31 research outputs found
Sovereign Bonds and Socially Responsible Investment
While the literature on Socially Responsible Investment (SRI) is mainly focused on the stock market, little attention has been paid to SRI in sovereign bonds. This paper investigates the effect of taking into account socially responsible indicators for countries, the Vigeo Sustainability Ratings (VSR), on the efficient frontier formed with the sovereign bonds of twenty developed countries. It shows that it is possible to increase the portfoliosâ VSR rating without significantly harming the risk/return relationship. The analysis then focuses on specific ratings relating to a) the environment, b) social concerns, and c) public governance. The results suggest that socially responsible portfolios of sovereign bonds can be built without a significant diversification cost.Socially Responsible Investment, Sovereign Bonds, Portfolio Selection, Rating, Spanning Tests, Mean-variance efficiency, Portfolio Choice
Who will go down this year ? The Determinants of Promotion and Relegation in European Soccer Leagues
Contributing to the lively debate on closed leagues (North American model) versus open leagues (European model) in professional sport league, this paper aims at determining the drivers of promotion and relegation in the major European soccer leagues. Using a large and original dataset (for example: clubâs link with a billionaire, club listed in the stock market, etc.) and logistic regressions, our results show that institutional factors matter to settle in the elite. It also indicates that open leagues system in European soccer championships is de facto very similar to closed leagues system. Furthermore, our forecasting model can be of interest for soccer investors or bookmakers.Economics of Sport, Organization of Sports Leagues, Soccer, Promotion and Relegation, Economic Forecasting, Regional Economy, Billionaires, Stock Market.
Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy
Levy and Roll (Review of Financial Studies, 2010) have recently revived the debate related to the market portfolio's efficiency suggesting that it may be mean-variance efficient after all. This paper develops an alternative test of portfolio mean-variance efficiency based on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance efficiency tests for large samples since it produces smaller size distortions for comparable power. Our empirical application to the US equity market highlights that the market portfolio is not mean-variance efficient, and so invalidates the zerobeta CAPM.Efficient portfolio, mean-variance efficiency, efficiency test.
Bourse et Football
An empirical study of the Dow Jones Stoxx Football index exhibits a high volatility of the returns and share prices regarding a sample of floated clubs as well as an insufficient market depth (low and irregular traded volumes). The theoretical analysis of the relationship between market illiquidity and share price volatitlity does not rely on an insufficient funding by speculators who adopt âcontrarianâ behaviour but on the uncertainty attached to the fundamental value of football clubs. The outcome is multiple equilibria in the market for assets. From witnessing how brokers and specialised audits value three representative football clubs, it appears that it is extremely difficult to fix the actual fundamental value of a football business. The sporting performances of a club have a strong incidence on its share price all over the season (tested with English football clubs). Such result opens an avenue for further research about the fundamental value of a football club. Instead of considering â as in the Anglo-American view â that the stock market will discipline the governance and management of European football clubs, we show that it would be worth hardening the clubsâ budget constraint before their exposure to financial market evaluation. The financial crisis of European football is less harsh in France though it translates into big clubs accounting imbalances, a high volatitlity of their return on equity, and their lasting indebtedness. It is so despite the existing financial supervisory body which monitors French football (the so-called DNCG), contrarily to the situation in other European football leagues. A âweakâ clubsâ governance is revealed by their reluctant account disclosure (eventually achieved) and their inability to curb wage inflation and handle player transfers. We test that the club budget constraint is softened by the television godsend which is a significant determinant of player wages. Spreading the âFrench modelâ of governance throughout European football still requires some progress, which is also a prerequisite for successful float of football club shares at the stock exchange. Ten recommendations are derived to improve football regulation.
Nice but cautious guys: The cost of responsible investing in the bond markets
The aim of this paper is to measure the cost of investing responsibly for different risk aversion levels by taking the example of green sovereign bond portfolios. We show that for developed markets, the cost of being a nice guy is lower if you are cautious (i.e. a higher level of risk aversion) while this is the contrary for emerging markets. It implies that managers of Socially Responsible Investment (SRI) funds should gauge investorâs risk aversion prior to evaluating the âSRI costâ. The SRI cost is zero in some cases.info:eu-repo/semantics/publishe
La répression financiÚre est-elle la solution pour « liquider » la dette publique dans la zone euro ?
