References of "Bazgour, Tarik"
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See detailPerformance of Global Mutual Funds
Sougné, Danielle ULg; Bodson, Laurent ULg; Bazgour, Tarik ULg

in Filbeck, Greg; Baker, Kent (Eds.) Mutual Funds and Exchange-Traded Funds (2016)

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See detailConditional portfolio allocation: Does aggregate market liquidity matter?
Bazgour, Tarik ULg; Heuchenne, Cédric ULg; Sougné, Danielle ULg

in Journal of Empirical Finance (2016), 35

This paper investigates how aggregate liquidity influences optimal portfolio allocations across various US characteristic portfolios. We consider short-term allocation problems, with single and multiple ... [more ▼]

This paper investigates how aggregate liquidity influences optimal portfolio allocations across various US characteristic portfolios. We consider short-term allocation problems, with single and multiple risky assets, and use the nonparametric approach of Brandt (1999) to directly express optimal portfolio weights as functions of aggregate liquidity shocks. We find, first, that the effect of aggregate liquidity is positive and decreasing with the investment horizon. Second, at daily and weekly horizons, this effect is weaker on allocations in large stocks and gets stronger as we move toward small stocks, regardless of the other stock characteristics, suggesting that liquidity is the main concern of very short-term investors. Third, conditional allocations in risky assets decrease and exhibit shifts toward more liquid assets as aggregate liquidity worsens. Overall, conditioning on aggregate liquidity yields empirical results that are consistent with the so-called flight-to-safety and flight-to-liquidity episodes. Finally, we propose a simple tactical investment strategy and show how aggregate liquidity information can be exploited to enhance the out-of-sample performance of long-term strategies. [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)

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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)

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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)

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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 ▲]

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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: 54 (13 ULg)