Les publications des pôles de recherche 2008

Un appel à réactions a été effectué par l'EDHEC auprès des investisseurs institutionnels et des gérants d’actifs internationaux pour confronter leur perception des amendements aux normes IAS 39 et IFRS 7 non seulement aux conclusions de la première étude de l'EDHEC, mais surtout aux ambitions de ces réformes comptables préparées et mises en œuvre dans la plus grande hâte.

A “call for reaction” was sent by EDHEC to international institutional investors and asset managers to compare investor views of amendments to the IAS39 and IFRS 7 standards not just with the conclusions of an initial EDHEC study, but also with the ambitions of these reforms prepared and adopted in great haste.

L’EDHEC a réalisé en 2008 une étude portant sur l’évaluation de la performance des fonds d’investissement socialement responsable (ISR) distribués en France. Cette étude couvrait une période de six ans (2002-2007) et analysait plus particulièrement les fonds investis en actifs couvrant la France, la zone Euro et l’Europe.

This paper introduces a continuous-time dynamic asset allocation model for an investor facing liability constraints in the presence of inflation and interest rate risks.

Pour faire face à une crise financière majeure, les gouvernements européens ont mis en place des mesures de recapitalisation et de soutien à la liquidité du secteur bancaire.

Hull (2007) writes: “For an asset manager the greatest risk is operational risk”. In 2008, however, asset management companies came under severe pressure not from operational risk, but from market risk.

In this paper we analyze the conditions under which the presence of a multiplicative background risk induces a more “prudent” behavior.

Dans le cadre de l’élaboration de mesures visant à juguler la crise financière actuelle, un large débat s’est ouvert sur la part de responsabilité de la comptabilité en juste valeur dans l’accélération des tendances.

In the context of the measures being taken to put an end to the current financial crisis, the extent to which fair value accounting can be blamed—or whether it can be blamed at all—for the intensification of the slump has been widely debated.

Le constat des retards pris dans l’agenda de Lisbonne 2000-2010 en faveur de la recherche et de l’enseignement supérieur implique que des efforts importants doivent être fournis, en particulier en matière de financement de l’enseignement supérieur.

The position this paper takes is that if all institutional investors are bound by regulations that force them to sell risky assets during downturns, these assets will ultimately be absorbed by unregulated long-term investors.

The EDHEC Hedge Fund Reporting Survey is representative of the European hedge fund industry.

De la fin de l’année 2001 au 31 juillet 2008 le prix du pétrole a augmenté de 525% en USD. Nous pensons que les déséquilibres du marché et les problèmes de capacité de production dans les pays producteurs sont à l’origine de cette augmentation spectaculaire, même si la tentation de blâmer les spéculateurs se révèle trop forte pour de nombreux observateurs.

this paper describes the role of Transaction Cost Analysis in the fulfilment of the best execution obligation as well as the limits of existing frameworks.

Following recent research on the relevance of idiosyncratic risk in asset pricing models, Lionel Martellini proposes to use total volatility as a model-free estimate of a stock's excess expected return, and analyze the implications in terms of the design of improved equity benchmarks.

The recent pension crisis has triggered a fierce debate in most developed countries between advocates of tighter regulation designed to provide explicit incentives for pension funds to increase their focus on risk management and those arguing that imposing short-term funding constraints and solvency requirements on such long-term investors would only increase the cost of pension financing.

In summary, our position paper argues that with the fundamental supply-and-demand balance so tight and that with effective OPEC spare capacity so low it is logical to see very high prices to ration demand and/or encourage additional supply. That is the job and message of price, even if the message is unpopular.

A number of major investment banks and asset management consultants have recently launched investment products that promise to replicate hedge fund returns by following rule-based strategies that invest in liquid financial products.

We examine simple timing strategies for commodity momentum, based on whether the market is in backwardation or contango.

The publication that we are pleased to present here covers the industry reactions to an EDHEC study entitled “Asset-Liability Management Decisions in Private Banking,” which was drawn from EDHEC’s ALM and Asset Management research programme.

