Three Essays in Empirical Finance

par Nordine Abidi

Thèse de doctorat en Sciences économiques

Sous la direction de Augustin Landier.

Soutenue le 27-06-2016

à Toulouse 1 , dans le cadre de Toulouse School of Economics (Toulouse) , en partenariat avec TSE-R (Toulouse) (équipe de recherche) .

  • Résumé

    This thesis comprises three research papers that I wrote during the Ph.D. program at Toulouse School of Economics (TSE). During part of the time, I was also affiliated with the International Monetary Fund (IMF). Each chapter is self-contained and can be read individually. While they cover rather different topics, they are all primarily empirical in nature and largely share empirical methods. This thesis draws new perspectives on debates regarding (i) the role of experience on funds’ financial performances and the subsequent portfolio shifts during the Eurozone crisis (ii) the financial and real effects of a new market based policy implemented in France in 2014 (iii) the impact of the unconventional monetary policies led by advanced economies post-2008 on capital flows to frontier and emerging markets. All the papers aim to formulate insightful policy recommendations. In the first article, (jointly written with Yonglei Wang) we show how experience matters for professional investors. We expect funds to outperform in geographical areas where they have obtained experience. Using a new micro-data on U.S equity funds’ holdings, we explore this idea by exploiting the sharp deterioration of sovereign creditworthiness in the European periphery by the late 2009. Specifically, we compare funds which have past exposures to Eurozone stock markets ("experts") to those which are newly exposed ("neophytes") and show that experience translates into higher returns in Eurozone sub-portfolios during the crisis. We investigate the economic mechanism of this pattern and find that: (i) funds shifted in a profitable way their Eurozone sub-portfolios vector away from big caps and towards smaller caps; and that; (ii) the reallocation was mostly driven by the experts. Our results highlight the role of experience as a first-order driver of funds’ profitability during the European sovereign debt crisis. In the second article (jointly written with Mwanza Nkusu and Burcu Hacibedel) we study the macroeconomic changes of the so-called frontier markets. Over the last two decades, frontier market economies (FMs) received significantly larger than usual private portfolio flows. This paper investigates whether with regard to capital flows; FMs actually resemble emerging markets (EMs) or remain as the rest of low-income developing countries (LIDCs). Using a sample of developing countries covering the period 2000-2014, we exploit the accommodative monetary policies in advanced economies – starting in 2008 – to show that : (i) portfolio flows to FMs as a share of GDP outstripped those to EMs by about 0.6 percentage point ; (ii) however, during years of heightened stress in global financial markets, portfolio flows to FMs dried out and were not statistically different from flows to EMs ; and that (iii) FMs have become more integrated into international financial markets. Our findings point to greater vulnerability of FM economies to capital flow reversals. In the third article (jointly written with Yonglei Wang and Augustin Landier), we examine the impact of a new market-based program. In January 2014, the French government introduced a new share savings plan – the PEA-PME – with the principle aims to diversify companies sources of funding and create a new financing tool for small and mid-sized enterprises. We exploit the discrete nature of firm eligibility to show that: (i) the start of the program produced a cumulative abnormal return and a temporary improvement in liquidity for eligible firms ; (ii) these firms reduced leverage ; and that ; (iii) equity-funds have increased their holdings for this sample of firms. Overall, our results suggest significantly differential effects of the program for small-sized and mid-sized firms located at the frontier of eligibility.

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  • Bibliothèque : Université Toulouse 1 Capitole. Bibliothèque électronique.
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