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Personne :
Amédée-Manesme, Charles-Olivier

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Amédée-Manesme

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Charles-Olivier

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Université Laval. Département de finance, assurance et immobilier

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Résultats de recherche

Voici les éléments 1 - 10 sur 12
  • PublicationAccès libre
    Cornish-Fisher expansion for commercial real estate value at risk
    (Springer New York LLC, 2014-07-05) Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice; Keenan, Donald
    The computation of Value at Risk has traditionally been a troublesome issue in commercial real estate. Difficulties mainly arise from the lack of appropriate data, the non-normality of returns, and the inapplicability of many of the traditional methodologies. As a result, calculation of this risk measure has rarely been done in the real estate field. However, following a spate of new regulations such as Basel II, Basel III, NAIC and Solvency II, financial institutions have increasingly been required to estimate and control their exposure to market risk. As a result, financial institutions now commonly use “internal” Value at Risk (V a R) models in order to assess their market risk exposure. The purpose of this paper is to estimate distribution functions of real estate V a R while taking into account non-normality in the distribution of returns. This is accomplished by the combination of the Cornish-Fisher expansion with a certain rearrangement procedure. We demonstrate that this combination allows superior estimation, and thus a better V a R estimate, than has previously been obtainable. We also show how the use of a rearrangement procedure solves well-known issues arising from the monotonicity assumption required for the Cornish-Fisher expansion to be applicable, a difficulty which has previously limited the useful of this expansion technique. Thus, practitioners can find a methodology here to quickly assess Value at Risk without suffering loss of relevancy due to any non-normality in their actual return distribution. The originality of this paper lies in our particular combination of Cornish-Fisher expansions and the rearrangement procedure.
  • PublicationAccès libre
    Market heterogeneity, investment risk and portfolio allocation : applying quantile regression to the Paris apartment market
    (Emerald Publishing Limited, 2017-10-02) Des Rosiers, François; Baroni, Michel; Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice
    Purpose : The purpose of this paper is to address the heterogeneity of real estate assets with regard to investment risk measurement, with Paris’ apartment market as a case study. Design/methodology/approach : Quantile regression is used to handle the fact that willingness to pay for housing attributes may vary greatly over both space and asset value categories. The method is alternately applied on central and peripheral districts of Paris, or “arrondissements”, with hedonic indices built for nine deciles over a 17-year period (1990-2006). Portfolio allocation is subsequently analysed with deciles being the assets. Findings : The findings suggest that during the slump, peripheral districts show better resilience and define the efficient frontier while also exhibiting a lower volatility. In addition, higher returns are observed for lower-priced apartments, both central and peripheral. During the recovery and boom stages of the cycle, the highest returns are experienced for the cheapest apartments in central locations, whereas upper-priced, centrally located units yield the lowest returns. Originality/value : The originality of this research resides in the application of quantile regression in a real estate investment and risk management context. The methodology may raise individual investors’ and practitioners’ attention, especially index providers’.
  • PublicationAccès libre
    The pricing of embedded lease options
    (Academic Press, 2015-10-24) Grégoire, Philippe; Des Rosiers, François; Amédée-Manesme, Charles-Olivier
    Office leases are generally agreed upon for extended terms, with possible options to leave or to renew in favor of the tenant. Tenants who have no options during the life of their lease expect to pay a lower rent than those who do. In this letter, we built up a conceptual framework based on binomial tree for the pricing of options embedded in a lease contract. Results show that lease options are dependent upon market rents volatility.
  • PublicationAccès libre
    Market heterogeneity and the determinants of Paris apartment prices : a quantile regression approach
    (Sage, 2016-09-01) Des Rosiers, François; Baroni, Michel; Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice
