1,720,980 research outputs found
Non-conventional finance : role and determinants
No full textDans un contexte de préoccupations croissantes concernant les pratiques d'investissement éthique et social, l'investissement socialement responsable (ISR) a récemment gagné du terrain. Toutefois, la problématique des motivations comportementales de ce mouvement reste polémique, aussi bien pour les chercheurs que pour les autres opérateurs financiers. Dans cette thèse, nous tentons de présenter notre compréhension de l'impact des facteurs psychologiques et comportementaux, et en particulier de la culture, sur les fonds communs de placement ainsi que sur les marchés boursiers. Nous discutons également les différences entre les modèles de portefeuilles conventionnels et SR, en faisant appel à divers outils statistiques. Nous constatons que la culture affecte considérablement la dynamique des flux de fonds et participe à l'explication des fuites massives de capitaux. Néanmoins, ces effets ont des répercussions différentes lorsque l'on compare les pratiques conventionnelles et SR. Nos résultats montrent également que les investisseurs obtiennent une satisfaction psychologique, en sus de l'utilité financière, en investissant dans des actions éthiques. Après un filtrage éthique, les investisseurs dans les pays du Golfe achèteraient davantage les actions nouvellement étiquetées comme conformes à la religion (islamiques). En même temps, ces mêmes investisseurs mettraient plus de temps pour ajuster leurs portefeuilles à la suite des exclusions de l'indice religieuxIn the aftermath of mounting concerns over ethical and social investment practices, socially responsible investment (SRI) has gained traction in the financial industry. Nevertheless, the enigma of behavioral forces behind this movement remains polemical amongst academic and institutional communities. In this thesis, we attempt to provide our understanding of the impact of behavioral factors, and culture in particular, on the mutual fund industry and stock markets. We also discuss the dissimilarities between conventional and SR portfolios patterns, using various statistical tools. We show evidence that national culture significantly affects fund flow dynamics and participates in explaining massive outflows. However, these effects are rather different when comparing conventional and SRI practices. We also argue that investors benefit from a psychological return in addition to financial utility, through investing in ethically screened stocks. Post-screening, ethical investors in the Gulf region for example would buy further stocks newly labeled as religious, e.g. Islamic. At the same time, the same investors take more time to adjust their portfolios following stock exclusions from the faith-based inde
Interwar Romanian sovereign bonds: the impact of diplomacy, politics and the economy
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A modem Dionysus' tale: new evidence on the Greek debt crisis and the related costs
No full textInternational audienceIn March 2012 Greece pressured its private creditors into agreeing a 53% write-off of its privately-held debt, amounting to 100 billion. Using a game theory approach, we determine whether debt reduction was optimal in reducing the probability of default. We estimate the costs associated with the reduction as well as the potential risks and costs of contagion within the eurozone, especially for large European economies such as Italy and Spain. We show evidence that the Greek sovereign debt crisis could not be handled in the same way as previous experiences. Greece's sovereign debt crisis is unique insofar as the country belongs to a monetary union that has failed to reach economic convergence among its members. This creates significant spillover risk for the other eurozone economies, especially regarding the potential costs of another credit event
Vulnerability to climate change and funding squeeze in Sub-Saharan Africa
No full textInternational audienceThe paper investigates whether and how climate vulnerability affects public debt. We focus on a region that is highly vulnerable to climate change, but scarcely explored, namely Sub-Saharan Africa. On a sample of annual data covering 38 Sub-Saharan African countries over the period 2000–2022, our results highlight a negative relationship between the debt-to-GDP ratio and climate vulnerability. This relationship holds even when we control for several factors, namely financial crises, sovereign defaults or debt relief programs. Moreover, we account for cross-country dependence and heterogeneity and use variables measuring organized violence and adaptive capacity to climate change as instruments for climate vulnerability. When analyzing the impact of fiscal rules, our results show evidence that while climate vulnerability reduces the debt-to-GDP ratio in countries with expenditure and credible budget balance rules, establishing revenue and credible debt rules may alleviate the funding squeeze
Does trading volume really explain stock returns volatility?
No full textAssuming that the variance of daily price changes and trading volume are both driven by the same latent variable measuring the number of price-relevant information arriving on the market, the mixture of distribution hypothesis represents an intuitive and appealing explanation for the empirically observed correlation between volume and volatility. This paper investigates to which extent the temporal dependence of volatility and volume is compatible with a MDH model through a systematic analysis of the long memory properties of power transformations of both series. It is found that the fractional differencing parameter of the volatility series reaches its maximum for a power transformation around 0.75 and then decreases for other order moments while the differencing parameter of the trading volume remains remarkably unchanged. Similarly, the generalized Hurst exponent of the volatility series appears to be a concave function of the power transformation, indicating the presence of a multi-fractal process, while it remains constant for the trading volume, revealing its uni-fractal structure. The volatility process thus exhibits a high degree of intermittence whereas the volume dynamic appears much smoother. The results suggest that volatility and volume may share common short-term movements but that their long-run behavior is fundamentally different.
Better the devil you know: Home and sectoral biases in bank lending
No full textInternational audienceThis paper empirically investigates banks’ lending and the extent to which they are influenced by specific preferences in terms of geographical location and industry. We study whether banks develop a field of expertise and focus on it, or whether they prefer to grant loans quite evenly among countries and industries. We manually built an original database of syndicated loans for banks in the four major banking systems in the eurozone, to estimate the determinants of loans’ amounts between 2005 and 2013. Our findings highlight a domestic bias and a sectoral bias with banks lending larger amounts to their domestic borrowers and to industries they are more familiar with
Les votes des investisseurs institutionnels sur les externalités produites par les entreprises: le cas de deux investisseurs emblématiques
Full text linkNational audienceDo institutional investors engage with companies on corporate externalities such as greenhouse gas emissions? We study voting at shareholders meetings by two emblematic global investors: BlackRock, a major asset manager, and the Norway Fund, a responsible sovereign wealth fund. Our data cover 2014 and include the two institutions' votes on 35,382 resolutions at 2,796 corporations across the world. Both of these so-called universal owners oppose management significantly more often on externality than on financial issues. The Norway Fund is more active on shareholders resolutions concerning externalities related to environmental and social issues rather than governance issues. The difference between the two investors' voting behaviour is larger when we focus on resolutions related to greenhouse gas emissions, a clearly identified externality.Les investisseurs institutionnels s'engagent-ils dans la question des externalités produites par les entreprises, telles que les émissions de gaz à effet de serre ? Nous étudions le vote dans les assemblées générales des actionnaires de deux investisseurs emblématiques : BlackRock, un gérant de portefeuille majeur au niveau international, et le Fonds Norvégien, un fonds souverain responsable. Nos données couvrent l'année 2014 et contiennent 35 382 résolutions votées par les deux institutions dans 2 796 entreprises partout dans le monde. Les deux investisseurs, dits universels, s'opposent au management plus souvent sur des questions liées aux externalités que sur des questions financières. Le Fonds norvégien est plus actif sur les résolutions portant sur des externalités liées aux questions environnementales et sociales que sur celles de gouvernance. La différence de comportement entre les deux investisseurs est encore plus importante si l'on se focalise sur les résolutions liées au changement climatique. Au final, la logique de philanthropie déléguée semble être une motivation plus forte que celle d'investisseur universel pour combattre les externalités
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