HEC-Ecole de gestion de l'Université de Liège
HEC-Ecole de gestion de l'Université de Liège

The impact of business cycles on multi-factor models

Feneuil, Brieuc ULiège
Promotor(s) : Bodson, Laurent ULiège
Date of defense : 4-Sep-2017/11-Sep-2017 • Permalink :
Title : The impact of business cycles on multi-factor models
Translated title : [fr] L'impact des cycles financiers sur les modèles multi-factoriels
Author : Feneuil, Brieuc ULiège
Date of defense  : 4-Sep-2017/11-Sep-2017
Advisor(s) : Bodson, Laurent ULiège
Committee's member(s) : Boussaid, Nabila ULiège
De Kempeneer, Laurent 
Language : English
Number of pages : 100
Keywords : [fr] Business cycles
[fr] Conditional multi-factor model
[fr] cross-section analysis
[fr] Stationarity
Discipline(s) : Business & economic sciences > Quantitative methods in economics & management
Target public : Researchers
Professionals of domain
General public
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège


[fr] Many empirical studies to date paint a picture of the economy as having a consistent form at
every single time-series. Contrary to that view, we have seen financial markets undergo lots
of movements and some of these unpredictable. These fluctuations can range from local
disturbances to yearlong tendencies.

This thesis demonstrates empirically the effects of considering different business cycles on
the accuracy of traditional (multi-)factor models, especially in the European Monetary Union.
Indeed, when a market shifts to another state, factor sensitivities and factor premiums do not
remain static. Therefore, statistical proof is put forward to support the fact that for some
specific cycles conditional versions have better explanatory power in the cross-section of
stock returns. Next to this, some market anomalies showed to still be present in certain states.

Before considering the integration of new factors, the developed conditional model aims to
improve the predictability of future stock returns. Regarding this, some leading indicators
have been attributed key roles in the final model.



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  • Feneuil, Brieuc ULiège Université de Liège > Master sc. gest., à fin.


Committee's member(s)

  • Boussaid, Nabila ULiège Université de Liège - ULg > HEC Liège : UER > Gestion financière et consolidation
    ORBi View his publications on ORBi
  • De Kempeneer, Laurent
  • Total number of views 47
  • Total number of downloads 25

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