References of "Cavenaile, Laurent"
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See detailThe Macroeconomics of PAYG Pension Schemes in an Aging Society
Artige, Lionel ULg; Cavenaile, Laurent; Pestieau, Pierre ULg

E-print/Working paper (2014)

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See detailLiquidity Constraints and Global Imbalances
Artige, Lionel ULg; Cavenaile, Laurent

Conference (2014, April 05)

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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 ▲]

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See detailNormalized Risk-Adjusted Performance Measures Revisited: The Performance of FoHFs Before and After the Crisis
Bodson, Laurent ULg; Cavenaile, Laurent; Coën, Alain

in Gregoriou, Greg (Ed.) RECONSIDERING FUNDS OF HEDGE FUNDS: THE FINANCIAL CRISIS AND BEST PRACTICES IN UCITS, TAIL RISK, PERFORMANCE, AND DUE DILIGENCE (2013)

This paper revisits the performance of funds of hedge funds after the crisis using normalized risk-adjusted performance measures based on multi-factor models. First, we develop performance measures able ... [more ▼]

This paper revisits the performance of funds of hedge funds after the crisis using normalized risk-adjusted performance measures based on multi-factor models. First, we develop performance measures able to capture the variety of systematic risk sources. Second, we deal with the impact of smoothing on the risk return properties of FoHF using an adjustment technic for illiquidity. Third, we implement unbiased estimators to correct for the econometric bias induced by errors-in-variables (EIV) in asset pricing models. With these different adjustments, we analyze the persistence and stability of performance measures before and after the crisis for a data base of funds of hedge funds. Our results clearly show that the normalized risk-adjusted performance measures corrected for smoothing effect and EIV outperform the alternatives measures before and after the crisis. [less ▲]

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See detailDebt, Pension and Demographics
Artige, Lionel ULg; Cavenaile, Laurent; Pestieau, Pierre ULg

Conference (2012, November 29)

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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 ▲]

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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 ▲]

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See detailGlobal imbalances, Exchange Rates and Economic Growth
Artige, Lionel ULg; Cavenaile, Laurent

Conference (2012, March 29)

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See detailDebt and Pension
Artige, Lionel ULg; Cavenaile, Laurent; Pestieau, Pierre ULg

Conference (2012, February 15)

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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: 63 (23 ULg)