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. Lire la suite

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. Lire la suite

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. Lire la suite

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. Lire la suite

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. Lire la suite

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. Lire la suite

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. Lire la suite

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. Lire la suite

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. Lire la suite

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. Lire la suite

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

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. Lire la suite

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

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. Lire la suite

Equity returns are more dependent in bear markets than in bull markets. Lire la suite

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

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. Lire la suite

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. Lire la suite

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. Lire la suite

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. Lire la suite

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. Lire la suite

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. Lire la suite

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. Lire la suite

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

In this paper we extend Hasanhodzic and Lo (2007) by assessing the out-of-sample performance of various non-linear and conditional hedge fund replication models. Lire la suite

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

This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model. Lire la suite

Hedge fund indices have been criticised for a lack of representativity and for their biases, to the point that serious doubts about the usefulness of hedge fund indices have been raised by investors and regulators. Lire la suite

We describe an approximation method, based on binomial distribution adjustments, for constructing independent loss distributions. Lire la suite

The article studies the conditional risk premia of commodity futures and the variation over time in their correlations with traditional asset classes. Lire la suite

L'immobilier, probablement la plus traditionnelle des classes alternatives, connaît une nouvelle faveur auprès d'investisseurs institutionnels en recherche de diversification et de performance. Lire la suite

In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require not only estimates of variance-covariance parameters, but also estimates of higher-order moments and comoments of the return distribution. Lire la suite

Several studies have put forward that hedge fund returns exhibit a non-linear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. Lire la suite

In the last decade, economists have produced a considerable body of research suggesting that the historical origin of a country's laws is highly correlated with a broad range of its legal rules and regulations, as well as with economic outcomes. Lire la suite

Fund ratings play a significant role in fund selection for investors: the funds being made available are more and more numerous and increasingly diversified in terms of assets and style management. Lire la suite

A partir d’un exercice de microsimulation de la TVA acquittée par les ménages, cet article cherche à éclairer la question de la répartition
des montants de TVA acquittée tout au long de la vie et ainsi illustrer la contribution relative des différentes classes d’âge au financement de la protection sociale dans l’hypothèse de la mise en oeuvre d’une « TVA sociale ». Lire la suite

Dans un contexte de persistance du chômage structurel des travailleurs peu qualifiés à un niveau élevé, la formation professionnelle peut constituer un levier essentiel de la politique publique. La loi du 4 mai 2004 relative à la formation professionnelle tout au long de la vie et au dialogue social est une traduction de cette volonté gouvernementale. Lire la suite

This paper investigates why traders hide their orders and how other traders respond to the detection of hidden depth. Lire la suite

This paper introduces a multivariate copula approach to Value-at-Risk estimation for fixed income portfolios. Lire la suite

In this paper, we introduce a suitable extension of the Black-Litterman Bayesian approach to portfolio construction in the presence of non-trivial preferences about higher moments of asset return distributions. Lire la suite

L'article étudie la performance des stratégies dites " momentum " et " contrarian " dans le contexte des commodités. 13 stratégies momentum s'avèrent rentables : elles génèrent en moyenne une performance ajustée pour le risque de 9,38% par an. Lire la suite

Soucieux de trouver rapidement une explication évitant de les remettre en cause, les dirigeants de certains pays européens ont mis en exergue le rôle une fois de plus néfaste qu'auraient joué les hedge funds dans la crise de cet été. Cette crise est le résultat d'un ajustement brutal du prix des actifs lié à une augmentation de l'aversion pour le risque de l'ensemble des investisseurs. Lire la suite

A recent publication1 by the EDHEC Risk and Asset Management Research Centre has drawn conclusions that highlight the shortcomings of well known capitalisation- or price-weighted stock market indices and argues that the choice of benchmark for asset allocation or performance measurement is a task requiring particular care. Lire la suite

The focus of this article will be on risk management within the context of a total-return futures program centered on commodities. Lire la suite

In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be included in a sound risk and asset management process so as to improve risk and return performance characteristics of managed portfolios. Lire la suite

