I. INTRODUCTION AND PURPOSEEMPIRICAL TESTS of the now famous but still controversial market model, specified in [17,18], have been generated quite extensively in the United States. This--simple single-index model has recently been applied and empirically tested in foreign capital markets in Europe [15,22], Japan [11] and probably is being tested in numerous other environments. Indeed, Solnik has extended the concept to a world capital market structure [23, 24].The purpose of this paper is to examine, on a comprehensive basis, the market model for the French Stock market (the Paris Bourse) and to compare on an exact basis our results with equivalent U.S. studies. In so doing, we will examine data for 316 common stocks traded continuously on the Bourse for the period January 1, 1964 to November 30, 1971 (approximately eight years). In addition, we examine briefly the price index behavior of two "minor" data bases consisting of 35 industry groupings and 9 large sector groups. The market index utilized is the Campagnie des Agents de Change (C.A.C.) market value weighted index consisting of 430 stocks.'In our analysis, we utilize rate of return data for weekly, monthly, and in some cases quarterly intervals. The rate of return for French stockholders is of the form, Rit-Pt -Pt, + Dt (1 + 0.5) Pt-' where Rit= Rate of return (before taxes) for security i in period t Pt = Price at end of period t * The authors acknowledge the assistance of Chambre Syndicale Agents de Change (Paris) who generously provided data and financial assistance and the Centre d'Enseignement Superieur des Affaires (Jouy-en-Josas) for the computer support necessary to construct the data base and test the model. Finally, to John McDonald, Didier Pene, Bruno Solnik and Randy Westerfield for valuable comments on an earlier version of this paper, "Comparative Market Model Analysis: France and the United States," Salomon Brothers Center For In this paper we merely refer to the industry and sector results for comparative purposes and the reader is referred to [2, 3] for more extensive reporting. These industry groupings comprise the same 430 stocks as the market index. The smaller individual stock sample, however, does not change composition over the entire-period-a factor conductive for intertemporal portfolio comparisons but a potential cause of statistical bias for averaging purposes (discussed in section 2). 1495 1496 The Journal of Finance Pt-, = Price at end of period t -1 Dt = Cash dividend2 paid during period tSection II examines the stationarity and stability of the Beta risk parameter from an individual security standpoint both in terms of short term and longer term forecasting potential. Section III extends the analysis to portfolios of securities. The market model's explanatory power is explored in Section IV. Whenever appropriate, we compare the reliability of results over various time horizons and for different rates of return period intervals. Results from U.S. stock market studies will form our comparative analysis. II. EMPIRICAL RESULTS-I...

No abstract

Dans les rivières graveleuses, il est établi que les structures d'échappement formées dans la zone de recirculation à l'aval d'amas de galets génèrent d'intenses échanges turbulents. Le mécanisme responsable de l'échappement demeure par contre mal connu. Peu d'études sur la dynamique des structures d'échappement ont été réalisées dans des écoulements où le nombre de Reynolds est élevé comme c'est le cas en rivières. De plus, les connaissances actuelles ne tiennent pas compte des découvertes récentes sur la turbulence en rivière à lit de graviers où on a observé des structures de forte et de faible vitesse occupant toute la profondeur de l'écoulement et pouvant durer plusieurs secondes. Ces structures à grande échelle devraient jouer un rôle sur le mécanisme d'échappement étant donné l'influence de la vitesse ambiante sur la dynamique de la zone de recirculation. Nous rapportons les résultats de deux expériences originales sur les liens dynamiques entre les structures à grande échelle et le mécanisme d'échappement en aval d'un amas de galets. La première expérience repose sur l'analyse de corrélations croisées entre des séries de vitesses obtenues au sommet et à l'aval proximal d'un amas de galets. Les résultats montrent que les fortes fluctuations dans le sens de l'écoulement au sommet de l'obstacle sont liées, quelques instants plus tard, à de fortes fluctuations vers l'amont dans la zone de recirculation. La seconde expérience utilise la visualisation des structures d'échappement et la mesure simultanée des vitesses de l'écoulement. L'analyse combinée des images vidéo et de séries de vitesse suggère une relation entre le passage des structures à grande échelle et les manifestations de l'échappement. Ces résultats nous permettent de présenter un modèle où, lors du passage d'un front de haute vitesse, une structure d'échappement se développe et prend de l'expansion vers le lit et vers la surface en se propageant vers l'aval alors que, lors du passage d'un front de faible vitesse, elle s'élève vers la surface de manière plus cohérente. Cette étude propose un nouveau mécanisme d'échappement et révèle le rôle que joue la structure de l'écoulement ambiant sur le développement de structures dans les cours d'eau à lit graveleux.The flow structure in a gravel-bed river is closely related to the presence of protruding clasts and of pebble clusters. It is well known that shedding motions from the lee side of large clasts and clusters are a recurrent process that explains the strong exchanges of momentum in river flows. However, shedding has yet to be fully characterised for high Reynolds number flows such as those found in gravel-bed rivers. Moreover, our current understanding of shedding mechanisms does not include the recent discovery that large-scale flow structures in the form of high- and low-speed wedges occupy the entire flow depth over a gravel-bed river. From two original experiments, this paper investigates the influence of these wedges on the nature of shedding in the lee of a pebble cluster. The interactions b...

The object of this study is to evaluate the consequences of the application of the EEC Regulation 4064a89 to non-European companies. We focus on the Boeing± McDonnell Douglas merger case, one of the first non-European mergers considered by the Commission. The analysis of abnormal returns on the two securities shows that the threat of a ban of the merger by the Commission were not perceived as credible at first. But when Boeing decided to ask the support of the American government, just after the decision of the European Commission to extend its investigations to the long term exclusivity contracts, the role of the Commission emerged.

No abstract