The impact of corporate disclosures on information asymmetry and stock-market liquidity in France

Conference (2011, May 30)

This paper aims at studying the effect of the extent of disclosure on information asymmetry and stock-market liquidity in France. Our sample includes196 French listed firms over a period ranging from 2004 ... [more ▼]

This paper aims at studying the effect of the extent of disclosure on information asymmetry and stock-market liquidity in France. Our sample includes196 French listed firms over a period ranging from 2004 to 2007, the results show that the extent of disclosure in annual reports positively influence the liquidity of the French market. This is explained by the negative effect of the disclosure on 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. This result should encourage French authorities to further improve their information environment as essential to reduce the costs of asymetric information and prevent the risk of illiquidity. [less ▲]

The Market Timing Skills of Hedge Funds during the Financial Crisis

Conference (2011, March 22)

Purpose -- The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach -- The ... [more ▼]

Purpose -- The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach -- The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio, as shown by Hübner (2010). We adapt this approach to the case of multi-factor models with positive, negative or neutral betas. This new approach is applied on a sample of hedge funds whose managers are likely to exhibit market timing skills. We stick to funds that post weekly returns, and analyze three hedge funds strategies in particular: long-short equity, managed futures, and funds of hedge funds. We analyze a particular period during which the managers of these funds are likely to magnify their presumed skills, namely around the financial and banking crisis of 2008. Findings -- Some funds adopt a positive convexity as a response to the US market index, while others have a concave sensitivity to the returns of an emerging market index. Thus, we identify "positive", "mixed" and "negative" market timers. A number of signs indicate that only positive market timers manage to acquire options below their cost, and deliver economic significant performance, even in the midst of the financial crisis. Negative market timers, by contrast, behave as if they were forced to sell options without getting the associated premium. We interpret this behavior as a possible result of fire sales, leading them to liquidate positions under the pressure of redemption orders, and inducing negative performance adjusted for market timing. Research limitations/implications -- The adjustment for market timing opens up the way to numerous tests over longer periods, and in particular comparative studies of hedge fund returns using nonlinear risk factors versus exposures to quadratic returns. Originality/value -- The paper suggests that the convexity in returns that is generally associated with market timing can be attributed to three sources: timing skills, exposure to nonlinear risk factors, or liquidity pressures. We manage to identify the impact of the latter two effects in the context of hedge funds. [less ▲]

La taille d’un fonds d’investissement influence-t-elle sa performance?

Article for general public (2011)

The Market Timing Skills of Hedge Funds during the Financial Crisis

in Gregoriou, Greg.N. (Ed.) Managerial Finance (2011)

The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio ... [more ▼]

The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio, as shown by Hübner (2010). We adapt this approach to the case of multi-factor models with positive, negative or neutral betas. This new approach is applied on a sample of hedge funds whose managers are likely to exhibit market timing skills. We stick to funds that post weekly returns, and analyze three hedge funds strategies in particular: long-short equity, managed futures, and funds of hedge funds. We analyze a particular period during which the managers of these funds are likely to magnify their presumed skills, namely around the financial and banking crisis of 2008. Some funds adopt a positive convexity as a response to the US market index, while others have a concave sensitivity to the returns of an emerging market index. Thus, we identify “positive”, “mixed” and “negative” market timers. A number of signs indicate that only positive market timers manage to acquire options below their cost, and deliver economic significant performance, even in the midst of the financial crisis. Negative market timers, by contrast, behave as if they were forced to sell options without getting the associated premium. We interpret this behavior as a possible result of fire sales, leading them to liquidate positions under the pressure of redemption orders, and inducing negative performance adjusted for market timing. [less ▲]

Counterparty Risk in Credit Default Swaps Markets

Conference (2010, July 04)

L'impact de la communication financière sur l'asymétrie d'informatiuons et la liquidité des entreprises françaises cotées

Scientific conference (2010, March 18)

Le présent article a pour objectif d’étudier l’effet de l’étendue de la divulgation d’informations sur l’asymétrie d’informations et la liquidité des titres des entreprises françaises. Notre échantillon ... [more ▼]

Le présent article a pour objectif d’étudier l’effet de l’étendue de la divulgation d’informations sur l’asymétrie d’informations et la liquidité des titres des entreprises françaises. Notre échantillon regroupe 196 entreprises françaises cotées à l’indice SBF 250 sur une période s’étalant de 2004 à 2007. Les résultats montrent que l’étendue de la divulgation d’informations dans les rapports annuels influence positivement la liquidité du marché français. Ceci est expliqué par l’effet négatif des mécanismes d’informations sur la composante sélection adverse. Cet effet est d’autant plus confirmé par l’effet de l’application des normes IFRS rendues obligatoires pour les entreprises françaises à partir de 2005. Ce résultat devrait inciter les autorités françaises et les entreprises à améliorer davantage leur environnement informationnel comme moyen indispensable pour réduire les coûts de l’asymétrie d’informations et prévenir le risque d’illiquidité. [less ▲]

Une mesure de performance normalisée

in AGEFI (2010)

Les engagements de pension selon l'IAS 19

in Revue Banque = Banque Magazine (2009)

Etude de faisabilité de la transposition en Belgique francophone du système français de gestion des « comptes de tiers »

Report (2009)

This report analyses the nature of the French CARPA system dedicated to the management of the "Third-Party Accounts" and considers the conditions that have to be fulfilled to consider its adaptation to ... [more ▼]

This report analyses the nature of the French CARPA system dedicated to the management of the "Third-Party Accounts" and considers the conditions that have to be fulfilled to consider its adaptation to the French Belgian case. [less ▲]

The determinants of CDS prices: an industry-based investigation

in Wagner, Niklas (Ed.) Credit Risk: Models, Derivatives and Management. Empirical Studies and Analysis. Financial Mathematics Series. (2008)