an academic and professional review

n° 125
July-August 2013
ISSN 2101-9304
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revue-banque.fr
an academic and professional review
ART I C L E S
4
New Challenges of ESG Issues
Pierre CHOLLET, Université Montpellier 1, MRM, Nicolas CUZACQ, Laboratoire OBM (UPEC),
Souad LAJILI JARJIR, Université Paris-Est, IRG
11 Why are Mutual Fund Alphas Systematically Negative?
Patrice FONTAINE, CNRS, EUROFIDAI, Université Grenoble Alpes, Radu BURLACU et
Sonia JIMENEZ-GARCES, Université Grenoble Alpes, CNRS, CERAG
23 Name Changes and Equity Mutual Fund Returns
Marie-Hélène BROIHANNE, LaRGE Research Center, EM Strasbourg Business School, Strasbourg University, Manfred ULMER-WEBER, SHS Gesellschaft für Beteiligungsmanagement mbH, Tübingen
35 Does Corporate Governance Affect Stock Liquidity
in the Tunisian Stock Market?
Nadia LOUKIL, ISG Sousse, Université de Sousse, GEF2A, ISG de Tunis, Université de Tunis,
Ouidad YOUSFI, MRM, Université de Montpellier II, GEF2A, ISG de Tunis, Université de Tunis
FOCUS ON...
54 Prepacks
Philippe DU JARDIN, Edhec Business School, Julien REGNER, Université de Lille 1, Red2Green,
Éric SÉVERIN, Université de Lille 1
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Bankers, Markets & Investors n° 125 july-august 2013
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Abstracts
4
■■New Challenges of ESG Issues
Pierre Chollet, Université Montpellier 1, MRM, Nicolas Cuzacq, Laboratoire
OBM (UPEC), Souad Lajili Jarjir, Université Paris-Est, IRG
The objective of our paper is to look at the new challenges for Environmental Social and
Governance (ESG) issues. Indeed, asset management development will depend on the
■■Name Changes and Equity Mutual Fund
Returns
23
Marie-Hélène Broihanne, LaRGE Research Center, EM Strasbourg Business
School, Strasbourg University, Manfred Ulmer-Weber, SHS Gesellschaft für
Beteiligungsmanagement mbH, Tübingen.
consideration of ESG factors by the different stakeholders. Professionals, researchers and
In this paper we conduct a study of the impact of name changes on equity fund returns
decision makers are concerned with this subject. We provide a review of literature about
for funds that are listed on the French market and that have changed their name over
the Corporate Social Responsibility (CSR) and its financial implications including Socially
the period October 1999 to October 2009. We investigate whether name changes on the
Responsible Investment (SRI) and asset management. We discuss some important issues
French market give rise to abnormal fund returns. We find out that a name change has an
about the French regulatory framework, and especially Article 224 of Grenelle 2 Law. Lastly,
impact (event-induced variance effect) on the behavior of fund returns over a period of 6
we provide some prospects for asset managers, investors and researchers.
months after the event. An analysis of the determinants of abnormal returns in absolute
JEL Classification: G18, G28, G38
values allows us to conclude that fund inflows following name changes are not attracted
Key words: environmental, social, and governance issues; corporate social responsibility;
socially responsible investment; financial regulatory framework.
by a fund’s past performance, what suggests a “cosmetic effect”. Finally, we also show that
funds with high past returns exhibit low cumulative abnormal returns after a name change.
We conclude that it is difficult for managers to realize a higher return on the new inflows
following a cosmetic name change.
■■Why are Mutual Fund Alphas
Systematically Negative?
JEL Classification: G10
11
Patrice Fontaine, CNRS, EUROFIDAI, Université Grenoble Alpes, Radu Burlacu
et Sonia Jimenez-Garces, Université Grenoble Alpes, CNRS, CERAG
We study the performance of actively managed US equity mutual funds using traditional
models and, as in previous studies, find that they perform negatively. At the same time, we
note that the investments in mutual funds increase each year. It thus doesn’t seem realistic to admit that mutual fund clients would continually accept negative performances. We
put forth the idea that traditional measures of performance are misleading from a client’s
point of view. Expenses are justified by managers as part of their information acquisition
Keywords: equity mutual funds; name change; cosmetic effect; event study.
■■Does Corporate Governance Affect
Stock Liquidity in the Tunisian Stock
Market?
