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- Mikael Petitjean
Mikael Petitjean
Professeur extraordinaire
Please find my CV here.
I am Associate Professor ("Professeur") working part-time at the Louvain School of Management (UCLouvain) where I teach firm valuation and applied econometrics. I am currently Associate Fellow at Chaire Hoover and CORE , member of the editorial boards of Finance (AFFI Review) and Regards économiques, as well as Associate Editor of Journal of Banking and Finance.
I have published papers in ABS/CNRS-ranked journals, including Applied Economics, Applied Economics Letters, Applied Financial Economics, Bankers Markets & Investors, Brussels Economic Review, Economic Modelling, European Journal of Finance, Finance (AFFI Review), Finance Research Letters, International Journal of Forecasting, Journal of Asset Management, Journal of Empirical Finance, Journal of Financial Markets, Journal of Financial Regulation and Compliance, Mondes en développement , Quantitative Finance, Recherches en Sciences de Gestion, Review of Derivatives Research, etc.
I work on the issues of market efficiency, volatility, liquidity, ethics and financial regulation. I have published several columns and practitioner-oriented papers on these topics. I have also been awarded the 2014 Highly Commended Paper winner by the Journal of Financial Regulation and Compliance as well as the Prize for the best 2010 paper published in Finance, the official review of the French Finance Association. I am also a regular speaker at conferences and panel discussions. My current research agenda focuses on liquidity dynamics, fiscal reforms and ethical issues in finance.
In the past, I gained experience both at the university and in the banking sector. I held PhD-track positions in the department of Economics at the University of Liège and in the department of Management at the University of Namur (FUNDP) . I was research doctoral fellow at the Intercollegiate Center for Management Science (ICM) and at the Center of Research in Finance and Management (CeReFiM). In the private banking sector, I was research strategist covering the fixed income and forex markets and then in charge of the bank’s trading book in euro-denominated corporate bonds. I have also been granted two globally-recognized professional designations: the Financial Risk Manager (FRM) certification delivered by the Global Association of Risk Professionals and the Chartered Alternative Investment Analyst (CAIA) certification delivered by the CAIA Association .
I graduated with a 4-year bachelor’s degree (Licence ) in Economics from the University of Liège . Post-graduation, I was educated at the London School of Economics , both in Advanced Econometrics and Advanced Macroeconomics. I received a Master of Science degree in management from the University of Northampton as well as a Master of Science degree in finance from Reading University ’s Henley Business School ( ICMA Centre ). I finally received a Doctorat en sciences de gestion (Ph.D. in management 'science') from the University of Namur (FUNDP) in 2006. I am also a big fan of Massive Open Online Courses (MOOCs) both as a teacher...and as a student :-).
I have a deep interest in the history of philosophy and economics. All the great economic thinkers were philosophers and knew enough about history to recognize the difficulty of producing sweeping scientific laws that accurately describe a complex social world. I hope I will live long enough to read the works of the next great philosopher, turned economist, who will be humble enough to be respected by the most skeptical historians. (S)he will probably reconcile historians and economists by showing that pesky models are still useful when they are used with sufficient skepticism and, above all, pass the test of time.
In the meantime, I am trying to alleviate some of the suffering in developing countries, not directly as a medical doctor but indirectly as an effective altruist. I give 10% of my salary to two NGOs ("Against Malaria Foundation" and "Schistosomiasis Control Initiative (SCI)"). They were ranked as top well-run NGOs bywww.givewell.org. Please read "Doing Good Better" by William MacAskill or "The Most Good you Can Do" by Peter Singer. And visit: www.effectivealtruism.com. There are philosophical cons against effective altruism, but as an economist and finance expert I find it extremely motivating and it is far better than endless discussion about what's right and wrong, and far better than throwing money out of the window by diregarding the way your donations are effectively used.
RESEARCH INTERESTS
Asset and risk management, financial modeling and forecasting, financial market microstructure, ethics and theories of justice in finance, structured products, fiscal policies and financial regulation.