    In this paper, the heterogeneity of the Paris apartment market is addressed. For this purpose, quantile regression is applied – with market segmentation based on price deciles – and the hedonic price of housing attributes is computed for various price segments of the market. The approach is applied to a major data set managed by the Paris region notary office (Chambre des Notaires d’Île de France), which consists of approximately 156,000 transactions over the 2000–2006 period. Although spatial econometric methods could not be applied owing to the unavailability of geocodes, spatial dependence effects are shown to be adequately accounted for through an array of 80 location dummy variables. The findings suggest that the relative hedonic prices of several housing attributes differ significantly among deciles. In particular, the elasticity coefficient of the apartment size variable, which is 1.09 for the cheapest units, is down to 1.03 for the most expensive ones. The unit floor level, the number of indoor parking slots, as well as several neighbourhood attributes and location dummies all exhibit substantial implicit price fluctuations among deciles. Finally, the lower the apartment price, the higher the potential for price appreciation over time. While enhancing our understanding of the complex market dynamics that underlie residential choices in a major metropolis such as Paris, this research provides empirical evidence that the QR approach adequately captures heterogeneity among house price ranges, which simultaneously applies to housing stock, historical construct and social fabric
  • PublicationAccès libre
    Mixed-asset portfolio allocation under mean-reverting asset returns
    (Springer, 2018-01-30) Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice; Bertrand, Philippe; Prigent, Jean-Luc
    Standard results about portfolio optimization suggest that the allocation to real estate in a mixed-asset portfolio should be around 15–20%. However, the institutional investors share in real estate is significantly smaller, around 7–9%. Many researches have addressed this point even if as of today no consensus has emerged. In this paper, we built-up an allocation model that can explain the empirical observed weights. For this purpose, we account for the term structure of all standard financial assets and also of real estate asset class (expected returns, volatilities and correlations depending on the time to maturity). We propose a dynamic portfolio optimization model that allows analyzing portfolio weights with respect to the whole term structure modelling, due to its tractability and its good fit when being adequately calibrated. In this framework, we provide explicit and operational solutions to the dynamic mixed-asset portfolio allocation (cash, real estate, stock and bond). The results show that accounting for investment horizon and mean-reverting dynamics allows to better examine how portfolio allocations depend on both risk aversion and investment horizon.
  • PublicationAccès libre
    Un nouveau paradigme de la dynamique des rendements immobiliers parisiens
    (Presses de la Fondation nationale des sciences politiques, 2020-07-08) Amédée-Manesme, Charles-Olivier; Baroni, Michel; Barthélémy, Fabrice
    Cet article fait suite au travail de Baroni, Barthélémy et Mokrane [2008, Revco] dans lequel les auteurs développent un modèle factoriel permettant d’expliquer la dynamique des prix des biens immobiliers résidentiels à Paris et sa proche banlieue par un ensemble de variables économiques et financières prédéfinies. Le présent article s’attache à mettre en exergue les changements récents du poids de ces facteurs explicatifs. Les principaux résultats de l’article sont d’une part que le modèle développé par Baroni, Barthélémy et Mokrane [op. cit.] garde sa capacité explicative, et d’autre part, que le poids des facteurs a nettement évolué ces dernières années et par suite que le marché immobilier résidentiel parisien est entré dans un nouveau paradigme. Notamment, l’article montre que l’impact des loyers sur le rendement en capital immobilier s’est récemment renforcé au détriment des taux d’intérêt.
  • PublicationAccès libre
    Heterogeneity and fine wine prices : application of the quantile regression approach
    (Taylor & Francis Online, 2019-12-23) Amédée-Manesme, Charles-Olivier; Faye, Benoit; Le Fur, Eric
    This study addresses the price heterogeneity of the five first growths of Bordeaux. We apply the quantile regression (QR) approach with market segmentation based on wine bottle price quantiles. We compute the hedonic price of wine attributes for various price segments in the market. This approach is applied to a major dataset comprising approximately 50,000 transactions over the 2003–2017 period. The findings indicate that the relative hedonic prices of several wine attributes differ significantly among deciles. The implications of our results are manifold. Vintage and Parker grades have a strong impact on the variation in wine prices, and there is a hierarchy among the five first growths of Bordeaux. There is also a premium commanded by the reputation and experience of an auction house. Since the financial crisis of 2012–2013, investors have considered that the five first growths are overrated, save for the most expensive wines; for those most expensive ones, investors prefer scarcity to liquidity. These results are of import to several actors in the fine wine market: investors, for example, could use the findings herein to better diversify their wine portfolio, while auction houses could better anticipate their future sales based on consumers’ expectation.