This paper presents evidence of predictability in the time-varying shape of the U.S. term structure of interest rates using a robust recursive modelling approach based on a Bayesian mixture of multi-factor models. Lire la suite

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. Lire la suite

On September 18th, 2006, market participants were made aware of a large hedge fund's distress. Lire la suite

Une étude conduite par Gérard Maarek pour le compte du pôle de recherche en Economie de l'EDHEC, et intitulée : La réforme du financement de la protection sociale, essais comparatifs entre la "TVA Sociale " et la " TVA Emploi ", montre que le gain attendu d'une baisse de 25 milliards d'euros des cotisations sociales (salariales ou employeurs), soit 3,8 % de la masse salariale brute (660 Mds d'euros) compensée par une hausse de 3,6 points de TVA, aurait sur le long terme un effet positif mais modéré sur l'emploi (+61 000 emplois) et permettrait une amélioration du solde du commerce extérieur (les importations baissent de 0,3 % ; les exportations sont plus soutenues avec une croissance de +1,7 %). Lire la suite

L'objectif de cet article est d'analyser l'effet de la mise en place d'une " TVA sociale " sur les inégalités et le pouvoir d'achat des ménages. Lire la suite

This paper focuses on the use of market variables that exploit the linkages between spot, futures and derivatives markets, as opposed to the business cycle indicators employed in most of the earlier studies. Lire la suite

Over the last few years, alternative investment strategies have dramatically gained in popularity. Lire la suite

This document outlines our position on the third quantitative impact survey on the standard formula for the calculation of capital requirements for insurance companies under Solvency II. Lire la suite

This document outlines our position on the third quantitative impact survey on the standard formula for the calculation of capital requirements for insurance companies under Solvency II. Lire la suite

In this paper we provide a detailed critical analysis of various methodologies involved in the so-called passive replication of hedge fund returns, a subject that has sparked renewed interest following recent initiatives by major investment banks such as Merrill Lynch and Goldman Sachs. Lire la suite

This article will argue that one can indeed intelligently invest in the commodity markets and will briefly touch on three approaches, which in turn are drawn from the Intelligent Commodity Investing book. Lire la suite

As part of a newly created research programme focusing on Best Execution and Operations Performance', EDHEC's research team has actively contributed to the review of existing approaches to measuring execution quality and recently introduced an innovative framework for analyzing transaction costs and measuring execution performance: EBEX. Lire la suite

Volatility is an alternative betaa risk premium captured by hedge fund managers and investment bank proprietary tradersthat is today moving closer to the mainstream and should be thought of as a veritable asset class. Lire la suite

A la suite de l'EDHEC Publication " Reconsidérer les effets de la protection de l'emploi en France ", ainsi que le Position Paper " Le contrat de travail unique : un outil de sécurisation des parcours professionnels ? ", cette note propose une analyse critique, faisant notamment référence à des travaux académiques publiés, des grandes mesures en faveur de l'emploi proposées par François Bayrou, Nicolas Sarkozy et Ségolène Royal. Lire la suite

Il y a quelques semaines, l'EDHEC s'est adressée aux candidats à la présidence de la république pour proposer une réforme du Code du travail propre à créer des emplois et à sécuriser les parcours professionnels. Lire la suite

In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be made part of sound risk and asset management in such a way as to improve the risk and return performance characteristics of managed portfolios. Lire la suite

Dans un rapport intitulé : " Hedge Fund Performance: A Vintage Year for Hedge Funds? ", Véronique Le Sourd, Ingénieur de Recherche Senior à l'EDHEC Risk and Asset Management Research Centre, fournit un exposé détaillé de la performance de chacune des stratégies de hedge fund qui constituent les indices alternatifs EDHEC. Lire la suite

MiFID (The Markets in Financial Instruments Directive) is probably one of the most significant regulatory initiatives that is about to transform the European Capital Markets. Lire la suite

Labour legislation reform promises to be central to the debate surrounding the French economy in the upcoming presidential campaign. Lire la suite

