Essais en finance internationale

par Oussama M'SADDEK

Projet de thèse en Sciences de gestion

Sous la direction de Mohamed El Hédi Arouri.

  • Pas de résumé en français disponible.

  • Résumé

    Modern portfolio theory (MPT) suggests that diversification is an efficient tool to minimize portfolio’s risk. An investor can reduce his portfolio risk by holding assets that are not perfectly correlated. The MPT also shows benefits from holding a portfolio well diversified internationally since international assets are often less correlated and determined by different fundamental economic factors. However, studies show that in practice investors have tendency to overweight their portfolios with assets from their home country market. In the finance literature, this lack of international portfolio diversification is called the home bias puzzle. The home bias puzzle was extensively studied in the financial literature and there have been various theoretical explanations which were given to rationalize investors’ behaviour and thus the lack of international diversification observed in financial markets. So far several explanations have been presented, but a solution generally accepted by the researchers remains elusive. The main objective of this thesis is to contribute to the existent literature on home bias puzzle by examining a set of explanatory factors which have not been treated yet. In order to rationalize a part of the home bias, we will develop a new pricing framework to improve the measurement of the home bias. Until now, the majority of papers on the home bias were based on the International Capital Asset Pricing Model (ICAPM) framework which provides a measurement of the home bias. ICAPM mainly indicates how a given stock will contribute to the risk and the return of a diversified portfolio. The ICAPM provides a measure of the systematic risk called Beta; it’s the portion of the risk inherent to the entire market which we cannot eliminate by diversification. Meanwhile, recent empirical studies argued that it is important to take into account price discontinuities or jumps when studying the asset price dynamics. So, several statistical techniques have been proposed in the literature to study the dynamics of jumps arrivals using high frequency data. Motivated by the development of statistical techniques of jumps identification and the empirical evidence that jumps occur relatively frequently, researchers were interested to investigate co-jumps between assets. More interestingly, Dudley Gilder, Mark B. Shackleton, and Stephen J. Taylor (2012) examined the frequency of co-jumps between individual stocks and the market portfolio, called also systematic co-jumps. They found that there is a tendency for a relatively large number of stocks to be involved in systematic co-jumps. Motivated by recent empirical evidences on the existence of systematic co-jumps, we propose to develop a new pricing framework for systematic risk calculation. This new model will mainly include a jump component. The systematic risk beta will then be decomposed on two components: a continuous systematic risk and a discontinuous (or jump) systematic risk. The estimation of both components will be inspired from recent advances in covariance and variance estimators using high frequency data. This new framework will lead to a more precise measurement of systematic risk compared to the traditional linear regression procedure which restrict the continuous and jump betas to be the same. We will then study if we can give a rational explanation to the home bias based on the empirical results of the previous theoretical framework.