References of "Sougné, Danielle"
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See detailConditional asset allocation: Does Market-Wide Liquidity Matter?
Bazgour, Tarik ULg; Sougné, Danielle ULg; Heuchenne, Cédric ULg

E-print/Working paper (2012)

This paper investigates the effect of market-wide liquidity on optimal portfolio allocations across US equity portfolios sorted by size and book-to-market characteristics. In particular, we consider a ... [more ▼]

This paper investigates the effect of market-wide liquidity on optimal portfolio allocations across US equity portfolios sorted by size and book-to-market characteristics. In particular, we consider a single-period investor with a relative risk aversion of 5, and use the nonparametric approach of Brandt (1999) to directly express optimal portfolio weights as functions of market-wide liquidity innovations. We find, first, that the effect of market-wide liquidity is a decreasing function of investment horizon. Second, this effect is stronger in allocations in the small stock portfolio and gets weaker as we move towards the large stock portfolio. Third, conditional allocations in risky asset(s) decrease and exhibit shifts towards more liquid and less risky assets as market-wide liquidity worsens. Overall, our results show that allocations based on market-wide liquidity as a signal capture many phenomena that have been identified by researchers in the US market, such as the so-called “flight-to-safety”, flight-to-quality” and “flight-to-liquidity” episodes. Furthermore, in an out-of-sample test, results demonstrate the superior performance of a strategy based on market-wide liquidity compared to a benchmark strategy. [less ▲]

Detailed reference viewed: 53 (11 ULg)
See detailCDS and Financial Stability
Sougné, Danielle ULg; Mattar, Jamal ULg

Conference (2012, September 20)

Detailed reference viewed: 112 (8 ULg)
See detailConditional Asset Allocation: Does Market-Wide Liquidity Matter?
Sougné, Danielle ULg; Heuchenne, Cédric ULg; Bazgour, Tarik ULg

Conference (2012, September 19)

Detailed reference viewed: 44 (11 ULg)
See detailCDS and financial stability
Sougné, Danielle ULg; Mattar, Jamal ULg

Conference (2012, August 01)

Detailed reference viewed: 52 (15 ULg)
Peer Reviewed
See detailDo Mutual Fund Investors Still Trust Standard Risk-Adjusted Performance Measures?
Sougné, Danielle ULg; Bodson, Laurent ULg; Cave, Arnaud

Conference (2012, August)

Detailed reference viewed: 37 (19 ULg)
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See detailDo Mutual Fund Investors Still Trust Standard Risk-Adjusted Performance Measures?
Bodson, Laurent ULg; Cave, Arnaud; Sougné, Danielle ULg

E-print/Working paper (2012)

We study the relationship between the risk-adjusted performance of mutual funds and their money flows (i.e. their subscriptions and redemptions). Testing the most traditional risk-adjusted performance ... [more ▼]

We study the relationship between the risk-adjusted performance of mutual funds and their money flows (i.e. their subscriptions and redemptions). Testing the most traditional risk-adjusted performance measures, we identify the ones which best explain the flows of equity, bond or mixed funds. The risk-adjusted performance measures which attract the most the attention from investors are the Information ratios (mono- and multi-factor), the M-squared and the Sharpe ratios (traditional Sharpe ratios and Sharpe MVaR). We may conclude that fund managers who want to maximize their AuM (and, if applicable, increase their AuM based fees) must mainly focus their efforts on improving these standard performance measures. Furthermore, we also demonstrate that the performance-flow relationship is concave then convex. Indeed, amongst the funds with a negative performance, those achieving the worst results are affected by disproportionately high net outflows whereas, on the opposite side of the spectrum, the most successful funds experience much higher capital inflows. [less ▲]

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See detailA Global Approach to Mutual Funds Market Timing Ability
Sougné, Danielle ULg; Bodson, Laurent ULg; Cavenaile, Laurent

E-print/Working paper (2012)

In this paper, we globally investigate market timing abilities of mutual fund managers from the three perspectives: market return, market-wide volatility and aggregate liquidity. We propose a new ... [more ▼]

In this paper, we globally investigate market timing abilities of mutual fund managers from the three perspectives: market return, market-wide volatility and aggregate liquidity. We propose a new 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 really due to manager market timing skills while allowing 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 analyze 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: 87 (7 ULg)
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See detailDo Mutual Fund Investors Still Trust Standard Risk-Adjusted Performance Measures?
Sougné, Danielle ULg; Bodson, Laurent ULg; Cave, Arnaud

E-print/Working paper (2012)

