- Head of Investor Research Center, AMUNDI
- Affiliate Professor, Paris Dauphine University
- Senior Associate Researcher at Center Emile Bernheim,
Université Libre de Bruxelles
Bianchi M. and M. Brière, "Augmenting Investment Decisions with Robo-Advice", SSRN Working Paper N°3751620, 2021. SSRN
Abstract: We study the effects of robo-advising on investors' attention, trading, and performance on a large set of Employees Saving Plans. The robo-advisor proposes a portfolio allocation and alerts investors if their allocation gets too far from the target. We find that relative to self-managing, accessing the robo-service increases investors’ attention, saving and equity exposure. Investors change their rebalancing behavior and experience higher risk-adjusted returns. These effects are stronger for investors with smaller portfolios, suggesting that automated advice can promote financial inclusion.
Brière M. and S. Ramelli, "Responsible Investing and Stock Allocation", SSRN Working Paper N°3853256, 2021. SSRN
Abstract: We analyze the portfolio choices of approximately 900,000 active participants in employee saving plans in France. We find that the inclusion of responsible equity options in the menu of available funds is associated with a 7% higher equity allocation of the new contributions made by plan participants (a material increase when compared to the average equity weight of 12.1%). We discuss the role of personal values in explaining this phenomenon. Responsible investment products may reduce the gap preventing many retail investors from more actively participating in the stock market.
Brière M. and S. Ramelli, "Green Sentiment, Stock Returns, and Corporate Behavior", SSRN Working Paper N°3850923, 2021. SSRN
Abstract: We propose a new method to estimate non-fundamental demand for green financial assets based on the arbitrage activity of exchange traded funds (ETFs). Changes in green sentiment anticipate a lasting stock out-performance by more environmentally responsible firms (of approximately 60 basis points over six months for a one-standard-deviation higher green sentiment), as well as an increase in their capital investments and cash holdings
Bianchi M. and M. Brière, "Robo-Advising: Less AI and More XAI?", SSRN Working Paper N°3825110, 2021. SSRN
Abstract: We discuss how robo-advice could potentially address some fundamental problems in investors’ decision making and traditional financial advice and the role Artificial Intelligence (AI) could play. We highlight the importance of explainable AI (XAI) to design effective human/robot interaction.
Brière M., C.A. Lehalle and A. Raboun, "Liquidity Provision and Market-Making in Different Uncertainty Regimes: Evidence from the COVID-19 Market Crash", SSRN Working Paper N°3815169, 2020. SSRN
Abstract: We propose an extension to Kyle's model with different uncertainty regimes, where the market maker estimates market uncertainty and uses it to set her price. The model implies that the elasticity of prices to liquidity demand will increase when uncertainty is high. We test the model during the COVID-19 period and show that the elasticity of prices to liquidity demand has increased four times.
Accominotti O., M. Brière, A. Burietz, K. Oosterlinck and A. Szafarz, "Did Globalization Kill Contagion", SSRN Working Paper N°3534157, 2020. SSRN
Abstract: Does financial globalization lead to contagion? We scrutinize linkages between international stock markets in a long historical perspective (1880-2014). Our results highlight that without globalization, contagion cannot exist. However, if cross-market correlations are very high, globalization kills contagion. We show that financial contagion was absent from stock markets in both the period of deglobalization of 1918-1971 and the era of “extreme” globalization of 1972-2014 but was present in the period of “moderate” globalization of 1880-1914. Our results suggest that contagion could become a significant problem if financial markets return to a more moderate level of globalization.
Work in Progress
- Bonelli M., M. Brière and F. Derrien, "Employee Share Plans".
- Brière M., J. Poterba and A. Szafarz, "The Effect of Plan Liquidity and Match Rates on Contributions to Pension Plans: Evidence from France".
