EDHEC Research Day 2008

Success for the second edition of EDHEC Research Day

With 200 registered participants, the second edition of EDHEC Research Day, which took place on 13 May 2008 at the Maison de la Chimie in Paris, confirms the success of this now essential annual conference.

The morning was devoted to plenary sessions, with a first session about the financing of higher education with a presentation of research results, followed by a round table with the participation of officials from the public and private spheres such as Bernard Belloc, higher education and research adviser to the cabinet of the French president, Bernard Hugonnier, deputy director of the directorate for education at the OECD, Jean-Hervé Lorenzi, university professor and president of the Cercle des Economistes and adviser to the board of the Compagnie financière Edmond de Rothschild, Philippe Manière, director of the Institut Montaigne, Bernard Saint-Girons, director of higher education, Philippe Vasseur, former cabinet minister and president of Crédit Mutuel Nord Europe. This round table was led by Stéphane Gregoir, director of the EDHEC Economics Research Centre at EDHEC Business School. The participants discussed, among other things, the funding mechanisms relied on abroad and what we can learn from them. They also touched on the relevance in France of the funding system with respect to a more global economy. Most of the participants agreed on opening debate on the means of funding higher education and on the anti-redistributive or even “regressive” (for Bernard Hugonnier) and “anti-democratic” (for Philippe Manière) nature of the current funding system.

During the second plenary session of the morning, Noël Amenc, dean of research at EDHEC Business School, surveyed French management research in terms of business growth. It was during this session as well that the efficiency of the ties between business and research was examined; there was likewise reflection on the leaders in higher education in France.

The second part of the conference presented the EDHEC centres of expertise (management, economics, finance, marketing, and law), their policies for industry partnerships, their research themes, and their latest work. Parallel workshops allowed each participant to choose a theme in line with his or her interests and responsibilities.

Finally, the EDHEC PhD in Finance and its two tracks were introduced by René Garcia, professor and academic director of the PhD in Finance, Frédéric Ducoulombier, professor and director of EDHEC Asset Management Education.

More: see the event website, which has a detailed programme as well as all the presentations given at the 13 May 2008 EDHEC Research Day.

PUBLICATIONS

• EDHEC Publications
• Academic Publications

EDHEC PUBLICATIONS

The EDHEC European Investment Practices Survey 2008

This survey assesses the current investment practices of asset management firms, institutional investors, and private wealth managers. Its aim is to give an account of the current practices in the industry and to contrast these practices with the recent state of the art in the investment literature. The survey results are based on a questionnaire that elicited more than two hundred responses from throughout Europe.

Amenc, N.; F. Goltz; V. Le Sourd; L. Martellini (January 2008) : "The EDHEC European Investment Practices Survey 2008", EDHEC Risk and Asset Management Research Centre.
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The Performance of Fundamentally Weighted Indices

This paper analyses a set of characteristics-based indices that were recently launched on the US market and that, it has been argued, outperform standard market cap-weighted indices over particular backtest samples by a considerable margin. We analyse the performance of an exhaustive list of these indices and show that i) the outperformance over value-weighted indices may be negative over long time periods, and ii) that there is no significant outperformance over simple equal-weighted indices.

Amenc N., F. Goltz, V. Le Sourd (June 2008) : "The Performance of Fundamentally Weighted Indices", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper.
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ACADEMIC PUBLICATIONS

Revue Ethique et Economique

B. Fasterling (April 2008)
"A propos de l’actionnariat détaché", Revue Ethique et Economique.
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The Journal of Trading

C. D'Hondt, J-R Giraud (Spring 2008)
"MiFID Pre-Trade Transparency Rules: An Investor's Perspective", The Journal of Trading.
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Review of Financial Studies

F. Chabi-Yo, R. Garcia, E. Renault (April 2008)
"State Dependence Can Explain the Risk Aversion Puzzle", Review of Financial Studies.
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Revue Française de Gestion

P. Very, Monnet B. (May 2008)
"Quand les organisations rencontrent le crime organisé", Revue Française de Gestion.
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RESEARCH CENTRES

Success for EDHEC Institutional Days 2008
With the attendance of 1,211 people, EDHEC Institutional Days 2008 was the occasion to spotlight the applied research done at the EDHEC Risk and Asset Management Research Centre and to debate the results with representatives from institutional investors and asset management firms.

EDHEC Institutional Days 2008 involved an unprecedented number of events, making it possible for the professionals in attendance to survey the great challenges to the asset management industry, to examine advances in institutional asset management, and to compare their own practices with the state of the art as described by research. The ETF Summit communicated to practitioners the results of EDHEC research in the fields of risk management and asset allocation with the help of ETFs. The EDHEC-Wall Street Journal Europe Institutional Investor Forum attracted finance industry leaders to debates on the impact of rules for capital on the ability of investors to reach their long-term objectives. The Pension Fund Conference unveiled the results of EDHEC research on pension fund management and looked into several investment techniques.

EDHEC Institutional Days 2008 was likewise the occasion for the first IPE-EDHEC Institutional Asset Management Awards, organised in partnership with Investment & Pensions Europe, the leading European magazine for institutional asset management.

Interview with Mr. Theo Jeurissen, newly appointed Chairman of the EDHEC Risk and Asset Management Research Centre's International Advisory Board.
We are very pleased to announce the appointment of Mr. Theo Jeurissen as Chairman of the International Advisory Board of the EDHEC Risk and Asset Management Research Centre.

