Christelle Lecourt

Chercheuse ,  Aix-Marseille Université , Faculté d'économie et de gestion (FEG)

Économétrie, finance et méthodes mathématiques
Lecourt
Statut
Professeur des universités
Domaine(s) de recherche
Finance
Thèse
2000, University of Lille 1
Téléchargement
CV
Contact
christelle.lecourt[at]univ-amu.fr
+33(0)4 13 94 20 19
Adresse

Maison de l'économie et de la gestion d'Aix
424 chemin du viaduc, CS80429
13097 Aix-en-Provence Cedex 2

Résumé In this paper, we examine rebalancing strategies for long-term institutional investors. Specifically, we test the difference in risk-adjusted performance between stock-bond portfolios based on buy-and-hold, periodic and threshold rebalancing strategies. Using the Norwegian Sovereign Wealth Fund (SWF) as a benchmark and an econometric approach based on a bootstrap test of Sharpe ratio differences, we show that the optimal rebalancing differs across economic and financial cycles. Furthermore, we find that the optimal strategy is periodic rebalancing except during recessions and crises when the buy-and-hold approach is best, thus calling into question the hypothesis of the countercyclical behaviour of SWFs. Our results are robust to alternative performance measures, asset allocations, investment horizons, rebalancing rules, nonnormal and noniid returns, transaction costs and time sampling. Finally, our findings promote the consideration of macroprudential rules to improve the Santiago Principles and a specific monitoring framework targeted at SWFs.
Mots clés Portfolio rebalancing, Financial stability, Boobstrap test, Institutional investors
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Résumé This paper assesses whether and how setting up a sovereign wealth fund has a buffer effect against currency crises. Using an innovative dynamic logit panel model framework and a unique dataset covering 34 emerging countries over the period 1989–2019, we empirically show that sovereign wealth funds reduce the occurrence of currency crises. This result is robust to different econometric specifications, alternative definitions of sovereign wealth funds, controlling for currency crisis risk factors, and income level sampling. Our findings have important implications for financial stability and for policymakers, who could further exploit the potential of sovereign wealth funds to better manage foreign exchange risks.
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Résumé Based on a unique database (data on 2529 bank-firm relationships of 403 firms from 2012 to 2018) provided by the Central Bank of Tunisia, this article analyses the impact of the intensity and duration of bank-firm relationship on loan quality. By estimating a panel ordered probit model, the results show that the intensity of the lending relationship has a positive (negative) impact on high (medium or low) quality loans. In addition, the duration of the bank-firm relationship increases the probability of low-quality loans. We also find that the impact of relationship lending on loan quality differs according to the level of profitability of the firm. Low and non-performing firms tend to have longer and closer bank relationship, whereas it is the opposite for performing firms. Our results suggest that in an emerging market concentrated around a few banks, longer and closer banking relationships are mainly in favour of low and non-performing firms, reflecting adverse selection and strong moral hazard.
Mots clés Banks, Relationship lending, Credit registry, Tunisia
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Résumé In this paper, we provide a better understanding of what drives sovereign wealth funds (SWFs) to improve their governance. Using the most recent SWF governance scoreboard from Maire et al. (2021), we estimate a fractional response model to determine whether SWF governance disclosure norms are driven by the search for internal or external legitimacy. Overall, we find that SWFs have better governance when they originate from democratic countries with high-quality, national governance. Our results also show that SWFs tend to have better gover-nance quality when they need to acquire external legitimacy vis-à-vis the target company and its government. In particular, we find that SWFs have an incentive to improve their governance when they are sufficiently inter-nationalized, when the amount of foreign assets invested abroad is sufficiently large or when the amount of shares acquired in developed countries is significant. These findings demonstrate how SWFs may proactively build legitimacy in host countries when they need to adapt their foreign entry strategies. Our results have important implications for understanding the determinants of SWF governance in general.
Mots clés Transparency, Internationalization, Governance, Sovereign Wealth Funds
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Résumé In this paper, we investigate the determinants of equity shares purchased by Sovereign Wealth Funds (SWFs). Based on the literature of cross-border acquisitions and entry mode choice theory, we shed light on the real drivers of these state-owned funds when they buy small or large stakes in cross-border target firms. Using an original dataset of SWF acquisitions over the period 2000–2015, a Two-Part Fractional Regression Model is estimated to account for both the fractional nature of the dependent variable as well as the separation between the decision to invest and that concerning the share of equity invested. We find that the decision to invest and the decision on the share of equity to be acquired are two distinct processes. We also find that SWFs take the investment decision in cross-border target firms by trying to reduce transaction costs and information asymmetry according to the cross-border acquisition theory, and also by taking the legal and institutional environment of the host country into consideration. However, the fact that they do not hesitate to take large shares or to acquire targeted firms that are considered to be strategic and located in politically unstable countries suggests that their motives may go beyond financial consideration.
