Archives

  • Special issue Bond Factors Investing
    Vol. 165 (2021)

    Guest editors: Hubert Rodarie, Président de l’Af2i
                                Jean-François Boulier, Président d’honneur de l’Af2i; BM&I Editor

    Out-performing corporate bonds indices with factor investing
    Thomas HECKEL, Co-head of the Quant Research Group at BNP Paribas Asset Management in Paris, France
    Zine AMGHAR, Head of Fixed Income in the Quant Research Group at BNP Paribas Asset Management in Paris, France
    Isaac HAIK, Data scientist in the Quant Research group at BNP Paribas Asset Management in Paris, France
    Olivier LAPLÉNIE, Head of quantitative fixed income portfolio management in the Multi-Assets,
    Quant and Systematic team at BNP Paribas Asset Management in Paris, France
    Raul LEOTE DE CARVALHO, Deputy head of the Quant Research Group at BNP Paribas Asset Management
    in Paris, France

    Factor Investing and ESG in the corporate bond market before and during the COVID-19 crisis
    Mohamed BEN SLIMANE, Head of Fixed Income Quantitative Research, Amundi SA
    Jean-Marie DUMAS, Head of Fixed Income Solutions, Amundi SA
    Takaya SEKINE, Deputy Head of Quantitative Research, Amundi SA

    Continuous innovation in factor credit strategies
    Patrick HOUWELING, PhD, Co-Head of Quant Fixed Income, Robeco
    Frederik MUSKENS, CFA, Quant Researcher, Robeco
    Robbert-Jan ‘T HOEN, Quant Researcher, Robeco

    Fixed income factor portfolios for institutional investors
    Jay RAOL, Head of Fixed Income Factors, Invesco Fixed Income
    Benton CHAMBERS, Researcher, Invesco Fixed Income
    Amritpal SIDHU, Researcher, Invesco Fixed Income

  • Special issue Behavioral Finance
    Vol. 164 (2021)

    Guest editors:

    Marie PFIFFELMANN, LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg
    Patrick ROGER, LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg

    ARTICLES
    How do anticipation and experience of regret affect financial decision-making? A lab experiment
    Jean-Francois GAJEWSKI, Lyon 3 Jean Moulin University, iaelyon, Magellan
    Sima OHADI, Odonatech

    Dividend policy and managerial overconfidence: French evidence
    Sana CHARBTI, CREGO, Université de Bourgogne et de Franche-Comté
    Fabrice HERVÉ, CREGO, Université de Bourgogne et de Franche-Comté
    Evelyne POINCELOT, CREGO, Université de Bourgogne et de Franche-Comté

    What do we learn about CEOs’ behaviour through neurofinance?
    Guillaume BAECHLER, Université Paris-Saclay
    Laurent GERMAIN, TBS Business School

    FOCUS ON
    A note on portfolio choice and behavioral finance: Some food for thought
    Marie PFIFFELMANN, LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg
    Patrick ROGER, LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg

  • BANKERS, MARKETS AND INVESTORS
    Vol. 163 (2020)

    ARTICLES
    Intraday hedging and the safe haven role of Bitcoin
    Mohamed Arbi MADANI, University of Tunis, ISG-T, LR GEF-2A, Tunis, Tunisia
    Zied FTITI, EDC Paris Business School, OCRE-Laboratory, Paris, France
    Wael LOUHICHI, ESSCA School of Management, Paris, France
    Hachmi BEN AMEUR, INSEEC Business School, Paris, France

    Determinants of quality incentives in a mutual fund duopoly
    Sébastien M. LEMEUNIER, EBS-Paris / INSEEC U, Paris, France

    Impact of the Brexit vote announcement on long-run market performance
    Wael BOUSSELMI, CREST, ENSAE, École Polytechnique, Institut Polytechnique de Paris, France
    Patrick SENTIS, MRM, Université de Montpellier, Montpellier Management, France
    Marc WILLINGER, CEE-M, Université de Montpellier, CNRS, INRAE, Montpellier SupAgro, Montpellier, France

