References of "Bazgour, Tarik"
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See detailThree Essays on Market Liquidity in Equity Markets
Bazgour, Tarik ULg

Doctoral thesis (2016)

Over the past decades, market liquidity has been a major issue for stock market participants and even becomes one of the most important challenges since the recent financial crisis. In this context, this ... [more ▼]

Over the past decades, market liquidity has been a major issue for stock market participants and even becomes one of the most important challenges since the recent financial crisis. In this context, this dissertation is centered on this topic and presents three empirical essays incorporating liquidity considerations in three different subfields of Finance, namely, asset pricing, portfolio allocation and mutual fund timing. The first essay (Chapter 2) is related to asset pricing and demonstrates that liquidity and quality are priced characteristics in the stock market, but their pricing is conditional on market volatility conditions. The second essay (Chapter 3) is devoted to portfolio allocation and shows that aggregate market liquidity shocks has a significant influence on optimal portfolio allocations. In addition, it emphasizes that liquidity-responsive strategies could be a valuable tool for investors and portfolio managers to actively manage risks and capture return opportunities. The third essay (Chapter 4) focuses rather on mutual fund timing and examines what style liquidity timing skills may mutual fund managers possess. This study highlights that, in anticipation of aggregate market liquidity changes, mutual funds do not switch their investments between stocks and cash but they rather switch between only small and large stocks. Overall, the main message to take away from this research is that investors and portfolio managers should take into consideration both the liquidity of their individual stocks and the liquidity of the market as a whole. [less ▲]

Detailed reference viewed: 37 (4 ULg)
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)

Detailed reference viewed: 66 (22 ULg)
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See detailWhat Style Liquidity Timing Skills Do Mutual Fund Managers Possess?
Bazgour, Tarik ULg; Bodson, Laurent ULg; Sougné, Danielle ULg

in Financial Review (2016)

Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four-factor case and investigate liquidity timing skills ... [more ▼]

Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four-factor case and investigate liquidity timing skills with respect to the MARKET, SIZE, VALUE and MOMENTUM factors. Contrary to these claims, we find no evidence that fund managers adjust market exposure in anticipation of market liquidity changes. We find rather strong evidence that fund managers successfully overweight small stocks as market liquidity increases. Our study also demonstrates that it is easy to misidentify SIZE liquidity timing as MARKET liquidity timing in models that focus only on MARKET liquidity timing. [less ▲]

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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)

Detailed reference viewed: 31 (15 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: 38 (14 ULg)
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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: 65 (14 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: 55 (13 ULg)