Marc De Ceuster

Marc De Ceuster
University of Antwerp | UA

About

58
Publications
11,925
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
938
Citations
Introduction

Publications

Publications (58)
Article
Jondeau et al. (2020) find evidence that average stock return skewness predicts stock market returns. Although this evidence is consistent with asset pricing theory, we are not able to replicate this result on a broad sample of stock returns taken from the well-developed euro area stock markets. Nor does accounting for potential slower information...
Article
Are simple trading strategies profitable? It is a question that has been on the minds of academics and practitioners for decades. In this paper, we review the longstanding literature on trading strategies in spread betting (also known as handicap betting), a popular sports betting microstructure. We review over 600 strategy implementations and find...
Article
We estimate the widely documented idiosyncratic volatility premium at a statistically and economically significant −7.27 basis points monthly among euro area stocks. Furthermore, we test the robustness of Hou and Loh (2016) US findings on the decomposition of the premium in fractions related to lottery characteristics and market frictions. In line...
Article
We estimate the long rate and its volatility within the Svensson framework. The procedure that best extrapolates the longest observable rate and its volatility is a 2-dimensional grid search conditioned on the ridge regression suggested by Annaert et al. (2013).
Article
Full-text available
Following the approach of Fama and Schwert (1977), we investigate the inflation hedging ability of stocks, gold and real estate for Vietnam and Thailand. We estimate the relationship between their returns and various inflation measures (actual inflation, expected inflation as well as unexpected inflation) on both monthly and quarterly data. We do n...
Chapter
Publicly available data concerning the dynamics on the Belgian commercial real estate markets are scarce. This paper fills this void and collects data on an annual frequency on both the demand and the supply side of Belgian office and retail markets. We also provide information on the transactions, the prices and the rents. In order to interpret th...
Article
Full-text available
This study examines whether real estate in Thailand can hedge against ex post and ex ante inflation during the 1987-2011. To achieve this, we follow the Fama and Schwert (1977)' s framework. The study finds that real estate returns have positive relation with both ex post and unexpected inflation over the period, even though the statistical evidenc...
Article
Full-text available
We investigate the inflation-hedging properties of gold in Vietnam, reaching formidable records in 1980s-1990s. Consistent with conventional belief, we find that gold provides a complete hedge against both the ex post and ex ante inflation. In addition, its return is positively related to unexpected inflation, although the statistical evidence does...
Article
a b s t r a c t This paper revisits some recently found evidence in the literature on the cross-section of stock returns for a carefully constructed dataset of euro area stocks. First, we confirm recent results for US data and find evidence of a negative cross-sectional relation between extreme positive returns and average returns after controlling...
Article
This article estimates the achievement of Nobel Prize winners in Economics according to a simple model that exponentially relates fame to achievement. Based on Google hits, Paul Krugman, Joseph Stiglitz and Milton Friedman turn out to be the top-three economists that achieved the most. It is clear that fame in economics is not merely based on pure...
Article
The Nelson–Siegel model is widely used in practice for fitting the term structure of interest rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a fixed shape parameter are popular estimation procedures. The estimated grid search parameters, however, have been reported (1) to behave erratically over time, and (2...
Article
This paper explores the characteristics of the Hong Kong money market by examining the dynamic of 3-month money market rates. Based on the results from maximum likelihood estimation and Monte Carlo simulation, we provide empirical evidence that in the Hong Kong money market interest rate changes show a significant mean reversion when the interest r...
Article
This paper revisits some recently found evidence in the literature on the cross-section of stock returns for a carefully constructed dataset of euro area stocks. First, we confirm recent results for US data and find evidence of a negative cross-sectional relation between extreme positive returns and average returns after controlling for characteris...
Article
In this paper, we study the sensitivity of insurance companies’ stock returns with respect to expected and unexpected changes in the Federal funds target rate over the period 1988-2007. We confirm Bernanke and Kuttner (2005) that, as stocks in general, insurance stock returns are only sensitive to the unexpected changes in the Federal funds target...
Article
The Nelson-Siegel model is widely used in practice for fitting the term structure of interest rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a fixed shape parameter are popular estimation procedures. The estimated parameters, however, have been reported (1) to behave erratically over time, and (2) to have re...
Article
The Nelson-Siegel and the Svensson models are widely used in practice for fitting the term structure of interest rates. However, due to their highly non-linear nature and the potential danger of multicollinearity, numerical difficulties in estimating these models hamper their implementation. In this paper, a conditional ridge regression based appro...
Article
The limited availability of high quality and computer readable data seriously impedes research in history and finance. We introduce a new monthly return series for Belgian owned equity based on Brussels Stock Market data for the period 1832–1914 as an improvement to the popular Drappier index. Over this period, our dataset includes 446,374 prices...
Article
Full-text available
In this article, we calculate a market-weighted return index for the 20 largest stocks listed on the Brussels Stock Exchange over the period 1833–2005, based on a new, unique and high-quality database. We find that this index captures the most important stylised facts of the value-weighted return of all shares listed on the Brussels Stock Exchange...
Article
Core business and financial market risks are not easily reduced by standard operating procedures in insurance companies. Derivatives theoretically provide a cost effective vehicle to hedge these risks. This paper provides an empirical analysis of the determinants of derivative usage as well as the extent of derivative usage in the Australian insura...
Article
This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to complement the Merton model and are shown to play an impor...
Article
We investigate the impact of universal bank relations on the performance and the risk of listed companies in Belgium in the period 1905-1909. Our results are consistent with the view that universal banks are efficient institutions which overcome problems of asymmetric association inevitably associated with external finance. We find that universal b...