    FOCUS ON
    What the PACTE law changes for employee savings and participation?
    Nicolas AUBERT, Professor at Aix-Marseille University,Faculty Fellow at Rutgers University Aix Marseille Univ, CERGAM, IAE Aix-Marseille, Aix-en-Provence, France
    Philippe BERNHEIM, Vice-President of the Scientific Committee of the French Employee Ownership Association

  • Special issue Risk Analysis : New Assets, New Approaches
    Vol. 162 (2020)

    ARTICLES
    Did the global financial crisis alter cross-market correlation? A copula-GARCH approach
    Montassar ZAYATI, University of Sousse, IHEC, LaREMFiQ, Sousse, Tunisia
    Sami BEN MIM, University of Sousse, IHEC, LaREMFiQ, Sousse, Tunisia

    Creditor rights protection and bank stability in developing countries: Evidence from Tunisia
    Lamia BOUAZIZ, Assistant Professor, ESC, Tunis, University of Manouba, Tunisia, Rim-Raf lab

    Does corporate innovation strategy influence stock price crash risk? French market evidence
    Sabri BOUBAKER, EM Normandie Business School, Métis Lab, Institut de Recherche en Gestion (EA 2354) -
    Université Paris Est, France
    Assil GUIZANI, Université Paris Nanterre, CEROS, France, LAMIDED - Université de Sousse, Tunisie
    Faten LAKHAL, Léonard de Vinci Pôle Universitaire, Research Center, Paris La Défense, Institut de Recherche en Gestion (EA 2354), Université Paris Est, France

    Measuring volatility spillovers among cryptocurrencies: A generalized VAR approach
    Abir MELKI, Université de Tunis, Institut Supérieur de Gestion de Tunis, GEF2A Lab., Tunis, Tunisia

  • BANKERS, MARKETS AND INVESTORS
    Vol. 161 (2020)

    ARTICLES :
    - Attributes’ specification of wine indexes: is devil in the details?
    Jean-Marie CARDEBAT, INSEEC School of Business & Economics, Larefi, University of Bordeaux, France
    Benoit FAYE, INSEEC School of Business & Economics, Bordeaux, France; Associated researcher, Larefi, University of Bordeaux, France
    Eric LE FUR, INSEEC School of Business & Economics, Bordeaux, France
    Philippe MASSET, École hôtelière de Lausanne, HES-SO University of Applied Sciences and Arts, Western
    Switzerland

    - How do institutional frameworks shape financial development in developing countries?
    Mohamed Sahbi NAKHLI, PhD, Assistant Professor, ISIG university of Kairouan, Tunisia
    Brahim GAIES, PhD, Associate Professor, IPAG Business School, Paris, France;
    Department of Economics & Methodology - IPAG Lab - IPAG Business School, Paris
    Khaled GUESMI, Director HDR, Center of Research for Energy and Climate Change (CRECC) - Paris School of Business
    Jean-Yves MOISSERON, Directeur de Recherche HDR à l’IRD, France

    - The influence of perceived economic context upon life insurance demand
    Samy MANSOURI, DRM - ERMES (UMR CNRS 7088), Université Paris Dauphine PSL, Paris

     

    FOCUS ON : 
    - Adressing the global challenges of LIBRA
    Louis ABRAHAM, École polytechnique, France
    Dominique GUÉGAN, University of Paris 1 Panthéon-Sorbonne, Ca’ Foscari University of Venice, Italy

  • BANKERS, MARKETS AND INVESTORS
    Vol. 160 No. 1 (2020)

    ARTICLES
    Analysis of the competition between cash and mobile payments in markets with mobile partnerships. A monetary search model point of view
    Françoise VASSELIN, Economiste, Université Paris-Est Créteil (UPEC)

    The other January effect in the Central and Eastern Europe stock market
    Sandrine BOULERNE, University of Tours
    Sophie NIVOIX, University of Poitiers

    FOCUS ON
    Climate risk and finance
    Edith GINGLINGER, Université Paris-Dauphine, PSL Research University

    Why do firms issue green bonds?
    Franck BANCEL, Professor ESCP Europe
    Dejan GLAVAS, Ph.D. Candidate, ESCP Europe

  • BANKERS, MARKETS AND INVESTORS
    Vol. 159 No. 01 (2019)

