Research Papers
New / Work in Progress
Bianchi M. and M. Brière, "Human-Robot Interactions in Investment Decisions", 2024, Forthcoming in Management Science
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Abstract: We study the introduction of robo-advising on a large set of Employee Saving Plans. Differently from many services that fully automate portfolio decisions, our robo-advisor is based on human-robot interactions. We show that the robo-service is associated with an increase in investors’ attention and trading activities. Following the robot’s alerts, investors change their rebalancing behaviors, which results in larger portfolio returns. Counterfactual returns induced by automatic rebalancing by the robot would be only slightly higher, suggesting that on average the financial cost of letting investors retain control is not large.
Brière M., J. Poterba and A. Szafarz, "Does Tax Deductibility Increase Retirement Saving? Lessons from a French Natural Experiment", 2024. SSRN
Abstract: This paper presents new evidence on how employees respond to tax incentives for retirement saving. Using administrative data from a large retirement plan administrator in France, we examine the voluntary saving choices of approximately 1.4 million workers before and after the implementation of the 2019 Loi Pacte, a reform that introduced tax-deductible voluntary contributions into employer-sponsored retirement plans. One of the features of this multi-part reform was a change in the provisions for voluntary individual contributions to employer-sponsored saving plans. While such contributions were previously allowed on an after-tax basis, similar to Roth IRAs and 401(k)s in the US, the reform allowed pre-tax contributions that provided an immediate tax deduction for contributors. The reform increased contributions to retirement saving accounts, especially among higher-income, older workers and those who contributed to a voluntary saving plan on a post-tax basis before the pre-tax option became available. We also observe workers’ contributions to “medium term” saving plans that are provided by employers and can be accessed after five years; we do not find any substitution between contributions to these accounts.
Brière M., A. Duranovic, K. Huynh, I. Monasterolo, S. Ramelli, "Investor Concerns and the Pricing of Physical Climate Risk", 2024. SSRN
Abstract: We study how global equity markets price the physical climate risk associated with tropical cyclones. To assess firms' exposure to this risk, we use a bottom-up, forwardlooking measure of firms' expected losses to their geolocalized physical assets based on simulated cyclone tracks under different climate scenarios (RCP 2.6, 4.5, and 6.0). Throughout the sample period 2016-2022, we find no significant premium for tropical cyclone-related risks. But realized return may be affected by shifts in investors' concerns about physical risks. To measure these concerns, we use the search volume index (SVI) from Google Trends as the primary indicator, along with the global monthly occurrence of tropical cyclones for additional validation. We find that a one standard deviation higher exposure under RCP 4.5 is associated with a 1.05% higher annual returns during periods of low cyclone concern. However, during periods of heightened cyclone concern, a one standard deviation higher exposure is associated with a 2.31% lower annualized return. Overall, our results suggest that global equity markets have begun to price in the physical climate risk associated with tropical cyclones. However, during periods of increased cyclone activity, investor concerns may reduce demand for stocks that are more exposed to this risk, causing their prices to fall.
Bonelli M., M. Brière and F. Derrien, "Corporate Social Responsibility and Employee Investment in Company Stock", 2024. SSRN
Abstract: Corporate social responsibility (CSR) affects employees’ investments in their company stock. We document this finding exploiting unique data on firm-sponsored savings plans in France. Following a CSR-related incident involving their employer, employees’ propensity to buy their employer’s stock drops by 26 percentage points. This effect is primarily driven by social incidents directly affecting employee working conditions. In contrast, environmental incidents exhibit no impact on these investments. Our findings cannot be fully explained by pecuniary motives and are not driven by CSR-conscious employees. Overall, our results point to employees considering their own well-being when making these investment decisions.
Other Work in Progress
- Robo Advice and Inequalities, with M. Bianchi.
- How Robo Advice Affects Investment Behavior?, with M. Bianchi and F. Glenzer.
- Shareholder Democracy, with E. Ravina.
- Market Valuation of Climate Innovation, with M. Nuriyev and S. Pouget.
- Myopia vs. Sustainability in Risky Investment, with S. Duchêne, F. Holzmesiter, M. Kirchler and A. Nguyen.
- Why Don't US Universal Owners Vote to Curb Climate Change?, with S. Pouget, L. Ureche-Rangau and M. Schmalz.
- Portfolio Efficiency Test, with L. Simar, A. Szafarz and A. Vanhems.
