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Marie Brière

Research Papers


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

Asset Allocation - Investment

Socially Responsible Investment

Transaction Costs

Pension Funds

Sovereign Wealth Funds and Central Banks

Inflation Hedging and Indexed Linked Bonds

Financial Crises and Portfolio Protection

Bond Market