Asset Allocation - Investment
- Brière M. and A. Szafarz, "Good Diversification is Never Wasted: How to Tilt Factor Portfolios with Sectors", Finance Research Letters, 2020. FRL SSRN
- Brière M. and A. Szafarz, "Factor Investing: Risk Premia v. Diversification Benefits", SSRN Working Paper N°2615703, 2015. SSRN
- Brière M. and A. Szafarz, "Factors vs. Sectors in Asset Allocation: Stronger Together?", "Advances in the practice of public investment management: Portfolio modelling, performance attribution and governance" Palgrave Macmillan, SSRN Working Paper N°2965346, 2017. SSRN
- Brière M. and A. Szafarz, "Factor Investing: the Rocky Road from Long Only to Long Short", in Risk-Based and Factor Investing, Ed. E. Jurczenko, 2017. Elsevier SSRN
Brière M. and A. Szafarz, “Investment in Microfinance Equity: Risk, Return and Diversification Benefits”, World Development, 67, March 2015, 110-125. WD SSRN
Brière M., B. Drut, V. Mignon, K. Oosterlinck and A. Szafarz, “Is the Market Portfolio Efficient? A New Test of Mean Variance Efficiency when all Assets are Risky”, Finance, 34(1), March 2013, p.7-41. Repec
Aglietta M., M. Brière, S. Rigot, O. Signori, “Rehabilitating the Role of Active Management for Pension Funds", Journal of Banking and Finance, 36(9), September 2012, p.2565-2574. JBF SSRN
Socially Responsible Investment
Brière M., S. Pouget and L. Ureche-Rangau, "Do Universal Owners Vote to Curb Externalities: An Empirical Analysis of Shareholder Meetings", SSRN Working Paper N°3403465, 2019.
- Brière M., S. Pouget and L. Ureche-Rangau, "Blackrock vs Norway Fund at Shareholder Meetings: Institutional Investors’ Votes on Corporate Externalities", SSRN Working Paper N°3140043, 2017. SSRN
Brière M., J. Peillex and L. Ureche, “Do Social Responsibility Screens Matter when Assessing Mutual Fund Performances", Financial Analyst Journal, 76(3), 3rd Quarter 2017, p.53-66. FAJ SSRN
Brière M., Lehalle C.A., Nefedova, T. and A. Raboun, "Modelling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance", in Machine Learning for Asset Management, ed. E. Jurczenko, Wiley, 2020. ISTE/Wiley SSRN
Brière M., Lehalle C.A., Nefedova, T. and A. Raboun, "Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies", SSRN Working Paper N°3380239, 2019. SSRN
- Boon L.N., M. Brière and B. Werker, "Longevity Risk: To Bear or to Insure?", Journal of Pension Economics and Finance, 2019. JPEF SSRN
- Boon L.N., M. Brière and S. Rigot, “Regulation and Pension Fund Risk Taking”, Journal of International Money and Finance, 84, 2018, p. 23-41. Journal of Asset Management, 17(4), 2016, p. 295-312. JIMF SSRN
- Boon L.N., M. Brière, C. Gresse and B. Werker, “Pension Regulation and Investment Performance: Rule-Based vs. Risk-Based”, SSRN Working Paper N°2400534, 2014. SSRN
Sovereign Wealth Funds and Central Banks
Brière M., V. Mignon, K. Oosterlinck and A. Szafarz, "Towards Greater Diversification in Central Bank Reserves", Journal of Asset Management, 17(4), 2016, p. 295-312. JAM SSRN
Bodie Z. and M. Brière, “Sovereign Wealth and Risk Management: a Framework for Optimal Asset Allocation of Sovereign Wealth", Journal of Investment Management, Q1 2014, p.45-61. JOIM SSRN
Bodie Z. and M. Brière, “Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice", Bankers Markets and Investors, Jan Feb 2014, p.45-61. BMI SSRN
Brière M., "Managing Commodity Risk: Can Sovereign Wealth Funds Help?", in Sovereign Wealth Funds and Long Term Investing, Bolton P., F. Samama and J. Stiglitz, Columbia University Press, 2012. ULB
Inflation Hedging and Indexed Linked Bonds
Brière M. and O. Signori, “Hedging Inflation Risk in a Developing Economy: The Case of Brazil”, Research in International Business and Finance, 27(1), January 2013, p. 209-222. RIBAF SSRN
