Market potential, productivity and foreign direct investment: some evidence from three case studies

in European Planning Studies (2010), 18(2), 147-168

This paper aims at analysing the importance of local determinants to foreign direct investment (FDI) in three European regional case studies. The originality of the approach lies in the use of ... [more ▼]

This paper aims at analysing the importance of local determinants to foreign direct investment (FDI) in three European regional case studies. The originality of the approach lies in the use of disaggregated data by sector and by region. The results are threefold. First, regional demand and productivity are fundamental FDI determinants, confirming most studies with national data. Second, regional FDI inflows are more dependent on regional than national determinants. Finally, the effect of market potential measured with absolute GDP on regional FDI diminishes linearly with distance and does not when measured with GDP per capita. [less ▲]

The Market Timing Skills of Hedge Funds during the Financial Crisis

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 ▲]

The Market Timing Skills of Hedge Funds during the Financial Crisis

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 ▲]

Marketing antecedents of industrial brand equity: An empirical investigation in specialty chemicals

in Industrial Marketing Management (2005), 34(8), 841-847

Marketing-Expert: Logiciels d'Aide à la Décision

Book published by McGraw-Hill (1985)

Marocains de Belgique : du travailleur immigré au citoyen transnational

in Hommes & Migrations (2003), 1242(Mars-Avril), 94-106

MARPOL Project, Madagascar

Report (2003)

Recommendations pour l'application des directives MARPOL à MAdagascar. Mission d'identification.

Marquage d'oligonucléotides au fluor-18 pour l'étude de leur biodistribution chez le rongeur par tomographie par émission de positons.

Conference (2009, October)

Marquage moléculaire et suivi de l'introgression chez Gossypium hirsutum L. des gènes de G. sturtanium Willis contrôlant l'inhibition de la syntèse du gossypol uniquement dans la graine

Poster (2002)

Marqueurs biologiques de souffrance musculaire et cardiaque pendant des contractions excentriques

in Actes de la Réunion Annuelle de la Société Belge de la Médecine et des Sciences du Sport (2000)