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See detailMarket efficiency and hedge fund trading strategies
Platania, Federico ULg; Lambert, Marie ULg; Papageorgiou, Nicolas

E-print/Working paper (2016)

Stock and option markets can at times reflect differing information. We identify three reasons for the presence of these periods of "disagreement" between the cash and derivatives markets: 1) high ... [more ▼]

Stock and option markets can at times reflect differing information. We identify three reasons for the presence of these periods of "disagreement" between the cash and derivatives markets: 1) high volatility and noise trading; 2) high level of risk aversion; 3) speculation versus hedging trades. This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option markets and the disagreement/agreement periods. We observe that a disparity in information between the two markets is often associated with deleveraging in directional exposures and reversal strategies. Posterior to the event, active tactical asset allocation in small and value factor investing takes place. We investigate four specific macro events which resulted in significant rebalancing by hedge fund manegers: the Thai Baht depreciation, the Dot-com bubble, the credit crunch and the Nasdaq correction. [less ▲]

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See detailThe market for solar cooling: perceptions, response and strategy implications
Choffray, Jean-Marie ULg; Lilien, Gary L.

in TIMS Studies in the Management Sciences (1978), 10

Solar cooling provides an energy alternative for the fastest growing component of US energy use. This paper outlines the use of an industrial marketing decision support system aimed at pinpointing areas ... [more ▼]

Solar cooling provides an energy alternative for the fastest growing component of US energy use. This paper outlines the use of an industrial marketing decision support system aimed at pinpointing areas of improvement in product design and at enhancing the effectiveness of the associated communication strategies. [less ▲]

Detailed reference viewed: 20 (0 ULg)
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See detailMarket index specification and estimation of risk on the Brussels Stock Exchange
Corhay, Albert ULg

in Recherches Economiques de Louvain (1992), 58(1), 85-107

Cet article démontre que le degré d'autocorrélation dans les rendements des indices de marché de la Bourse de Bruxelles dépend du nombre de titres qui interviennent dans le calcul de ces indices ainsi que ... [more ▼]

Cet article démontre que le degré d'autocorrélation dans les rendements des indices de marché de la Bourse de Bruxelles dépend du nombre de titres qui interviennent dans le calcul de ces indices ainsi que du délai d'ajustement du prix de ces titres à toute nouvelle information. Il examine également la relation entre la valeur du risque systématique, le choix d'un indice de marché et la longueur de l'intervalle utilisé pour calculer les rendements. De plus, les résultats obtenus révèlent l'existence de fluctuations saisonnières dans les coefficients d'autocorrélation et la valeur des coefficients betas. [less ▲]

Detailed reference viewed: 16 (2 ULg)
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See detailMarket integration: trade vs. economic geography
Tharakan, Joseph ULg; Thisse, Jacques

in Jovanovic, Miroslav (Ed.) International Handbook on the Economics of Integration (2011)

Detailed reference viewed: 90 (15 ULg)
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See detailMarket Maker
Bodson, Laurent ULg

in Wankel, Charles (Ed.) Encyclopedia of Business in Today's World (2008)

Detailed reference viewed: 57 (8 ULg)
See detailMarket Planning for New Industrial Products
Choffray, Jean-Marie ULg; Lilien, Gary

Book published by John Wiley (1980)

Detailed reference viewed: 317 (7 ULg)
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See detailMarket potential, productivity and foreign direct investment: some evidence from three case studies
Artige, Lionel ULg; Nicolini, Rosella

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 ▲]

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See detailMarket Power in the Credit Rating Industry: State of Play and Proposal for Reforms
Candelon, Bertrand; Gautier, Axel ULg; Petit, Nicolas ULg

in CPI Antitrust Chronicle (2014), 2

In recent years, the Credit Rating Agencies (“CRAs”) have been in the eye of the storm. Some argue that CRA rating errors—symptomatized by rating inflation or deflation—originate in excessive competition ... [more ▼]

In recent years, the Credit Rating Agencies (“CRAs”) have been in the eye of the storm. Some argue that CRA rating errors—symptomatized by rating inflation or deflation—originate in excessive competition. This paper argues that the low level of competition in credit rating is a better explanation for rating this phenomenon. [less ▲]

Detailed reference viewed: 102 (15 ULg)
See detailMarket Stock Liquidity and Corporate Governance
Sougné, Danielle ULg; Ajina, Aymen ULg

Conference (2012, June 14)

Detailed reference viewed: 53 (21 ULg)
See detailMarket supervision in the European Union. Integrated administration in constitutional context
Van Cleynenbreugel, Pieter ULg

