About
78
Publications
4,874
Reads
How we measure 'reads'
A 'read' is counted each time someone views a publication summary (such as the title, abstract, and list of authors), clicks on a figure, or views or downloads the full-text. Learn more
350
Citations
Citations since 2017
Introduction
Skills and Expertise
Publications
Publications (78)
Purpose: Our aim in this study is to shed light on the relative importance of Chinese
(Mainland China and Hong Kong: CH-HK) FDI in real estate (FDIRE) on the dynamics of
Asia-Pacific (APAC) public real estate markets after the Global Financial Crisis.
Design-methodology-approach: Using a parsimonious real estate asset-pricing model
including macro...
The purpose of this paper is to study the consequences of unconventional monetary policies on Europe’s commercial real estate market. To investigate the role of money supply on real estate markets dynamics, we use panel modelling. Our main objective is to analyze the relationships between office price indexes and monetary variables. Our panel analy...
The aim of this study is to show whether the Greater Paris housing market is integrated and can be defined globally or whether housing submarkets are present. Therefore, we analyze if macroeconomic shocks are homogeneous across the metropolis and check for the presence of ripple effects. For this purpose, we implement a panel vector autoregressive...
Purpose
The aim of this study is to shed light on the relative importance of money supply and exchange rates variations on office markets prices dynamics.
Design/methodology/approach
Using a parsimonious real estate asset pricing model, the authors focus on the two biggest European office markets; namely the United Kingdom and Germany. The authors...
The aim of this study is to analyze and compare the financial analysts’ forecasts accuracy and bias, and the abnormal earnings announcement returns of “green” and “non-green” U.S. real estate investment trusts (REITs) from 2010 to 2018. First, we document the accuracy and the bias of financial analysts’ earnings and FFO forecasts on “green” and “no...
Change-point (CP) processes are one flexible approach to model long time series. We propose a method to uncover which model parameters truly vary when a CP is detected. Given a set of breakpoints, we use a penalized likelihood approach to select the best set of parameters that changes over time and we prove that the penalty function leads to a cons...
The aim of this paper is to shed new light on the home bias puzzle employing growth options. Using a unique property-level dataset, we show that geographically concentrated real estate investment trusts (REITs) are better able to exploit growth options than non-concentrated REITs. Our empirical results report that the beta of growth options is sign...
Purpose
The purpose of this study is to highlight the determinants of market rents and to build a hedonic market rent index for each urban area and rental sector in France for the period 1970–2013. The authors also analyse the market rent dynamics over this period, with a special attention to the turning points in the French housing policy.
Design...
Purpose
This paper aims to explore the relationship between the financialisation dynamics of listed property companies (LPCs) and their participation in the metropolisation dynamics, in ten European countries between 2000 and 2017. The study takes place in a context of globalised real estate markets and modification of traditional urban economics....
In this paper we address the optimal funding of pensions by means of portfolio choice approach. Considering the unfunded (Paygo) pension system as a “quasi-asset” with hedging and diversification properties, we derive the optimal portfolio mix of funded and Paygo systems within a mean variance and Bell linear exponential models. Our analysis involv...
This article analyzes the role real estate risks in the pricing of Financial sector stocks for a sample of 14 countries. Real estate risk measures are drawn from the FTSE/EPRA NAREIT indexes. We also develop a specific US real estate risk premium. The period covered runs from February 2000 to December 2015. GMM estimates of parsimonious multifactor...
This article studies the performances of publicly traded real estate companies (real estate investment trusts and listed property companies) from 14 countries covering North America, Europe, and Asia as proxied by FTSE EPRA/NAREIT Global Real Estate Indexes over the period from 2000 to 2015. We implement robust normalized risk-adjusted performance...
In this study we shed a new light on Amihud's illiquidity measure, used here as a relevant «measure of consensus belief among investors about new information» (Amihud, 2002). This paper demonstrates the relevance of this new approach/ dimension in the context of M&A transactions. Using a large sample of M&A in the U.S., Canada and Europe over the 2...
Purpose
The purpose of this paper is to analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis, in presence of errors-in-variables (EIV) and illiquidity (measured by serial correlation, following Getmansky et al. (2004))....
The main objective in this article is to shed new light on the term structure of subjective time preference rates using a conditional Consumption Capital Asset Pricing Model. Following Samuelson’s (1937)’s suggestion, we analyze the concept of “time consistency”. More precisely, we challenge the relevance of the exponential time discounting functio...
This article investigates the potential role of real estate risk in the pricing of US bank stocks from February 1990 to December 2015. Generalized method of moments estimates of conditional multifactor models are provided. The real estate risk is proxied by the return of an investment strategy that is short on low-leverage real estate investment tr...
This article analyzes the role of securitized and direct real estate risks in the pricing of US bank stocks. Real estate risk measures are drawn from the National Association of Real Estate Investment Trusts (NAREIT) and NCREIF indexes. Beside the real estate, the other risk exposures considered are the market, the term, and the default premiums. T...
