Oumar Sy

Dalhousie University | Dal · Faculty of Management

Using a large sample of stocks from 48 developed and emerging markets over 1995 to 2021, we find evidence that suggests that international diversification is the best risk-reduction tool when all markets are considered. However, after the turn of the millennium, industrial diversification is the best alternative for funds limited to developed marke...

Event studies are widely used in finance research to investigate the implications of announcements of corporate initiatives, regulatory changes, or macroeconomic shocks on stock prices. These studies are often used in a single-country setting (usually the U.S.), but little work has yet been conducted in an international context, perhaps due to the...

It has been suggested that during the period of respiratory worsening of severe COVID-19 patients, viral replication plays a less important role than inflammation. Using the droplet-based digital PCR (ddPCR) for precise quantification of plasma SARS-CoV-2 viral load (SARS-CoV-2 RNAemia), we investigated the relationship between plasma viral load, c...

In this paper, we investigate the diversification benefits associated with factor investing in U.S. stock markets, using the dummy-variable framework for asset allocation. We find that beta-based investment strategies are primarily driven by beta-specific sources of return variation. At the same time, both betas and characteristics explain the vari...

Background Regional Citrate Anticoagulation (RCA) is a recommended method for extracorporeal circuit anticoagulation during Renal Replacement Therapy (RRT). Increased risk of citrate accumulation by default of hepatic metabolism, limit its use in liver failure patients. A Catot / Caion ratio ≥ 2.5 is established as an indirect control of plasma cit...

We apply a new dummy‐variable method to examine which factor exposures (betas) and characteristics provide independent information for U.S. stock returns in the context of the multifactor models of Hou, Xue, and Zhang (2015) and Fama and French (2015, 2018). We find that betas related to market, size, value, momentum, investment, and profitability...

A hotly debated question in finance is whether the higher stock returns under Democratic presidencies relative to Republican presidencies represent abnormal return, risk premium, or mere statistical fluke. This paper investigates whether this presidential premium is due to spurious-regression bias, data mining, or economic policy uncertainty. Decom...

Introduction Nous décrivons l’épidémiologie des patients ayant présenté un prélèvement positif à Pseudomonas aeruginosa (PA) durant leur séjour en réanimation et l’impact de la mise en place d’un programme de maîtrise du risque infectieux incluant une promotion du bon usage des antibiotiques au sein du service, visant à réduire l’usage de certaines...

A1154 Principal features in potsurgical patients with multidrug-resistant organisms isolation, acquired before the admission at the intensive care unit. G.E. Kaminsky, R. Carreño, A. Escribá, M. Fuentes, V. Gálvez, R. Del Olmo, B. Nieto, C. Vaquerizo, J. Alvarez, M.A. De la Torre, E. Torres. Hospital Universitario de Fuenlabrada, Intensive Care Un...

Through the lens of the general equilibrium framework, we investigate the extent to which differences in returns and variances among US stocks are due to the differences in their betas or their characteristics or both. Using a new return decomposition methodology adapted from the international diversification literature, which is more robust to mea...

We argue that the alpha obtained on an asset-pricing model naturally cap-tures the misspecifications in this model. We use this insight to provide a simple and practical way to adjust a grossly misspecified pricing model. We find that (unlike the market beta) the CAPM alpha pervasively pre-dicts the cross-section of U.S. and international stock ret...

In this paper, we investigate the impact of the interactions between presidential cycle and political environment on stock returns. We find that neither presidential cycle nor political environment has a significant impact on big firms. In contrast, we find that small firms perform significantly better under Democratic presidencies (relative to Rep...

In this study, we find some evidence in favor of systematic risk being priced in the cross-section of stock returns when the effects of presidential cycles and political environments are taken into account. During Democratic presidencies or harmonious political environments, beta has a positive relation to stock returns, but is negatively related t...

Many financial economists are puzzled by the fact that stock returns are higher under Democratic than Republican presidencies. In this paper, we test whether this return differential is explained by risk using a conditional version of the Fama and French (1993) model that allows risk to vary across political cycles. We find that the presidential pu...

In this paper, we investigate the impact of the interactions between presidential cycle and political environment on stock returns. We find that neither presidential cycle nor political environment has a significant impact on big firms. In contrast, we find that small firms perform significantly better under Democratic presidencies (relative to Rep...

This chapter investigates the role of macro corporate governance (legal and extra legal institutions) in determining the extent of ultimate excess control (i.e., the ownership-controls rights divergence of the ultimate owner) using a large sample of Asian and European companies. We find that the level of excess control is lower in countries with (1...

Empirical evidence suggests not only that stockholders do not diversify their portfolios to any significant level, but also that they are compensated for bearing idiosyncratic risk. In this paper, I use Fama's (1972) decomposition of investment performance into diversification and net selectivity components to investigate whether diversification ex...

We develop a three-moment international asset-pricing model (TM-IAPM) that prices coskewness and embeds the standard IAPMs as special cases. We use the model to investigate the time-series behavior of market, size, value, and momentum premiums in the United States, Japan, and the United Kingdom equity markets. We find that the model explains most o...

In this paper, we employ instrumental variables methods that allow time-varying risk and reward-to-risk to test various conditional asset pricing models. We find a negative partial relation between the market excess return and conditional market variance. In contrast with recent findings, we show that this negative relationship is not due to the om...

Recent conditional tests show that exchange risk is priced in integrated international markets. However, these results are typically obtained assuming that intertemporal risk does not matter. We test an intertemporal international asset-pricing model where the investment opportunity set is dynamic. Using a conditional orthogonalization approach, we...

Based on a unified database of 7,740 publicly traded corporations across 22 Asian and European countries, our study provides new evidence on the role of legal and extra-legal institutions in determining the separation of ownership and control (excess control). As predicted by theory, we find that a higher level of excess control - hence, a greater...

Using a time‐varying three‐factor pricing model, this paper examines the profitability of the short‐term contrarian strategy in Canadian stock markets from January 1964 to December 1998. This strategy, which consists in buying losing stocks and selling winning stocks of the previous month, generates statistically significant excess unrestricted ret...

We use two classes of specifications to examine the risk-return relation in Canada from January 1966 to December 1995. The first class of specifications does not distinguish between up- and down- markers, whereas the second does it on an ex post basis. Two test procedures are performed : on the one hand, the two-pass test developed by Fama et MacBe...

This study off international stock returns between January 1992 and December 2000 shows that, on average, country effects dominated industry effects as an explanation of the sources off stock return variation. The authors also find across-country diversification to be more efficient than diversification across industries. During this period, countr...

We investigate the role of ownership structure and investor protection in postprivatization corporate governance. We find that the government relinquishes control over time, mainly to the benefit of local institutions and foreign investors. We also show that private ownership tends to concentrate over time. In addition to firm-level variables, inve...

Thèse (M. Sc.)--Écoles des hautes études commerciales, 1999. "Mémoire présenté en vue de l'obtention du grade de Maître ès sciences (M. Sc.)."