AFFI - Association Francaise de Finance (French Finance Association)

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Volume 37 - Numéro 3

décembre 2016

Government Awards as Economic Instruments of Governance - 15 décembre 2016

Linus SIMING

This paper investigates if government awards can act as instruments that influence corporate behaviour. For identification I use the staggered introduction of orders of merit in six German states after the reunification. The introduction of orders leads to a fall in profitability but an increase in employment. However, CEOs who ultimately receive the awards are not running less profitable firms than CEOs who do not win awards but they employ more people. The performance of the honoured CEOs does not worsen after they have received an order. Overall, the results suggest that government awards function as economic instruments of governance.

Smart Beta and CPPI Performance - 15 décembre 2016

David ARDIA, Kris BOUDT, Marjan WAUTERS

CPPIs are popular medium- to long-term investment products that dynamically allocate between a risk-free asset and a risky portfolio, with the objective of combining upside potential with a capital guarantee. This paper uses a block-bootstrap evaluation approach to study whether combining smart beta and portfolio insurance is mutually beneficial under various scenarios. Our results show that the improvement in performance is most apparent for CPPIs combined with a low-risk equity portfolio. This finding is consistent with the negative vega of CPPIs and with path-dependency of the CPPI protection against portfolio losses between rebalancing dates.