Les publications des pôles de recherche 2012

This EDHEC-Risk position paper specifically responds to a recent report by Finance Watch on regulatory proposals for commodity derivatives markets in Europe.

Going beyond the simple bid—ask spread overlay for a particular value at risk, we introduce a framework that integrates liquidity risk, funding risk, and market risk.

This paper clarifies that methodological choices can be made independently on two steps in the construction of alternative equity index strategies – the constituent selection and the choice of a diversification-based weighting scheme.

Internet ha determinato una crescita economica e la nascita di nuove forme di interazione sociale e di rivoluzione politica.

The rising interest of institutional investors for commodities since the early 2000s prompted remarkable financial engineering in the commodity index space which is now in its third generation.

Cette étude s’inscrit dans la lignée des travaux qui considèrent souhaitable de faire basculer le système actuel français de formation professionnelle, reposant sur l’obligation à « former ou payer », vers une logique assise sur des subventions ciblées.

The present publication is part of the BNP Paribas Investment Partners research chair at EDHEC-Risk Institute on “ALM and Institutional Investment Management”.

This survey has been conducted with the support of Amundi ETF in the context of the EDHEC-Risk Institute research programme on indices and benchmarking.

The EDHEC-Risk North American Index Survey 2011 aims to analyse the current uses of and opinions on stock, bond and equity volatility indices.

Cette étude reprend la proposition de l’EDHEC de mettre en place des contrats de formation supérieure caractérisés par une augmentation des droits d’inscription et la mise en place d’un prêt à remboursement conditionnel au revenu pour que les étudiants puissent les financer.

Toutes les entreprises ont des besoins en expertise juridique, plus ou moins fréquents et sophistiqués selon la taille de l’entreprise, son secteur d’activité ou ses projets.

This short paper highlights the key conclusions of Amenc et al. (2012) regarding the best practices for managing risks in defined-contribution (DC) and hybrid plans.

This paper examines whether financial statement analysis can be effective in inferring the intangible value of firms.

The Solvency II Directive introduces a prudential framework for the computation of regulatory capital requirements for insurers.

Après deux années de baisse en 2008 et 2009 suivies d’une reprise marquée, de fortes incertitudes pèsent à nouveau sur les évolutions à venir des prix de l’immobilier à Paris.

Le principal objectif de ce document est de stimuler une discussion, à l’occasion de l’élection présidentielle 2012, sur l’évaluation de notre modèle économique et social au sens large.

Les entreprises françaises savent-elles bénéficier des vagues d’acquisition ?

Dans l’univers de l’investissement institutionnel, la performance de l’immobilier de bureaux est appréciée traditionnellement au travers d’indices construits à partir de valeurs d’expertise plutôt qu’à partir de valeurs issues de transactions.

The authors argue in this paper that improved long-term investing strategies can be designed for private wealth management.

Si internet a permis la croissance économique, de nouvelles formes d’échanges sociaux, des révolutions politiques, il a aussi pu faire naître des formes nouvelles de fraude ou d’atteintes aux droits.

La question du financement de l’enseignement supérieur n’a pas été débattue jusqu’à présent dans la campagne présidentielle, cependant face aux difficultés financières de l’Etat, il s’agit d’un point sensible, évoqué désormais par les présidents d’université lors de leur dernier colloque annuel.

In the world of institutional investment, the performance of the office property sector has traditionally been valued using indices constructed from appraisal values, rather than values derived from transactions.

In this publication, we extend our response to the issues relating to pension fund investment in social infrastructure.

Cette étude propose de mesurer l’effet sur les prix du marché immobilier local de la mise en place de Zones Franches Urbaines (ZFU) en France.

L’indice EDHEC IEIF Immobilier d’Entreprise France est un indice pondéré par la capitalisation mesurant l’évolution de la performance des SCPI (Sociétés Civiles de Placement Immobilier) investissant dans l’immobilier d’entreprise (bureaux, murs de magasins, plateformes logistiques, …).

Les rémunérations excessives perçues par certains dirigeants d’entreprise malgré des performances économiques et financières médiocres sont un objet de
ressentiment de l’opinion publique.

After a short summary of some of the main challenges facing European pension systems, this paper discusses the Commission’s proposals point by point.

This study, produced as part of the Newedge research chair on “Advanced Modelling for Alternative Investments,” Proposes a Robust New Method for Assessing Hedge Fund Performance.

With an ever-growing number of alternative index construction methods on offer, investors should, in principle, be thankful for comparative analysis.

Risk management through marginal rebalancing is important for institutional investors due to the size of their portfolios.

This survey has been conducted within the research chair "Risk and Regulation in the European Fund Management Industry" sponsored by CACEIS.

The purpose of the present publication, “Shifting Towards Hybrid Pension Systems: A European Perspective”, which is drawn from the AXA Investment Managers research chair at EDHEC-Risk Institute on “Regulation and Institutional Investment”, is to examine recent developments and the major risks of retirement systems, from both the sponsor and pension risk perspective, while focusing on European pension schemes.

There is growing empirical evidence that the complexity of financial markets makes it increasingly challenging for institutional investors to manage their asset/liability profile efficiently.

This survey has been conducted as part of the third year of the Amundi ETF "Core-Satellite and ETF Investment" research chair.

This study conducted by the EDHEC Financial Analysis and Accounting Research Centre analyses the impact of the new prudential regulation on bond management.

This study performs a theoretical and empirical analysis of the relationship between the price of Eurozone sovereign-linked credit default swaps (CDS) and the same sovereign bond markets during the Eurozone debt crisis of 2009-2011.

This study addresses Volatility ETNs following the Credit Suisse TVIX controversy of early 2012.

This publication marks the launch of the Meridiam/Campbell Lutyens research chair on infrastructure equity investment management and benchmarking at EDHEC-Risk Institute.

Exchange-traded funds have traditionally been perceived as vehicles combining the diversified exposure of mutual funds with the low-cost, flexibility, ease and liquidity of trading enjoyed by publicly listed stocks, while also offering lower-expense ratios and better tax-efficiency relative to mutual funds.

That study put forward a model to optimise the investment and risk management practices of sovereign wealth funds, which can be regarded as the extension to sovereign wealth funds of the liabilitydriven investing paradigm recently developed in the pension fund industry.

Using a five-year panel of proprietary NYSE short sale order data, we investigate the sources of short sellers’ informational advantage.

We compare the performance of equal-, value-, and price-weighted portfolios of stocks in the major U.S. equity indices over the last four decades.