JOURNAL ARTICLES
• On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios, Economic Modelling, vol. 54, 67-81, 2016. (Co-author: Paolo Mazza).
• How integrated is the European carbon derivatives market?, Finance Research Letters, vol. 15, 18-30, 2015. (Co-author: Paolo Mazza).
• Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks, Journal of Financial Markets, vol. 17, 121–149, 2014. (Co-author: Kris Boudt). CORE Reprints n°2591.
• Testing the profitability of contrarian trading strategies based on the overreaction hypothesis, Bankers, Markets, and Investors, vol. 133, 4-10, 2014. (Co-authors: Matthieu Duvinage, Paolo Mazza). CORE Reprints n°2672.
• On the poor investment recommendations of Test-Achats Invest on individual stocks, Brussels Economic Review, vol. 57(3), 1-23, 2014. (Co-author: Camille Godart). [French]
• Determining an optimal multiplier in dynamic core-satellite strategies, Journal of Asset Management, vol. 14 (4), 210–227, 2013. (Co-authors: Thibaut Caliman, Catherine d’Hondt). CORE Reprints n°2568.
• Bank failures and regulation: A critical review, Journal of Financial Regulation and Compliance, vol. 21 (1), 16-38, 2013. CORE Reprints n°2538. Highly Commended Paper winner in 2014 by the Journal of Financial Regulation and Compliance.
• The intraday performance of market timing strategies and trading systems based on Japanese candlesticks, Quantitative Finance, vol. 13 (7), 1059-1070, 2013. (Co-authors: Matthieu Duvinage, Paolo Mazza).
• On the (dis)utility of credit rating agencies, Regards économiques, n°98, September 2012, 1-21. [French]
• Liquidity and CDS Premiums on European Companies around the Subprime Crisis, Review of Derivatives Research, vol. 15 (3), 257-281, 2012. (Co-authors: Clothilde Lesplingart, Christophe Majois). CORE Reprints n°2440.
• Political idealism and economic realism: A forced marriage to preserve the Eurozone, Revue Bancaire et Financière (Bank- en Financiewezen), vol. 4, 215-223, 2012.
• The performance of popular stochastic volatility option pricing models during the Subprime crisis, Applied Financial Economics, vol. 21 (14), 1059-1068, 2011. (Co-author: Thibaut Moyaert).
• Risk management and hedge fund investing: The Amaranth case, Revue Sciences de Gestion, vol. 46, n°249-250, 27-32, 2011. (Co-author: Sébastien Lebrun). [French]
• How to think about high-frequency trading firms, Revue Bancaire et Financière (Bank- en Financiewezen), vol. 1, 70-72, 2011. [French]
• To what extent is resampling useful in portfolio management? Applied Economics Letters, vol. 18 (1-3), 239–244, 2011. (Co-author: François Delcourt).
• On the statistical and economic performance of stock return predictive regression models: An international perspective, Quantitative Finance, vol. 11 (2), 175-193, 2011. (Co-author: Pierre Giot). CORE Reprints n°2432.
• Competitive conditions in the Belgian banking sector between 2002 and 2008, Revue Bancaire et Financière (Bank- en Financiewezen), vol. 8, 499-505, 2010. (Co-author: Hervé Sauvage). [French]
• Trading activity, realized volatility and jumps, Journal of Empirical Finance, vol. 17, 168-175, 2010. (Co-authors: Pierre Giot and Sébastien Laurent). CORE Reprints n°2223.
