Marc Ceuster | University of Antwerp (original) (raw)

Papers by Marc Ceuster

Journal of Empirical Finance, 1998

We consider the hypothesis of psychological barriers at round numbers of a stock index. This hypo... more We consider the hypothesis of psychological barriers at round numbers of a stock index. This hypothesis is often examined by testing the uniformity of the distribution of the trailing digits in the stock index, a rejection being interpreted as evidencing the existence of psychological barriers. By virtue of Benford's Law, we show that the uniform distribution is not the right benchmark against which to test. As an alternative we propose a test based on the cyclical permutations of the actual returns. Applying this test to the Dow Jones 30 Industrial Average, the Financial Times -Stock Exchange 100 and the Nikkei Stock Average 225, we find no convincing evidence of psychological barriers, contrary to previous findings. q 1998 Elsevier Science B.V. All rights reserved. JEL classification: G14; C15

It is commonly agreed that the term spread and stock returns are useful in predicting recessions.... more It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators. Both risk-return analysis and the theory of investment under uncertainty provide a rationale for this extension. The results for the United States, Germany and Japan show that

Financial History Review, 2011

In this article, we calculate a market-weighted return index for the  largest stocks listed on ... more In this article, we calculate a market-weighted return index for the  largest stocks listed on the Brussels Stock Exchange over the period -, based on a new, unique and high-quality database. We find that this index captures the most important stylised facts of the value-weighted return of all shares listed on the Brussels Stock Exchange in this period. Our results support the empirical practice of concentrating on just the largest stocks. The indices we construct are based on one of the longest Belgian time series available. The indices take into account the exact dividends, the timing of the dividend cash flows and all capital operations. We are therefore able to decompose total returns into capital gain returns and dividend returns, which is not possible with most historical return series. We show that, to construct a credible return index, it is crucial to fully take into account dividends.

The European Journal of Finance, 2006

Abstract: Corporate bonds expose the investor to credit risk, which will be reflected in the cred... more Abstract: Corporate bonds expose the investor to credit risk, which will be reflected in the creditspread. Based on the EMU Broad Market indices, we study the inter-temporalstability of the covariance and correlation matrices of credit spread changes. Within amultivariate framework, the Box and Jennrich tests are most commonly used teststatistics in the literature. However, we show that for small samples

SSRN Electronic Journal, 2000

This paper examines the existence of stock return moments in the less liquid Australian market. W... more This paper examines the existence of stock return moments in the less liquid Australian market. We initially find conflicting results. Characteristic exponent point estimates of approximately 1.5 are found for Australian stocks, in line with previous US research findings. This would imply that the population variance is infinite. On the other hand, Hill-estimates, are above 2 for all stocks indicating that second moments do exist. This conflicting result is resolved by setting up a simulation experiment in which we show that combinations of the Hill-estimate and the characteristic exponent, produced by the real data, are extremely unlikely for sum stables. These results provide further evidence for the existence of second moments. However, the determination of the existence of fourth moments still remains unresolved.

Journal of Banking & Finance, 2005

This study analyzes the economic importance of portfolio advice for an investor with an internati... more This study analyzes the economic importance of portfolio advice for an investor with an international and multiple-asset investment strategy. We construct portfolios based upon the asset allocation and security market advice of major international investment bankers and analyze the performance using weight-based techniques. Our results indicate that portfolio advisers are not able to outperform passive benchmarks. They do not realize superior performance either through appropriate timing or selection skills. Apparent market timing skills as measured by the Portfolio Change Measure are to a large extent an artifact caused by serial correlation in the return indices used. Likewise, the apparent short-run performance persistence is more due to the serial correlation in returns than to active portfolio selection strategies.

SSRN Electronic Journal, 2000

This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks a... more This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to complement the Merton model and are shown to play an important role in explaining credit spread changes. Our decomposition reveals, however, highly changing dynamics in the credit, liquidity, and business cycle and market wide components. This result is important since supervisors and monetary policy makers extract different signals from liquidity based CDS spread changes than from business cycle or credit risk based changes. For the recent financial crisis, we confirm that the steeply rising CDS spreads are due to increased credit risk. However, individual CDS liquidity and market wide liquidity premia played a dominant role. In the period before the start of the crisis, our model and its decomp...

Economics Letters, 2015

ABSTRACT We estimate the long rate and its volatility within the Svensson framework. The procedur... more ABSTRACT We estimate the long rate and its volatility within the Svensson framework. The procedure that best extrapolates the longest observable rate and its volatility is a 2-dimensional grid search conditioned on the ridge regression suggested by Annaert et al. (2013).

SSRN Electronic Journal, 2000

Journal of International Money and Finance, 2013

This paper decomposes the explained part of the CDS spread changes of 32 listed euro area banks a... more This paper decomposes the explained part of the CDS spread changes of 32 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to complement the Merton model and are shown to play an important role in explaining credit spread changes. Our decomposition reveals, however, highly changing dynamics in the credit, liquidity, and business cycle and market wide components. This result is important since supervisors and monetary policy makers extract different signals from liquidity based CDS spread changes than from business cycle or credit risk based changes. For the recent financial crisis, we confirm that the steeply rising CDS spreads are due to increased credit risk. However, individual CDS liquidity and market wide liquidity premia played a dominant role. In the period before the start of the crisis, our model and its decomposition suggest that credit risk was not correctly priced, a finding that was correctly observed by e.g. the International Monetary Fund.