    ARTICLES
    Determining IPO prices for innovative firms: the case of young French bio-medtech firms
    Evelyne POINCELOT, Professeur en Sciences de gestion, CREGO, Université de Franche-Comté, UBFC, France
    Dominique POINCELOT, Maître de conférences en Sciences de gestion, CREGO, Université de Franche-Comté, UBFC, France

    Do credit ratings affect European banks’ equity capital?
    Oussama BEN HMIDEN, ESSCA School of Management, Angers, France
    Younes BEN ZAIED, EDC Paris Business School, OCRE, Courbevoie, France
    Nidhaleddine BEN CHEIKH, ESSCA School of Management, Angers, France
    Bechir BEN LAHOUEL, IPAG Chair “Towards an Inclusive Company”, IPAG Business School, Paris, France

    FOCUS ON
    An overview of corporate social responsibility
    Jian WU, NEOMA Business School, France
    How French Institutional investors have invested over the last ten years?
    Jean-François BOULIER, Professeur Associé à l’ISFA, Président de L’Af2i
    Robin MOYERE, ENSAE, France

  • BANKERS, MARKETS AND INVESTORS
    Vol. 158 (2019)

    ARTICLES
    News and Sovereign CDS Spillovers: The Case of the Euro Area Markets
    Houssam BOUZGARROU, PhD, High Institute of Finance and Taxation, University of Sousse, Tunisia
    Tarek CHEBBI, PhD, Faculty of Economic Sciences and Management, University of Sousse, Tunisia
    Waël LOUHICHI, PhD, ESSCA School of Management, Paris, France

    Rebalancing for Long-Term Investors: Why it Pays to Do Less
    Joost DRIESSEN, Tilburg University, Department of Finance; CentER Tilburg University
    Ivo KUIPER, Kempen Capital Management

    FOCUS ON
    Applied Machine Learning for Quantitative Trading
    Hans-Jörg VON METTENHEIM, IPAG Business School (Paris), Oxford-Man Institute of Quantitative Finance
    (University of Oxford) and Keynum Investments (Rennes)

    Factors and the Reshaping of Investment Management
    Bernhard LANGER, Chief Investment Officer
    Stephen QUANCE, Global Director, Factor Investing
    Michael FRAIKIN, Global Head of Research
    Georg ELSAESSER, Senior Portfolio Manager
    Manuela VON DITFURTH, Senior Portfolio Manager
    Martin KOLREP, Senior Portfolio Manager

  • Special Issue on Life Insurance
    Vol. 157 (2019)

    ARTICLES

    A Reduced-Form Model for A Life Insurance’s Net Asset Value
    Aurore MERIGUET, BNP Paris Cardif, Nanterre, France
    Alexandre NDJENG-NDJENG, BNP Paris Cardif, Nanterre, France
    Yahia SALHI, ISFA, Univ Lyon, UCBL, LSAF EA2429, Lyon, France
    Pierre-E. THÉROND, SeaBird; ISFA, Univ Lyon, UCBL, LSAF EA2429, Lyon, France

    Testing the Martingale Hypothesis in a Risk-Neutral Economic Scenarios Generator
    Florian BOLLOTTE, Galea & Associés, Paris, France
    Pierre-E. THÉROND, SeaBird; ISFA, Univ Lyon, UCBL, LSAF EA2429, Lyon, France

    How to Define the Quality of an Economic Scenario Generator to Assess the Best-Estimate of a French Savings Contract in €?
    Kamal ARMEL, Certified actuary and founder of ARMEL Consulting
    Frédéric PLANCHET, Professor at ISFA and partner actuary at Prim’Act

    Stochastic Deflator for an Economic Scenario Generator with Five Factors
    Po-Keng CHENG, Univ Lyon - Université Claude Bernard Lyon 1, ISFA, Laboratoire SAF EA2429, Lyon, France; Prim’Act, Paris, France
    Frédéric PLANCHET, Univ Lyon - Université Claude Bernard Lyon 1, ISFA, Laboratoire SAF EA2429, Lyon, France; Prim’Act, Paris, France

  • BANKERS, MARKETS AND INVESTORS
    Vol. 156 No. 01 (2019)

