EDHEC Business School

About: EDHEC Business School is a education organization based out in Roubaix, France. It is known for research contribution in the topics: Portfolio & Capital asset pricing model. The organization has 294 authors who have published 1749 publications receiving 42687 citations. The organization is also known as: Ecole des Hautes Etudes Commerciales du Nord & EDHEC Business School.

Dependence Structure and Extreme Comovements in International Equity and Bond Markets

Abstract: Common negative extreme variations in returns are prevalent in international equity markets. This has been widely documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime-switching models. We point to limits of these tools to characterize extreme dependence and propose an alternative regime-switching copula model that includes one normal regime in which dependence is symmetric and a second regime characterized by asymmetric dependence. Moreover, to fully appreciate the potential effects of this asymmetric dependence in terms of portfolio diversification, we apply this model to international equity and bond markets, to allow for inter-market movements. Empirically, we find that dependence between international assets of the same type is strong in both regimes, especially in the asymmetric one, but weak between equities and bonds, even in the same country. We study analytically how and when asymmetric dependence may amplify empirically documented phenomena such as flight to safety and home bias in portfolio allocation. Les ecarts de rendement negatifs extremes communs existent dans les marches boursiers internationaux. Ce phenomene a ete largement demontre par des outils statistiques, tels que la correlation des depassements, la theorie des valeurs extremes et les modeles GARCH bivarie en langage Gauss ou avec changement de regime. Nous signalons les limites de ces outils pour caracteriser la dependance extreme et proposons un modele de copules avec changement de regime, comprenant un regime normal dans lequel la dependance est symetrique et un second regime caracterise par une dependance asymetrique. De plus, afin de saisir pleinement l'incidence potentielle de cette dependance asymetrique en termes de diversification du portefeuille, nous appliquons ce modele aux marches internationaux des actions et des obligations, afin de permettre les mouvements entre les marches. D'un point de vue empirique, nous constatons une forte dependance entre les actifs internationaux de meme type dans les deux regimes, surtout dans le regime asymetrique, et une faible dependance entre les actions et les obligations, bien qu'il soit question d'un meme pays. Nous procedons a un examen analytique afin de determiner quand et comment la dependance asymetrique peut, lors de la repartition du portefeuille, amplifier les phenomenes suivants etablis empiriquement : fuite vers la securite et surinvestissement dans des societes proches du domicile.

L'évaluation des performances dans les entreprises françaises : une étude empirique

Abstract: Traditionnellement les systemes d'evaluation des performances s'interessaient en priorite aux resultats financiers. Les criteres de concurrence ont toutefois oblige les entreprises a changer leur facon d'apprehender la performance. Les mesures financieres traditionnelles sont en effet incompatibles avec les strategies de creation de valeur pour le client L'objectif de notre recherche est d'etudier les systemes d'evaluation des performances utilises par les entreprises francaises en mesurant l'influence de la taille de l'organisation, l'incertitude percue de l'environnement, la strategie et les indicateurs non financiers sur leur architecture'.

The paradox of surprise: empirical evidence about surprising gifts received and given by close relations

Abstract: Purpose This study aims to explore surprising gifts received and given by close relations to identify the variables involved in creating surprising gifts. The analysis of the viewpoints of the giver and the recipient, reflecting their profiles, leads to recommendations for retailers. Design/methodology/approach An exploratory, small-scale, open-ended questionnaire (48 respondents) produces 43 (38) accounts of surprising gifts given (received), informed further by in-depth interviews (eight informants, both givers and recipients of surprising gifts). Findings This study identifies and elaborates on the variables (why, when, what, where, who and how, and their combinations) that define surprising gift giving, from both giver and recipient perspectives. The findings indicate a paradox: even if givers or recipients prefer a surprising gift, they might give or wish for an unsurprising gift to avoid disappointment. Research limitations/implications Further research should confirm the findings using representative samples. Moreover, gender differences in surprising gift giving should be investigated further. Finally, the exact characteristics and properties that make common objects potential candidates for successful surprising gifts should be studied further. Practical implications The discussion has relevant implications for manufacturers and retailers. For example, if recipients are surprised, happy and satisfied, they likely exhibit higher brand recall. The recipient’s (happy versus not happy) emotions also have spillover effects on the giver’s. Thus, retailers should provide assistance in the store and advertise their salespeople as experts who can offer advice about selecting appropriate gifts. The exact characteristics and properties that make common objects potential candidates for successful surprising gifts should be studied further. Originality/value The systematic account of all six variables, not previously analyzed in the literature, provides rich insights into surprising gift giving. The discussion of the study of givers and recipients supplements these insights.