References of "Sougné, Danielle"
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See detailCorporate Disclosures, Information Asymmetry and Stock-Market Liquidity in France
Sougné, Danielle ULg; Ajina, Aymen; Lakhal, Faten

in Journal of Applied Business Research (in press)

This paper aims at studying the effect of corporate disclosures on information asymmetry and stock-market liquidity in France. Specifically, the purpose of this paper is to highlight the importance of ... [more ▼]

This paper aims at studying the effect of corporate disclosures on information asymmetry and stock-market liquidity in France. Specifically, the purpose of this paper is to highlight the importance of information included in the annual reports on investor’s behavior. This is proxied by the information asymmetry component of the bid-ask spread and stock market liquidity. Our sample includes 196 French listed firms over a period ranging from 2004 to 2007. We opt for an explanatory study using OLS regressions to examine the nature of the relationship between information disclosed in annual reports and bid-ask spreads a proxy for information asymmetry and stock market liquidity. The results show that the extent of corporate disclosures in annual reports positively influences the liquidity of the French market and negatively affects the adverse selection component of the bid-ask spread. This effect is further confirmed by the commitment to IFRS by French-listed firms from 2005. The decomposition of the total score in the sub-indices shows that non-financial and financial information are important in trading decisions while strategic information may be attractive only for long-term positions [less ▲]

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See detailInstitutional Investors, Information Asymmetry, Stock Market Liquidity
Sougné, Danielle ULg; Aymen, Ajina; Faten, Lakhal

in International Journal of Managerial Finance (in press), 11

Purpose. The purpose of this study is to examine the effect of institutional investors ownership and activism on information asymmetry and stock market liquidity in France. Design/methodology/approach ... [more ▼]

Purpose. The purpose of this study is to examine the effect of institutional investors ownership and activism on information asymmetry and stock market liquidity in France. Design/methodology/approach. Our sample includes 162 French-listed firms over a period ranging from 2007 to 2009. Our methodology relies on linear regressions using the method of ordinary least square(OLS). Befor examining the interaction between liquidity and institutional investors, we check for the existence of the endogeneity problem by applying the Durbin-Wu_Hausman test of Davidson and MacKinnon (1993). The results of the endogeneity test show that institutional investor ownership and stock liquidity are endogenous. A simultaneous equation model using the second least square method is then tested to address this problem. Findings The findings show that the proportion of institutional investors has a positive and significant effect on stock-market liquidity, which confirms the signal theory and trading hypothesis. These investors perform high trading activity which favourably affect market liquidity. The results suggests that pension funds manage huge assets decreasing transaction costs and improving liquidity. They display a positive signal to the market about more transparency and a low level of information asymmetry.These results highlight the institutional investors'role in defining the level of liquidity of assets on the French market. Our findings also stress the importance of developing institutional investors'demand for the Paris market in order to better assess firms'values, protect minority ownership and improve market liquidity. Originality/Value In the French institutional setting, institutional investors act as a control device since minority shareholder interests are less protected than in Anglo-American counterparts. This result highlights the significant rôle of institional investors in corporate governance structures and a finacila markets. Their prsence is a guarantee for minority interest protection and for improving market liquidity. [less ▲]

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See detailPerformance of Global Mutual Funds
Sougné, Danielle ULg

in Filbeck, Greg; Baker, Kent (Eds.) Mutual Funds-building blocks for Investment Portfolios (in press)

Detailed reference viewed: 13 (2 ULg)
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See detailBoard attributes and accounting conservatism: Evidence from French firms
Boussaid, Nabila ULg; Sougné, Danielle ULg; Hamza, Taher

Conference (2014, July)

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See detailBoard attributes and conditional conservatism: Evidence from French firms
Boussaid, Nabila ULg; Sougné, Danielle ULg; Hamza, Taher

Conference (2014, May 30)

Detailed reference viewed: 9 (1 ULg)
See detailDo Board Characteristics Affect Information Asymmetry?
Sougné, Danielle ULg; Ajina, Aymen ULg

Scientific conference (2014, May 19)

Detailed reference viewed: 32 (7 ULg)
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See detailExamining the Effect of Earnings Management on Bid-Ask Spread and Market Liquidity
Sougné, Danielle ULg; Ajina, Aymen ULg

E-print/Working paper (2014)

The main purpose of this paper is to argue the extent that earnings management lowers liquidity. It should increase information asymmetry and impair trading liquidity. Using a sample of French firms from ... [more ▼]

The main purpose of this paper is to argue the extent that earnings management lowers liquidity. It should increase information asymmetry and impair trading liquidity. Using a sample of French firms from 2008 to 2011, we find that firms that manage earnings have wider bid-ask spreads. Our results are robust for both of two well established measures of market liquidity. Therefore the empirical results indicate that firms that exhibit greater earnings management are associated with lower market liquidity. These findings are in line with adverse selection and shed light on the role corporate governance devices can play in the consideration of shareholder interest’s protection, which leads to improved stock market liquidity levels. [less ▲]

