Banques, Marchés Financiers et Législations : Interdépendances et Mesures Comparées des Performances - PLAFILOI

Coordinating Institution: Université du Luxembourg
Other Partner(s): University Nancy II , University of Frankfurt am Main (D) , University of Oxford
From: 01/10/2007
To: 30/09/2010
Budget: 499,872.00€
Contact(s): Conac Pierre-Henri , Terraza Virginie

Summary

For the finance part, several theoretical and empirical works have been done during 2009, regarding the parts “Finance and Law” and “Financial Econometrics” to settle a statistical map of the banking and financial legislations in Europe in order to discuss their expected effects on the economies and to improve the regulation of financial institutions. First, we consider the Credit, Corporate and Bankruptcy laws as a core issue: On one hand we performed, two surveys on the literature on legal indexes elaborations and on the “law and finance” papers especially those on bankruptcy.

On the other hand, we focused on bankruptcy procedures in major European countries. We have collected 4 databases empirical. We began this data collection process in 2008. Concretely, we have achieved a template on bankruptcy laws: it contains 300 questions. The questions were designed and organized so that we can build indexes and legal ranking of the countries composing our sample. A number of international legal experts are working on our template in order to reply to the questionnaires.

All the templates should be filled during the 1st trimester 2010. Then econometrics should be performed. Second, we specify the relationship between a fund’s performance and rating agencies (both Morningstar and Europerformance ratings). For that, we propose in a first time, a structural approach based on entropies measured on sequences of multi-period ratings and returns. In a second time, we use a symbolic data analysis for considering the internal variation of funds ratings and to derive semi-parametric Value at Risk.

This method is applied to interval-type variables of 1500 European equity funds ranking by Morningstar and Europerformance agencies, during the period 2005 to 2007. Values at Risk estimations are given using a symbolic cluster analysis to specify the structure of returns. Robust procedures for the determination of the number of clusters are proposed. Our experiments provide new decision criteria depending on VaR rankings. Concerning the legal part of the project, a PhD students conference was organised in February 2009 within the Vivre project.

A meeting of the members of the network was also organised in October 2009 in Luxembourg with a view to give more visibility to the existing cooperation. A conference on Intermediated securities will be held in Luxembourg in September 2010. During the 2010 period, the legal team will also work on the results of the finance team with a view to make a specific report.

Refereed Scientific Publications

• Four articles were published in International Journal of Business Strategy, communication in Statistics: theory and Methods and Decisions in Economics and Finance.

Other Publications

• Two books (Studies of the Oxford Institute of European and Comparative Law, Hart Publishing, Oxford - La Documentation Française, collection “Regards sur le PME”)