Papers by Florent Deisting
Le Centre pour la Communication Scientifique Directe - HAL - SHS, 2007
Investment management & financial innovations, Mar 26, 2017
This paper examines the relationship between cross sectional volatility (CSV) and stock returns f... more This paper examines the relationship between cross sectional volatility (CSV) and stock returns for India. The authors use daily returns for 493 companies that form part of BSE-500 index from December 1993 to June 2010. Two measures of CSV are adopted-systematic and idiosyncratic. Systematic volatility (SV) is estimated using French, Schwert and Stambaugh (1987) and Schwert and Seguin (1990). While unsystematic volatility (UV) is estimated by computing residual variance for sample stocks using the errors of CAPM model. The authors find that high SV portfolios outperform low SV portfolios which implies dominance of speculative behavior in stock markets. The CAPM and Fama-French model are unable to fully absorb the returns on high SV portfolio which are explained by introduction of an additional CSV factor constructed on lines of Ang, Hodrick, Xing and Zhang (2003). The CSV factor possibly contains information about volatility persistence which is priced by the market. The high UV portfolios perform much better than low UV portfolios which may be consistent with finance theory that suggests compensation for imperfect diversification. The FF model is able to explain the returns on UV sorted portfolios owing to the fact that high UV portfolios comprize small size and low P/B stocks. The findings are important for market players and the present study contributes to the asset pricing anomaly literature especially for emerging markets.
L’ouverture internationale de nos economies, l’accroissement accru de la concurrence entre les re... more L’ouverture internationale de nos economies, l’accroissement accru de la concurrence entre les regions europeennes, amenent les responsables economiques des collectivites a repenser leur strategie d’attractivites des activites. Cette etude tend a apprehender la problematique de l’attractivite des territoires dans un contexte de recherche d’un developpement durable. Il apparait, dans le cadre des zones d’emploi des Pays de l’Adour, que la recherche d’un territoire attractif se fait au detriment du sentiment de durabilite que l’on peut attendre de la croissance au 21eme siecle. Ce travail vient corroborer les conclusions des etudes faites au niveau mondial par le Programme des Nations Unies au Developpement.
Pacific-Basin Finance Journal
Multinational Finance Journal, Sep 1, 2020
Managerial Finance, 2021
PurposeThe main aim of the study is to identify some critical microeconomic determinants of finan... more PurposeThe main aim of the study is to identify some critical microeconomic determinants of financial distress and to design a parsimonious distress prediction model for an emerging economy like India. In doing so, the authors also attempt to compare the forecasting accuracy of alternative distress prediction techniques.Design/methodology/approachIn this study, the authors use two alternatives accounting information-based definitions of financial distress to construct a measure of financial distress. The authors then use the binomial logit model and two other popular machine learning–based models, namely artificial neural network and support vector machine, to compare the distress prediction accuracy rate of these alternative techniques for the Indian corporate sector.FindingsThe study’s empirical results suggest that five financial ratios, namely return on capital employed, cash flows to total liability, asset turnover ratio, fixed assets to total assets, debt to equity ratio and a...
Research Papers in Economics, 2013
In this paper, we examine if M&A announcements and methods of financing these deals affect stock ... more In this paper, we examine if M&A announcements and methods of financing these deals affect stock returns. Data is used for BRICKS from the period 2005-2009 and standard event study methodology is used for this purpose. We find significant pre-event returns for 5 out of 6 sample countries. This indicates possible leakages in the information system, which may not be surprising, given the emerging nature of these markets. Three of the BRICKS countries, i.e. India, South Korea and China provide significantly negative post-event returns while strong positive returns are observed in case of South Africa. The extra normal post-event returns defy semi-strong efficiency for majority of sample markets. We further find that M&A announcements do not significantly alter the trading liquidity and pricing efficiency of the sample stocks. However, return volatility does decline on post event basis. It is also observed that while stock financed mergers are value creating, cash financed mergers seem ...
