http://hdl.handle.net/2268/65 Search this channel search http://orbi.ulg.ac.be/simple-search http://hdl.handle.net/2268/148439 Title: Ticks of the trade: technical analysis self-justified <br/> <br/>Author, co-author: Claisse, Frédéric <br/> <br/>Abstract: As opposed to fundamental analysis, financial chartism (or technical analysis) is based on the assumption that future movements of a traded asset can be inferred from past regularities. In spite, or maybe by virtue of its lack of scientific grounds, it enjoys an ever-growing popularity among amateur traders, as countless websites provide free, simple and powerful tools for making professional-looking charts and even automate the detection of trends. Though technical analysts account for the validity of chart patterns in terms of market psychology, constructivist explanations also abound among trading communities: it is all as if economic agents reflexively used technical analysis as a means of coordination on the market. Markers like moving averages and trend lines serve as self-referent indicators whose efficacy only gets reinforced as more agents use it as pivotal points. Performativity is the technical analyst’s most natural language: explicit mentions to mechanisms such as the self-fulfilling prophecy or the Keynesian beauty contest are the only justifications s/he needs. Some chartists even claim their discipline does not contradict the efficient-market hypothesis: if prices already reflect all past publicly available information, one may skip the hassle of dissecting balance sheets or mastering pricing models, focusing instead on candlestick or diagram patterns which, by conjecture, contain all the necessary information to explain price movements. Drawing on the comparative analysis of nonprofessional trading blogs, our paper examines how these major epistemic modes of justification of technical analysis have come to support each other, in a context of proliferation of charting tools. http://hdl.handle.net/2268/147865 Title: New issues for the Goodness-of-fit test of the error distribution : a comparison between Sinh-arscinh and Generalized Hyperbolic distribution <br/> <br/>Author, co-author: Hambuckers, julien; Heuchenne, Cédric <br/> <br/>Abstract: In this article, we consider a multiplicative heteroskedastic structure of financial returns and propose a methodology to study the goodness-of-fit of the error distribution. We use non-conventional estimation and model selection procedures (Berk-Jones (1978) tests, Sarno and Valente (2004) hypothesis testing, Diks et al. (2011) weighting method), based on the local volatility estimator of Mercurio and Spokoiny (2004) and the bootstrap methodology to compare the fit performances of candidate density functions. In particular, we introduce the sinh-arcsinh distributions (Jones and Pewsey, 2009) and we show that this family of density functions provides better bootstrap IMSE and better weighted Kullback-Leibler distances. http://hdl.handle.net/2268/147134 Title: Risk Horizon and Expected Market Returns <br/> <br/>Author, co-author: Hübner, Georges; Lejeune, Thomas http://hdl.handle.net/2268/147132 Title: Risk Horizon and Expected Market Returns <br/> <br/>Author, co-author: Hübner, Georges; Lejeune, Thomas <br/> <br/>Abstract: The paper proposes an equilibrium asset pricing model that accounts of the incomplete information on returns distribution and investors' preferences. Only moments up to order four of unknown unconditional distribution can be observed, and the model does not impose that portfolio diversi fication or moments preference should hold. Using Chebyshev-type of inequalities, an intuitive risk measure (risk horizon) is introduced with reference to the speed of convergence of a security's mean return to its expectations. By an arbitrage argument, this risk measure is related to the horizon of treasury securities in a system of equations that allows the calibration of the model parameters using term structure information. In particular, the expected return on the market portfolio can be endogenously estimated inside this system. The model calibration on U.S. market data provides plausible parameters estimates and interesting cyclical patterns in the time series of the expected return. The empirical relevance of these estimates is examined with tests of statistical and economic predictive ability for stock excess returns. The results provide signi ficant evidence on the added value of the estimates when compared to popular predictors found in the literature (see a.o. Lettau and Ludvigson, 2001; Rapach and Wohar, 2006; Goyal and Welch, 2008). http://hdl.handle.net/2268/146967 Title: Do Mutual Fund Investors Still Trust Standard Risk-Adjusted Performance Measures? <br/> <br/>Author, co-author: Bodson, Laurent; Cave, Arnaud; Sougné, Danielle <br/> <br/>Abstract: We study the relationship between the risk-adjusted performance of mutual funds and their money flows (i.e. their subscriptions and redemptions). Testing the most traditional risk-adjusted performance measures, we identify the ones which best explain the flows of equity, bond or mixed funds. The risk-adjusted performance measures which attract the most the attention from investors are the Information ratios (mono- and multi-factor), the M-squared and the Sharpe ratios (traditional Sharpe ratios and Sharpe MVaR). We may conclude that fund managers who want to maximize their AuM (and, if applicable, increase their AuM based fees) must mainly focus their efforts on improving these standard performance