Université de Fribourg

Founding family ownership, stock market returns, and agency problems

Eugster, Nicolas ; Isakov, Dušan

(Working Papers SES ; 490)

This paper explores the relationship between founding family ownership and stock market returns. Using the entire population of non-financial firms listed on the Swiss stock market for 2003–2013, we find that the stock returns of family firms are significantly higher than those of non-family firms after adjusting the returns for different risk factors and firm characteristics. Family firms...

Université de Fribourg

Do not wake sleeping dogs: Pay-out policies in founding family firms

Isakov, Dušan ; Weisskopf, Jean-Philippe

(Working Papers SES ; 443)

This article examines founding family influence on pay-out policies for Swiss listed firms over the period 2003-2010. We find that founding family firms have higher dividends and total pay-outs than non-family firms. There is no significant difference between stock repurchases for the two types of firms. We show that specific firm characteristics such as active involvement of family members, the...

Université de Fribourg

Are Founding Families Special Blockholders ? An Investigation of Controlling Shareholder Influence on Firm Performance

Isakov, Dušan ; Weisskopf, Jean-Philippe

(Working Papers SES ; 428)

This paper examines how family and non-family ownership affects the performance of Swiss listed firms from 2003 to 2010. We distinguish between these two types of controlling shareholders since they have different objectives. We hypothesise that only family shareholders have a real incentive to reduce agency costs whereas non-family blockholders are similar to widely held companies. Our results...

Université de Fribourg

Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability

Isakov, Dušan ; Marti, Didier

(Working Papers SES ; 421)

This paper extends the literature on the profitability of technical analysis in three directions. First, we investigate the performance of complex trading rules based on moving averages computed over longer periods than those usually considered. Different trading rules are simulated on daily prices of the Standard & Poor’s 500 index and we find that trading rules are more profitable when...

Université de Fribourg

Is beta still alive? : Conclusive evidence from the Swiss stock market

Isakov, Dušan

In: The European Journal of Finance

Recent evidence by Fama and French (1992,1996) and others shows that betas and returns are not related empirically. They interpret this as evidence against the validity of the capital asset pricing model and they conclude that the beta is not a good measure of risk. This paper claims that usual tests do not leave much opportunity for beta to appear as a useful variable capable of explaining...

Université de Fribourg

Portfolio diversification in Europe

Adjaouté, Kpate ; Danthine, Jean-Pierre ; Isakov, Dušan

(FAME Research Paper ; 86)

Have the euro and accompanying measures of financial integration had a discernable impact on the degree of diversification of European investors? This is an empirical question that this paper tries to answer by exploring four alternative avenues. First we focus on the final outcome: If European investors are indeed better diversified, their consumption should be increasingly correlated. Second we...

Université de Fribourg

How to diversify internationally? : A comparison of conditional and unconditional asset allocation methods

Barras, Laurent ; Isakov, Dušan

In: EFMA 2002 London meeting, 2003, p. 1-25

To obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction. The question that we raise in this paper is how to select the optimal portfolio of countries? This article synthesizes the major international asset allocation methods based on mean-variance analysis that have been proposed...

Université de Fribourg

The determinants of stock returns in a small open economy

Cauchie, Séverine ; Hoesli, Martin ; Isakov, Dušan

In: EFMA 2003 Helsinki Meeting, 2003, p. 1-31

This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly returns...

Université de Fribourg

Industries, business cycle and profitability of momentum strategies : an international perspective

Bacmann, Jean-François ; Dubois, Michel ; Isakov, Dušan

In: EFMA 2001 Lugano Meetings, 2001, p. 1-31

The apparent predictability of stock prices and the related profitability of investment strategies based on it has generated a great deal of research. Since the late eighties, momentum strategies have attracted a lot of the attention and have been found to be very profitable mainly for US stock market (NYSE and AMEX). A few papers (notable exceptions are Rouwenhorst (1998) and Chan, Hameed...