    ARTICLES

    Do the shareholders take into account the eco-efficiency factor? Evidence from M&A announcement
    Sabrina CHIKH, SKEMA Business School, Université Côte d’Azur, France
    Dhoha TRABELSI, ESCE International Business School, Paris, France
    Amaury GOGUEL, SKEMA Business School, Université Côte d’Azur, France
    Dhafer SAIDANE, SKEMA Business School, Université Côte d’Azur, France

    Life insurance demand dynamics impact of economic and human-sustainability: Fresh evidence from African countries
    Abderrazak DHAOUI, LaREMFiQ University of Soussa, Tunisia & l’Ipag Business School Paris, France
    Olfa KAABIA, INSEEC School of Business and Economics, Paris, France
    Khaled GUESMI, IPAG Business School Paris, France & Telfer School of Management, University of Ottawa, Canada
    Stéphane GOUTTE, Université Paris 8, LED, France and Paris School of Business (PSB), Paris, France
    Ilyes ABID, ISC Paris Business School, Paris, France

    Cost and profit efficiency of MENA banking sector: Influence of structural factors
    Kaïs AYACHI, Assistant professor of Finance at Higher Institute of Environmental Technologies, Urban planning and Buildings of Tunis - Carthage University
    Mohamed Sadok GASSOUMA, Assistant Professor in Finance, responsible of Master in Financial and fiscal Management, Institute of Finance and Taxation, University of Sousse and research member in Laboratory ECSTRAIHEC, University of Carthage, Tunisia
    Jameleddine CHICHTI, Associate Professor of Finance at Montpellier Business School (MBS), France

    FOCUS  ON

    Tax havens
    Mona BARAKE, Université Paris 1 Panthéon-Sorbonne (Centre d’Economie de la Sorbonne), Labex RéFi
    Gunther CAPELLE-BLANCARD, Université Paris 1 Panthéon-Sorbonne (Centre d’Economie de la Sorbonne), Labex RéFi & Paris School of Business

  • BANKERS, MARKETS AND INVESTORS
    Vol. 154 (2018)

    ARTICLES
    Determinants of equity returns correlations Hatem BRIK, PhD, Department of Science in Administration, College of Business Administration (CBA) ; Taibah
    University, Madinah, Kingdom of Saudi Arabia ; University of Tunis, Higher Institute of Management of Tunis, Tunis, Tunisia
    Jihene EL OUAKDI, PhD, University of Manouba, Higher School of Digital Economy, Manouba & LR-GEF2A, Tunisia
    Zied FTITI, PhD, EDC Paris Business School, OCRE Lab, Paris, France ; University of Tunis, Higher Institute of Management of Tunis, GEF2A-Lab, Tunis, Tunisia
    Waël LOUHICHI, PhD, ESSCA School of Management, Paris, France

    Committing to widespread disclosure of carbon impact Dhoha TRABELSI, ESCE International Business School, France
    Saqib AZIZ, Rennes School of Business, France
    Sabrina CHIKH, SKEMA Business School - Université Côte d’Azur, France
    Michael DOWLING, Rennes School of Business, France

    Basel III and banking liquidity transformation
    Franck BANCEL, Professor at ESCP Europe
    Laurent SALÉ, Ph. D, ESCP Europe and Labex Refi

    FOCUS ON
    Sixty years of bankruptcy models: issues, limits, and progress
    Eric SÉVERIN, Université de Lille, Lille, France
    David VEGANZONES, Université de Paris Nanterre IUT de Ville d’Avray, Nanterre, France

     

  • BANKERS, MARKETS AND INVESTORS
    Vol. 152 (2018)

    ARTICLES
    The long-term relationship between the classic cars market prices and financial markets
    Eric LE FUR, INSEEC School of Business & Economics, Bordeaux, France

    What drives banking profitability after the international financial crisis of 2008? Evidence from Eurozone banks
    Helmi HAMDI, Aix-Marseille University CERGAM EA 4225, France;
    Houssem RACHDI, HEC Carthage Business School, University of Carthage, Tunisia, IPAG Business School, IPAG Lab, Paris;
    Abdelaziz HAKIMI, Faculty of Law, Economics and Management of Jendouba, University of Jendouba, Tunisia;
    Khaled GUESMI, IPAG Business School, Paris; Telfer School of Management, University of Ottawa, Canada