Article
We suggest the construction of an implied volatility index of forward interest rates from the U.S. cap market based on the traditional methodology developed in equity derivatives markets. Unlike flat volatilities of caps, the index aims to be a forward looking measure of the expected future volatility corresponding to a particular forward interest...
Article
Full-text available
We investigate the impact of universal banks on the performance and the risk of affiliated companies in an unregulated environment with booming financial markets. For a unique sample of 129 Belgian companies listed in the period 1905-1909, we find that universal bank affiliation had a positive impact on the market-to-book ratio and return-on-assets...
Article
Full-text available
Expected utility theory assumes that the representation of a decision problem does not affect the decision itself. Unfortunately, many examples of framing exist whereby a change in the wording of a problem leads to other preferences. We apply the idea of framing to capital guaranteed funds. Capital guaranteed funds provide individual investors with...
Article
Corporate bonds expose the investor to credit risk, which will be reflected in the credit spread. Based on the EMU Broad Market indices, this paper reports studies of the intertemporal stability of the covariance and correlation matrices of credit spread changes on weekly data. For a multivariate framework, the Box and Jennrich tests are the most c...
Article
We present a comparative size-power study of several known tests of symmetry. We discuss both the tests with a known and an unknown symmetry point. We propose a new tail symmetry based test, that appears to often outperform the other tests under study, especially at large sample size. We illustrate the use of the tests on stock index returns.
Article
Full-text available
This paper examines the issue of stock return moments in the Australian stock market. The existence of at least second moments is a fundamental assumption of underlying finance theory. We determine, using characteristic exponent point estimates, that the population variance may be infinite but on the same data, we also find that Hill-estimates are...
Article
The interest in the application of market discipline to regulate the financial industry has boomed recently due to the proposed New Capital Accord. This paper reviews the potential role market discipline can play in financial regulation. We start with a discussion of the rationale for financial regulation and with a brief history of the current reg...
Article
It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We investigate whether interest rate
Article
Some years ago, Crack and Ledoit (1996) discovered a strikingly geometric structure when plotting US stock returns against themselves. Since this pattern, in which lines radiating from the origin pop up, resembles the navigating tool it was named “Compass Rose”. Although authors differ in opinion when explaining the causes of the phenomenon, discre...
Article
In this paper, we provide descriptive evidence of primary market activity in the Eurobond market for the period 1980-2000. This study explores the Bondware Database that contains 33,024 publicly issued Eurobonds. We analyse some characteristics of the issuers (nationality, industry and credit quality), the intermediary parties (bookrunners, lead ma...
Article
The evaluation of investment performance has received considerable interest in the finance literature. However, academic studies mainly focus on the performance of homogeneous domestic equity portfolios and attempt to measure abnormal performance using a return-based regression methodology. To date, remarkably little is known empirically about the...
Article
In this study, we demonstrate that the average reporting lag of Belgian interim reports is large but has decreased slightly over the years 1991-1998. Contrary to US findings, we show that the disclosure of interim reports containing bad (good) news is not systematically delayed (speeded up). Interim reports are value relevant since good (bad) news,...
Article
The trustees of funded defined benefit pension schemes must make two vital and inter-related decisions - setting the asset allocation and the contribution rate. While these decisions are usually taken separately, it is argued that they are intimately related and should be taken jointly. The objective of funded pension schemes is taken to be the min...
Article
Full-text available
Corporate bonds expose the investor to credit risk, which will be reflected in the credit spread. Based on the EMU Broad Market indices, we study the inter-temporal stability of the covariance and correlation matrices of credit spread changes. Within a multivariate framework, the Box and Jennrich tests are most commonly used test statistics in the...
Article
Full-text available
It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators. Both risk-return analysis and the theory of investment under uncertainty provide a rationale for this extension. The results f...
Article
European Financial Management, 2002/3, 373-385
Article
Statistical population moments may be finite or infinite. Determining whether certain moments of a population are finite or not based on a finite sample turns out to be a very daunting and difficult task. If one assumes stock returns to behave according the sum stable law, characteristic exponent point estimates of approximately 1.5 are found for A...
Article
This paper proposes new methods for the econometric analysis of outlier contaminated multivariate conditionally heteroscedastic time series. Robust alternatives to the Gaussian quasi-maximum likelihood estimator are presented. Under elliptical symmetry of the innovation vector, consistency results for M-estimation of the general conditional heteros...
Article
Empirical evidence on the use of derivatives for risk management on the European continent is virtually non-existent. To fill this gap, our survey documents the usage of derivatives by non-financial large firms operating in Belgium. This paper provides descriptive evidence with respect to several questions that are raised in the literature. Why do...
Article
this document only expresses the authors' (current) view and does not necessarily imply a similar view of Deloitte & Touche
Article
We consider the hypothesis of psychological barriers at round numbers of a stock index. This hypothesis is often examined by testing the uniformity of the distribution of the trailing digits in the stock index, a rejection being interpreted as evidencing the existence of psychological barriers. By virtue of Benford's Law, we show that the uniform d...
Article
Full-text available
Since 1986 The Economist annually computes exchange rate over- or undervaluation using the prices of McDonald's Big Mac hamburger in different currencies. In this paper we tested whether currency portfolios based on these so-called misalignments earned the German, the Japanese or the U.S. investor an excess return. In general, we find such excess r...
Chapter
This volume illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. It focuses on the application of new products in the financial services industry and the growing market of credit derivatives.
Article
Full-text available
This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to complement the Merton model and are shown to play an impor...

Network

Cited By