Bankers, Markets & Investors n° 134 – Janvier-Février 2015

Bankers, Markets & Investors n° 134 – Janvier-Février 2015

SommaireArticlesCan Large Long-term Investors Capture Illiquidity Premiums? Long-term Portfolio Allocation Based on Long-term Macro Forecasts Projecting Pension Outcomes at Retirement – Towards an Industry Reporting Standard Economic-financial Literacy and (Sustainable) Pension Reforms: Why the Former is a Key Ingredient for the Latter...
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Bankers, Markets & Investors n° 135 – Mars-Avril 2015

Bankers, Markets & Investors n° 135 – Mars-Avril 2015

SommaireArticlesFrench Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing Conflict of Interest between Investors and Financial Advisers Reforming the Structures of the EU Banking Sector: Risks and Challenges Managerial Myopia: Do Managers Privilege Short-term Decisions or Value Creation?
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Bankers, Markets & Investors n° 138 – Septembre-Octobre 2015

Bankers, Markets & Investors n° 138 – Septembre-Octobre 2015

SommaireArticlesCould French and Eurozone Savers Invest More in Risky Assets? Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation Robust Portfolio Protection: A Scenarios-based ApproachFocus OnFinancial Regulations and Procyclicality
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Bankers, Markets & Investors n° 139 – Novembre-Décembre 2015

Bankers, Markets & Investors n° 139 – Novembre-Décembre 2015

SommaireArticlesOwnership Concentration, Board Structure and Credit Risk: The Case of MENA Banks Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater Mass Customization in Life-Cycle Investing Strategies with Income RiskFocus OnCurrency Turmoil in an Unbalanced World Economy
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Bankers, Markets & Investors n° 136-137 – Mai-Juin-Juillet-Aout 2015

Bankers, Markets & Investors n° 136-137 – Mai-Juin-Juillet-Aout 2015

 SommaireArticlesDoes Corporate Social Responsibility Have an Impact on Financing Decisions? New Insights on Corporate Social Responsibility and Country-level Institutions in Western Europe Consequences of Voluntary Stock Exchange Section Switching on Stocks Price, Liquidity and Volatility International CAPM and Oil Price: Evidence from...
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Cyclicality and Term Structure of Value-at-Risk within a Threshold Autoregression Setup [extrait BMI 134]

Cyclicality and Term Structure of Value-at-Risk within a Threshold...

Version numérique PDFThis paper explores empirically the link between stocks returns Valueat- Risk (VaR) and the state of financial markets across various holding horizons. The econometric analysis is based on a self-exciting threshold autoregression setup. Using quarterly French and US data from 1970Q4 to 2012Q4, it turns out that the k-year VaR of...
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Can Large Long-term Investors Capture Illiquidity Premiums? [extrait BMI 134]

Can Large Long-term Investors Capture Illiquidity Premiums? [extrait BMI 134]

Version numérique PDFIn this paper we perform a literature study to assess whether large longterm investors can benefit from liquidity premiums in different asset classes. We both describe the theoretical predictions on liquidity premiums and portfolio choice with illiquidity, as well as empirical evidence on liquidity premiums. We document that expected...
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Long-term Portfolio Allocation Based on Long-term Macro Forecasts [extrait BMI 134]

Long-term Portfolio Allocation Based on Long-term Macro Forecasts [extrait...

Version numérique PDFWe first discuss arguments that rebut quantitative portfolio allocation for the long term based on non predictability of asset markets. Next, we find that over long time horizon such as 10 years, macro-economic forecasts of various economic variables outperform in terms of meansquarederrors those obtained with purely statistical...
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Projecting Pension Outcomes at Retirement ? Towards an Industry Reporting Standard [extrait BMI 134]

Projecting Pension Outcomes at Retirement ? Towards an Industry Reporting...

Version numérique PDFWe propose a method for projecting pension benefits, deriving from DC pension plans and other funded products, at retirement. Projections highlight how the current choice of asset allocation impacts on future potential retirement outcomes. The latter are compared with a money-back benchmark so as to clarify the trade-off between risk...
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Editorial [extrait BMI 134]

Editorial [extrait BMI 134]

Version numérique PDFAuteurs :Brière Marie Extrait de la revue BMI 134
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French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing [extrait BMI 135]

French Retail Financial Structured Products: A Typology and Assessment of...

Version numérique PDFThis paper deals with the pricing of financial structured products. We examine French retail structured products, ?OPCVM. Formule?, from a sample including about 650 funds. First, we detail the main characteristics of this market and propose a simplified typology of all these products. Second, we analyze some of the most common...
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Conflict of Interest between Investors and Financial Advisers [extrait BMI 135]

Conflict of Interest between Investors and Financial Advisers [extrait BMI 135]

Version numérique PDFThis article discusses the conflict of interest between investors and their financial advisers resulting from fee structures and commission schemes. Previous studies have treated this issue in relation to the amount invested or the expected holding period of the mutual fund. In this paper, we develop a model that includes...
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