I am a PhD candidate in Finance at Université Paris Dauphine–PSL and will be on the academic job market in Fall 2026. My research focuses on asset pricing, limits to arbitrage, and price informativeness.
Contact
Email: marius.savatier@dauphine.psl.eu
LinkedIn: View my profile
CV: Download
Upcoming
- Visiting PhD Student, The Wharton School, University of Pennsylvania — Fall 2026 (hosted by Itay Goldstein)
- FMA Doctoral Student Consortium — October 14, 2026 (with James Choi)
- FMA Special PhD Paper Presentations — October 15, 2026 (discussant: Dominik Rösch)
- Wharton Finance PhD Brownbag — October 23, 2026
- Paris Dauphine-PSL Finance Brownbag — November 19, 2026
- PhD Thesis Defense — November 27, 2026 (Fabrice Riva, Jérôme Dugast, Sophie Moinas, Olivier Dessaint, Paul Karehnke, Gaëlle Le Fol)
- EUROFIDAI–ESSEC Paris December Finance Meeting — December 17, 2026 (discussant: Luca Galati)
Working Papers
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Underreaction in Publicly Traded Cross-Holdings
(Job Market Paper)
[SSRN],
Arbitrage disciplines the relative values of assets. But how strong is this discipline when assets are not perfect substitutes? Answering this question is difficult because relative-value mispricing between imperfect substitutes cannot be measured without an asset pricing model. Public cross-holdings provide a unique setting in which it can: a publicly traded parent owns a stake in a publicly traded subsidiary alongside other untraded assets, so the two firms are imperfect substitutes, yet a $1 change in the value of the stake should translate one-for-one into the parent’s market value. After isolating price movements specific to the subsidiary, I find that the parent’s market value changes by only 38 cents on the dollar, on average. In the rare cases where the parent has almost no other assets, pass-through is close to one-for-one, and it declines steeply as unhedgeable risk from the parent’s other assets increases. The results are consistent with inelastic investor demand allowing non-fundamental flows to continuously move subsidiary prices, while relative-value arbitrage transmits these movements to the parent with a strength that weakens as unhedgeable risk rises.
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The Reallocation of Information by Relative Value Arbitrage
[SSRN],
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. A calibration based on empirical estimates of price informativeness suggests that, even for moderate levels of arbitrage activity, the noise-contamination channel can outweigh the information-aggregation channel.
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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.