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See detailDo Board Characteristics Affect Information Asymmetry?
Sougné, Danielle ULg; Laouti, Mhamed; Ajina, Aymen ULg

in International Journal of Academic Research in Business and Social Sciences (2013), 3(12), 660-675

In this paper, we investigate the empirical relationship between corporate governance and information asymmetry across a range of French firms. Based on a cross-sectional analysis, our study of the ... [more ▼]

In this paper, we investigate the empirical relationship between corporate governance and information asymmetry across a range of French firms. Based on a cross-sectional analysis, our study of the empirical relationship between corporate governance and information asymmetry involved 160 companies over the years 2008-2010. Mechanisms of corporate governance include the characteristics of the board of directors. Our results seem to indicate a significant relationship between certain mechanisms of corporate governance and the information asymmetry of the French market. These mechanisms can reduce adverse selection costs, and make exchanges more transparent. These results suggest that firms with efficient corporate governance mechanisms may reduce informative asymmetry and improve transparency between investors. [less ▲]

Detailed reference viewed: 68 (7 ULg)
See detailComparison Between Morningstar Ratings and Traditional Performance Measures Ratings
Sougné, Danielle ULg; Bodson, Laurent ULg

Scientific conference (2013, July 01)

We compare Morningstar ratings and ratings obtained using the same methodology of rating attribution with a set of commonly used performance measures. We study three types of investment horizons : 3-year ... [more ▼]

We compare Morningstar ratings and ratings obtained using the same methodology of rating attribution with a set of commonly used performance measures. We study three types of investment horizons : 3-year, 5-year and 10-year ratings. Our analysis focuses on Open-End US Mutual Funds available in Morningstar Direct Database from which we create three sets of 16,617, 13,505 and 7,992 funds corresponding respectively to the three investment horizons analyzed. Our results show that Morningstar ratings are very close ( correlation around 80%) to ratings obtained with Sharpe's alpha, Jensen's alpha, Four-factor alpha and Excess returns. [less ▲]

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See detailConditional Asset Allocation: Does Market Wide liquidity Matter?
Bazgour, Tarik ULg; Sougné, Danielle ULg; Heuchenne, Cédric ULg

Scientific conference (2013, June)

Detailed reference viewed: 24 (14 ULg)
See detailLa gouvernance d’entreprise : outil pour améliorer la liquidité des titres
Ajina, Aymen ULg; Sougné, Danielle ULg

Scientific conference (2013, May 02)

Based on a cross-sectional analysis, our study of the empirical relation between the corporate governance and the stock liquidity was realized on 160 French companies during 2007, 2008 and 2009. The ... [more ▼]

Based on a cross-sectional analysis, our study of the empirical relation between the corporate governance and the stock liquidity was realized on 160 French companies during 2007, 2008 and 2009. The handled mechanisms include the characteristics of the board of directors and the audit committee. Our results seem to indicate a significant effect of certain mechanisms of corporate governance on the liquidity of the French market. These mechanisms can reduce the asymmetry of information between the investors, make the exchanges more transparent and provoke an improvement of the liquidity on the market. These results suggest that firms with better corporate governance may reduce the informative asymmetry and improve the liquidity of its stocks. [less ▲]

Detailed reference viewed: 68 (18 ULg)
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See detailConditional Asset Allocation: Does Market Wide liquidity Matter?
Bazgour, Tarik ULg; Sougné, Danielle ULg; Heuchenne, Cédric ULg

Scientific conference (2013, April 17)

Detailed reference viewed: 19 (8 ULg)
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See detailConditional Asset Allocation: Does Market Wide liquidity Matter?
Bazgour, Tarik ULg; Sougné, Danielle ULg; Heuchenne, Cédric ULg

Scientific conference (2013, March 07)

Detailed reference viewed: 27 (12 ULg)
See detailFund Industry in Luxembourg
Sougné, Danielle ULg; Wijnandts, Jean-Charles ULg

Book published by Larcier (2013)

This book is to be placed in an unexploited niche in the fund industry literature: It has first to be distinguished from the main strand of the literature on mutual funds focusing on funds selection’s ... [more ▼]

This book is to be placed in an unexploited niche in the fund industry literature: It has first to be distinguished from the main strand of the literature on mutual funds focusing on funds selection’s methods and portfolio management strategies available to funds ‘managers’. This book aims at providing the readers with a comprehensive overview of the Luxembourg fund industry together with a better understanding of the mechanisms governing the interactions between its different actors. The goal is to enable the readers to better apprehend the functioning of industry as a whole from both a legal and practical perspective and to operate more efficiently within the industry. As a consequence, the book must be distinguished from practitioner–oriented compilations of legal texts and references. The contribution of renowned experts of fund industry in Luxembourg permitted to summarize the operating in Luxembourg. Consequently, this book aspires to become a reference on the topic. Students in Finance, Law and Management considering a career in the fund industry will benefit from this book by gaining a better understanding of fund industry as a whole, wich would improve their employability in this sector. [less ▲]