Instead of assuming the distribution of return series, Engle and Manganelli (2004) propose a new Value-at-Risk (VaR) modeling approach, Conditional Autoregressive Value-at-Risk (CAViaR), to directly compute the quantile of an individual asset’s returns which performs better in many cases than those that invert a return distribution.

Depuis leur apparition, les stock-options ont connu un succès important en tant que moyen d'incitation qui lie la rémunération des dirigeants à la performance boursière de leur entreprise.

Hedge funds are often referred to as absolute return strategies, yet investors are aware that most hedge funds do in fact take on a variety of systematic and quasi-systematic exposures.

This paper develops a capital asset pricing model based on the production side of a monetary economy.

Not all insiders are the same; some are more effective than others in processing the information they have access to, and invest their own wealth accordingly.

The survey we are pleased to present here is part of the EDHEC Risk and Asset Management Research Centre’s Indices and Benchmarking research programme headed by Felix Goltz and Lionel Martellini.

Cette étude évalue quantitativement le " double dividende " sur l'emploi d'une hausse de l'âge de départ en retraite. Nous montrons que si les individus partaient en retraite un an plus tard, typiquement en faisant passer de 60 à 61 ans l'âge minimum légal de départ, il pourrait en résulter une augmentation du taux d'emploi des 60-64 ans de 8 points.

The paper studies the temporal variations in the conditional correlations between REIT returns and equity, bond and commodity returns.

The article analyses the impact of trading costs on the profitability of momentum strategies in the UK and concludes that losers are more expensive to trade than winners.

This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets.

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the differences in returns between value and growth stocks.

In this paper, we analyze the rules and the practices of disclosure by parliamentarians in 126 countries.

While an ever increasing share of equity assets is invested in indexing strategies, the standard practice of using capitalisation weighting to construct stock market indices has been the object of much criticism.

Equity returns are more dependent in bear markets than in bull markets.

The article studies the temporal variations in the conditional return correlations between commodity futures and traditional asset classes (global stock and fixed-income indices).

This paper analyses a set of characteristics-based indices that have recently been launched on the US market and have been said to outperform standard market cap-weighted indices
over particular backtest samples.

During the last few years, there has been growing interest in the use of factor models for performing risk and exposure analysis of hedge funds.

In a context of moderate performance in the stock and bond markets in 2007, Funds of Hedge Funds, which are often taken to give an aggregate view of the industry's performance, returned 10.07% on average for the year, compared to 3.53% for the S&P 500 and 4.14% for the Lehman Global US Treasury Bond index.

La problématique du pouvoir d'achat et de la forte concentration des bas salaires en France conduit aujourd'hui à s'interroger sur le bien-fondé des allégements de charges tels qu'actuellement mis en oeuvre. L'instauration d'un dispositif alternatif, dont les modalités restent à préciser, a récemment été évoquée par Nicolas Sarkozy.

In its response to the CEIOPS consultation on the preliminary technical specifications for the fourth quantitative impact survey (QIS4), EDHEC argues that the main risk faced by life insurance companies is not taken into account in the standard formula.

Le protocole d'accord signé par une partie des partenaires sociaux laisse-t-il présager d'une flexisécurité " à la française " ? On est loin de la feuille de route initialement fixée par Nicolas Sarkozy durant la campagne présidentielle, c'est à-dire l'instauration d'un contrat unique à droits progressifs. Renoncer à ce dispositif n'est pas critiquable en soi, si une forme de contrat plus pertinente est proposée.

Djankov et al. (2003a) propose and measure for 109 countries in the year 2000 an index of formalism of legal procedure for two simple disputes: eviction of a non-paying tenant and collection of a bounced check. For a sub-sample of 40 countries, we compute this index every year starting in 1950, which allows us to study the evolution of legal rules.

The use of asset-based style analysis (ABS) in the context of hedge fund investmentts continues to take hold within the industry.

This survey assesses the current investment practices of asset management firms, institutional investors, and private wealth managers.