This document contains our answer to CP20, a consultation process initiated by CEIOPS (Committee of European Insurance and Occupational Pensions Supervisors) on the "Advice to the European Commission in the Framework of the Solvency II Project on Pillar I Issues". Lire la suite

The number of professionally managed funds in the financial markets is increasing. Lire la suite

Face à l'évolution des risques et à leurs perceptions, les règles prudentielles actuelles sont totalement inadéquates et la Commission européenne a mis en oeuvre un vaste chantier de refonte du calcul de la solvabilité des sociétés d'assurance. Lire la suite

Grâce à une croissance économique soutenue dans plusieurs régions du monde, l'industrie de la gestion privée s'est octroyée une place considérable dans le paysage financier mondial. Lire la suite

The paper examines the role of non-normality risks in explaining the momentum puzzle of equity returns. Lire la suite

This paper compares a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies. Lire la suite

This document contains our participation in the consultation process initiated by the CESR on the eligibility of hedge fund indices for the purpose of UCITS (CESR/06-530) Lire la suite

This paper, which is being written to provide an overview of the multitude of publications we have seen on hedge fund performance, is the result of a reading and analysis of about 200 studies on this subject. Lire la suite

De plus en plus de voix s'élèvent parmi les praticiens et les chercheurs, pour souligner les insuffisances de la logique traditionnelle du marketing qui ne suffit plus pour déployer des parades aux problèmes de croissance des offres discount, de décroissance des marchés et de baisse globale d'efficacité des actions marketing. Lire la suite

After collecting all available information on 109 hedge fund defaults between 1994 and 2005, we investigated two statistical methods in order to shed some light on the risk profile of hedge funds. Lire la suite

Cette étude met en évidence les effets bénéfiques d'une réforme de la protection de l'emploi consistant à instaurer un contrat unique en substitut du système dual actuel CDD-CDI. De façon originale, nous soulignons l'apport d'une approche en termes de cycle de vie pour définir les contours de ce contrat unique. Lire la suite

In this paper, the authors examine the question of the eligibility of hedge fund indices as financial instruments for use by European investment funds. Lire la suite

We present a new measure of legal protection of minority shareholders against expropriation by corporate insiders: the anti-self-dealing index. Lire la suite

Depuis la mise en place de la Stratégie Européenne pour l'Emploi (SEE), l'Union européenne fixe des objectifs et définit des indicateurs destinés à développer un benchmarking des politiques sociales. Lire la suite

La profonde mutation de la gestion des sociétés d'assurance engendrée par la complexification et la multiplication des risques au cours de ces deux dernières décennies a suscité une nécessaire refonte des règles prudentielles (Solvency II) en complément de l'adaptation des normes comptables internationales (IFRS). Lire la suite

In a new survey, The EDHEC European ETF Survey 2006, the EDHEC Risk and Asset Management Research Centre has carried out an in-depth study on the use of ETFs (Exchange-Traded Funds) by European investors. Lire la suite

Recent finance research that draws on behavioral psychology suggests that investors systematically make errors in forming expectations about asset returns. Lire la suite

We examine how Amaranth, a respected, diversified multi-strategy hedge fund, could have lost 65% of its $9.2 billion assets in a little over a week. Lire la suite

This chapter will cover investing in commodities through futures contracts. Lire la suite

Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. Lire la suite

This article continues in the spirit of the August 2002 Quantitative Finance feature on Measuring Risk-Adjusted Returns in Alternative Investments. Lire la suite

An article in the June 2006 edition of the European Central Bank's Financial Stability Review (FSR) claims that hedge fund activities pose considerable risk to the financial system. Lire la suite

In this paper we observe that it appears possible to time commodity markets by observing the (lagged) actions of various classes of market participants. Lire la suite

Most previous tests of hedge fund performance have failed to model the exposure of hedge fund returns to systematic non-normality risks, nor have they taken the tactical asset allocation decisions of hedge funds managers into account. Lire la suite

By now it has become well known that commodi