Detailed reference viewed: 130 (39 ULg)
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See detailA Global Approach to Mutual Funds Market Timing Ability
Bodson, Laurent ULg; Sougné, Danielle ULg; Cavenaile, Laurent

in Journal of Empirical Finance (2013)

• We propose a generalized specification to study market timing. Instead of considering an average market exposure for mutual funds, we allow mutual fund market betas to follow a random walk in the ... [more ▼]

• We propose a generalized specification to study market timing. Instead of considering an average market exposure for mutual funds, we allow mutual fund market betas to follow a random walk in the absence of market timing ability. As a consequence, we capture market exposure dynamics which is effectively due to manager market timing skills while allowing exposure dynamics to come from other sources than market timing. • We find that on average 6% of mutual funds display return market timing abilities while this percentage amounts to respectively 13% and 14% for volatility and liquidity market timing. We also analyse market timing by investment strategies and for surviving and dead funds. Dead fund exhibit lower volatility and liquidity timing skills than live funds. [less ▲]

Detailed reference viewed: 71 (30 ULg)
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See detailExcess Return Forecast Using a Dynamic Asset Class Factor Model
Hübner, Georges ULg; Sougné, Danielle ULg; Wijnandts, Jean-Charles ULg

E-print/Working paper (2012)

We propose a Dynamic Hierarchical Factor Model using Asset classes to predict mutual funds excess returns. We use different forecast combination schemes of bivariate model considering each asset class ... [more ▼]

We propose a Dynamic Hierarchical Factor Model using Asset classes to predict mutual funds excess returns. We use different forecast combination schemes of bivariate model considering each asset class factor in isolation. Primary analysis highlights the importance to account for asset class specific variations together with between classes or common variations. Further refinements of the a priori repartition are however in order. Forecasting performance of the model outperforms the historical mean benchmark both in terms of MSPE and utility based criteria. A forecasting exercise matching more closely real-time conditions must be undertaken to validate these initial results. [less ▲]

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See detailComparison Between Mornigstar Ratings And Traditional Performance Measures Ratings
Bodson, Laurent ULg; Delhalle, Stéphanie ULg; Sougné, Danielle ULg

E-print/Working paper (2012)

In this paper, we compare Morningstar ratings with those obtained using the same methodology of rating attribution with a set of commonly used performance measures. We look at three types of investment ... [more ▼]

In this paper, we compare Morningstar ratings with those obtained using the same methodology of rating attribution with a set of commonly used performance measures. We look at three types of investment horizons: 3-year, 5-year and 10-year ratings. Our analysis focuses on Open-End US Mutual Funds available in Morningstar Direct Database from which we create three sets of 16,617, 13,505 and 7,992 funds corresponding respectively to the three investment horizons analyzed. Our results show that Morningstar ratings are very close (correlation around 80%) to ratings obtained with Sharpe’s alpha, Jensen’s alpha, Four-factor alpha and Excess returns. And less significantly, we also observe that ratings given by the Sortino ratio, Sharpe MVaR, M-squared, Sharpe ratio, One-factor information ratio, Four-factor information ratio, Prospect ratio and Stutzer index are quite similar to Morningstar’s ratings (correlation lying between 70% and 78%). At the other end of the spectrum, however, ratings obtained with Annual return diverge widely from Morningstar ratings. We also analyse which explanatory variables can explain the differences between ratings computed with Morningstar as compared with the alternative performance measures using a probit regression. We find that Load adjustments, tax and risk included by Morningstar in the computation of MRAR are often determining. Expense ratio, Return Skewness and the three factors of the Fama-French model (Beta, Size load and Book-to-market loading) can be significant determinants depending on the performance measure analyzed and on the selected investment horizon. Fund characteristics such as Age, Fund size, Turnover rate and Manager tenure are not statistically significant in determining the differences in ratings. Besides, we analyze differences between ratings (in terms of number of STARs) and we confirm previous results (i.e. the link between Morningstar’s and the alternative performance measures, but also the explanatory capacity of the load for lots of differences between ratings). Finally, we test all possible combinations of our set of performance measures, and observe that Sharpe’s alpha, excess return, Sharpe MVaR, Four-factor alpha and Jensen’s alpha are part of the best combinations. As a conclusion, Morningstar ratings can be replicated using simple and traditional performance measures but the replication is less accurate when tax and loads features are important. Therefore, Morningstar data management and access bring the most of its ratings’ value added. [less ▲]

Detailed reference viewed: 51 (6 ULg)