Bankers, markets investors

n° 114
September-October 2011
ISSN 2101-9304
150 euros
revue-banque.fr
Bankers,
markets
investors
an academic and professional review
art i c l es
4 Comparing the Value Relevance of Earnings and Book Value
in IFRS and GAAP Standards
Lionel Escaffre and Réda Sefsaf, Université d’Angers
19 Credit Risk Evaluation:
The Econometric vs the Structural Approach
Ridha ELHADJ Ahmed, CEMAFI, Université de Nice Sophia-Antipolis
Ines GHAZOUANI BEN AMEUR, CEMAFI, TIME Université
34 The Fund Synthetic Index:
An Alternative Benchmark for Mutual Funds
Virginie TERRAZA, Université de Luxembourg et Université de Montpellier I
Hery RAZAFITOMBO, Université Paul Verlaine – Metz
45 Corporate Governance and Performance of French Listed Companies
Helen BOLLAERT, Hicham DAHER, Aurélie DEROO and Marion DUPIRE-DECLERCK,
IESEG School of Management
F oc u s on . . .
58 Symmetric vs. Downside Risk Measures in Portfolio Decisions
Olga BOURACHNIKOVA, EM Strasbourg Business School
Nurmukhammad YUSUPOV, Audencia Nantes School of Management
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Bankers, Markets & Investors n° 114 september-october 2011
© Bankers, Markets & Investors
Hervé ALEXANDRE/Université Paris-Dauphine, Franck BANCEL/ESCP Europe, Lorenzo BERGOMI/SG CIB, Bruno-Rolland BERNARD/LVMH, Éric de BODT/ESA Lille, Hubert de la
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SEVERIN/OSTL Lille 1, Jacques SIKORAV/BNP Paribas, Grégory TAILLARD/Sinopia AM.
Abstracts
■■ Comparing the Value Relevance
■■ Corporate Governance
of Earnings and Book Value in IFRS
and GAAP Standards
4
and Performance of French Listed
Companies
45
Lionel Escaffre and Réda Sefsaf, Université d’Angers
Helen BOLLAERT, Hicham DAHER, Aurélie DEROO and Marion DUPIREDECLERCK, IESEG School of Management
The aim of this paper is to present a comparative analysis of the value relevance of the book value and earnings on a sample of companies belonging
to the financial sector, made up largely of banks. The sample originates
from several European markets in IFRS, namely the Benelux countries,
France, Spain, the United Kingdom and the US market in US GAAP. We will
aim to find out under which standard applied to a given financial market,
the relation between accounting numbers (earnings and book value) and
the stock returns is the most significant. According to our results, there is
no evidence that there are significant difference between common value
relevance of earnings and book value per share on continental markets
and Anglo-American markets.
■■ Credit Risk Evaluation:
The Econometric vs the Structural
Approach
19
Ahmed Ridha ELHADJ, CEMAFI, Université de Nice Sophia-Antipolis
Ines GHAZOUANI BEN AMEUR, CEMAFI, TIME Université
This paper reviews the credit risk evaluation approaches that were largely
discussed during the debate on banks’ capacity to handle risk exposure
and the effectiveness of the techniques they use. We propose a sector-bysector analysis of credit risk levels in the French market using the econometric approach of CreditPortfolioView model. Our results show the
importance and the effectiveness of the econometric approach and underline its necessity and complementarity with structural approaches.
■■ The Fund Synthetic Index:
An Alternative Benchmark
for Mutual Funds
34
We analyze the link between corporate governance quality and performance in French listed firms. Using a Carhart four-factor analysis,
we show that firms with higher levels of corporate governance quality
underperform those with lower levels of quality by an average of 1.5%
per year in 2005 – 2007. We capture corporate governance quality by
means of index which reflects the specificities of corporate governance
in France, in particular the existence of influential networks, whose
interests may not necessarily coincide with those of shareholders, in
the governance structures of firms. Our findings indicate that investors
prefer firms with good connections, probably because they perceive
that these firms may benefit from protection in times of need.
■ ■f o c u s
on…
Symmetric vs. Downside Risk
Measures in Portfolio Decisions 58
Olga BOURACHNIKOVA, EM Strasbourg Business School
Nurmukhammad YUSUPOV, Audencia Nantes School of Management,
PRES UNAM
Downside risk measures are more intuitive but mathematically more
complex to use, comparing to the more classical concept of variance. The
relevant literature has grown rapidly in the recent years which this paper
maps in the context of portfolio selection theory. Although the concept
of risk is at the core of finance theory in general, empirical evidence supporting comparative advantage of employing symmetric vs. downside
risk measures in portfolio decisions is surprisingly dispersed. We find that
the literature has largely ignored behavioral aspects of using complex but
realistic models. Namely, that the investors make decisions using complex
models without fully understanding the model itself.
Virginie TERRAZA, Université de Luxembourg et Université de Montpellier I
Hery RAZAFITOMBO, Université Paul Verlaine – Metz
This paper combines the use of portfolio holdings data and Principal
Component Analysis to create synthetic fund indexes. Synthetic funds are
funds portfolios which aim to duplicate a fund market in order to represent alternative benchmarks to compare the performance of investment
funds. Our weight-based measure has several advantages. Using the
principal Component Approach, it avoids biases in linear weighting scheme of portfolios, reducing the dimensionality of the data and keeping the
representatively of financial markets. Synthetic Fund Indexes permit to
better compare fund markets when structural information of returns is
used, means-based measures face a bias if managers can trade between
observation dates. The new measures avoid this interim trading bias. We
use our benchmark to provide insights about performance in a sample
of equity investment funds of 5 countries. By constructing indexes from
data collected in different time periods, some conclusions are drawn
about the consistency of our results.
bankers, markets & investors n° 114 september-october 2011
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