Les publications des pôles de recherche 2011

This paper proposes a new methodology to estimate a share's equity duration by using analysts'cash-flow forecasts.

Cette étude complète les travaux de l'EDHEC sur les rendements de l'enseignement supérieur par l'estimation de l'influence de l'origine sociale sur la distribution de ces rendements.

The present position paper addresses the measures for implementation of the alternative investment fund managers’ directive (AIFMD).

As the choice of an index is a crucial step in both asset allocation and performance measurements, it is useful to investigate index use and perceptions about indices. The EDHEC-Risk European Index Survey 2011 analyses the current uses of and opinions on stock, bond and equity volatility indices with the aim of providing unique insight into the users’ perspective in the index industry. Opinions from 104 institutional investment managers were gathered, representing approximately seven trillion euros of assets under management.

Performance measurement of socially responsible investment (SRI) has been the subject of numerous studies in various countries. However, the conclusions of performance assessments always depend on the choice of the reference index one uses.

Cette étude est consacrée à la légitimité des équipes dirigeantes en France. Elle présente les résultats d’une recherche menée au printemps 2010 auprès de 470 collaborateurs des entreprises. Celle-ci visait à mesurer le niveau et les déterminants de la légitimité attribuée au dirigeant (i.e. le directeur général) ainsi que l’influence de cette dernière sur la mobilisation des collaborateurs (cadres et employés).

This publication presents the results of the latest research on commodity futures investing done at EDHEC-Risk Institute with the support of CME Group.

This publication presents the results of the latest research on structured forms of investment strategies done at EDHEC-Risk Institute with the support of Societe Generale Corporate & Investment Banking and under the leadership of Stoyan Stoyanov, Head of Research at EDHEC Risk Institute–Asia and Professor of Finance at EDHEC Business School.

This paper examines issues related to the estimation of the long-run government spending multiplier (GSM) in a Dynamic Stochastic General Equilibrium context.

Food price volatility has spiked to levels last seen in the 1970s. For low-income countries, food price hikes, such as have occurred recently, tend to significantly increase the incidence of intra-state conflicts, according to IMF research.

Because innovation is costly and inherently uncertain, firms cannot always innovate alone. Searching for a partner is thus crucial.

Almost each time volatility in equity, debt, or currency markets increases, there are cries to introduce a tax of financial transactions, first proposed in Tobin (1974).

Cette étude s’intéresse aux déterminants de l’insertion des jeunes sur le marché du travail, dans une perspective internationale. Le point de départ de cette réflexion repose sur un double constat : (i) quel que soit le pays considéré, le taux de chômage (d’emploi) des jeunes est relativement supérieur (inférieur) à celui des adultes, (ii) les différences entre les pays sont relativement plus marquées chez les 15-24 ans que chez les 25-54 ans.

This publication contains the results of the second year of research done at EDHEC-Risk Institute as part of the EDHEC-Deutsche Bank research chair on asset-liability management (ALM) techniques for sovereign wealth fund management.

There is extensive evidence that investment strategies based on momentum and value are attractive for portfolio managers who seek higher performances.

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing.

Cette étude s’intéresse aux déterminants de l’insertion des jeunes sur le marché du travail, dans une perspective internationale.

This paper examines the role of idiosyncratic risk in explaining the cross-sectional variation of stock returns in the context of a set of size- and valuesorted portfolios.

Valuation signals have been among the most popular with equity portfolio managers and have recently attracted significant interest from cross-asset managers.

This paper analyses two sets of four corporate investment-grade bond indices each, one for the US market and the other for the euro-denominated bond market.

The labour and housing markets are closely bound up with each other. For any household, a position taken on one of these markets affects the decisions taken in the other.

As part of the AXA research chair on regulation and institutional investment, EDHEC surveyed corporate pension funds, their sponsors, and advisers to assess how sponsors manage pension risk and how pension funds manage sponsor risk.

This study analyses an extensive firm-level survey, collected in the framework of the Eurosystem’s Wage Dynamics Network program.

L’architecture de la cartographie des risques juridiques s’appuie sur une idée-clef : elle doit être basée sur les conséquences potentielles du risque juridique en termes de destruction de valeur, appréciée sur trois registres.

Since the global financial crisis of 2008, improving risk management practices management of extreme risks, in particular—has been a hot topic.

We show that stock prices impound more information when short sellers are more active.

Capitalisation-weighted indices are known to suffer from problems associated with high concentration; they fail to take full advantage of the diversification opportunities offered by equity markets.

This paper analyses a set of equity indices whose aim is to improve on capitalisation weighting and thus to provide “improved beta”.

We study the liquidity exposures of value and growth stocks over business cycles.

Whether average idiosyncratic volatility has recently risen, whether it is a good predictor for aggregate market returns and whether it has a positive relationship with expected returns in the cross-section are still matters of active debate.

This paper provides a joint quantitative analysis of capital structure decisions and debt structure decisions within a standard continuous-time capital-structure model.

This paper reviews the arguments for and against the decoupling of capital ratio calculations based on IFRS from those based on Basel II.

This paper addresses the problem of option hedging and pricing when a futures contract, written either on the underlying asset or on some imperfectly correlated substitute for the underlying asset, is used in the dynamic replication of the option payoff.

Selon cette étude de l’EDHEC, le montant des impôts acquittés tout au long de leur vie par les diplômés du supérieur n’est pas à la hauteur des subventions publiques dont ils ont bénéficié pour leur formation.

This study examines the determinants of private equity returns using a newly constructed worldwide database of 7,500 investments made over forty years.

This study measures the differential impact of alternative media outlets.

Capitalisation weighting in equity index construction has come in for harsh criticism of late. Our research into efficient indexation returns to the roots of modern portfolio theory to provide an alternative to current methods of constructing equity indices.

Dans une perspective internationale (essentiellement européenne) et historique, l’objectif de la présente étude est d’examiner en détail la place et l’évolution de la formation professionnelle continue des travailleurs en situation d’emploi.

UCITS, the European retail regulated investment funds, were created shortly after the 1985 passage of the first UCITS directive. Since then, non-financial risks have increased, but European authorities and investment professionals failed to study the impact of these risks when they allowed UCITS funds to evolve.

In this paper, we study asset prices in a dynamic, continuous-time, general- quilibrium endowment economy where agents have power utility and differ with respect to both beliefs and their preference parameters for time discount and risk aversion.

This paper proposes an alternative way to construct the Fama and French (1993) empirical risk factors.

We provide a step-by-step primer on how to design a commodity futures trading program.

Our objective in this paper is to examine whether one can use option-implied information to improve the selection of portfolios with a large number of stocks, and to document which aspects of option-implied information are most useful for improving their out-of-sample performance.

We develop a model of portfolio choice that nests the views of Keynes—who advocates concentration in a few familiar assets—and Markowitz—who advocates diversication across assets.

This paper revisits the Treynor and Mazuy model by applying the original option replication approach proposed by Merton.