References of "Cavenaile, Laurent"
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See detailA Note on the Use of the Modified Value-at-Risk
Cavenaile, Laurent ULg; Lejeune, Thomas ULg

in Journal of Alternative Investments (2012), 14(4), 79-83

While the Modified Value-at-Risk (or Cornish Fisher Value-at-Risk) has been quite extensively used by practitioners and academics since its introduction, we show that it can be consistently used only over ... [more ▼]

While the Modified Value-at-Risk (or Cornish Fisher Value-at-Risk) has been quite extensively used by practitioners and academics since its introduction, we show that it can be consistently used only over a limited interval of confidence level. Confidence level below 95.84% should never be used for the Modified Value-at-Risk to be consistent with investors' preferences for kurtosis. In addition, the use of higher confidence level is restricted by the value of the skewness. Failure to respect these restrictions on confidence levels results in mistakenly assessing assets' risk and potentially in overweighting assets which exhibit undesirable properties in terms of higher moments. [less ▲]

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See detailA Growth Model of Global Imbalances
Artige, Lionel ULg; Cavenaile, Laurent ULg

Conference (2011, August 29)

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See detailA Calibrated Growth Model of Global Imbalances
Artige, Lionel ULg; Cavenaile, Laurent ULg

E-print/Working paper (2011)

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See detailStock markets,banks and long run economic growth: a panel cointegration-based analysis
Cavenaile, Laurent ULg; Gengenbach, Christian; Palm, Franz

E-print/Working paper (2011)

The aim of this paper is to investigate the long run relationship between the development of banks and stock markets and economic growth. We make use of the Groen and Kleibergen (2003) panel cointegration ... [more ▼]

The aim of this paper is to investigate the long run relationship between the development of banks and stock markets and economic growth. We make use of the Groen and Kleibergen (2003) panel cointegration methodology to test the number of cointegrating vectors among these three variables for 5 developing countries. In addition, we test the direction of potential causality between nancial and economic development. Our results conclude to the existence of a single cointegrating vector between nancial development and growth and of causality going from nancial development to economic growth. We nd little evidence of reverse causation as well as bi-directional causality. [less ▲]

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See detailA Growth Model of Global Imbalances
Artige, Lionel ULg; Cavenaile, Laurent ULg

Conference (2011, March 18)

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See detailThe Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential
Cavenaile, Laurent ULg; Coen, Alain; Hübner, Georges ULg

in Journal of Alternative Investments (2011), 13(4),

This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian ... [more ▼]

This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian distribution of hedge funds returns. We use two risk metrics: the Modified Value-at-Risk and a preference-based measure retrieved from the linear-exponential utility function. Second, we revisit the hedge fund diversification effect with these adjustments for illiquidity. Our results report similar fund performance rankings and optimal hedge fund strategy allocations for both adjusted metrics. We also show that the benefits of hedge funds in portfolio diversification are still persistent but tend to weaken after the adjustment for illiquidity. [less ▲]

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See detailUnexpected Correlations in Fama-MacBeth Methodology Outcomes
Cavenaile, Laurent ULg; Dubois, David ULg; Hlávka, Jaroslav

in IUP Journal of Financial Economics (2011), IX(1), 7-23

This paper examines the Fama-MacBeth test of asset pricing models through its application to the Fama and French model. The Fama and French 25 sorted portfolios, 30 industrial portfolios and their ... [more ▼]

This paper examines the Fama-MacBeth test of asset pricing models through its application to the Fama and French model. The Fama and French 25 sorted portfolios, 30 industrial portfolios and their combination have been used. The data of monthly observations span over the period 1963-2008. Fama-MacBeth results reject the validity of the Fama and French model, but the presence of unexpected correlation casts doubt on these results. [less ▲]

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See detailAn empirical analysis of income convergence in the European Union
Cavenaile, Laurent ULg; Dubois, David ULg

in Applied Economics Letters (2011), 18(17), 1705-1708

In this article, we investigate the convergence process within the European Union. More particularly, we study the convergence process of the new entrants from Central and Eastern Europe and of the 15 ... [more ▼]

In this article, we investigate the convergence process within the European Union. More particularly, we study the convergence process of the new entrants from Central and Eastern Europe and of the 15 Western countries between 1990 and 2007. Applying a panel approach to the convergence equation derived from the Solow model, we show that new entrants and former members of the European Union can be seen as belonging to different groups of convergence. The existence of heterogeneity in the European Union or the Eurozone might affect their stability as the recent Greece’s sovereign debt crisis illustrates it. [less ▲]

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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)

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See detailUne mesure de performance normalisée
Bodson, Laurent ULg; Cavenaile, Laurent ULg; Sougné, Danielle ULg

Article for general public (2010)

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See detailA Growth Model of Global Imbalances
Artige, Lionel ULg; Cavenaile, Laurent ULg

E-print/Working paper (2010)

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See detailAn Empirical Analysis of Income convergence in the European Union
Cavenaile, Laurent ULg; Dubois, David ULg

E-print/Working paper (2010)

In this paper, we investigate the convergence process within the European Union (27 countries). More particularly, we study the convergence process of the new entrants from Central and Eastern Europe and ... [more ▼]

In this paper, we investigate the convergence process within the European Union (27 countries). More particularly, we study the convergence process of the new entrants from Central and Eastern Europe and of the 15 Western countries between 1990 and 2007. Applying a panel approach to the convergence equation derived by Mankiw et al. (1992) from the Solow model, we highlight the existence of heterogeneity in the European Union and show that new entrants and former members of the European Union can be seen as belonging to significantly differ- ent groups of convergence. The existence of heterogeneity in the European Union or the Eurozone might affect their stability as the recent Greece’s sovereign debt crisis illustrates it. [less ▲]

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