Tarik Bazgour

@article{Bazgour2020,

title = {How do volatility regimes affect the pricing of quality and liquidity in the stock market?},

author = {Tarik Bazgour AND Cedric Heuchenne AND George Hübner AND Danielle Sougné},

year  = {2020},

date = {2020-01-31},

journal = {Studies in Nonlinear Dynamics & Econometrics},

keywords = {},

pubstate = {forthcoming},

tppubtype = {article}

}

@article{Bazgour2017,

title = {What Style Liquidity Timing Skills Do Mutual Fund Managers Possess?},

author = {Tarik Bazgour; Laurent Bodson; Danielle Sougné},

doi = {10.1111/fire.12117},

year  = {2017},

date = {2017-11-01},

journal = {The Financial Review},

volume = {52},

pages = {597–626},

abstract = {Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four-factor case and investigate liquidity timing skills with respect to the MARKET, SIZE, VALUE and MOMENTUM factors. Contrary to these claims, we find no evidence that fund managers adjust market exposure in anticipation of market liquidity changes. We find rather strong evidence that fund managers successfully overweight small stocks as market liquidity increases. Our study also demonstrates that it is easy to misidentify SIZE liquidity timing as MARKET liquidity timing in models that focus only on MARKET liquidity timing.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{Bazgour2016,

title = {Conditional portfolio allocation: Does aggregate market liquidity matter?},

author = {Tarik Bazgour; Cedric Heuchenne; Danielle Sougné},

doi = {10.1016/j.jempfin.2015.10.004},

year  = {2016},

date = {2016-01-01},

journal = {Journal of Empirical Finance},

volume = {35},

pages = {110-135},

abstract = {This paper investigates how aggregate liquidity influences optimal portfolio allocations across various US characteristic portfolios. We consider short-term allocation problems, with single and multiple risky assets, and use the nonparametric approach of Brandt (1999) to directly ex- press optimal portfolio weights as functions of aggregate liquidity shocks. We find, first, that the effect of aggregate liquidity is positive and decreasing with the investment horizon. Second, at daily and weekly horizons, this effect is weaker on allocations in large stocks and gets stron- ger as we move toward small stocks, regardless of the other stock characteristics, suggesting that liquidity is the main concern of very short-term investors. Third, conditional allocations in risky assets decrease and exhibit shifts toward more liquid assets as aggregate liquidity worsens. Overall, conditioning on aggregate liquidity yields empirical results that are consistent with the so-called flight-to-safety and flight-to-liquidity episodes. Finally, we propose a simple tactical investment strategy and show how aggregate liquidity information can be exploited to enhance the out-of-sample performance of long-term strategies.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}