In line with best practices of corporate governance, the EDHEC Risk and Asset Management Research Centre's international advisory board brings together distinguished scholars, representatives of regulatory bodies and senior executives from business partners and other leading institutions to validate the relevance and goals of the research programme proposals presented by the centre's management and to evaluate research outcomes with respect to their potential impact on industry practices. The board also advises on the objectives and contents of projects deriving from the expertise of the research centre, thereby ensuring that graduate and executive programmes remain at the forefront of developments in the marketplace.

Q: You have recently accepted the chairmanship of the EDHEC Risk and Asset Management Research Centre’s International Advisory Board. Could you tell us how you came to be interested in EDHEC’s research and why you agreed to take up this position?
Theo Jeurissen: In my working life as a professional investor I have always tried to underpin investment decisions with academic research. During, let’s say, the last five years, EDHEC’s research centre has proven to be very valuable in this respect, because it provides state-of-the-art research about current topics. In return I hope that the advisory board can contribute to the relevance of the centre’s activities and that in my role I can help to create a meeting point between the worlds of investing and science.

Q: As chairman of the investors committee of the Dutch association of pension funds, you have been ideally placed to assess the regulatory and other challenges faced by European pension funds. One of the themes at the EDHEC Institutional Days in Paris was whether short-term prudential constraints endanger long-term investment objectives. What is your view on this question?
Theo Jeurissen: I suppose it is too simple to state that regulatory constraints endanger long-term objectives. There has always been and there will continue to be a tension between the need for capital preservation and the need for real returns in the long run. Recent changes in regulations have rightly brought this issue to the front. Care should however be taken that in a highly dynamic world regulations leave enough room for a flexible response if needed.

Q: As head of investments with the largest private sector pension fund in the Netherlands, you are also a key observer of the non-regulatory challenges ahead. What do you think the main issues will be over the next few years?
Theo Jeurissen: After decades of a favourable environment, which economists now label “the great moderation”, we have entered into a phase which poses bigger challenges to achieve adequate returns. A “blessing in disguise” from the present credit crisis is, that -I suppose- investors will have learned that simple ways, like using ever more leverage, are not sustainable. So we will have to dig deeper, if I may put it in those words. Innovative investments will become a bigger part of overall assets. Understanding and managing this type of investments will be a major issue over the coming years.

Q: How do you think EDHEC’s research can help pension funds to cope with these challenges?
Theo Jeurissen: The EDHEC research centre is ideally placed to help pension funds to deal with new types of assets, because it understands the often complicated mathematical backgrounds of these assets, has the capability to make clear in which situations such assets can be of importance and, very important, has the experience to evaluate possible pitfalls in practice.

Pierre-Laurent Bescos and Philippe Touron at the 29th meeting of the AFC 
On the occasion of the 29th conference of the Association Francophone de Comptabilité (AFC), which took place in Cergy-Pontoise on 29 and 30 May 2008, Pierre-Laurent Bescos, professor at the EDHEC Business School, presented “Impact de la Comptabilité par activités sur les performances des enterprises : le cas de la banque centrale du Maroc”, a paper co-written with Karim Charaf.
The aim of this presentation was to shed light on the link between activities-based costing and performance. Thanks to 2007 fieldwork at Bank Al-Maghrib, the central bank of Morocco, the authors are able to highlight the beneficial effects of activities-based costing on the non-financial performance of organisations.
Philippe Touron, professor of accounting at EDHEC Business School and member of the Financial Analysis and Accounting Research Centre, was also present at the conference. He moderated a workshop on financial accounting.
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EVENTS

Advanced Hedge Fund Investing - The Lhabitant and Martellini Seminar
8-9 July 2008 - Grand Hyatt, New York
Designed and delivered by two leading experts in the theory and practice of hedge fund investing, this intensive seminar equips participants with a workable knowledge of the state-of-the-art techniques for analysing the performance and risks of alternative investments and optimising hedge fund benefits both at the fund level and for end-investors.
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In the Media ...

The results of an EDHEC European survey on the use of ETFs were featured in the French and international press; articles were published in the Financial Times, the Wall Street Journal, Les Echos, and La Tribune.

Several EDHEC researchers and professors have published articles in the press in recent weeks. Sylvie Deffayet, for example, professor of management and member of ICODE, discusses managerial legitimacy in an article in La Tribune. EDHEC is also spotlighted in Agefi Hebdo with interviews of Lionel Martellini, professor of finance and scientific director of the EDHEC Risk and Asset Management Research Centre, Felix Goltz, senior research enginee and Noël Amenc, professor of finance at EDHEC and director of the EDHEC Risk and Asset Management Research Centre.

All EDHEC citations are available in the EDHEC Press Review.

Prizes, awards, and appointments...

EDHEC professor Florencio López de Silanes is cited throughout the world for his academic work more often than any other economics and management professor in Europe
For the first time in years, a professor at a French school of higher education is among the five most widely cited economics and management professors in the world.
EDHEC's Florencio López de Silanes takes second place in the 2008 edition of the ScienceWatch rankings of management and economics professors by the number of citations of their work in academic journals.
These rankings are the benchmark for the international academic community: they are drawn up by Thomson Reuters and are based on an analysis of 11,000 academic journals, 10 million articles, and a 10-year cycle of publications.
Florencio López de Silanes is head of a new research programme on regulation and mutual fund governance at the EDHEC Risk and Asset Management Research Centre.
[More : Press Release]

A new research associate at the Financial Analysis and Accounting Research Centre
It is our pleasure to welcome Lionel Escaffre to the Financial Analysis and Accounting Research Centre. Lionel, who will be a research associate, has a doctorate in management sciences from Université Paris IX Dauphine and is an auditor at the Paris Court of Appeal.