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Institut d'analyse financière
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+41 32 718 1350
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A.-L. Breguet 2
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2000
Ville
Neuchâtel
Pays
CH
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Academic Institute
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97 Résultats
Voici les éléments 1 - 10 sur 97
- PublicationAccès librense: Computation of numerical standard errors in R(2017-2)
; nse is an R package (R Core Team (2016)) for computing the numerical standard error (NSE), an estimate of the standard deviation of a simulation result if the simulation experiment were to be repeated many times. The package provides a set of wrappers around several R packages, which give access to more than thirty estimators, including batch means estimators (Geyer (1992 Section 3.2)), initial sequence estimators (Geyer (1992 Equation 3.3)), spectrum at zero estimators (Heidelberger and Welch (1981),Flegal and Jones (2010)), heteroskedasticity and autocorrelation consistent (HAC) kernel estimators (Newey and West (1987),Andrews (1991),Andrews and Monahan (1992),Newey and West (1994),Hirukawa (2010)), and bootstrap estimators Politis and Romano (1992),Politis and Romano (1994),Politis and White (2004)). - PublicationAccès libreThree essays on financial analysts' performance(2016)
; This dissertation is composed of three chapters. The first chapter explores the importance of previously identified factors in explaining the variation in analysts’ earnings forecast error. As earnings forecasts are the main input in determining price targets and consequently stock recommendations, much of the process through which analysts process their input remains in a so-called “black box”. This study attempts to shed light on these inputs. First, it reveals that forecast errors are stable over time, and analysts do not efficiently integrate past information in their forecasts. Second, analysts do not factor in expectations related to the macroeconomic conditions for the underlying forecast horizon. Analysts overreact (underreact) to positive (negative) macroeconomic expectations on both GDP and consumer sentiment index. Third, this study decomposes analysts’ forecast errors variance by observable characteristics and fixed effects. Importantly, the analysis shows that there is an unobserved, time-invariant component related to the firm-analyst dimension that explains much of the variance in the forecast errors. This component is not yet captured by the existing observable characteristics which, at date, have a trifling effect on their own in explaining the variation in analysts’ forecast error.
In the second chapter, I investigate the role of financial reporting frequency in analysts’ earnings forecasts. I addresses two questions. First, does mandatory quarterly reporting benefit financial analysts in decreasing their earnings forecast error and dispersion? Second, to what extent common accounting standards increase the convergence of analysts’ information set for firms with different reporting frequencies? I find little support to the claim that regulation forcing firms to issue more frequent financial information benefits financial analysts. Compared to a control sample of semiannual reporting firms in the European market, analysts issuing earnings forecasts for firms with mandatory quarterly frequency experience higher forecast error and dispersion. When firms are mandated to report not only on a quarterly frequency, but also under International Financial Reporting Standards (IFRS), analysts’ both forecast error and dispersion decrease. However, while IFRS does benefit analysts by increasing the quality of their information set in absolute terms, they do not wipe out the relative noise associated with mandatory quarterly statements.
The third chapter focuses on how financial analysts adapt to the passage of regulations aiming at limiting conflicts of interest in the investment banking industry. This last chapter investigates analysts’ price targets and recommendations, and unravels a new form of conflicts of interest. Specifically, it investigates whether affiliated brokers issue unfavourable ratings on their clients’ competitors in the product market (rivals). The findings document an important gap between ratings for affiliated and rival firms. Specifically, brokers issue persistently higher ratings on firms with which they are affiliated compared to their rivals. Importantly, the Sarbanes-Oxley Act and the related financial regulations aiming at curbing the conflicts of interests had no significant impact in reducing this gap. As such, affiliated brokers continue to indirectly favour their clients. This form of conflict was devoid of adequate attention in prior research. Furthermore, investors are unaware of the existence of such conflict in the short-run. - PublicationAccès libreStress-testing with parametric models and Fully Flexible Probabilities(2017-1)
; We propose a simple methodology to simulate scenarios from a parametric risk model while accounting for stress-test views via fully flexible probabilities (Meucci, 2010, 2013). - PublicationAccès libreBeyond risk-based portfolios: Balancing performance and risk contributions in asset allocation(2018)
; - PublicationAccès libreDEoptim: An R package for global optimization by Differential Evolution(2011)
; - PublicationMétadonnées seulement
- PublicationMétadonnées seulementThe Role of Remuneration Structures in Hedge Fund Performance(2013)In this paper, we rationalize the persistent abnormal performance of hedge funds. We show how the commitment to deliver an absolute return, the decreasing returns to scale to which hedge fund strategies are subject, and the performance-linked compensation combine with the income maximizing behavior of managers to effectively align the interests of investors and managers. Thanks to the coexistence of these elements, managers have an incentive to control the size of the funds. Therefore, performance-diluting flows do not occur and abnormal performance persists. The model can quantitatively reproduce many empirical facts about hedge funds.
