11 research outputs found
Compétition entre fonds et prise de risque excessive : une application empirique au cas français
La théorie du tournoi a été appliquée au domaine de la gestion déléguée de portefeuille pour rendre compte de la compétition que se mènent les fonds de placement afin d'attirer les investisseurs et des prises de risque spécifiques qui pourraient en résulter. Dans cet article, nous évaluons ce phénomène dans le cas français, pour les OPCVM orientés actions françaises sur la période 1999-2004. Nous montrons que les fonds les plus performants au cours des trois premiers trimestres d'une année ont un comportement de prise de risque en fin d'année dépendant de la conjoncture des marchés financiers. Lorsque les marchés sont en phase de hausse, ils augmentent sensiblement le risque systématique de leur portefeuille en fin d'année, en particulier en introduisant dans celui-ci des titres plus risqués. En période de baisse au contraire, les fonds les plus performants n'augmentent pas leur risque systématique.prises de risques; fonds de placement; tournoi
Herding by institutional investors: empirical evidence from French mutual funds
In this paper, we use the traditional herding measure of Lakonishok, Shleifer and Vishny (1992) (LSV indicator) and a more recent measure by Frey, Herbst and Walter (2007) (FHW indicator) in order to assess the intensity of herding by French equity mutual funds and to compare it to institutional herding in other stock markets. We show that when measured with the LSV indicator, institutional herding by French equity funds amounts to 6.5%, which is larger than those reported by other empirical studies on developed stock markets. Our ndings also suggest that herding does not monotonically rises with the number of investors trading on a stock-quarter. We also obtain that FHW herding levels are about 2.5 times stronger than those obtained with the traditional LSV measure. Our other results are consistent with those reported by most previous works on developed stock markets. In particular, we observe that herding is stronger in small capitalization than in medium and large capitalization. Moreover herding turns out to be more severe among foreign stocks than among UE-15 or French stocks. Finally, French institutional investors practice feedback strategies: they buy past winners and sell past losers
Les sortants du système scolaire saisis par l'enquête TVA : tentative de construction d'une typologie
Document CEREQ-DEP et Ministère de l'éducation national
Competition and price stickiness: Evidence from the French retail gasoline market
Using daily price quotes from about 8,000 French gas stations, this paper empirically analyses whether the level of competition determines the degree of price stickiness on the retail gasoline market. The degree of price rigidity is measured by the frequency of price changes, while the distance to the nearest station and the number of gas stations within a given radius are considered as proxies for local competition. The results confirm that local competition is an important determinant of the price-setting behavior of gas stations. Indeed, considering Ordinary Least Squares (OLS) and spatial regression models, we find that the degree of price rigidity is positively related to the distance to the nearest station, and negatively related to the concentration of firms in a given geographical area. This result can be notably explained by the fact that gas stations facing a high competitive pressure are more likely to adjust their prices more quickly and more frequently in response to crude oil price decreases than stations enjoying market power
Central bank credibility and the expectations channel: evidence based on a new credibility index
International audienc
empirical evidence from French mutual funds
LSV, le mimétisme des fonds français s’élève à 6.5%, ce qui est plus élevé que les estimations effectuées sur d’autres marchés développés. Le niveau de mimétisme calculé par l’indicateur FHW est 2.5 fois plus élevé que celui obtenu avec l’indicateur LSV. Les autres résultats sont conformes à ceux de la littérature. Le mimétisme est plus fort pour les petites capitalisations que pour les capitalisations moyennes ou fortes. Il est aussi plus important sur les titres émis par des entreprises européennes ou étrangères que sur ceux émis par des firmes françaises. Finalement, les investisseurs institutionnels français adoptent des stratégies de feedback trading: ils achètent massivement les titres ayant eu de bonnes performances dans le passé et vendent ceux dont les performances passées sont mauvaises. Mots clés: mesure de mimétisme, investisseurs institutionnels, OPCVM Français Classification JEL: G11, G23 In this paper, we use the traditional herding measure of Lakonishok, Shleifer and Vishny (1992) (LSV indicator) and a more recent measure by Frey, Herbst an
Herding in French stock markets: Empirical evidence from equity mutual funds
International audienceUsing the traditional herding measure of Lakonishok, Shleifer and Vishny (1992) (LSV) and the more recent measure of Frey, Herbst and Walter (2007) (FHW), we assess herding by French equity mutual funds between 1999 and 2005. We show that LSV herding amounts to 6.5%, while FHW herding is approximately 2.5 times stronger. We find that herding is stronger in small capitalisation firms than in medium- and large capitalisation firms. Herding is also more severe among foreign stocks than among EU-15 or French stocks. Moreover, French mutual funds are shown to partially use positive feedback strategies. Finally, we establish that sell-herding has a destabilising impact on stock prices and that this impact is larger for foreign stocks
La gestion déléguée d'actifs financiers : théorie, observation, enjeux
Rapport pour l'Observatoire de l'Epargne Européenne,150