The main purpose of this study is to deeply investigate the determinants of the risk premium for the Central London market between Q2-2002 and Q3-2015 using a vector autoregression (VAR) model. We shed new light on the role of central banks in the historical level of the commercial real estate risk premium. Indeed, since the global financial crisis...
The aim of this paper is to compare the financial performance of “green” and “non-green” U.S. REITs from January 2010 to February 2016 using risk-adjusted performance measures based on multi-factor models. First, we use performance measures (including the generalized Treynor ratio) able to capture the variety of systematic risk sources related to r...
Our main objective in this study is to revisit the seminal work of De Bondt and Thaler (1990), a quarter century later. Focusing on the global financial crisis in 2008, we analyze the evolution of financial analysts’ performance on Canadian stock markets from 2005 to 2014. We consider the quality and the accuracy of earnings forecasts to “investiga...
Our main objective in this chapter is to shed light on financial analysts' performance on Eastern European frontier markets during the past decade (2005-13). Considering the global financial crisis in 2008 as a potential breakdown, we focus on the quality and accuracy of analysts' earnings forecasts. We are able to draw empirical comparisons with o...
Using a linear multifactor pricing model, we study the influence of equity market, the consumption growth and the return on real estate wealth on asset returns. The real estate risk factor is proxied alternatively by the National Association of Real Estate Investment Trusts (NAREIT) index, unlevered NAREIT index and National Council of Real Estate...
In this chapter, our aim is to analyze the accuracy and the quality of financial analysts' forecast for Asian Pacific REITs and Asian Pacific real estate companies from 2001 to 2012. We consider the financial crisis of 2008 as a breakdown in the performance of financial analysts. Using IBES database for a very large sample of 12 Asian countries, we...
The aim of this chapter is to revisit the performance of Asian REITs before and after the sub-prime crisis using risk-adjusted performance measures based on multifactor models. First, we use performance measures (including the Generalized Treynor Ratio) able to capture the variety of systematic risk sources related to real estate in Asia. Second, w...
Despite the fact that it is easy to see intuitively why skewness and coskewness should matter for asset pricing, it is difficult to build a model that links analytically skewness premia to deep structural parameters governing preferences and the distribution of shocks. This paper takes up the challenge and studies the effect of skewness and coskewn...
Hedge Fund Performance, Higher Moments and Risk Procyclicality
The analysis of the procyclicality of risk has become a prolific research field since the beginning of the subprime crisis of 2007 but it has not been applied to the study of hedge fund risk. We innovate by dynamizing hedge fund strategies, relying on the conditional alphas and betas se...
In this article, we propose a new empirical version of the Fama and French (F&F) model based on a new version of the Hausman (1978) specification test. This empirical model incorporates correction factors for risk exposure. These factors take into account the problem of errors-in-variables. Our model also features another innovation. It uses higher...
We revisit the traditional return-based style analysis in the presence of time-varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their EIV from the initial return series to obtain an estimate of the...
In linear models for hedge fund returns, errors-in-variables may significantly alter the measurement of factor loadings and the estimation of abnormal performance. The higher moment estimator (HME) introduced by Dagenais and Dagenais (1997) effectively deals with these issues. Results on individual funds show that the HME specification does not unc...
Nous analysons les erreurs de prevision commises par les analystes financiers pour 13 pays europeens sur la periode 1990-2006. Afin de mettre en evidence les effets pays, industries et ceux specifiques a la firme comme sources de variation des erreurs de precision, nous adaptons une methode developpee par Heston et Rouwenhorst (1994) pour etudier l...
We analyze earnings forecasting errors made by financial analysts for 18 developed countries over the 1990–2006 period. We use the Heston–Rouwenhorst approach to unravel country-, industry-, and firm-specific effects as a source of variation in financial analysts’ earnings forecast errors. We first estimate each effect with a dummy variable regress...
This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian distribution of hedge funds returns. We use two risk metrics: the Modified Value-at-Risk and a preference-based measure retrieved from the linear-e...
In this paper, our objective is to test if a new procedure for correcting errors in variables can better explain stock returns in the setting of Fama and French model. Our results are superior to those obtained by the benchmark OLS method.
This paper revisits the performance of hedge funds in the presence of errors in variables. To reduce the bias induced by measurement error, we introduce an estimator based on cross sample moments of orders three and four. This Higher Moment Estimation (HME) technique has significant consequences on the measure of factor loadings and the estimation...
The first chapter studies the implications for international portfolio diversification of a simple overlapping generations model of the world economy with transaction costs. Our main result shows that the introduction of very small transaction costs are sufficient to reproduce the large home bias observed in the composition of portfolios. The secon...
This paper revisits Fama and French [Fama, Eugene F., French, Kenneth R., (1993) Common risk factors in the returns on stock and bonds. Journal of Financial Economics 33 (1), 3-56] and Carhart [Carhart, Mark M., 1997. On persistence in mutual fund performance. Journal of Finance 52 (1), 57-82] multifactor model taking into account the possibility o...
We analyze earnings forecasting errors made by financial analysts for 18 European countries over the 1995-2006 period. We use the Heston-Rouwenhorst approach to unravel country-, industry-, and firm-specific effects as a source of variation in financial analysts' earnings forecast errors. We first estimate each effect with a dummy variable regressi...
