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Lecesne , Lionel , 1986-....

Martel , Jocelyn

Bertrand , Philippe , 1966-.... , professeur de gestion

Fusai , Gianluca

Roncalli , Thierry

Mero , Gulten , 1981-....

Roncoroni , Andrea

Université de Cergy-Pontoise , 1991-2019

École doctorale Économie, Management, Mathématiques, Physique et Sciences Informatiques , Cergy-Pontoise, Val d'Oise

THEMA Théorie économique, modélisation et applications , Cergy , 2006-....

Trois essais sur les implications de l'illiquidité de marché pour la gestion du risque et de la performance de portefeuille , Lionel Lecesne ; sous la direction de Jocelyn Martel

Titre provenant de l'écran-titre

Ecole(s) Doctorale(s) : Ecole doctorale Économie, Management, Mathématiques , Physique et Sciences Informatiques (Cergy-Pontoise, Val d'Oise)

Partenaire(s) de recherche : Laboratoire THEMA (Cergy-Pontoise) (Laboratoire)

Autre(s) contribution(s) : Jocelyn Martel, Philippe Bertrand, Gianluca Fusai, Thierry Roncalli, Gulten Mero, Andrea Roncoroni (Membre(s) du jury) ; Philippe Bertrand, Gianluca Fusai (Rapporteur(s))

Thèse de doctorat Science de gestion - EM2PSI Cergy-Pontoise 2019

Chapter 1: How Should Investment Fund Behavior and Performance React to Fund Size? The Role of Liquidity Frictions.A number of empirical studies have investigated how mutual funds do react to incoming financial resources. As long as liquidity constraints are narrow, fund managers tend to upscale already existing positions without looking for new investment opportunities. Concomitantly, performance of funds decreases which is explained by the expansion of size-driven liquidity costs. We put forward a model of asset allocation that accounts for market liquidity frictions and recovers the inverse relation between fund size and fund performance. The model prescribes how fund portfolio managers should react as financial resources enter the fund. We estimate the model on S&P 600 stock data and investigate optimal allocation behavior under fund size increase. We obtain that to confine the negative effect of liquidity frictions on performance, portfolio diversification should be increased under fund size increase. In particular, once a certain fund size is attained, fund managers should incorporate new investments which enhances portfolio diversity and reduces liquidity-driven performance erosion.Chapter 2: The Role of Financial Market Liquidity on Investment Performance in the US Energy Equity.A large portion of financial investment in the energy sector goes through the stock market channel. Energy equity funds often ground their decisions on ex ante marked-to-market performance ranking of alternative opportunities. We put forward a liquidity-adjusted Sharpe ratio and show that liquidity frictions do affect investment performance ranking. Empirical analysis of the NYSE energy equity segment shows that imperfect liquidity may lead to rank reversal of investment opportunities compared to the standard marked-to-market assessment. This phenomenon is shown to be increasingly relevant with the share listed companies have in the renewable energy business. Market liquidity frictions may thus blur regulators’ policies aimed at attracting capital for investment in new energy areas. In particular, renewable energy policy makers should consider the ability of financial market regulators to improve stock market liquidity as a means to trigger the effectiveness of their policy.Chapter 3 Monetary Measurement of Risk: A Critical Overview.Risk assessment must cope with ever more stringent regulatory requirements in a context of rapidly evolving financial practices and new emerging risks. We put forward a critical overview of the theory of monetary risk measures. Relying on economical arguments, we suggest that properties defining coherent risk measures might not be desirable and rehabilitate Value-at-Risk. We present convex measures of risk, introduced by the literature to overcome some drawbacks of coherent risk measures, and especially to account for market liquidity risk. Finally, an economic capital allocation experiment is conducted which compares outputs obtained using alternatively Expected Shortfall (coherent) or the entropic risk measure (convex).

Chapter 1: How Should Investment Fund Behavior and Performance React to Fund Size? The Role of Liquidity Frictions.A number of empirical studies have investigated how mutual funds do react to incoming financial resources. As long as liquidity constraints are narrow, fund managers tend to upscale already existing positions without looking for new investment opportunities. Concomitantly, performance of funds decreases which is explained by the expansion of size-driven liquidity costs. We put forward a model of asset allocation that accounts for market liquidity frictions and recovers the inverse relation between fund size and fund performance. The model prescribes how fund portfolio managers should react as financial resources enter the fund. We estimate the model on S&P 600 stock data and investigate optimal allocation behavior under fund size increase. We obtain that to confine the negative effect of liquidity frictions on performance, portfolio diversification should be increased under fund size increase. In particular, once a certain fund size is attained, fund managers should incorporate new investments which enhances portfolio diversity and reduces liquidity-driven performance erosion.Chapter 2: The Role of Financial Market Liquidity on Investment Performance in the US Energy Equity.A large portion of financial investment in the energy sector goes through the stock market channel. Energy equity funds often ground their decisions on ex ante marked-to-market performance ranking of alternative opportunities. We put forward a liquidity-adjusted Sharpe ratio and show that liquidity frictions do affect investment performance ranking. Empirical analysis of the NYSE energy equity segment shows that imperfect liquidity may lead to rank reversal of investment opportunities compared to the standard marked-to-market assessment. This phenomenon is shown to be increasingly relevant with the share listed companies have in the renewable energy business. Market liquidity frictions may thus blur regulators’ policies aimed at attracting capital for investment in new energy areas. In particular, renewable energy policy makers should consider the ability of financial market regulators to improve stock market liquidity as a means to trigger the effectiveness of their policy.Chapter 3 Monetary Measurement of Risk: A Critical Overview.Risk assessment must cope with ever more stringent regulatory requirements in a context of rapidly evolving financial practices and new emerging risks. We put forward a critical overview of the theory of monetary risk measures. Relying on economical arguments, we suggest that properties defining coherent risk measures might not be desirable and rehabilitate Value-at-Risk. We present convex measures of risk, introduced by the literature to overcome some drawbacks of coherent risk measures, and especially to account for market liquidity risk. Finally, an economic capital allocation experiment is conducted which compares outputs obtained using alternatively Expected Shortfall (coherent) or the entropic risk measure (convex).

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