  • PublicationAccès libre
    Real estate investment : market volatility and optimal holding period under risk aversion
    (Butterworth Scientific, 2015-11-29) Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice; Prigent, Jean-Luc
    This paper deals with real estate portfolio optimization when investors are risk averse. In this framework, we ex-amine an important decision making problem, namely the determination of the optimal time to sell a diversifiedreal estate portfolio. The optimization problem corresponds to the maximization of a concave utility function de-fined on both the free cashflows and the terminal value of the portfolio. We determine several types of optimaltimes to sell and analyze their properties. We extend previous results, established for the quasi linear utility case,where investors are risk neutral. We consider four cases. In thefirst one, the investor knows the probability dis-tribution of the real estate index.In thesecondone,the investor isperfectlyinformedabout therealestate marketdynamics. In the third case, the investor uses an intertemporal optimization approach which looks like anAmerican option problem. Finally, the buy-and-hold strategy is considered. For these four cases, we analyze inparticular how the solutions depend on the market volatility and we compare them with those of the quasi linearcase. We show that the introduction of risk aversion allows to better account for the real estate market volatility.We also introduce the notion of compensating variation to better measure the impacts of both the risk aversionand the volatility.
  • PublicationAccès libre
    Ex-ante real estate value at risk calculation method
    (J.C. Baltzer, 2015-10-30) Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice
    The computation of Value at Risk (VaR) has long been a problematic issue in commercial real estate. Difficulties mainly arise from the lack of appropriate data, the lack of transactions, the non-normality of returns, and the inapplicability of many of the traditional methodologies. In addition, specific risks remain latent in investors’ portfolios and thus risk measurements based on market index do not represent the risks of a specific portfolio. Following a spate of new regulations such as Basel II, Basel III, NAIC and Solvency II, financial institutions have increasingly been required to estimate and control their exposure to market risk. Hence, financial institutions now commonly use “internal” VaR (or Expected Shortfall) models in order to assess their market risk exposure. This paper proposes the first model designed especially for static real estate VaR computation. The proposal accounts for specific real estate characteristics such that the lease structures or the vacancies. The paper contributes to the real estate risk management literature by proposing for the first time a model that incorporates characteristics of real estate investments. It allows more precise real estate risk measurements and is derived from a regulators’ approach.
  • PublicationAccès libre
    Proper use of the modified Sharpe ratios in performance measurement : rearranging the Cornish Fisher expansion
    (Basel, 2020-11-16) Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice
    Performance analysis is a key process in finance to evaluate or compare investment opportunities, allocations, or management. The classical method is to compute the market or sub-market returns and volatilities, and then calculate the standard performance measure, namely, the Sharpe ratio. This measure is based on the first two moments of a return distribution. Therefore, a significant weakness of this method is that it implicitly assumes that the distribution is Gaussian (if it is not Gaussian, the approach may lead to a bad fit). In fact, risk comes from not only volatility, but also from higher moments of distribution such as skewness and kurtosis. The standard method to resolve this issue is to use the modified Sharpe ratio; this method replaces the classical Sharpe ratio volatility with the value at risk. The latter is computed using the Cornish Fisher expansion, a tool based on the first four moments of return distribution. This methodology, however, may present a major pitfall: in some cases, quantile functions do not stay monotone. In this paper, we show how this tool can be used effectively through a specific procedure, rearrangement. We compare various metrics using rank correlation, and demonstrate how and in which cases the proposed procedure delivers ranking different from the standard Sharpe ratio ranking. Furthermore, we show how our technique offers better distribution approximations and is therefore a more useful performance metric. Institutional investors may find the technique proposed here useful in that it allows for considering non-normality in performance analysis