measures. Furthermore, we also demonstrate that the performance-flow relationship is concave then convex. Indeed, amongst the funds with a negative performance, those achieving the worst results are affected by disproportionately high net outflows whereas, on the opposite side of the spectrum, the most successful funds experience much higher capital inflows. http://hdl.handle.net/2268/146901 Title: Le financement des associations en Belgique francophone <br/> <br/>Author, co-author: Mertens de Wilmars, Sybille; Marée, Michel <br/> <br/>Abstract: En raison de la nature de leurs activités et de leur finalité non lucrative, les associations rencontrent des problèmes spécifiques de financement, que ce soit au niveau de leurs opérations courantes ou de leurs dépenses d'investissements. Toutefois, Il existe encore peu d'études empiriques sur cette question dans les pays francophones, de sorte que nombre d'a priori - comme par exemple le fait que les associations auraient peu de garanties à offrir aux banques - sont communément admis sans qu'ils soient validés par des données de terrain. Pour mieux cerner la problématique du financement de l'associatif dans ses dimensions concrètes, on a réalisé un premier "état des lieux" du financement du secteur associatif en Belgique francophone (Wallonie et Bruxelles) en procédant à une enquête auprès d'un échantillon représentatif. Un des enseignements de cette recherche concerne précisément les relations avec les institutions bancaires. En cas de difficultés de trésorerie, la moitié à peine des associations recourent au crédit de caisse, les autres préférant se tourner vers leurs membres, vers les pouvoirs publics ou encore vers une autre association. Moins nombreuses encore sont les associations qui s'adressent aux banques pour financer leurs investissements. Mais contrairement à l'opinion courante, la principale raison ne réside ni dans les difficultés d'obtention d'un crédit, ni dans la lourdeur des formalités nécessaires : si les associations n'empruntent guère aux banques, c'est essentiellement pour des raisons de principe (ne pas s'endetter auprès des institutions bancaires). Ces raisons sont vraisemblablement liées, d'une part, à une aversion plus marquée du risque que les PME et, d'autre part, à une prise de distance à l'égard des principes de l'économie marchande. http://hdl.handle.net/2268/146761 Title: Comparison Between Mornigstar Ratings And Traditional Performance Measures Ratings <br/> <br/>Author, co-author: Bodson, Laurent; Delhalle, Stéphanie; Sougné, Danielle <br/> <br/>Abstract: In this paper, we compare Morningstar ratings with those obtained using the same methodology of rating attribution with a set of commonly used performance measures. We look at three types of investment horizons: 3-year, 5-year and 10-year ratings. Our analysis focuses on Open-End US Mutual Funds available in Morningstar Direct Database from which we create three sets of 16,617, 13,505 and 7,992 funds corresponding respectively to the three investment horizons analyzed. Our results show that Morningstar ratings are very close (correlation around 80%) to ratings obtained with Sharpe’s alpha, Jensen’s alpha, Four-factor alpha and Excess returns. And less significantly, we also observe that ratings given by the Sortino ratio, Sharpe MVaR, M-squared, Sharpe ratio, One-factor information ratio, Four-factor information ratio, Prospect ratio and Stutzer index are quite similar to Morningstar’s ratings (correlation lying between 70% and 78%). At the other end of the spectrum, however, ratings obtained with Annual return diverge widely from Morningstar ratings. We also analyse which explanatory variables can explain the differences between ratings computed with Morningstar as compared with the alternative performance measures using a probit regression. We find that Load adjustments, tax and risk included by Morningstar in the computation of MRAR are often determining. Expense ratio, Return Skewness and the three factors of the Fama-French model (Beta, Size load and Book-to-market loading) can be significant determinants depending on the performance measure analyzed and on the selected investment horizon. Fund characteristics such as Age, Fund size, Turnover rate and Manager tenure are not statistically significant in determining the differences in ratings. Besides, we analyze differences between ratings (in terms of number of STARs) and we confirm previous results (i.e. the link between Morningstar’s and the alternative performance measures, but also the explanatory capacity of the load for lots of differences between ratings). Finally, we test all possible combinations of our set of performance measures, and observe that Sharpe’s alpha, excess return, Sharpe MVaR, Four-factor alpha and Jensen’s alpha are part of the best combinations. As a conclusion, Morningstar ratings can be replicated using simple and traditional performance measures but the replication is less accurate when tax and loads features are important. Therefore, Morningstar data management and access bring the most of its ratings’ value added. http://hdl.handle.net/2268/146678 Title: Excess Return Forecast Using a Dynamic Asset Class Factor Model <br/> <br/>Author, co-author: Hübner, Georges; Sougné, Danielle; Wijnandts, Jean-Charles <br/> <br/>Abstract: We propose a Dynamic Hierarchical Factor Model using Asset classes to predict mutual funds excess returns. We use different forecast combination schemes of bivariate model considering each asset class factor in isolation. Primary analysis highlights the