A new literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of UHF-GARCH models to forecast future volatilities on irregularly spaced data. We also compare the out-sample performance of these generalized autoregressive conditional heteroskedastic (GARCH) models...
This paper revisits an instrumental variable technique to minimize the errors-in-variables problem in capital asset pricing models. Our results show that Dagenais and Dagenais [Dagenais, M.G., Dagenais, D.L., 1997. Higher moment estimators for linear regression models with errors in the variables. Journal of Econometrics 76, 193–221] estimator, bas...
This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors in variables. We apply a selection algorithm using the Kalman …lter to identify the more appropriate benchmarks and we compute their corresponding higher moment estimators (HME), i.e. the measurement error series introducing the (...
The main objective of this chapter is to analyze the performance of financial analysts before and after cross-border mergers and acquisitions. We propose to focus on the evolution of financial analysts’ forecast (hereafter FAF) accuracy and FAF bias. We compare the pre-merger and post-merger forecast accuracy of consensus analysts’ forecasts two ye...
In this paper, we propose a new empirical version of the Fama and French Model based on the Hausman (1978) specification test and aimed at discarding measurement errors in the variables. The proposed empirical framework is general enough to be used for correcting other financial and accounting models of measurement errors. Removing measurement erro...
This paper proposes to revisit both the CAPM and the three-factor model of Fama and French (1993) in presence of errors in the variables. To reduce the bias induced by measurement and specification errors, we transpose to the cost of equity an estimator based on cumulants of order three and four initially developed by Dagenais and Dagenais (1997) a...
We analyse the relative importance of country-, industry-, and firm-specific factors in explaining the source of variation in the forecast errors made by financial analysts with respect to Pacific Basin emerging markets. Following [Heston, S. L., Rouwenhorst, K.G., 1994. Does industrial structure explain the benefits of international diversificatio...
A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. The main problem encountered to measure volatility dynamics of high-frequency intra-daily data lies in the irregularity at which observations arrive. Engle and Russell (1998) have proposed a new class of point processes with dependent arrival r...
This study investigates the financial analysts’ performance on eight Pacific-Basin markets from 1990 to 2000. We focus on the analysis of the crisis in 1997 on the quality of earnings forecasts. The Asian crisis should stand as a serious but positive breakdown in the performance of analysts. We show that before as after the crash, analysts issued f...
This paper studies the implications for international portfolio diversification of a simple OLG model of the world economy with transaction costs. Our main result shows that the introduction of very small transaction costs is sufficient to reproduce the large home bias observed in the composition of portfolios. Key words: Home bias, overlapping gen...
We develop an international C.A.P.M. including human capital. We test this model and underline its contribution to the explanation of home bias observed in portfolio choice for nine countries. Human capital positively correlated with the domestic financial assets could worsen the home bias puzzle. Then, we add deadweight costs to the model. Using d...
Jean-François L'Her Caisse de dépôt et placement du Québec THIS DRAFT: JANUARY 2007 for their comments and participants at the Northern Finance Association Conference (2006). The usual disclaimer applies. Alain Coën (corresponding author) is from l'École des sciences de la gestion, Université du Québec à Montréal (UQÀM), case postale 6192, succursa...
Document de travail Mai 2007 Résumé Cet article propose de revisiter les modèles multifactoriels développés par Fama et French (1993) en prenant en considération la présence d'éventuelles erreurs sur les variables. Les don-nées mensuelles utilisées sont celles du marché financier canadien et couvrent une longue pé-riode courant de juillet 1960 à dé...
This paper investigates the relation between the home bias in equity holdings, financial analysts' forecasts and earnings opacity. We revisit the role of information asymmetries and information cost, focusing on forecast accuracy and measures of earnings opacity. Using high quality cross-border holdings data and introducing an estimator based on sa...
This paper proposes to revisit the three-factor model of Fama and French (1993) in presence of errors in variables. To reduce the bias induced by measurement and specification errors, we introduce an estimator based on cross sample moments of order three and four. Our results show that our technique has great and significant consequences on the mea...
Le premier chapitre étudie les implications d'un modèle à générations imbriquées avec coûts de transaction sur la diversification internationale des portefeuilles. Nos résultats montrent que l'introduction de très petits coûts de transaction permet de reproduire le phénomène de préférence pour les titres financiers nationaux. Le second chapitre est...
Projects
Project (1)
In this paper we address the optimal funding of pensions by
means of portfolio choice approach. Considering the unfunded (Paygo)
pension system as a “quasi-asset” with hedging and diversification
properties, we derive the optimal portfolio mix of funded and Paygo
systems within a mean variance and Bell linear exponential models.
Our analysis involves both analytical computations and empirical
estimations of optimal values using real long term data for equity,
bonds and the Paygo asset for several OECD countries and several time
periods covering the time span 1897-2016. We find that in most
cases a mix of both systems is desirable with a larger magnitude of
Paygo system in the case of the Bell framework as we capture attitudes
towards asymmetry and tail risks that are typical to equity
markets.