We study the relationship between the past performance of mutual funds and their capital flows (i.e. their subscriptions and redemptions). Testing the most traditional risk-adjusted performance measures ... [more ▼]

We study the relationship between the past performance of mutual funds and their capital flows (i.e. their subscriptions and redemptions). Testing the most traditional risk-adjusted performance measures, we identify the ones which best explain the flows of US equity mutual funds. [less ▲]

Detailed reference viewed: 44 (6 ULg)
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Peer Reviewed
See detailFinancial Development and Economic Growth: an Empirical Investigation of the Role of Banks and Institutional Investors
Sougné, Danielle ULg; Cavenaile, Laurent

in Applied Financial Economics (2012), 22(20), 1719-1725

This paper gives a new light on the finance-growth nexus through the investigation of the role of institutional investors as providers of risk diversification in the process of economic growth. We make ... [more ▼]

This paper gives a new light on the finance-growth nexus through the investigation of the role of institutional investors as providers of risk diversification in the process of economic growth. We make use of panel cointegration techniques to study the potential long run relationship between economic growth, banking development and institutional investors in 6 OECD countries. Our results highlight some heterogeneity in the long run relationship between financial development and growth. Institutional investors are shown to support long run economic growth in only 2 countries. We also report a negative long run relationship between both indicators of financial development. [less ▲]

Detailed reference viewed: 80 (25 ULg)
Peer Reviewed
See detailL'impact de la divulgation d'informations sur la liquidité du marché français
Ajina, Aymen ULg; Sougné, Danielle ULg; Lakhal, Faten

in Finance et Stratégies de Développement (2012)

This paper examines the relationship between the quality of financial disclosure and the French stock-market liquidity. Based on a sample of 196 firms over a period from 2004 to 2007, we find that there ... [more ▼]

This paper examines the relationship between the quality of financial disclosure and the French stock-market liquidity. Based on a sample of 196 firms over a period from 2004 to 2007, we find that there is a positive and statistically significant relationship between the quality of Annual Reports and market liquidity. This result should encourage French authorities to develop the informational environment as an indispensable means to prevent the risk of illiquidity. [less ▲]

Detailed reference viewed: 74 (16 ULg)
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Peer Reviewed
See detailContagion inside the Credit Default Swaps markets in the light of 2008 crisis
Sougné, Danielle ULg; Mattar, Jamal ULg

in Journal of Business and Economics (2012)

Detailed reference viewed: 94 (10 ULg)
Peer Reviewed
See detailThe impact of corporate disclosures on information asymmetry and stock-market liquidity in France
Sougné, Danielle ULg; Ajina, Aymen ULg

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 ▲]

Detailed reference viewed: 68 (16 ULg)
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Peer Reviewed
See detailCounterparty Risk in Credit Default Swaps Markets, Multiple Questions to Be Checked
Mattar, Jamal; Sougné, Danielle ULg

in Journal of Business and Economics (2011), 2(5), 354-362

Detailed reference viewed: 114 (31 ULg)
See detailThe Market Timing Skills of Hedge Funds during the Financial Crisis
Cavé, Arnaud; Hübner, Georges ULg; Sougné, Danielle ULg

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 ▲]

Detailed reference viewed: 8 (4 ULg)
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Peer Reviewed
See detailDoes Size Affect Mutual Fund Performance? A General Approach
Sougné, Danielle ULg; Bodson, Laurent ULg; Cavenaile, Laurent

in Journal of Asset Management (2011), 12(3n), 163-171

Detailed reference viewed: 67 (25 ULg)
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Peer Reviewed
See detailThe Market Timing Skills of Hedge Funds during the Financial Crisis
Hübner, Georges ULg; Sougné, Danielle ULg; Cavé, Arnaud ULg

in Managerial Finance (2011), vol 38(issue 1), 4-26

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 ▲]

Detailed reference viewed: 77 (13 ULg)
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See detailThe Market Timing Skills of Hedge Funds during the Financial Crisis
Hübner, Georges ULg; Sougné, Danielle ULg; Cavé, Arnaud ULg

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 ▲]

Detailed reference viewed: 96 (9 ULg)
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See detailHow to Asess a Manager Recovery Skill?
Sougné, Danielle ULg; Bodson, Laurent ULg; Plunus, Séverine ULg et al

Scientific conference (2010, October 21)

Detailed reference viewed: 16 (5 ULg)
Peer Reviewed
See detailCounterparty Risk in Credit Default Swaps Markets
Sougné, Danielle ULg; Mattar, Jamal ULg

Conference (2010, July 04)

Detailed reference viewed: 11 (2 ULg)