    FOCUS ON
    The digital world: II - Alternatives to the Bitcoin blockchain
    Dominique GUEGAN, University Paris1 Panthéon Sorbonne, LabEx ReFi; Ca’Foscari University in Venezia, IPAG Business school

    “Football and Finance”
    Franck BANCEL, Professor at ESCP Europe

  • BANKERS, MARKETS AND INVESTORS
    Vol. 151 (2018)

    ARTICLES

    How do CoCo bonds impact a bank’s shareholder wealth?
    Jian WU, Neoma Business School

    Basel III Credit Valuation Adjustment Capital Charge and Wrong Way Risk
    Mabelle SAYAH, LSAF, Univ Lyon, UCBL, Lyon, France;
    Group Risk Management, Bank Audi S.A.L., Beirut, Lebanon;
    Mathematics and Applications Laboratory, EGFEM, Saint Joseph University, Beirut, Lebanon

    Foreign-promoted mutual funds in the continental European market
    Linh TRAN DIEU, Université de Lyon - Université Claude Bernard Lyon 1 - Département TCSI -
    Laboratoire des sciences actuarielle et financière (SAF)

    FOCUS ON
    The Digital World: I - Bitcoin: from history to real life
    Dominique GUEGAN, University Paris1 Panthéon Sorbonne, LabEx ReFi; Ca’Foscari University in Venezia, IPAG Business school

  • BANKERS, MARKETS AND INVESTORS
    Vol. 150 (2018)

    ARTICLES
    Residential Real Estate in a Mixed-Asset Portfolio
    Philippe BERTRAND, Aix-Marseille Université, CERGAM EA 4225, Aix-Marseille Graduate School of Management - IAE; KEDGE BS, Marseille, France and Aix-Marseille School of Economics
    Jean-Luc PRIGENT, THEMA, University of Cergy-Pontoise, and LabeX MME-DII 33, Cergy-Pontoise, France

    Life Insurance with Guarantees
    Abdou KÉLANI, ESSCA School of Management, France
    François QUITTARD-PINON, CEFRA, EMLYON Business School, France

    Does Sustainability Reduce Country Default Risk?
    Mathieu GEX, Banque de France, Deputy Head of International Monetary Relations Division, DG Economics and International Relations, Paris
    Isabelle GIRERD-POTIN, Professor of Finance, Univ. Grenoble Alpes, CNRS, CERAG, Grenoble, France
    Sonia JIMENEZ-GARCÈS, Professor of Finance, Univ. Grenoble Alpes, CNRS, CERAG, Grenoble, France
    Pascal LOUVET, Professor of Finance, Univ. Grenoble Alpes, CNRS, CERAG, Grenoble, France

    FOCUS ON
    Financing Start-ups: the Complementarity of Crowdfunding and Banking
    Jean MOUSSAVOU, Director of Research (HDR) & Ph.D, Full Professor – Brest Business School, Brest France; Member of the research unit LEGO – EA 2652 – IAE/UBO

  • BANKERS, MARKETS AND INVESTORS
    Vol. 149 (2017)

    ARTICLES

    The Cross-Border Strategies of European Banks: Effects on Performance 2004–12
    Jessy TROUDART, Research Teaching Fellow at IAE La Rochelle, CEREGE La Rochelle, France
    Eric LAMARQUE, Professor at IAE Paris-Sorbonne, GREGOR, France

    CSR Performance, Dividend Payout and Governance Mechanisms
    Guillaume PIJOURLET, Université Clermont Auvergne, Université d’Auvergne, EUM, CRCGM EA 3849,
    Clermont-Ferrand, France

    Bank Acquisitiveness and Bailouts: Evidence on European Banks during the 2008 Financial Crisis
    Saqib AZIZ, Rennes School of Business, Rennes, France
    Jean-Jacques LILTI, Université de Rennes 1 (IGR-IAE de Rennes), Rennes, France
    Khalid EL BADRAOUI, Ibn Zohr University, ENCG – Agadir, Morocco ; CREM - UMR CNRS 6211, Rennes, France