Ang A., M. Brière and O. Signori, “Inflation and Individual Equities", Financial Analyst Journal, 68(4), July-August 2012, p. 36-55. FAJ NBER
Brière M., and O. Signori, "Inflation Hedging Portfolios: Economic Regimes Matter", The Journal of Portfolio Management, 38(5), Summer 2012, p. 43-58. JPM SSRN
Brière M. and O. Signori, “Inflation Hedging Portfolios in Different Regimes”, in "Portfolio and risk management for central banks and sovereign wealth funds", Bank for International Settlements Paper No 58, October 2011. BIS
Brière M. and O. Signori, "Do Inflation Linked Bonds Still Diversify?", European Financial Management, 15(2), March 2009, p. 279-297. EFM, Repec
Financial Crises and Portfolio Protection
Brière M., A. Chapelle and A. Szafarz, “No Contagion, only Globalisation and Flight to Quality”, Journal of International Money and Finance, 31(6), October 2012, p. 1729-1744. JIMF Repec
Brière M., J.D. Fermanian, H. Malongo and O. Signori, "Volatility Strategies for Global and Country Specific European Investors", Bankers, Markets and Investors, November-December 2012, p.17-29. BMI SSRN
Brière M., A. Burgues and O. Signori, "Volatility Exposure for Strategic Asset Allocation", The Journal of Portfolio Management, 36(3), Spring 2010, p. 105-116. JPM, SSRN
Brière M., A. Burgues and O. Signori, "Volatility as an Asset Class for Long Term Investors", in Interest rate Modelling, Portfolio Optimisation and Quantitative Techniques for Central Banks and Sovereign Wealth Managers, Berkelaar A., Coche J. and Nykolm K. (ed.), Palgrave McMillan. Plagrave
Brière M. and A. Szafarz, "Crisis Robust Bond Portfolios", The Journal of Fixed Income, 18(2), Fall 2008, p. 57-70. JFI, Repec
Brière M., O. Signori O. and K. Topeglo, "Bond Market Conundrum: New Factors Explaining Long-term Interest Rates?", Bankers, Markets and Investors, 92, jan-feb 2008. Repec
Brière M., “Market Reactions to Central Bank Communication Policies: Reading Interest Rates Options Smiles”, Bankers, Markets and Investors, 67, nov-dec 2003. BMI Repec
Brière M. and F. Ielpo, "Yield Curve Reaction to Macroeconomic News in Europe : Disentangling the US Influence", in Consequences of the European Monetary Integration on Financial Markets, Stavarek D. and Poloucek S. (ed), Newcastle : Cambridge Scholars Publishing, 2008. Amazon Repec
Boulier J.-F., M. Brière and J.-R. Viala, “Do Leveraged Credit Modify your Credit Allocation?”, ULB-CEB Working Paper N° 08-014, 2008. Repec
Brière M. and A. Cohen, “A quoi réagit le marché des obligations privées ?“, ULB-CEB Working Paper N° 06-003, 2006. Repec
Brière M., "Représentations conventionnelles sur les marchés de taux", in L’économie des conventions : méthodes et résultats (tome 2), sous la direction de F. Eymard-Duvernay, La Découverte, Paris, pp. 177-192. Amazon
Brière M., Formation des taux d’intérêt: anomalies et croyances collectives, Economica, collection Recherche en Gestion, 2005. Amazon
- Brière M., K. Oosterlinck and A. Szafarz, “Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins", Journal of Asset Management, 16(6), November 2015, p 365–373. JAM SSRN
- Brière M., B. Ferrarini and A. Ramayandi, "Contingent Claim Analysis of Sovereign Debt Sustainability in Asian Emerging Markets", ADB Working Paper , 486, June 2016. ADB
- Bodie Z. and M. Brière, “Financing Future Growth: the Need for Financial Innovations”, OECD Journal: Financial Market Trends, 2011 (1).OECD
- Brière M. and B. Drut, “The revenge of Purchasing Power Parity on Carry Trades during Crises”, ULB-CEB Working Paper N° 09-013, 2009. Repec
- Brière M. and K. Chancari, "Perception des risques sur les marchés: construction d’un indice élaboré à partir des smiles d’options et test de stratégies", Revue d’Economie Politique, 4, July-August 2004. cairn.info