Ombretta Signori
AXA
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Publication
Featured researches published by Ombretta Signori.
European Financial Management | 2009
Marie Brière; Ombretta Signori
The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly. In this paper, we study the dynamics of conditional volatilities and correlations for three asset classes, IL bonds, nominal bonds, and equities, in the USA and Europe. Using a DCC-MVGARCH for the period 1997-2007, we highlight the change that took place in 2003. Although IL bonds once had definite diversification power, they are now highly correlated with nominal bonds and have reached similar volatility levels. As a result, the two asset classes are practically substitutable. This seems to be due to more stable inflation expectations and to a more liquid IL bond market. Although diversification was a valuable reason for introducing IL bonds in a global portfolio before 2003, this is no longer the case. Dynamic portfolio optimisation using our estimates of conditional correlations and volatilities clearly demonstrates that the optimal weight of IL bonds in a portfolio decreased sharply in 2003 in favour of nominal bonds and equities.
National Bureau of Economic Research | 2011
Andrew Ang; Marie Brière; Ombretta Signori
We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities since 1990 have had higher returns, on average, than stocks with low inflation betas and tend to be drawn from the Oil and Gas and Technology sectors. However, we show that the time variation of stock inflation betas is substantial. This makes it difficult to construct portfolios of stocks that are good inflation hedges out of sample. This is true for portfolios constructed on past inflation betas, sector portfolios, and portfolios constructed from high-paying dividend stocks.
Economics Papers from University Paris Dauphine | 2011
Marie Brière; Ombretta Signori
Inflation shocks are one of the pitfalls of developing economies and are usually difficult to hedge. This paper examines the optimal strategic asset allocation for a Brazilian investor seeking to hedge inflation risk at different horizons, ranging from one to 30 years. Using a vector-autoregressive specification to model inter-temporal dependency across variables, we measure the inflation hedging properties of domestic and foreign investments and carry out a portfolio optimisation. Our results show that foreign currencies complement traditional assets very efficiently when hedging a portfolio against inflation : around 70% of the portfolio should be dedicated to domestic assets (equities, inflation-linked (IL) bonds and nominal bonds), whereas 30% should be invested in foreign currencies, especially the US dollar and the euro.
BIS Papers chapters | 2010
Marie Brière; Ombretta Signori
Economics Papers from University Paris Dauphine | 2011
Marie Brière; Jean-David Fermanian; Hassan Malongo; Ombretta Signori
Economics Papers from University Paris Dauphine | 2011
Ombretta Signori; Marie Brière
Economics Papers from University Paris Dauphine | 2009
Marie Brière; Alexander Burgues; Ombretta Signori
ULB Institutional Repository | 2013
Marie Brière; Ombretta Signori
ULB Institutional Repository | 2012
Marie Brière; Ombretta Signori
Economics Papers from University Paris Dauphine | 2012
Michel Aglietta; Marie Brière; Sandra Rigot; Ombretta Signori