    FOCUS ON

    Financial Sanctions in France – 2004-2016
    Laure DE BATZ, Laboratory of Excellence for Financial Regulation (LabEx-ReFi), University Paris 1 Panthéon-Sorbonne (CES); Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague

  • Special Issue Illiquid Assets
    Vol. 148 (2017)

    Guest editor: Emmanuel JURCZENKO (Associate Dean and Professor of Finance, Ecole hôtelière de Lausanne HES-SO // University of Applied Sciences Western Switzerland)

    ARTICLES

    Real Estate Investing: Opportunities and Challenges
    Heidi FALKENBACH, Aalto University, Finland
    Martin HOESLI, University of Geneva, Switzerland - University of Aberdeen, United Kingdom and Kedge Business School, France

    The Value of Private Equity for Institutional Investors
    Thijs MARKWAT, Researcher at Robeco Asset Management, The Netherlands
    Roderick MOLENAAR, Researcher at Robeco Asset Management, The Netherlands

    Unlisted Infrastructure: Biases in Appraisal-Based Valuations?
    Robert J. BIANCHI, Griffith Business School, Griffith University, Brisbane, QLD, Australia
    Michael E. DREW, Griffith Business School, Griffith University, Brisbane, QLD, Australia
    Timothy J. WHITTAKER, EDHEC Infrastructure Institute, Singapore

    Diversification at a Reasonable Price: Revisiting Alternative Diversification from an Institutional Investor’s Perspective
    Serge DAROLLES, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance,
    Paris, France
    Mathieu VAISSIÉ, Head of Research, Ginjer AM, Research Associate, EDHEC-Risk Institute, France

  • BANKERS, MARKETS AND INVESTORS
    Vol. 147 No. 1 (2017)

    ARTICLES
    Spillover Effects of Stock Markets Volatility, and Financial Contagion: Evidence from European Sovereign Debt Crisis
    Zied FTITI, EDC Paris Business School, OCRE-Lab.
    Khadija MNASRI MAZEK, University of Tunis, ISGT; University la Manouba, ESCT, UR RIM RAF, Tunisia
    Yosr BENZARTI, University of Tunis, ISGT, LR GEF2A, Tunisia

    The Determinants of the Foreign Currency Hedging Strategies
    Salma MEFTEH-WALI, ESSCA School of Management, Angers, France

    An Examination of the Impact of the EU Ban on Naked Purchases of Sovereign Credit Default Swaps
    Jean-Christophe MEYFREDI, EDHEC Business School, Roubaix, France
    Dominic O’KANE, EDHEC Risk Institute, Nice, France

    FOCUS ON

    The Myth of CAC 40 High Volatility in the 2010s
    Bertrand BLANCHETON, Doyen de la Faculté d’Économie, Gestion et AES; GREThA, UMR CNRS 5113,
    Université de Bordeaux, France

  • BANKERS, MARKETS AND INVESTORS
    Vol. 146 No. 01 (2017)

    ARTICLES
    Spillover Effects of Stock Markets Volatility, and Financial Contagion: Evidence from European Sovereign Debt Crisis
    Zied FTITI, EDC Paris Business School, OCRE-Lab.
    Khadija MNASRI MAZEK, University of Tunis, ISGT; University la Manouba, ESCT, UR RIM RAF, Tunisia
    Yosr BENZARTI, University of Tunis, ISGT, LR GEF2A, Tunisia

    The Determinants of the Foreign Currency Hedging Strategies
    Salma MEFTEH-WALI, ESSCA School of Management, Angers, France

    An Examination of the Impact of the EU Ban on Naked Purchases of Sovereign Credit Default Swaps
    Jean-Christophe MEYFREDI, EDHEC Business School, Roubaix, France
    Dominic O’KANE, EDHEC Risk Institute, Nice, France

    FOCUS ON

    The Myth of CAC 40 High Volatility in the 2010s
    Bertrand BLANCHETON, Doyen de la Faculté d’Économie, Gestion et AES; GREThA, UMR CNRS 5113,
    Université de Bordeaux, France