PEILLEX Jonathan

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We aim to advance our understanding of the adverse effects of extreme temperatures by examining the extent to which high temperatures affect stock market activity. We address this question by analyzing the trading volumes on the French stock market on days when the weather in Paris is excessively hot over the period 1995-2019. Our empirical analyses show that, on average, trading volumes fall significantly (between 4 percent and 10 percent) when maximum daily temperatures exceed 30°C (86°F). The observed negative association is remarkably robust to a battery of alternative analyses such as bin tests, event studies, and time-series regressions controlling for any seasonal effects and financial market conditions. From a theoretical perspective, this study contributes to the literature on behavioral finance by demonstrating the existence of a "hot weather" effect on financial markets. It also offers important managerial and public policy implications.

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In Japan, income, authority, and prestige are unequally distributed between men and women, even if they share the same occupational level. These inequalities are perceived as an ethical issue because they go against the principle of equal treatment at work. Nowadays, Japanese companies are under growing political and regulatory pressure to increase the hiring, promotion, and empowerment of female employees. In this context, the first equity index that tracks the financial performance of the best Japanese companies in terms of gender diversity performance—the MSCI Japan Empowering Women Index (hereafter WIN)—was launched in 2010. It aims to satisfy the growing demand of investors who want to reduce gender discrimination in Japanese workplaces. This paper compares the financial performance of the WIN stock index to the conventional parent index over the period 2010–2018, offering a unique setting to assess the effects of gender diversity screens on portfolio risk-adjusted performance. Our results are robust to a battery of risk-adjusted performance indicators and clearly indicate that investing in the WIN equity index does not come at a cost compared to investing in its conventional peer. This evidence is expected to reinforce confidence of investors who have an appetite for justice in increasing their investment in financial products that support the participation and the advancement of women in the Japanese workforce.

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We investigate the effect of Sharia compliance on stock valuations. To this end, we examine the price effects of additions to and deletions from the Dow Jones Islamic Market Index (DJIMI). Using the event study methodology, we measure abnormal returns for companies from Muslim countries and the US over the period of 2000 to 2017. We find that additions to the Islamic index lead to a positive stock market reaction in Muslim countries but a negative reaction in the US. Conversely, deletions from the Islamic index generate a negative stock market reaction but a positive one in the US. The differing valuation effects can be explained by different perceptions of investors. In Muslim countries, investors have a positive perception of the Sharia compliance because of religious beliefs, while in the US they negatively react because of a negative perception of Islam and of the restrictions associated with Sharia compliance.

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This study offers a novel reflection on the relevance of including CCI in the SRI sphere. We establish a qualitative and quantitative comparison between these two types of investments to understand the extent to which CCI differs from SRI. The results reveal a financial outperformance of CCI in times of crisis despite a societal underperformance. We conclude that, although CCI follows a certain conception of SRI, the non-inclusion of ESG considerations in its current management rules should lead the academic and professional communities to treat it as an investment type in its own right.

Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices.

Numerous studies have concluded that the financial performance of Shari'ah-compliant (SCI) or Islamic investment versus conventional investment (CI) is statistically similar. Such a result seems to contradict modern portfolio theory. The objective of this paper is to provide explanations for these counterintuitive results from an empirical corpus of 37 studies. We show via an index reconstruction case that the exclusion of the financial sector combined with pro-cyclical negative filtering methods plays a prominent role in explaining the financial performance of the CCI.

This thesis deals with ethical financial products from an angle rarely used in the literature, namely that of the supplier. More precisely, it analyses the strategies underlying the decision to create, design and distribute financial products presented as "ethical" by asset management companies. To do so, different databases and methodologies are used. Regarding the determinants of supply, it seems that the creation of an SR fund is undertaken by financial companies with significant economic and human resources in order to communicate about their activity, to reinforce their CSR strategy, or to divert investors' attention from their poor financial performance. Issues related to the reputation of the financial company thus appear to be paramount in explaining the decision to create an SR fund. In terms of design, the results reveal that SR screening relative to market movements, strategic allocation policy and active management plays a relatively modest role in explaining the variability of SR fund returns over time and across funds. Moreover, using the case of Shariah-compliant investment, we show that the choice of one filtering rule over another significantly modifies the composition of the ethical portfolio and thus ex post its financial performance. Finally, regarding the diffusion phase, the results suggest that, on average, the announcement of the introduction of an SR fund has a slightly positive short-term influence on the market value of the creating financial firm.

This paper proposes an empirical assessment of the main factors behind the decision of a corporate sponsor to launch a socially responsible (SR) fund. Our analysis is performed on a database that encompasses 414 SR fund creations by 46 corporate sponsors between 1990 and 2012. We provide evidence that economic and human resources slack, leverage, low media coverage and high extra-financial performance of the corporate sponsor contribute to an increase of the probability to propose SR funds. These results lead us to argue that the introduction of such funds goes beyond the economic objective of enlarging the market share of the corporate sponsor. It may thus be seen as a particular strategy in terms of communication and signaling, due to the specific characteristics of SR funds.

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