In this study, we evaluate the empirical relationship between financial development and economic ... more In this study, we evaluate the empirical relationship between financial development and economic growth for 75 countries classified into different income groups. The study covers the sample period of 1990-2009. The empirical results suggest that there is a long-run equilibrium relationship between financial development and economic growth. The estimated results of FMOLS and MWALD Granger causality tests indicate that banks play a dominant role in promoting economic growth across all income groups. Savings significantly drive growth for low and middle income groups. Economic growth propels stock market development for low income group, stock market and economic growth are reinforcing for middle income group. While, stock market emerges as an important driver of economic growth for high income countries. Our findings are consistent with prior research and are relevant for academician, policy makers as well as financial institutions and market players.
L'ouvrage est un cours synthetique qui met en valeur les concepts de base de facon tres struc... more L'ouvrage est un cours synthetique qui met en valeur les concepts de base de facon tres structuree et tres «concrete» (avec de nombreux exemples developpes). La demarche, pedagogique, va du general et du plus simple vers les problemes particuliers et/ou plus complexes. Cette nouvelle edition s'enrichit d'un chapitre sur les IAS-IFRS, la presentation de chaque norme est completee par un encadre qui en precise l'impact sur le systeme francais.
Mandatory directed credit program (DCP) or priority sector lending (PSL) program, which is part o... more Mandatory directed credit program (DCP) or priority sector lending (PSL) program, which is part of the regulatory framework for commercial banks/ financial institutions in many countries, presently focusses mainly on achieving the national objective of balanced sectoral development. With a small change in the guidelines, it can also be made an effective instrument for reducing geographical inequalities in any federal structure of government. Since the program involves a significant proportion of the economy’s resources and has a social objective to serve, its use should be optimal and in alignment with the current national priorities. The present paper therefore, aims at examining the patterns, preferences and challenges of directed lending by banks across various states in India, with a view to identifying state specific characteristics, which may impact its distribution, and to thereby offer policy suggestions for strengthening the program. The paper is based on an analysis of sec...
This article proposes an analysis compared by the implications of the policies of regional integr... more This article proposes an analysis compared by the implications of the policies of regional integration about the convergence or the divergence of developing countries with regard to countries reference of each zone, in East Asia on the one hand and in the Mediterranean area on the other hand. The concept of globalization is already specifi ed, however, we can notice that countries consider the globalization in a different way according to their geographical area and especially their culture. Indeed, Asian countries conceive the globalization only on multilateral way, that is why until very recently, no country of East Asia took part into preferential agreements. Multilateralism way chosen by the Asian countries did not have negative effects about the development of an intra-zone trade, favourable to a dynamics of convergence of incomes. By contrast (on an opposite way) Mediterranean countries, in the lineage of the European Union, have controlled their commercial / trade policies wi...
Cet article analyse la relation empirique entre les transferts de fonds et la croissance A©conomi... more Cet article analyse la relation empirique entre les transferts de fonds et la croissance A©conomique dans les pays en transition se situant au sein de l’ancien bloc soviA©tique. Il cherche A©galement A mesurer si l’effet des transferts de fonds est plus efficace dans les pays oA¹ la stabilitA© politique est plus prA©sente, en utilisant la mA©thode des moindres carrA©s gA©nA©ralisA©s pour des donnA©es de panel, afin de contrA´ler l’hA©tA©roscA©dasticitA© et la corrA©lation sA©rielle. Les rA©sultats montrent principalement que les transferts de fonds ont un impact nA©gatif sur la croissance et que ce dernier dA©pend de la stabilitA© politique des pays concernA©s. This paper examines the empirical relationship between remittances and economic growth in post-Soviet states, and the role that political stability plays in this context. Using Feasible Generalized Least Squares to tackle group heteroskedasticity and serial correlation in panels, we find that remittances have a signific...