importance to account for asset class specific variations together with between classes or common variations. Further refinements of the a priori repartition are however in order. Forecasting performance of the model outperforms the historical mean benchmark both in terms of MSPE and utility based criteria. A forecasting exercise matching more closely real-time conditions must be undertaken to validate these initial results. http://hdl.handle.net/2268/145857 Title: Higher-moment risk exposures in hedge funds <br/> <br/>Author, co-author: Lambert, Marie; Hübner, Georges; Papageorgiou, Nicolas http://hdl.handle.net/2268/145446 Title: Normalized Risk-Adjusted Performance Measures Revisited: The Performance of FoHFs Before and After the Crisis <br/> <br/>Author, co-author: Bodson, Laurent; Cavenaile, Laurent; Coën, Alain <br/> <br/>Abstract: 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. http://hdl.handle.net/2268/145345 Title: La gouvernance d’entreprise : outil pour améliorer la liquidité des titres <br/> <br/>Author, co-author: Ajina, Aymen; Sougné, Danielle <br/> <br/>Abstract: Based on a cross-sectional analysis, our study of the empirical relation between the corporate governance and the stock liquidity was realized on 160 French companies during 2007, 2008 and 2009. The handled mechanisms include the characteristics of the board of directors and the audit committee. Our results seem to indicate a significant effect of certain mechanisms of corporate governance on the liquidity of the French market. These mechanisms can reduce the asymmetry of information between the investors, make the exchanges more transparent and provoke an improvement of the liquidity on the market. These results suggest that firms with better corporate governance may reduce the informative asymmetry and improve the liquidity of its stocks. http://hdl.handle.net/2268/144582 Title: Conditional Asset Allocation: Does Market Wide liquidity Matter? <br/> <br/>Author, co-author: Bazgour, Tarik; Sougné, Danielle; Heuchenne, Cédric http://hdl.handle.net/2268/143194 Title: Multiple Criteria and Multiple Periods Performance Analysis: The Comparison of North African Railways <br/> <br/>Author, co-author: Mbangala, Mapapa; Colson, Gérard; Sabri, Karim <br/> <br/>Abstract: Multi‐period differences of technical and financial performances are analysed by comparing five North African railways over the period (1990–2004). A first approach is based on the Malmquist DEA TFP index for measuring the total factors productivity change, decomposed into technical efficiency change and technological changes. A multiple criteria analysis is also performed using the PROMETHEE II method and the software ARGOS. These methods provide complementary detailed information, especially by discriminating the technological and management progresses by Malmquist and the two dimensions of performance by Promethee: that are the service to the community and the enterprises performances, often in conflict. http://hdl.handle.net/2268/142963 Title: Essays in Portfolio Performance Analysis <br/> <br/>Author, co-author: Cogneau, Philippe http://hdl.handle.net/2268/142215 Title: Currency Total Return Swaps: Valuation and Risk Factor Analysis <br/> <br/>Author, co-author: Cuchet, Romain; François, Pascal; Hübner, Georges <br/> <br/>Abstract: Currency total return swaps (CTRS) are hybrid derivatives instruments that allow to simultaneously hedge against credit and currency risks. We develop a structural credit risk model to evaluate CTRS premia. Empirical test on a sample of 23,005 price observations from 59 underlying issuers yields an average percentage error of around 10%. This indicates that, beyond interest rate risk, firm-specific factors are major drivers of the variations in the valuation of these instruments. Regression analysis of residuals shows that exchange rate determinants account for up to 40% of model pricing errors — indicating that a currency risk premium affects the CTRS price significantly but only marginally, which confirms the prevalence of credit risk in the pricing of CTRS. http://hdl.handle.net/2268/142132 Title: Predicting funds of hedge funds attrition through performance diagnostics <br/> <br/>Author, co-author: Cogneau, Philippe; Debatty, Philippe; Hübner, Georges <br/> <br/>Abstract: The analysis of individual mutual funds survivorship reveals that a model based on the consideration of a wide class of performance measures can be a solid predictor of their disappearance. Given the importance of performance fees, this phenomenon is likely to be all the more relevant for funds of hedge funds. In this analysis, we apply a diagnostics methodology to predict the disappearance of funds of hedge funds from databases, which we consider a sign of their attrition. Our research shows that prediction is also possible for these types of hedge funds, and even that the predictive ability of the model is stronger than for mutual funds. http://hdl.handle.net/2268/137881 Title: Risk Horizon and Equilibrium Asset Prices <br/> <br/>Author, co-author: Hübner, Georges; Lejeune, Thomas http://hdl.handle.net/2268/137444 Title: Measuring downside and extreme risk allocation in equity hedge funds <br/> <br/>Author, co-author: Lambert, Marie http://hdl.handle.net/2268/137440 Title: Comoment risk and stock return <br/> <br/>Author, co-author: Lambert, Marie; Hübner, Georges http://hdl.handle.net/2268/137435 Title: Higher-moment risk exposures in hedge funds <br/> <br/>Author, co-author: Lambert, Marie; Hübner, Georges; Papageorgiou, Nicolas