35
Nadia Loukil, ISG Sousse, Université de Sousse, GEF2A, ISG de Tunis, Université de Tunis, Ouidad Yousfi, MRM, Université de Montpellier II, GEF2A, ISG de
Tunis, Université de Tunis
activity. If managers are successful, clients believe to be protected (at least partially)
against information risk. It follows that, from the client’s point of view, the performance
The aim of the current paper is to analyze the link between corporate governance and stock
should be calculated as the mutual fund net realized return minus an expected return which
liquidity. We analyze first the effects of corporate governance on asymmetric information
only accounts for traditional risk premia factors (like systematic, size, book to market and
in stock market, and then we study their influence on stock liquidity. Drawing on a sample
momentum factors) and not for any information risk factor. We show in this paper that
of 49 Tunisian firms listed between 1998 and 2007, we show that corporate governance
traditional mutual fund performance models are not in line with this idea because the tra-
has direct and indirect effects on stock liquidity. Threat of expropriation with family and
ditional factors used in these models (market, size, book-to-market, momentum) embed
foreign shareholders discourages reluctant investors, which decreases stock liquidity. In
an information risk premium. Based on the Merton (1987) model and on the Firm Specific
contrast, they prefer raising capital in State controlled firms. In fact, State is regarded as
Return Variation variable of Durnev et al. (2004), we compute an information risk factor.
an effective controller rather than a shareholder. The State involvement in Tunisian firms
We then show that the traditional mutual funds performance models undervalue the funds
is a positive signal on the quality of corporate governance: State guarantees and protects
alpha since they control the fund net realized return for an information risk premium when
investors’ interests, which increases stock liquidity. Our results provide evidence that
they shouldn’t from the client’s point of view. Finally, we propose a new methodology for
some mechanisms of corporate governance improve stock liquidity because they reduce
measuring the mutual funds performance from the client’s perspective. We conclude with
information asymmetry.
this new methodology that the performance of the US equity mutual funds is well explained.
JEL Classification: G10, G34
JEL Classification: G11, G12, G14
Keywords: corporate governance, shareholder identity, stock liquidity, Tunisian Stock Exchange
Keywords: information asymmetry; information risk; actively managed equity mutual funds;
selectivity performance; rational expectations equilibrium models.
■ ■FOCUS ON…
Prepacks54
Philippe DU JARDIN, Edhec Business School, Julien REGNER, Université de
Lille 1, Red2Green, Eric SÉVERIN, Université de Lille 1
The purpose of this paper is to analyse the U.S. prepack. We highlight the advantages
and limits of this new procedure for companies in distress. In particular, we highlight the
characteristics of prepacks and the main factors able to explain the use of this procedure
compared with private workout and chapter 11.
JEL Classification: G33, G34
Keywords: prepacks.
bankers, markets & investors n° 125 july-august 2013
3
New Challenges of ESG Issues
F
PIERRE
CHOLLET*
Professeur
Université
Montepellier 1,
MRM
NICOLAS
CUZACQ**
Maître de
conférences
HDR en droit
privé
Agrégé
d’économie et
gestion
Laboratoire
OBM (UPEC)
SOUAD LAJILI
JARJIR***
Maître de
conférences
Université
Paris-Est, IRG
4
Article_Lajili.indd Sec1:4
ollowing the recent financial global crisis, decision
makers and managers have more pressure on them
to allocate resources and investments. Moreover,
policymakers are changing regulatory frameworks to
improve transparency in financial markets and the banking sector. In this context, it is important to look at the
new challenges for Environmental Social and Governance
(ESG) issues.
Indeed, since the seventies, firms and, more generally,
investors have been increasingly concerned about Corporate Social Responsibility (CSR). After many empirical and
theoretical published studies, the subject is still interesting to both academics and professionals. The objective
of our paper is first to give a review of the literature on
CSR and its financial implications, including Socially
Responsible Investment (SRI) and asset management;
second, to discuss a few major issues about the French
regulatory framework, in particular about the Law of
Grenelle 2 and third to provide asset managers, investors
and researchers with some prospects.