Monetary Economics: Financial System & Institutions eJournal, 2016
Mandatory directed credit or priority sector lending (PSL) is part of the regulatory framework fo... more Mandatory directed credit or priority sector lending (PSL) is part of the regulatory framework for commercial banks/ financial institutions in many countries, both developing and developed. However, compliance and lending effectiveness of such programs may be determined by a host of factors. This may be particularly so in developing countries, where availability of finance for the vulnerable sectors like agriculture, small businesses, weaker sections, is scarce. The present paper aims at examining the patterns of priority sector lending by banks, with a view to identifying the factors which determine this lending, and implementation challenges for lending by banks in such programs. The paper is based on an analysis of secondary data relating to priority sector lending (1998-2014) for eighty banks in India, and is supported by findings from the survey of ninety-seven lending officers of various banks. The results indicate gaps in patterns of the sect oral target compliance by differe...
In this paper, we examine the financial integration process amongst 17 EMU countries from January... more In this paper, we examine the financial integration process amongst 17 EMU countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their GDP to examine whether the economic size influences financial integration. Seven indicators are used for the purpose, namely, Beta Convergence, Sigma Convergence, Variance Ratio, Asymmetric DCC, Dynamic Cointegration, Market Synchronisation Measure and Common Components Approach. The results suggest that large sized EMU economies (termed as Group A) exhibit strong financial integration. Moderate financial integration is observed for middle-sized EMU economies with old membership (termed as Group B). Small sized economies (termed as Group C) economies seemed to be least integrated within the EMU stock market system. The findings further suggest presence of contagion effects as one moves from n...
Multinational Finance Journal, 2019
This paper investigates dynamic interdependencies among major global financial markets from Janua... more This paper investigates dynamic interdependencies among major global financial markets from January 1999 to April 2017 by examining their risk and return spillovers. Risk and return interactions are also analyzed within the sample markets. Using block-aggregation technique under the Diebold-Yilmaz framework, strong information linkages are observed among the global equity markets that intensify during the crisis period. Results establish the dominance of the US in the global financial system based on information linkages. Further, systematic factors are found to be more prevalent in spillovers among return and volatility as compared to idiosyncratic factors. With regards to interaction between risk and return, results reveal return spillovers of high magnitude onto risk and almost negligible risk spillovers onto return. These findings have important implications for international investors and policymakers. (JEL: C13, F21, F36, G01, G15)
Investment management & financial innovations, 2012
This paper examines the relationship between cross sectional volatility (CSV) and stock returns f... more This paper examines the relationship between cross sectional volatility (CSV) and stock returns for India. The authors use daily returns for 493 companies that form part of BSE-500 index from December 1993 to June 2010. Two measures of CSV are adopted-systematic and idiosyncratic. Systematic volatility (SV) is estimated using French, Schwert and Stambaugh (1987) and Schwert and Seguin (1990). While unsystematic volatility (UV) is estimated by computing residual variance for sample stocks using the errors of CAPM model. The authors find that high SV portfolios outperform low SV portfolios which implies dominance of speculative behavior in stock markets. The CAPM and FamaFrench model are unable to fully absorb the returns on high SV portfolio which are explained by introduction of an additional CSV factor constructed on lines of Ang, Hodrick, Xing and Zhang (2003). The CSV factor possibly contains information about volatility persistence which is priced by the market. The high UV port...
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic), 2014
The study tests prominent equity market anomalies for six emerging markets - Brazil, China, India... more The study tests prominent equity market anomalies for six emerging markets - Brazil, China, India, Indonesia, South Korea and South Africa. We find that using the Fama French model (FFM) as performance benchmark the size anomaly is present in India, South Korea and Brazil, value anomaly in South Korea and South Africa, momentum in India and South Africa, mild reversals in Brazil, liquidity anomaly in South Korea and South Africa, profitability anomaly in Brazil and South Africa, accruals anomaly in South Africa and stock repurchases anomaly in India and South Africa. Stock issues anomaly does not pose a challenge to asset pricing for sample markets. The four factor liquidity augmented FFM is a better descriptor of asset pricing compared to CAPM and FFM only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for other sample emerging markets. South Africa seems to be the most exciting destination for portfolio managers followed by Brazil, So...
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Papers by Florent Deisting