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on Corporate Finance |
| By: | Bernard, Philippe; Blanchard, Michel |
| Abstract: | We test here the kahneman (kahneman 2011) results about fund managers: that is, do managers are really skilled or could any chimpanzee do the job? Moreover, the recent stormy period should enlighten us about the interest to invest in mutual funds: do they over perform the market? Do they smooth the losses? Do they have well managed the alternative bearish and bullish periods of the markets? Few recent studies focus on the French Stock market. In this paper, we investigate the performance, persistence and behavior of mutual funds only investing in the Paris stock exchange market from 2000 to 2012. We find that funds clearly over-perform the market on average but only on a 60 months investment horizon. Average annual excess is close to zero (+0.3%) for funds which were active over all the period. Yet, some have salient good (bad) relative performances. The challenge is then to distinguish skill from luck since funds can have extreme returns by luck. Our approach is to test for persistence in fund returns, that is, whether past winners continue to produce high returns and losers continue to underperform. Then, we apply the Carhart 1997 4-factors model, in order to evaluate the weight of the systematic drivers of the performance. |
| Keywords: | Mutual funds performances; overperformance; fund managers skills; |
| JEL: | G11 |
| Date: | 2013–05 |
| URL: | http://d.repec.org/n?u=RePEc:dau:papers:123456789/12058&r=cfn |
| By: | Bignon, Vincent; Breton, Régis; Rojas Breu, Mariana |
| Abstract: | This paper analyzes a two-country model of currency, banks and endogenous default to study whether impediments to credit market integration across jurisdictions impact the desirability of a currency union. We show that when those impediments induce a higher cost for banks to manage cross-border credit compared to domestic credit, welfare may not be maximal under a regime of currency union. But a banking union that would suppress hurdles to banking integration restores the optimality of that currency arrangement. The empirical and policy implications in terms of banking union are discussed. |
| Keywords: | E42; E50; F3; G21; |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:dau:papers:123456789/12105&r=cfn |
| By: | Tiwari, Amaresh K. (University of Liege); Mohnen, Pierre (UNU-MERIT / MGSoG, SBE, Maastricht University, and CIRANO); Palm, Franz (SBE, Maastricht University and CESifo); Schim van der Loeff, Sybrand (SBE, Maastricht University) |
| Abstract: | Using Dutch data we empirically investigate how financing and innovation vary across firm characteristics. We find that when firms face financial constraints, debt financing and innovation choices are not independent of firm characteristics, and R&D slows down. In the absence of financial constraints, however, as they raise debt, firms become less inclined to innovate and the change in the propensity to innovate no longer varies with firm characteristics. We find that financing constraints faced, propensity to innovate, and R&D intensity are not uniform across firm characteristics. A new 'Control Function' estimator to account for heterogeneity and endogeneity has been developed. |
| Keywords: | Innovation, R&D, Capital Structure, Financial Constraints, Firm Characteristics, Correlated Random Effects, Control Function, Expected a Posteriori |
| JEL: | G30 O30 C30 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:unm:unumer:2013027&r=cfn |