- PublicationAccès libreGeneralized autoregressive score models in R: The GAS package(2019-1-1)
; - PublicationAccès libreThree essays on economic consequences of new accounting regulation and bank accountingCette dissertation comprend trois chapitres distincts. Le premier chapitre examine si la qualité de la comptabilité s'améliore pour les entreprises suisses qui adoptent volontairement les IFRS. Le contexte suisse permet d'isoler l'effet du changement de norme comptable des changements dans l'application de la législation. Je constate que les entreprises qui adoptent volontairement les IFRS présentent une amélioration significative des métriques de qualité comptable dans la période qui suit l'adoption. En classant les adoptants en adoptants sérieux ou non sérieux sur la base des changements réels de leurs rapports financiers autour de l'adoption, je trouve que les adoptants non sérieux ne subissent pas une amélioration de la qualité de leur comptabilité dans la période post-adoption. Dans l'ensemble, les preuves vont dans le sens de l'explication selon laquelle la qualité comptable est principalement façonnée par les incitations à la communication d'informations.
Le deuxième chapitre examine l'impact du nouveau modèle ECL (Expected Credit Loss) sur la prévisibilité des provisions pour pertes sur prêts (LLP) et les conséquences potentielles sur la discipline de marché. J'examine si les LLP moins objectives sous IFRS 9 obscurcissent la capacité des participants du marché à surveiller les incitations des banques à prendre des risques. Les résultats empiriques suggèrent une diminution de l'association entre les provisions pour pertes sur prêts et les déterminants du modèle de pertes encourues dans la période post-IFRS 9, c'est-à-dire que les LLP sont moins basées sur des déterminants objectifs après l'adoption des IFRS. En outre, je trouve une diminution de la sensibilité de l'effet de levier aux changements de risque dans la période post-adoption de l'IFRS 9, indiquant une discipline de marché atténuée sur la prise de risque des banques. En revanche, je ne trouve aucun changement dans les déterminants du LLP et de la discipline de marché pour l'échantillon de référence des banques américaines, qui n'ont pas été soumises à des changements comptables similaires pendant la période d'échantillonnage.
Le troisième chapitre examine si les banques modifient la comptabilisation des produits dérivés après l'ASU 2017-12. J'étudie l'impact de la nouvelle norme sur la volatilité des bénéfices au sein de différents groupes d'utilisateurs de produits dérivés. En utilisant des données trimestrielles détaillées sur les dérivés financiers pour les avoirs bancaires, je constate que le niveau de volatilité des bénéfices ainsi que l'ASU 2017-12 influencent les décisions des banques d'utiliser la comptabilité de couverture. En évaluant l'impact au sein des groupes d'utilisateurs de produits dérivés, je trouve des preuves que les banques qui désignent les produits dérivés à des fins de comptabilité de couverture présentent un niveau plus faible de volatilité des bénéfices autour de l'adoption de l'ASU 2017-12, par rapport aux banques qui choisissent de ne pas appliquer la comptabilité de couverture. Je constate également que les banques qui choisissent pour la première fois d'utiliser la comptabilité de couverture après l'adoption de la norme comptable mise à jour affichent une volatilité des bénéfices réduite. Dans l'ensemble, les résultats confirment l'intention initiale du FASB d'introduire la mise à jour de la norme comptable. ABSTRACT : This dissertation comprises three distinct chapters. The first chapter examines whether accounting quality improves for firms voluntarily adopting IFRS by using a single country setting of Swiss firms. The Swiss setting enables isolating the effect of the change from accounting standards from changes in reporting enforcement. I find that voluntary adopters exhibit significant improvement in accounting quality metrics in the post-adoption period. Classifying the adopters in non-serious or serious adopters based on their actual reporting changes around the adoption, I find that the non-serious adopters do not face accounting quality improvements in the post-adoption period. Overall, the evidence points towards the explanation that accounting quality is mainly shaped by reporting incentives.
The second chapter examines the new Expected Credit Loss (ECL) model’s impact on the predictability of loan loss provisions (LLP) and potential market discipline consequences. I examine whether the arguably less objective LLP under IFRS 9 obscure market participants’ ability to monitor the banks’ risk-taking incentives. The empirical findings suggest a decrease in the association between loan loss provisions and the incurred loss model determinants in the post-IFRS 9 period, i.e., LLP are based less on objective determinants after IFRS adoption. Furthermore, I find a decrease in the sensitivity of leverage to changes in risk in the post-adoption period of IFRS 9, indicating an attenuated market discipline over banks’ risk-taking. In contrast, I find no changes in the determinants of LLP and market discipline for the benchmark sample of U.S. banks, which were not subject to similar accounting changes during the sample period.
The third chapter examines whether banks change the accounting designation of derivatives after ASU 2017-12. I investigate the impact of the new standard on earnings volatility within different groups of derivative users. Using detailed quarterly data on financial derivatives for bank holdings, I find that the level of earnings volatility and the ASU 2017-12 influence the banks’ decisions to use hedge accounting. In assessing the impact within groups of derivative users, I find evidence that banks that designate derivatives for hedge accounting purposes exhibit a lower level of earnings volatility around the adoption of ASU 2017-12 as opposed to banks that elect not to apply hedge accounting. I also find that banks that elect to use hedge accounting for the first time after adopting the standard update exhibit decreased earnings volatility. Overall, the findings confirm the FASB’s initial intention of introducing the accounting standard’s update. - PublicationAccès libreDoes Foreign Information Predict the Returns of Multinational Firms Worldwide?(2017)