Unités de recherche

• Chaire Caisse de dépôt et placement du Québec de gestion de portefeuille

Projets de recherche et/ou de recherche-création en cours

• Herding Behavior in African Stock Markets: A State-Space Assessment During Times of Crisis

  This study investigates the dynamics of herding behavior in 17 African stock markets from 2009 to 2022, controlling for hard times such as the European debt crisis, the Arab Spring uprising, the Ebola outbreak, Brexit, and the COVID-19 pandemic. Using state-space models, we extract time series of herd dynamics and find slightly negative, albeit statistically significant, herding during normal times. Contrary to expectations, herding does not intensify during crises. Instead, short-lived episodes of adverse herding occur during crisis periods, driven more by external than internal African crises. These findings provide new insights into herding dynamics in African markets under stress.

• The Battle of Factors

  This study delves into the battle of factors in Canadian capital markets, employing spanning tests to evaluate 17 factors from ten multifactor models for 1991-2022. While the value factor (HML) proves redundant, its monthly updated counterpart excels. The size factor (SMB) is not improved by discounting mispriced stocks but gains potency after controlling for profitability and investment. Q-based and mispricing factors subsume the momentum factor (UMD). No single asset-pricing model emerges dominant, except in three instances. A six-factor model including market, size, monthly updated value, ROE, expected growth, and PEAD factors proves effective for asset pricing in Canadian markets.