■ I. Review of Literature
Indeed, Corporate Social Responsibility is a highly
debated subject in both the academic and business
press. On the academic side, many questions are asked
regarding the definition of social responsibility (Zenisek
1979; Jones 19801) and how to measure it. The objective
is to gain a better understanding of the Corporate Social
Performance (CSP) construct (Griffin 2000). Even the
relationship between Corporate Social Responsibility
and financial performance is ambiguous (Waddock and
Graves 1997, Allouche and Laroche 2006, Nelling and
Webb 2009). From the empirical and theoretical literature, we can learn that the sign of this relation can be
negative, neutral or positive. In fact, the costs of socially
responsible behavior can explain the negative sign of
* [email protected]
** [email protected]
*** [email protected]
the relationship. This argument is consistent with the
neoclassical theory. However, because of the measurement problems related to the CSP and the intervention
of many variables between social and financial performance, some authors (Ullman 1985) believe that there
is no link between these two concepts. Lastly, the last
hypothesis states that there is a positive relationship
between social and financial performance. There are
many explanations for this positive association. The
first argument is that attempts to lower implicit costs by
socially irresponsible actions will induce higher explicit
costs for the firm. In addition, the potential benefits for
the firm are higher than the costs of CSP. Good management can be also considered as an explanation for this
positive relationship. A fourth explanation is that slack
resources resulting from good financial performance can
be used to improve social performance. Lastly, having
both good management and slack resources can create a
“virtuous circle” between CSP and financial performance
(Waddock and Graves 1997).
Increasing awareness of investors to the CSR of firms
explains the development of Socially Responsible Investment (SRI) over the past decades. Indeed, the origin
of SRI was religious convictions of investors. In 1971,
in the US, we observed the creation of the first modern
ethical mutual fund, the Pax World Fund (opposed to the
Vietnam War and militarism in general). In the 1980s,
ethical investors were concerned about the racist system
of Apartheid in South Africa (not to include South-African
firms or western firms with South-African subsidiaries).
In the 1990s, SRI funds integrated issues like environmental protection, human rights, and labor relations
into their decision-making process. More recently, and
after many corporate scandals, SRI investors become
concerned by corporate governance. Cellier et al. (2011)
showed that CSR ratings provide useful information for
financial markets.
From this SRI background, we can give the following
definition: Unlike conventional investments, SRI integrates
non-financial criteria (social, environment and ethical
considerations). Traditionally, we distinguish between
exclusion and/or inclusion SRI strategy (negative or
Bankers, Markets & Investors nº 125 july-august 2013
02/07/13 15:00
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the impact of Ownership structure and control
mechanisms on transaction costs: an empirical
study of Firms listed on the euronext Paris stock
exchange for the Period between 2004 and 2007
Alexis GUYOT, Euromed Management
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the impact of the 2008 short sale Ban
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Abraham LIOUI, EDHEC Business School and EDHEC Risk Institute
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Société ..............................................................................................................................................................................
efficiency of the saudi Banking sector:
a Data envelopment analysis approach
Samir ABDERRAzEk SRAIRI, king Saud University
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Financial News and Volatility of Underlying
securities in the Pharmaceutical sector
Anton GRAnIk, Reims Management School
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Nom ....................................................................................... Prénom ............................................................................
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56
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Edith GInGLInGER, Université Paris-Dauphine
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Une synthèse des notions, outils et techniques
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L
e marché du crédit est le premier marché financier
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les banques et les investisseurs, les marchés obligataires
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exemple) qui n’honore pas sa dette à échéance. Il dépend
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Les réglementations prudentielles imposent aux acteurs
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présente les méthodes statistiques de mesure du risque.
Le quatrième étudie les méthodes théoriques, issues de
la finance de marché. Enfin, le dernier chapitre traite des
techniques de gestion du risque de crédit utilisées par les
institutions financières.
ANALYSE DU RISQUE DE CRÉDIT
BANQUE & MARCHÉS
Cécile Kharoubi et Philippe Thomas
160 pages, 26 €
Cécile KHAROUBI est professeur de Finance de
Marché au département Finance à ESCP Europe depuis
2004. Elle a créé une option Finance de Marché dans le
cycle Master Grande École. Ses travaux académiques
portent sur la modélisation et la gestion des risques
financiers ainsi que sur la gestion alternative.
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Europe. Il y enseigne les disciplines Corporate Finance.
Il est directeur scientifique du MS Finance ESCP
Europe à Paris et à Londres et directeur académique
du MSc Finance & Banking de l’École Supérieure des
Affaires à Beyrouth.
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