the equity premium", 34th meeting of the European Group of Risk and Insurance Economists, septembre 2007,
"Finance comportementale et design des actifs financiers", Etats généraux du management, octobre 2008, (with Marie Pfiffelmann)
Partagez ! Recommandez !

Recherche dans l'annuaire

Recherche dans l'annuaire

Liens directs

Suivez-nous

EM Strasbourg Business School
61 avenue de la Forêt-Noire
F-67085 Strasbourg Cedex
Tél. : 03 68 85 80 00
> Plan d'accès
PARTENAIRES
  
 

NOS RÉSEAUX              NOS LABELS

Image de fond

Connexion