Book published by Brill (2014)

In Market Supervision in the European Union, Pieter Van Cleynenbreugel compares and reconstructs the emergence of divergently structured supranational market supervision mechanisms in six different ... [more ▼]

In Market Supervision in the European Union, Pieter Van Cleynenbreugel compares and reconstructs the emergence of divergently structured supranational market supervision mechanisms in six different sectors of EU regulation (competition, financial services, chemicals, consumer law, electronic communications and energy). EU market supervision developments have been plentiful over the past decade, but have so far mainly been studied in their own sector-specific context. On the basis of an innovative cross-sector investigation, Pieter Van Cleynenbreugel identifies and conceptualises common or converging EU constitutional benchmarks underlying those sector-specific administrative design developments. Those benchmarks better allow to conceptualise, predict and restrain future EU integrated administration structures and initiatives in those and other fields of European Union law. [less ▲]

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See detailThe Market Timing Skills of Hedge Funds during the Financial Crisis
Cavé, Arnaud; Hübner, Georges ULg; Sougné, Danielle ULg

Conference (2011, March 22)

Purpose -- The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach -- The ... [more ▼]

Purpose -- The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach -- 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. Findings -- 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. Research limitations/implications -- The adjustment for market timing opens up the way to numerous tests over longer periods, and in particular comparative studies of hedge fund returns using nonlinear risk factors versus exposures to quadratic returns. Originality/value -- The paper suggests that the convexity in returns that is generally associated with market timing can be attributed to three sources: timing skills, exposure to nonlinear risk factors, or liquidity pressures. We manage to identify the impact of the latter two effects in the context of hedge funds. [less ▲]

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See detailThe Market Timing Skills of Hedge Funds during the Financial Crisis
Hübner, Georges ULg; Sougné, Danielle ULg; Cavé, Arnaud ULg

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 ▲]

Detailed reference viewed: 104 (12 ULg)
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See detailThe Market Timing Skills of Hedge Funds during the Financial Crisis
Hübner, Georges ULg; Sougné, Danielle ULg; Cavé, Arnaud ULg

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 ▲]

Detailed reference viewed: 98 (18 ULg)
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See detailThe Market Valuation of Corporate Restructuring in the Netherlands
Corhay, Albert ULg; Tourani Rad, Alireza

in Sander, Harald; Kim, Kwan; Foster, Stephen (Eds.) et al Economic and Corporate Restructuring: Experiences and Challenges of the Decade (1996)

Detailed reference viewed: 14 (2 ULg)
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See detailLe marketing de l'innovation
Choffray, Jean-Marie ULg

in Entreprendre et innover (1985)

Synthèse de la réflexion menée par un groupe de travail initié par la FNEGE, et ayant abouti au Colloque "Entreprendre et Innover" organisé en décembre 1984 à Grenoble.

Detailed reference viewed: 144 (0 ULg)
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See detailMarketing in Nollywood
Jedlowski, Alessandro ULg

in Mingant, Nolwenn (Ed.) Film Marketing Into the Twenty-First Century (2015)

Detailed reference viewed: 22 (3 ULg)
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See detailMarketing Science: Formalisation et Exploitation des Connaissances Marketing
Choffray, Jean-Marie ULg; Laurent, Gilles

in Helfer, J.P.; Orsoni, J. (Eds.) Encyclopédie du management (1992)

Le marketing est un domaine en pleine mutation. La transformation fondamentale de cette fonction de l'entreprise, suite à la décentralisation des capacités de calcul, à l'automatisation des procédures de ... [more ▼]

Le marketing est un domaine en pleine mutation. La transformation fondamentale de cette fonction de l'entreprise, suite à la décentralisation des capacités de calcul, à l'automatisation des procédures de recueil de l'information sur le comportement d'achat, ouvre de nouvelles perspectives en matière d'acquisition, de formalisation et de transfert des connaissances. [less ▲]

Detailed reference viewed: 41 (3 ULg)
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See detailLe Marketing stratégique et opérationnel, 6° Edition
Lambin, Jean-Jacques; Chumpitaz, Ruben; de Moerloose, Chantal ULg

Book published by Dunod - 6th (2005)

Detailed reference viewed: 255 (32 ULg)
See detailMarketing-Expert: Logiciels d'Aide à la Décision
Choffray, Jean-Marie ULg

Book published by McGraw-Hill (1985)

Detailed reference viewed: 56 (7 ULg)