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This project-dissertation was established in collaboration with the securities committee of the Luxembourg Bankers’ Association – ABBL. The objective is to provide a first-hand experience of Target2-Securities (T2S) in Luxembourg by understanding the reaction and the potential impact on current business and operating models of selected Luxembourgish securities actors. Furthermore, to identify the main challenges and opportunities stemming from the introduction of T2S and highlight the expected benefits and major market trends in the T2S environment in Luxembourg. 

T2S is one of the biggest infrastructure projects set-up by the Eurosystem. It is expected to overcome the current fragmented European landscape and bring major improvements and benefits to the European post-trading landscape by establishing a single pan-European security settlement platfrom in central bank money (ECB, 2016).

Target2-Securities started its operations in June 2015. How does it affect the different Luxembourgish securities actors? In order to answer this question, a questionnaire has been established with 3 main parts:

1.T2S in Luxembourg. How did the respondents react to T2S in Luxembourg?
2.T2S, what was the impact on current business and operating models?
3.T2S, what are opportunities and benefits?

A logical framework and step-by-step methodological approach is used to achieve the demanded objectives. A survey questionnaire was designed and face to face meetings were carried out with selected securities actors in Luxembourg.

The results are based both on a sеries of in-depth interviеws organised in Luxembourg between October 2015 and March 2016 and the survey questionnaire. The respondents of the study only included experts in the securities services. The interviews were conducted in complete anonymity. All the gathered data was consolidated and normalised.

The conclusion of our study will be that the impacts of T2S in Luxembourg are significant for the CSDs and ICSD while limited or even nonexistent for the (global) custodians and Banks due to their operating models and roles in the markets. However, some opportunistic impacts are discovered for those actors.

Target2-Securities, Pan-European settlement platfrom, securities, cross-border securities settlement, post-trade, CSDs, Eurosystem, Luxembourg --- Sciences économiques & de gestion > Stratégie & innovation

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The launch of the Vietnamese stock market in Ho Chi Minh City in July 2000 marked the transitional process of Vietnam’s economy. In recent years, the high growth potential and low correlation of the Vietnam’s emerging stock market with developed markets have attracted attention from both domestic and international investors as a source of risk diversification. Rational investors, who follow the modern financial theory with the risk-return tradeoff analysis, emphasize the importance of appropriate pricing models and trading strategies for investment portfolios. 
In reality, it is difficult task when it comes to pricing risky assets in emerging markets like Vietnam. The implement of traditional asset pricing models on emerging stock markets seems problematic since the hypothesis of perfect market integration does not hold. This stems from the barriers that differentiate between domestic and foreign investors. 
This thesis reviews the available asset pricing models and its validity in emerging countries. The empirical findings lead to conclusions of many misspecified pricing models. In that context, the model developed by Arouri, Duc Nguyen and Pukthuanthong, 2012 for partially integrated markets will be introduced as a unified theoretical and empirical framework to investigate various issues in international finance. Dynamic Conditional Correlation – Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) is used at empirical stages to estimate the model with the involvement of integration degree of domestic market and world price of risk. The empirical finding not only confirms the validity of the model but also unveils some interesting insights about Vietnam’s market structure. It shows that in average, the integration degree with the world market is 23% and local risk premium accounts for 78% in total risk premium. The result is reasonable in comparison with other emerging markets.
Trading strategies are also developed to exploit the characteristics of time-varying integration degree of Vietnam market. The investment strategies capture the desire of risk diversification of rational investors. The empirical results on portfolio performances praise the benefits of international investment.
 

Vietnam's emeging market, --- Integration --- ICAPM --- Sciences économiques & de gestion > Méthodes quantitatives en économie & gestion

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The present research aims to analyze if the capital structure by three different stakeholders at the IPO date has an influence on the long-term performance of the issuing companies. These stakeholders are represented by three variables: Venture Capital & Private Equity Ownership, Hedge Fund Managers Ownership and Debt Holdings.

As a result of the application of commonly used models, it appears that statistically abnormal excess returns persist for some portfolios. Technological stocks heavily backed by Venture Capital & Private Equity firms tend to outperform their peers. Besides, companies characterized by low stakes of hedge funds and debt holders in their capital are associated with higher long-term excess returns.

However, even if the determination of the model improves when additional factors are included, these statistically significant abnormal returns vanish.

Regarding the measures of performance for assets and equity efficiencies, no correlation is found for the capital structure under each criterion since the model is not rightly calibrated due to a disparity in data.

For further research, it would be advised to use a complete database which includes enough information about the IPO market. With additional data, researches on highly specific capital structure combined with different criteria of ownership could be performed. A value-weighted approach and quartile-based slicing for portfolios construction could also bring interesting comparisons with the present equally-weight approach.

Sciences économiques & de gestion > Finance

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Les marchés financiers contribuent à la croissance économique à travers le développement des entreprises. Il existe plusieurs sources de financement externe des entreprises : les crédits bancaires, les obligations ainsi que les actions. Dans la plupart des pays émergeants, le marché obligataire est sous-développé et le secteur bancaire trop large. Ce qui rend les économies plus vulnérables aux crises. L’objectif de ce travail est d’analyser le développement du marché obligataire turc. Dans ce travail, nous allons tenter de déterminer les sources de financement des entreprises turques, la taille du marché obligataire domestique et international mais aussi les facteurs de développement du marché obligataire et les conséquences du sous-développement. Enfin, nous proposerons des mesures à prendre pour développer ce marché.

Sciences économiques & de gestion > Finance

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The latest advancements in factor investing and the plethora of academic literature have clearly implied the existence of factor risk premia over time. Since the early 00’s, factor investing findings have been offered the possibility to get admission to the desired factor tilt with effective diversification through what are called today “smart beta indices”. These cost-effective vehicles allowed many investors to access easily risk factors and hence diversify their portfolios with different risk exposures. This affected in part active portfolio managers that demand higher fees for their active investment strategies and therefore these alternative vehicles could be perceived as direct competitors for active managers. To struggle against these cost-effective vehicles, active managers have shown a growing interest in timing these strategies, not to compete directly against smart betas, but to use a dynamic allocation and create extra abnormal return by actively allocate to these smart beta indices.

The purpose of this thesis is to recreate a Macroeconomic model (valuation spread), a Fundamental data model (economic variables) and a Statistical factor model (machine learning) for value, momentum and low volatility smart beta portfolios over a European equal-weighted index in a 10-year period starting in 2006 to verify which strategy could better enhance performances by timing the performances as well as accurately diminish drawdown and volatility.

The results confirm the success of the active allocation to smart beta factors portfolios, which provided enhanced results proving it is profitable to allocate dynamically these factors based on conditional assumptions. Momentum risk factor showed in average the best performances over the three methods. While among the different approaches, the statistical method proved to be the approach with the higher risk-adjusted performances when compared to the other methods but still has to be confirmed since turnover costs were not computed and performances could be affected.

Sciences économiques & de gestion > Finance