Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Over the recent years the sustainability trend has picked up exponentially with increasing urgency due to growing number of catastrophes and international conflicts, gaining attention from households to governments and spilling to the global financial markets. In addition to this also passive investing has been growing as a second trend for a while in the fund industry, starting to turn the popularity and the market split between active and passive fund management slowly in favor of the latter, especially in the sustainable fund context. The core purpose of this thesis is to cater for the pressing sustainability demand in the relevant fund setting and to contribute to the less researched passive mutual fund performance literature during the post-shock pandemic period. The aim is to test whether passive equity mutual funds with varying levels of sustainability as per the SFDR article classifications of 6, 8 and 9 achieve differing relative performance during the COVID-19 pandemic. The relative performance measurement used in this thesis is the information ratio (IR), which includes one of the single most used metrics in previous passive fund literature, the tracking error (TE). It is concluded that out of the three articles, the least sustainable article 6 achieves the most desirable TE on average. This is analyzed through utilizing both monthly and weekly return data frequencies. Also, the variance of the TE is observed but no meaningful differences is found across articles. When the used benchmarks are more strictly controlled, the conclusion shifts in favor of the most sustainable article 9. Hence a robustness test is conducted on the benchmarks to have a certain required minimum level of fit to be included in the final testing to assure the validity of the test results. Looking at the tracking difference (TD) and finally the IR measurement for the sample funds, article 6 manages to attain the best relative performance, with article 9 second and article 8 last. Furthermore, through testing the observed relative performance differences this thesis concludes that these findings are insignificant. Additionally testing for significant differences in the TE and TD components, between replication methods and performance during different subperiods, significant differences are found in the average TEs between articles 6 and 9 and in achieved performance during the subperiods between all three articles, with higher significance closer to the beginning of the pandemic in the spring of 2020.
As per this thesis’ findings, passive investors do not currently seem to suffer nor benefit significantly from choosing the more sustainable passive mutual funds during these volatile market periods. But an investor choosing article 9 passive mutual fund might be more resilient to market downturns closer to the shock itself, as demonstrated. Furthermore, as a passive investor does not seem to suffer from owning more sustainable passive equity mutual funds now, the sustainable investors are likely to reap the benefits in the long run as the economy is clearly already experiencing a green transition. Hence the ones not already implementing ESG into their investing might be worse off in the future with the regulatory changes and market developments in favor of higher sustainability.

ESG --- SFDR --- COVID-19 --- Sciences économiques & de gestion > Finance

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Generally speaking, this master thesis discusses Artificial Intelligence inside the corporate finance with the current usage and its prospect in a near future. Even though the topic has worldwide impacts, there is a real lack of knowledge about its situational analysis and future. This thesis is bringing the gap through information retrieved from papers, reports and experts and an evolving survey using qualitative and quantitative analysis. 
Above all, AI in corporate finance is clearly a hot topic which is impacting everyone for two reasons. Firstly, the corporate finance is something which touches everyone as most decisions inside organisations have financial consequences. Secondly, Artificial Intelligence impacts or will impact the life of everybody. People are using AI without even knowing it. Moreover, the exponential growth of AI researches are helping people and organizations from the agriculture to the finance with an expected market value counted in trillions of dollars.
Before going into the details, AI including past achievements and human differences is screened in order to have a clear vision of AI development and technologies currently available. It also demonstrates the reasons why AI will work in symbiosis with the humans in most jobs. This is obviously completed by the economic challenges. The governmental AI war between the China and the United States is enhancing the global growth mainly through the private sector funding. This growth is leading to huge private and public disparities according to the level of enablers previously leveraged inside organizations.
More importantly, this master thesis realizes a comparison of AI in corporate finance with the overall fields and the financial domain through a survey and the information retrieved from papers, reports and experts. Therefore, the progresses and expectations within the corporate finance are balanced and permit to stand out a fair mind about the research topic. It is thus proven that the current usages of AI within the corporate finance are not extensive compared to the finance and other fields. However, AI is expected to play a key role as a big part of the corporate finance job is repetitive. At a social point of view, people will have more responsibility by focusing on higher added-value missions even though jobs will be destroyed. Nevertheless, It should lead to shareholder value creation through higher productivity and effectiveness while reducing the costs and improving the stakeholders’ satisfaction.

Artificial Intelligence --- Corporate finance --- banking and asset management --- Sciences économiques & de gestion > Finance

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

The relation between risk and return has been debated for a long period. Apart from the debates on the relation being negative or positive, academics have reached the consensus that the security market line is much flatter than as implied by CAPM. Recently an increasing amount of empirical studies have provided evidences to support the existence of low volatility anomaly, arguing that bearing additional risk would give rise to lower expected returns. Some even move one step further, documenting that volatility earns significant risk premium therefore volatility should be incorporated into the asset pricing models to explain the cross section of stock returns. Different opinions strike back by concluding that after controlling for well-known anomalous factors, volatility factor becomes insignificant. In this thesis, total volatility and idiosyncratic volatility are examined separately. Evidences show that on the basis of risk-adjusted returns, low volatility anomaly strongly persists. Different weighting approaches on portfolio formation should also be taken into consideration since value-weighted approach tends to generate better results supporting low volatility anomaly. Volatility factors are also constructed based on the 2x3 portfolios after the double sorting. Results from Fama-MacBeth two-step regression presents that over the period from February 1900 to December 2015 (311 months), neither total volatility factor nor idiosyncratic volatility factor earns significant risk premium. Regression results from Carhart four-factor model prove that large, value and momentum lie behind low volatility anomaly. Robust profitability and conservative investment are also captured by Fama French five-factor model. But persistent variables independent of either Carhart or FF framework maintain explanatory power on low volatility anomaly.

Low volatility anomaly --- Asset pricing --- Volatility --- Idiosyncratic volatility --- Sciences économiques & de gestion > Finance

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Central banks around the world, in their efforts to smoothen the economy through the business cycle, have devised for themselves a set of policies which they can turn to, when they need to react to the swings of the economy. Traditionally, those tools have been setting the interest rate, undertaking open market operations, and applying reserve requirements for banks. In the years that have followed the Financial Crisis of 2009, new approaches have been tried by monetary authorities to enhance the effectiveness of their policies. One of these new methods has been the expanded use of communications and media appearances by monetary officials, trying to made their objectives clearer for market participants and the general population.

With a focus on the Federal Reserve System, this thesis examines, through the framework of Narrative Economics and Information Theory and by using newly developed tools such as Natural Language Understanding, the effectiveness that the Fed’s communication strategy has rendered them in their pursuit of price stability and the implications this new approach has carried for financial markets liquidity and investors.

Central banking --- Monetary policy --- Narrative Economics --- Natural Language Processing --- Financial markets --- Information theory --- Sciences économiques & de gestion > Finance

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This Master thesis analyses the performance of mutual funds controlling for snooping bias using the method of false discoveries. Mutual fund performance for both EU and US open-end funds is examined during different time periods, focusing especially on period before financial crises and after financial crisis. Findings show that there is a strong impact of luck on the mutual fund performance and that only very few funds show true managerial skills.

open-end funds --- mutual fund performance --- false discoveries --- snooping bias --- Sciences économiques & de gestion > Finance