Papers by Topic
Robo Advice, AI and Technology
- Brière M., K. Huynh, O. Laudy and S. Pouget, "What Do We Learn from a Machine Understanding News Content? Stock Market Reaction to News" (published under the title "Stock market reaction to news: Do tense and horizon matter?" Finance Research Letter, Vol 58, Dec 2023. SSRN FRL
- Reminger C., C. Alasseur, M. Brière and J. Mikael, "Expert Aggregation for Financial Forecasting", Journal of Financial and Data Science, 16(6), vol 9, Nov 2023. ARXIV JFDS
- Bianchi M. and M. Brière, "Robo-Advising: Less AI and More XAI?", in "Machine Learning and Data Science for Financial Markets: A Guide To Contemporary Practices", Ed. Capponi A. and Lehalle C.A., Cambridge University Press, 2023. SSRN
- Bianchi M. and M. Brière, "Augmenting Investment Decisions with Robo-Advice", SSRN Working Paper N°3751620, 2021. SSRN
- 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
Household Finance
- Brière M., J. Poterba and A. Szafarz, "Precautionary Liquidity and Retirement Saving", AEA Papers and Proceedings 2022, 112: 147-150. AEA PP
- Bonelli M., M. Brière and F. Derrien, "Altruism or Personal Benefits? ESG and Participation in Employee Share Plans", 2022. SSRN
- Brière M., J. Poterba and A. Szafarz, "Choice Overload? Participation and Asset Allocation in French Employer-Sponsored Saving Plans", NBER Working Paper N°29601, 2021. NBER
- Bianchi M. and M. Brière, "Augmenting Investment Decisions with Robo-Advice", SSRN Working Paper N°3751620, 2021. SSRN
- Brière M. and S. Ramelli, "Responsible Investing and Stock Allocation", SSRN Working Paper N°3853256, 2021. SSRN
Socially Responsible Investment
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Brière M., S. Pouget, L. Ureche-Rangau and M. Schmalz "Delegated Philanthropy in Mutual Fund Votes on Climate Change Externalities", in Climate Finance ITSE/Wiley, Jurczenko (Ed.), 2022. SSRN
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Adenot T., M. Brière, P. Counathe, M. Jouanneau, T. Le Berthe and T. Le Guenedal, "Cascading Effects of Carbon Price Through the Value Chain: Impact on Firms' Valuations", SSRN Working Paper N°4043923, 2022. SSRN
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Brière M. and S. Ramelli, "Green Sentiment, Stock Returns, and Corporate Behavior", SSRN Working Paper N°3850923, 2021. SSRN
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Brière M. and S. Ramelli, "Responsible Investing and Stock Allocation", SSRN Working Paper N°3853256, 2021. SSRN
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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.
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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
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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
Asset Allocation and Factor Investing
- 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
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Brière M. and A. Szafarz, “Investment in Microfinance Equity: Risk, Return and Diversification Benefits”, World Development, 67, March 2015, 110-125. WD SSRN
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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
Transaction Costs
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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
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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
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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
Pension Funds
- 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
- 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
Sovereign Wealth Funds and Central Banks
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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
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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
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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
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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
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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
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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
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Ang A., M. Brière and O. Signori, “Inflation and Individual Equities", Financial Analyst Journal, 68(4), July-August 2012, p. 36-55. FAJ NBER
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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
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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
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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
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Accominotti O., M. Brière, A. Burietz, K. Oosterlinck and A. Szafarz, "Did Globalization Kill Contagion", SSRN Working Paper N°3534157, 2020. SSRN
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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
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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
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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
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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
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Brière M. and A. Szafarz, "Crisis Robust Bond Portfolios", The Journal of Fixed Income, 18(2), Fall 2008, p. 57-70. JFI, Repec
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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
Bond & FX Markets
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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
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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
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Brière M., “Market Reactions to Central Bank Communication Policies: Reading Interest Rates Options Smiles”, Bankers, Markets and Investors, 67, nov-dec 2003. BMI Repec
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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
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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
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Brière M. and A. Cohen, “A quoi réagit le marché des obligations privées ?“, ULB-CEB Working Paper N° 06-003, 2006. Repec
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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
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Brière M., Formation des taux d’intérêt: anomalies et croyances collectives, Economica, collection Recherche en Gestion, 2005. Amazon