15 décembre
🕓10h00
🚩MEGA (1e étage, salle 131).
Antoine Ebeling, AMU
ECB’s Climate Speeches and Market Reactions
3 novembre
🕓9h30
🚩MEGA (1e étage, salle 131).
Georges Obeid et David Samama
Risk Mitigation Accounting under IFRS 9: A Simulation Study of Earnings Volatility and Balance Sheet Faithfulness in Stylised European Banks
Lien de connexion : https://univ-amu-fr.zoom.us/j/8467753209 (ID de réunion: 846 775 3209)
Abstract
The IASB’s Exposure Draft ED/2025/4 proposes Risk Mitigation Accounting (RMA) for banks that manage interest rate repricing risk on a net, dynamic basis. We evaluate the proposal using a transparent, reproducible simulation of three stylised euro-area banks over 2019Q1-2024Q4, under the historical AAA euro curve and the six shock scenarios of the 2024 Basel recalibration. Each bank runs the same hedging programme, reported under three regimes: no derivatives, derivatives at fair value without hedge accounting, and RMA as specified in the Exposure Draft (ED). A simplified IAS 39 portfolio hedge serves as a secondary benchmark.
Three findings emerge. First, RMA removes most of the earnings volatility created by fair value measurement of economically effective hedges: for a retail bank, the standard deviation of quarterly profit or loss falls from 92 to 22 basis points of total assets, and RMA is less volatile than the derivative-only regime in all 21 bank scenario combinations. Second, RMA reduces the rate driven value change left unrecognised on the balance sheet by two thirds to four fifths for banks whose exposures sit in amortised cost books. Third, the benefit depends on balance sheet structure and on the treatment of assets at fair value through other comprehensive income (FVOCI). For a universal bank, RMA adds little, and FVOCI eligibility, which the ED permits without specifying its interaction with other comprehensive income, worsens balance sheet faithfulness and shifts volatility to total comprehensive income.
Residual volatility under RMA stems mainly from basis and tenor differences between actual and benchmark derivatives. The conclusions are robust to the treatment of settlements, to alternative conventions for a case the ED leaves open, and to the specification of the hedging programme. The FVOCI interaction is the area where the final standard most needs clarification.
🕓10h30
Ali Hassan, Ph. D. candidate, AMU
Is Impact Investor Behavior Different?
24 février 2026
🕓9h00
🚩MEGA (3e étage, plot 2).
Lucrezia Fattobene (University of Rome ‘Tor Vergata’)
"ESG Labels, Investor Attention, and Cost Sensitivity in Mutual Fund Evaluation: An Eye-Tracking Experiment"
Abstract :
We investigate how the format through which ESG information is displayed in mutual fund disclosure documents affects investors’ sensitivity to management fees and performance, and the attentional processes underlying fund evaluation. Via an eye-tracking laboratory experiment, participants evaluate mutual funds whose sustainability characteristics are disclosed either through text or through a salient ESG label. We find that higher management fees reduce perceived attractiveness for conventional funds and ESG funds under textual disclosure, whereas sensitivity to fees is significantly lower when ESG information is conveyed through a label. Eye-tracking data reveals that ESG labels increase visual attention to financially relevant information, suggesting greater cognitive effort and conflict in integrating sustainability and cost information. Additional analyses indicate that this effect does not depend on financial or sustainable financial knowledge, being significantly weaker among individuals with higher cognitive reflection. Overall, the findings suggest that ESG labels suppress cost sensitivity by affecting attentional and cognitive processes, with important implications for ESG disclosure practices and investor protection.
Elle nous présentera en outre les notions utiles en neurofinance et l'utilisation du eye-tracking à la base des méthodologies utilisées dans ses travaux.
20 janvier 2026
🕓10h30
🚩MEGA (3e étage, plot 2).
Sébastien Duchêne - Montpellier Business School -
"Beyond the Basket: Do Socially Responsible Consumers Build Sustainable Portfolios?"
Abstract: Growing evidence suggests that individuals integrate ethical considerations into their consumption and investment choices. However, the empirical link between socially responsible consumption (SRC) and socially responsible investment (SRI) at the individual level remains underexplored. We investigated the alignment between SRC and SRI using a combination of survey data and administrative records from a major French bank, including retail client portfolio holdings and card-level transaction data. We found a consistent positive relationship between sustainable consumption and sustainable investment, both in stated preferences and real extensive and intensive margin decisions. Among categories of consumption, green mobility spending and lower energy consumption shares predicted higher SRI portfolio proportions. These findings highlight the relevance of sustainability preferences in consumption for promoting retail engagement with SRI.
24 février
🕓9h00
🚩MEGA (3e étage, plot 2).