Marius Savatier

Contact

Email: marius.savatier@dauphine.psl.eu

LinkedIn: View my profile

CV: Download

Working Papers

• Underreaction in Publicly Traded Cross-Holdings (Job Market Paper),

  The degree to which no-arbitrage restrictions extend to settings where redundancy is only partial is an empirical question. To study this question, I examine publicly traded firms that hold a large stake in another publicly traded firm while also owning other assets that are not separately traded. In a frictionless market, where all assets are tradable, no-arbitrage implies that a one-dollar change in the value of the stake should translate into a one-dollar change in the parent's value. In the data, it moves only 38 cents on the dollar. This underreaction appears after isolating price movements specific to the subsidiary. When the parent holds no other assets, however, the estimated transmission rate is close to one. The greater the uncertainty surrounding the parent’s other assets, the stronger the underreaction. This evidence is consistent with a limits-to-arbitrage mechanism in which non-fundamental demand shocks affecting the subsidiary price create a tendency toward underreaction, and risk associated with the parent's non-hedgeable other assets limits arbitrageurs' ability to trade against this force.

• The Reallocation of Information by Relative Value Arbitrage,

  This paper studies how relative-value arbitrage affects price informativeness. Two risky assets with correlated payoffs are traded on segmented markets, while relative-value arbitrageurs observe only prices and trade across both markets. Relative-value arbitrage generates two opposing effects on informativeness. An information-aggregation channel increases informativeness by incorporating information contained in the related price, while a noise-contamination channel decreases informativeness by transmitting noise from one price into the other through price alignment. The paper characterizes the level of arbitrageurs’ risk-bearing capacity that maximizes informativeness.

• Are Parent Companies Worth Less Than Their Stakes Necessarily Mispriced?,

  Negative Stub Values (NSVs) are situations in which a publicly traded parent company is valued below its stake in a publicly traded subsidiary. Such situations have often been interpreted as signs of mispricing. However, an NSV only implies that the market value attributed to the parent’s other assets is lower than its liabilities, which may or may not be justified. In these case studies, I present six recent NSVs, all post-2010. In three cases, the parent has no other assets, making it possible to verify whether mispricing is present. In the three other cases, the parent has other assets, making it difficult to verify whether mispricing is present. When mispricing can be verified, it tends to be small. In two of the non-verifiable NSVs, the parent subsequently offered strong returns.