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Portfolio Optimization for Hedge Funds through Time-Varying Coefficients

Dewaele, Benoît - Centre Emile Bernheim, Solvay Brussels School of … - 2013

selection. We argue that the alpha of hedge funds is dynamic and that the time-varying alpha captures this dynamic behavior …. Therefore, forming portfolios based on their time-varying alpha should lead to outperforming portfolios. Using a persistence … analysis, we check this conjecture and show that contrary to top performers in terms of OLS alpha, the top performers in terms …

Persistent link: https://www.econbiz.de/10010692150

Do small family businesses have a peculiar attitude toward growth? Evidence from French SMEs.

Hamelin, Anaïs - Centre Emile Bernheim, Solvay Brussels School of … - 2009

This paper uses a very large sample of French SMEs to study growth of family owned firms. Firms range from total-family to minority control. The estimated relationship accounts for firm characteristics of size and, age, sector, and financial solvency. The results show that firms with greater...

Persistent link: https://www.econbiz.de/10004969792

A general formula for the WACC

Farber, André; Szafarz, Ariane; Gillet, Roland - Centre Emile Bernheim, Solvay Brussels School of … - 2005

Recent controversies testify that the tax shield valuation remains a hot topic in the financial literature. Basically, two methods have been proposed to incorporate the tax benefit of debt in the present value computation: The adjusted present value(APV), and the classical weighted average cost...

Persistent link: https://www.econbiz.de/10005558853

Bank Cash Holdings and Investor Uncertainty

D'Udekem, Benoît - Centre Emile Bernheim, Solvay Brussels School of … - 2014

Cash holdings have often been presumed to help resolve the inherent uncertainty of assessing banks. Nonetheless, extant empirical evidence is inconclusive. The present paper adopts a novel approach to assessing the level of stockholder uncertainty associated with the cash holdings reported by...

Persistent link: https://www.econbiz.de/10010751984

Corporate Control with Cross-Ownership

Szafarz, Ariane; Levy, Marc - Centre Emile Bernheim, Solvay Brussels School of … - 2011

Cross-ownership breaks the traditional rule of one-sided corporate control. Using a novel approach based on stochastic voting processes, this paper proposes a general method to determine control stakes in the presence of cross-ownership. It offers a generalization of the Banzhaf index, which...

Persistent link: https://www.econbiz.de/10009366398

Is there tunneling in Small Business Groups? Evidence from French SMEs.

Hamelin, Anaïs - Centre Emile Bernheim, Solvay Brussels School of … - 2010

This paper investigates the influence of firm control structure on firm individual economic performance using a unique firm level data set of ownership and balance sheet information. This study fills a gap in the empirical governance literature by investigating whether or not there is...

Persistent link: https://www.econbiz.de/10008544625

Ownership, board compensation and company performance in sub-Saharan African countries

Munisi, Gibson Hosea; Mersland, Roy - Centre Emile Bernheim, Solvay Brussels School of … - 2013

In countries with weak institutions board governance becomes more important. This study uses a unique dataset from listed Sub-Saharan African companies to examine the relationship between ownership composition and board compensation. It further analyses the association between board compensation...

Persistent link: https://www.econbiz.de/10010711787

Separation between ownership and control: where do we stand?

Chapelle, Ariane - Centre Emile Bernheim, Solvay Brussels School of … - 2004

Complex structure of ownership like cross-ownership, rings, and pyramids are common in Continental Europe, Eastern Europe, and in Asia. This paper aims at dissecting these complex features by a proper measurement of direct and indirect holdings. Building on Brioschi et al. (1989), we use the...

Persistent link: https://www.econbiz.de/10005558841

Block investments and the race for corporate control in Belgium

Chapelle, Ariane - Centre Emile Bernheim, Solvay Brussels School of … - 2004

This paper investigates the common patterns of ownership structure across different corporate governance systems. We test the predictions of Zwiebel (1995) using ownership data of Belgian listed companies in 1995 and in 1999. Results show good applicability of the model. This empirical research...

Persistent link: https://www.econbiz.de/10005558871

An introduction to slow money and its Gandhian roots

Ashta, Arvind - Centre Emile Bernheim, Solvay Brussels School of … - 2013

Slow money, or patient nurturing capital invested locally in food and basic industries, is a new term but an old notion. This paper examines the cases of the CIGALES clubs of microangels in France and the more recent case of the slow money alliance to ferret out the basic principles and...

Persistent link: https://www.econbiz.de/10010723277