• Commonalities in liquidity within size-based portfolios: What do we learn from the Asian and Russian financial crises? Revue Bancaire et Financière (Bank- en Financiewezen), vol. 1, 49-56, 2010. (Co-authors: Renaud Beaupain and Stéphanie Dauginet). [French]
• Volatility regimes and liquidity co-movements in cap-based portfolios, Finance, vol. 31(1), 55-79, 2010. (Co-authors: Renaud Beaupain and Pierre Giot). CORE Reprints n°2328. Prize for the best 2010 paper published in Finance (the Official Review of the French Finance Association – AFFI)
• An intra-day performance analysis of the MACD technical indicator, Revue Bancaire et Financière (Bank- en Financiewezen), vol. 6, 445-450, 2009. (Co-author: Paolo Mazza). [French]
• Short-term market timing strategies using the Bond Equity Yield Ratio, European Journal of Finance, 15(4), 365-384, 2009. (Co-author: Pierre Giot). CORE Reprints n°224.
• Notional interest deduction and cost of equity reduction: An empirical application of the CAPM, Revue Bancaire et Financière (Bank- en Financiewezen), vol. 2-3, 178-185, 2009. (Co-author: Saïd Taleb) [French]
• Behavioral biases, moral hazard, and fair regulation, Revue Bancaire et Financière (Bank- en Financiewezen), vol. 1, 63-71, 2009. [French]
• Volume, listing changes and liquidity contract on Alternext, Revue Bancaire et Financière (Bank- en Financiewezen), vol. 8, 488-496, 2008. (Co-author: Jean Waelput). [French]
• The information content of the Bond-Equity Yield Ratio: Better than a random walk?, International Journal of Forecasting, 27 (2), 289-305, 2007. (Co-author: Pierre Giot). CORE Reprints n°1982.
• Globalisation and regional disparity: Some fundamental contributions of economic geography, Revue Tiers-Monde, XLI (164), 2000. [French]
• The impact of industrial and trade strategies on growth in South-East Asia, Mondes en Développement, 26(104), 1998. [French]
BOOK, PROCEEDINGS, AND CHAPTER BOOKS
• Introductory Econometrics by Jeffrey Wooldridge (5th edition), Chapters 2 and 12, Translation in French, June 2015.
• High-Frequency Trading, Second Intermediary Report on the follow-up to the financial crisis, DOC 53 2372/003, Chamber of Representatives (Belgium), October 4 2013.
• Bank failures: A critical review of preventive and remedial measures, Proceedings of the 19th Symposium of French-speaking Belgian Economists, CIFoP, November 2011.
• The Trader's guide: Technical analysis for risk taking and hedging, Dunod, Paris, April 2004, 237 p. [French and Spanish]
• Prospects of International Trade and Investment with China, Proceedings of the Symposium on the Econonomies of Japan and China, University of Liège, February 1999.
Ph.D. THESIS
• Essays in Empirical Finance: Stock Return Predictability, Valuation Ratios and Market-Wide Liquidity, Facultés Universitaires Notre Dame de la Paix (FUNDP), August 2006, 203 p.
Thesis Supervisor: Pierre Giot (FUNDP, LSM & CORE, Université Catholique de Louvain, BE); Examining Committee: Sébastien Laurent (Maastricht University, NL & CORE, Université Catholique de Louvain, BE), Charles Van Wymeersch (FUNDP & LSM, BE); External Examiners: Chris Brooks (ICMA Centre, University of Reading, UK), Georges Hübner (HEC - Université de Liège Management School, BE).REFEREEING
L’Actualité Economique; African Journal of Business Management; Annals of Public and Cooperative Economics; Applied Economics; Applied Financial Economics; Bankers, Markets & Investors; Brussels Economic Review; De Boeck Editions; Emerging Markets Finance and Trade; Empirical Economics; Energy Economics; Ethical Perspectives; European Journal of Finance; Finance India; Global Finance Journal; International Journal of Business and Economics; Journal of Business Ethics; International Journal of Forecasting; International Review of Economics and Finance; The Financial Review; Journal of Banking and Finance; Journal of Empirical Finance; Journal of International Financial Markets, Institutions & Money; Journal of International Money and Finance; Journal of Mathematical Finance; Louvain Economic Review; North American Journal of Economics and Finance; Quantitative Finance; Quarterly Review of Economics and Finance; Revue Bancaire et Financière.