Mots clés Sovereign Wealth Funds, Cross-border acquisitions, Entry mode choice
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Résumé In this paper, we investigate whether small- or mid-cap stocks can be considered as an alternative asset class that allows for the enhancement of the mean-variance characteristics of an investor’s portfolio. Using all the French stocks listed on the Euronext Stock Market from January 2000 to December 2018, we first examine this issue from the perspective of an investor that invests in familiar asset classes such as domestic large-cap stocks and is willing to add small- and/or mid-cap domestic stocks to his or her portfolio. We also examine this issue from the perspective of a French investor who has internationally diversified his portfolio using only international large- cap indices. Finally, we attempt to measure whether the size-based performance of a portfolio varies over time. We show that investors may benefit from adding micro- or small-cap stocks to their portfolios due to the fact that size-based portfolio performance varies over time. In particular, we find that small and mid-cap stocks behave differently to largecap stocks during and after the financial crisis, meaning that they can be considered as an alternative profitable asset class in portfolio management. This result is robust to different methodologies used to classify size-based portfolios as well as to different sets of benchmark assets. Except in the case of large-cap stocks at the beginning of the financial crisis, the spanning hypothesis cannot be rejected for small-, mid- or large-cap portfolios during the period spanning from 2007-2012, but the hypothesis is rejected for all small-cap portfolios during the period spanning from 2012-2018. Our results show that French small-cap stocks behave differently than mid- and large-cap stocks behave, and they also differ when their behavior is compared to that of other international asset classes.
Mots clés Asset allocation, Portfolio diversification, Small- and mid-cap stocks
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Résumé Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter proposes a review of different time series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed Europe REIT markets over the period 2009–2019 via a two-factor model. We evaluate the performance of the different techniques in terms of in-sample estimates as well as through an out-of-sample tracking exercise. Results show that dynamic models clearly outperform static models and that both the state space and autoregressive conditional beta models outperform the other methods.
Mots clés Autoregressive conditional beta, Dynamic conditional beta, State space, Multivariate GARCH, REITs, Real estate
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Résumé We examine in this paper the complex decision-making processes that lead to investment location choice of Sovereign Wealth Funds (SWFs). Using a two-tiered dynamic Tobit panel model, we find that country-level factors do not have the same impact on the investment decision and the amount to invest and that SWFs tend to invest more frequently and with higher amounts in countries in which they already have invested. More specifically, we find that SWFs prefer to invest in countries with higher political stability, whereas they are more prone to investing for large amounts in countries that are less democratic and more financially opened. Our results also lend support to the idea that SWFs are prudent in the choice of target country concerning their investment decision but behave as more opportunistic investors concerning the amounts to be invested.
Mots clés Two-tiered dynamic Tobit panel model, Macroeconomic country factors, Targeted countries, Sovereign Wealth Funds
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Résumé The aim of the paper is to shed light on the question of why a country decides to set up a Sovereign Wealth Fund (SWF). Despite the recent financial crisis, 43 SWFs have been created between 2005 and 2014. In particular, we test if the emergence of these new recent funds can be explained by the following economic, political and institutional factors : i) the excess foreign exchange reserves due to natural resources rents or persistent current account surpluses ; ii) the volatility of commodity prices ; iii) a way to mitigate the "Dutch Disease" effect and iv) the governance of the country. We test these hypotheses on a sample of 37 countries that created a SWF over the period 2000-2014 and compare them to a large panel of countries that did not set up a SWF. In order to allow the temporal dimension as well as the unobserved heterogeneity between SWFs, a Logit panel model with random effects is estimated. The results show that countries for which the creation of a SWF is more appropriate are those with foreign exchange excess reserves, which are dependent on a commodity and on its volatility and which suffer from an appreciation of the real exchange rate. We also find that non-democratic countries with a high level of corruption are more likely to create a SWF. Our results may be of interest for policymakers debating whether or not it can be optimal for the country to establish a SWF. "Modern Sovereign Wealth Funds are not new. The first, the Kuwait Investment Office, was set up in 1953 just as Edmund Hillary and Tenzing Norgay were setting out to climb Mount Everest. The number of funds has been increasing since then like the traffic on the slopes of Everest" (John Gieve, former deputy Governor of Bank of England in a speech in London, 2008).
Mots clés G23, Country Factors, Natural Resources Rents, Sovereign Wealth Funds, F39, H59 Corresponding author, Logit Panel Model JEL classification E21, E61
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Résumé Sovereign wealth funds (SWFs) have been increasingly active over the past decade, with governments raising concern regarding their actual motives and the potential for cross-border interest in national strategic sectors. The aim of this paper is to contribute to the existing literature by improving our understanding of the decisions being taken by this new class of investors. The decision-making process informing such investments is complex in the sense that it involves several levels of decision that may potentially interact. In this study, we investigate the determinants of SWFs' foreign investments, while considering in a single model the sequence of choices involved in their decisions, specifically (i) the decision to invest abroad or not, (ii) the decision to invest in a listed versus unlisted firm, and (iii) the decision to take large versus small stakes. Using a nested logit approach on one of the largest SWFs, the Singaporean fund Temasek, over the period 1990–2010, we provide clear evidence of dependence in the three levels of decision making considered. In addition, we show that the probability of Temasek's cross-border investment increases with the excess of foreign exchange (FX) reserves, that the SWF tends to target unlisted firms when asymmetry of information is low between the target company and its home country, and that its involvement in large stakes depends on a firm's financial characteristics.
