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.

Smart Beta 2.0

Abstract: Alternative equity indexes are likely to outperform traditional cap-weighted indexes over the long term, research results show that such smart beta strategies are exposed to several types of risk, including systematic risk (e.g., factor tilts), specific risk (related to the assumptions and inputs of a strategy), and relative risk (i.e., the risk of potentially severe underperformance) compared to cap-weighted indexes that can last for extended periods of time. Smart beta can play an important role in institutional investors’ allocations, but only at the price of implementing a genuine risk-management process. This article discusses a new approach to smart beta investing (Smart Beta 2.0) that not only deviates from the default solution of using market capitalization as the sole criterion for weighting and constituent selection, but also analyzes and manages the risks of such deviations.

Critiques du budget : une approche contingente

Abstract: Ces dernieres annees, la procedure budgetaire a fait l'objet de nombreuses critiques qui auraient meme conduit un certain nombre d'entreprises a aller " audela du budget " et a gerer sans budget. Pourtant, plusieurs etudes recentes montrent que le budget est loin d'etre mort dans la plupart des grandes entreprises. Ces constatations contradictoires militent pour une meilleure comprehension des critiques adressees au budget et pour une analyse approfondie des conditions dans lesquelles elles sont formulees. De nombreux travaux ont montre l'effet des variables de contingence sur les systemes et outils de controle. Il est donc raisonnable de penser que, en fonction de situations contingentes differentes, des critiques elles-memes differentes puissent etre exprimees. A partir d'une enquete par questionnaire, cette communication analyse, dans un premier temps, dans quelle mesure les entreprises cautionnent les critiques generalement adressees au budget et observe qu'il existe quatre types de critiques. Dans un second temps, les resultats montrent que le niveau d'incertitude influence fortement l'attitude globalement critique vis-a-vis du processus budgetaire. Les variables de taille, de cotation en bourse et de strategie expliquent certaines critiques specifiques.

Risk Regulations and Financial Disclosure : an Investigation Based on Corporate Communication in French Traded Companies

Abstract: Purpose – Risk orientated disclosure is a focal issue of corporate communication. Many provisions have been implemented in the USA and in Europe to promote transparency about risks faced by companies, especially by quoted ones. The increase of mandatory risk reporting applying to companies leads to the question of whether or how companies are compliant with these regulations. The answer itself implies further questions: what is required to be disclosed? And what is risk? The purpose of this paper is to address these issues.Design/methodology/approach – The paper uses a qualitative methodology based on Huberman and Miles in order to explore the collected data (annual reports of companies, laws, accounting standards, professional sources).Findings – The paper established an inventory of rules currently existing in order to identify the risk disclosure context faced by French companies and found that there is no consensus between the different pieces of legislation. It is demonstrated that the terminology re...

Conditional Correlations and Real Estate Investment Trusts

Abstract: Executive Summary. The paper studies the temporal variations in the conditional correlations between real estate investment trust (REIT) returns and equity, bond, and commodity returns. The finding...

Do Long-Short Speculators Destabilize Commodity Futures Markets?

Abstract: This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long-short commodity portfolios and their conditional correlations with traditional assets (stocks and bonds). Using several groups of trading strategies that hedge fund managers are known to implement, we show that long-short speculators do not cause changes in the volatilities of the portfolios they hold or changes in the conditional correlations between these portfolios and traditional assets. Thus calls for increased regulation of commodity money managers are, at this stage, premature. Additionally, long-short speculators can take comfort in knowing that their trades do not alter the risk and diversification properties of their portfolios.