The recent rise of the public debt limits governmentsâ room for manoeuvre in terms of economic policy and it seems urgent to try to slow down its progression. This paper shows that even if financial repression appears as an appealing solution for the so called peripheral countries of the euro area, it is not without creating concerns from a macro-financial point of view.info:eu-repo/semantics/publishe
Socially responsible investment and portfolio selection
This thesis aims at determining the theoretical and empirical consequences of the consideration of socially responsible indicators in the traditional portfolio selection. The first chapter studies the significance of the mean-variance efficiency loss of a sovereign bond portfolio when introducing a constraint on the average socially responsible ratings of the governments. By using a sample of developed sovereign bonds on the period 1995-2008, we show that it is possible to increase sensibly the average socially responsible rating without significantly losing in terms of diversification. The second chapter proposes a theoretical analysis of the impact on the efficient frontier of a constraint on the socially responsible ratings of the portfolio. We highlight that different cases may arise depending on the correlation between the expected returns and the socially responsible ratings and on the investorâs risk aversion. Lastly, as the issue of the efficiency of socially responsible portfolios is a central point in the financial literature, the last chapter proposes a new mean-variance efficiency test in the realistic case where there is no available risk-free asset.Doctorat en Sciences Ă©conomiques et de gestioninfo:eu-repo/semantics/nonPublishe
Socially Responsible Investment and Portfolio Selection
Cette thĂšse sâattĂšle Ă dĂ©terminer les consĂ©quences thĂ©oriques et empiriques de la considĂ©ration dâindicateurs socialement responsables dans la sĂ©lection de portefeuille traditionnelle. Le premier chapitre Ă©tudie la significativitĂ© de la perte dâefficience moyenne-variance dâun portefeuille dâobligations souveraines lorsque lâon introduit une contrainte sur la notation socialement responsable moyenne des Etats. En utilisant un Ă©chantillon dâobligations dâEtats dĂ©veloppĂ©s sur la pĂ©riode 1995-2008, nous montrons quâil est possible dâaugmenter sensiblement la notation socialement responsable moyenne sans perdre significativement en termes de diversification. Le second chapitre propose une analyse thĂ©orique de lâeffet sur la frontiĂšre efficiente dâune contrainte sur la notation socialement responsable du portefeuille. Nous mettons en Ă©vidence les diffĂ©rents cas de figure pouvant se produire en fonction de la corrĂ©lation entre les rendements attendus et les notations socialement responsables et de lâaversion au risque de lâinvestisseur. Enfin, puisque la question de lâefficience des portefeuilles investis en fonction de critĂšres socialement responsables fait dĂ©bat dans la littĂ©rature financiĂšre, un dernier chapitre propose un nouveau test dâefficience moyenne-variance dans le cas rĂ©aliste oĂč aucun actif sans risque nâest disponible.This thesis aims at determining the theoretical and empirical consequences of the consideration of socially responsible indicators in the traditional portfolio selection. The first chapter studies the significance of the mean-variance efficiency loss of a sovereign bond portfolio when introducing a constraint on the average socially responsible ratings of the governments. By using a sample of developed sovereign bonds on the period 1995-2008, we show that it is possible to increase sensibly the average socially responsible rating without significantly losing in terms of diversification. The second chapter proposes a theoretical analysis of the impact on the efficient frontier of a constraint on the socially responsible ratings of the portfolio. We highlight that different cases may arise depending on the correlation between the expected returns and the socially responsible ratings and on the investorâs risk aversion. Lastly, as the issue of the efficiency of socially responsible portfolios is a central point in the financial literature, the last chapter proposes a new mean-variance efficiency test in the realistic case where there is no available risk-free asset
Social responsibility and mean-variance portfolio selection
In theory, investors choosing to invest only in socially responsible entities restrict their investment universe and should thus be penalized in a mean-variance framework. When computed, this penalty is usually viewed as valid for all socially responsible investors. This paper shows however that the additional cost for responsible investing depends essentially on the investorsâ risk aversion. Social ratings are introduced in mean-variance optimization through linear constraints to explore the implications of considering a social responsibility (SR) threshold in the traditional Markowitz (1952) portfolio selection setting. We consider optimal portfolios both with and without a risk-free asset. The SR-efficient frontier may take four different forms depending on the level of the SR threshold: a) identical to the non-SR frontier (i.e. no cost), b) only the left portion is penalized (i.e. a cost for high-risk-aversion investors only), c) only the right portion is penalized (i.e. a cost for low-risk aversion investors only) and d) the whole frontier is penalized (i.e. a positive cost for all the investors). By precisely delineating under which circumstances SRI is costly, those results help elucidate the apparent contradiction found in the literature about whether or not SRI harms diversification.info:eu-repo/semantics/publishe