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Résumé Financial asset prices occasionally exhibit large changes. To deal with their occurrence, observed return series are assumed to consist of a conditionally Gaussian ARMA-GARCH type model contaminated by an additive jump component. In this framework, a new test for additive jumps is proposed. The test is based on standardized returns, where the first two conditional moments of the non-contaminated observations are estimated in a robust way. Simulation results indicate that the test has very good finite sample properties, i.e. correct size and high proportion of correct jump detection. The test is applied to daily returns and detects less than 1% of jumps for three exchange rates and between 1% and 3% of jumps for about 50 large capitalization stock returns from the NYSE. Once jumps have been filtered out, all series are found to be conditionally Gaussian. It is also found that simple GARCH-type models estimated using filtered returns deliver more accurate out-of sample forecasts of the conditional variance than GARCH and Generalized Autoregressive Score (GAS) models estimated from raw data.
Mots clés Test, Jumps, GARCH, Forecasting
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Résumé In this paper, we investigate the impact of monetary policy signals stemming from the Bundesbank Council and the FOMC on the intradaily Deutsche Mark-dollar volatility (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure depending on signal variables, on the deseasonalized exchange rate returns series. This structure allows us to test the signals persistence one hour after their occurrence and to reveal a dissymmetry between the effect of the Bundesbank and the Federal Reserve signals on the exchange rate volatility.
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Résumé In this paper, we examine the determinants of investor money flows in sustainable mutual funds. Owing to differences in preferences, we posit that ESG investors are more sensitive to mutual fund financial attributes than impact investors are. Using a dataset of 840 actively managed European sustainable equity funds for the period 2018–2025, we find that fund flows are significantly more sensitive to past performance for ESG funds than for impact funds. Our empirical results are in line with impact investor specificity among sustainable investors: the first invest for ESG values, whereas the latter invest with ESG values. Our findings are robust to alternative sustainable classifications, geographical investment areas, investor types and time sampling.
Mots clés Impact investing, Mutual funds, Investor behavior, Cash flows
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Résumé This paper assesses whether and how setting up a sovereign wealth fund has a buffer effect against currency crises. Using an innovative dynamic logit panel model framework and a unique dataset covering 34 emerging countries over the period 1989–2019, we empirically show that sovereign wealth funds reduce the occurrence of currency crises. This result is robust to different econometric specifications, alternative definitions of sovereign wealth funds, controlling for currency crisis risk factors, and income level sampling. Our findings have important implications for financial stability and for policymakers, who could further exploit the potential of sovereign wealth funds to better manage foreign exchange risks.
Mots clés Currency Crisis, Sovereign Wealth Funds, Financial stability
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Résumé In this paper, we examine rebalancing strategies for long-term institutional investors. Specifically, we test the difference in risk-adjusted performances between stock-bond portfolios based on buy-and-hold, periodic and threshold rebalancing strategies. Using the Norwegian Sovereign Wealth Fund (SWF) as a benchmark and an econometric approach based on a bootstrap test of Sharpe ratios difference, we show that the optimal rebalancing differs across economic and financial cycles. Furthermore, we find that the optimal strategy is periodic rebalancing except during recessions and crises when the buy-and-hold approach is best, thus calling into question the hypothesis of the countercyclical behavior of SWFs. Our results are robust to alternative performance measures, asset allocations, investment horizons, rebalancing rule, nonnormal and non-iid returns, transaction costs and time sampling. Finally, our findings promote the consideration of macroprudential rules to improve the Santiago Principles and a specific monitoring framework targeted at SWFs.
Mots clés Portfolio rebalancing, Financial stability, Bootstrap Test, Institutional investors
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Résumé In this paper we examine the investment strategy of sovereign wealth funds (SWFs) of the Gulf Cooperation Council (GCC) countries. GCC SWFs are considered as relatively opaque investors and strongly politicized, raising some concerns for perceived political and security risks. We investigate what are the drivers of majority cross- border equity acquisitions made by these institutional investors over the period 2006-2015. Using both Logit and ordered Logit models, we test if the usual determinants of SWFs investments still stand when we look at influential (> 10%) or majority (> 50%) acquisitions made by GCC SWFs. We find that GCC SWFs do not consider financial characteristics of the targeted firms when they acquire large cross-border stakes but rather the characteristics of the country (countries in the European union and/or countries with a high level of shareholders protection), suggesting that their motives may go beyond pure profit maximization. We also find that transparent funds are more likely to take influential or majority stakes and that they do so predominantly in non-strategic sectors. Overall, our results indicate that even if GCC SWFs do not seek only for financial returns, acquiring majority stakes is not a lever for GCC governments to get strategic interests in the target countries.
Mots clés Ordered logit model, Cross-border majority acquisitions, GCC, Sovereign Wealth Funds
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