PhD in Economics & Management (ULB - SBS EM, ongoing)
Graduated from ENSAE, 2008
Graduated from Ecole Centrale de Lyon, 2008
Master in Economics, Paris School of Economics, 2008
Contact details
Centre Emile Bernheim - SBS EM F. D. Roosevelt avenue, 50 CP 145/01 1050 Brussels (Belgium) bastien.drut@caam.com
Research fields
At Large : Business Ethics. Finance : Finance, Financial Markets, Financial Strategy.
Publications
Papers in refereed journals
2008
Bourse et Football
An empirical study of the Dow Jones Stoxx Football index exhibits a high volatility of the returns and share prices regarding a sample of floated clubs as well as an insufficient market depth (low and irregular traded volumes). The theoretical analysis of the relationship between market illiquidity and share price volatitlity does not rely on an insufficient funding by speculators who adopt “contrarian” behaviour but on the uncertainty attached to the fundamental value of football clubs. The outcome is multiple equilibria in the market for assets. From witnessing how brokers and specialised audits value three representative football clubs, it appears that it is extremely difficult to fix the actual fundamental value of a football business. The sporting performances of a club have a strong incidence on its share price all over the season (tested with English football clubs). Such result opens an avenue for further research about the fundamental value of a football club. Instead of considering – as in the Anglo-American view – that the stock market will discipline the governance and management of European football clubs, we show that it would be worth hardening the clubs’ budget constraint before their exposure to financial market evaluation. The financial crisis of European football is less harsh in France though it translates into big clubs accounting imbalances, a high volatitlity of their return on equity, and their lasting indebtedness. It is so despite the existing financial supervisory body which monitors French football (the so-called DNCG), contrarily to the situation in other European football leagues. A “weak” clubs’ governance is revealed by their reluctant account disclosure (eventually achieved) and their inability to curb wage inflation and handle player transfers. We test that the club budget constraint is softened by the television godsend which is a significant determinant of player wages. Spreading the “French model” of governance throughout European football still requires some progress, which is also a prerequisite for successful float of football club shares at the stock exchange. Ten recommendations are derived to improve football regulation.
Working papers
2010
Drut B., Social responsibility and mean-variance portfolio selection
2009
Dherbecourt J-B. and B. Drut, Who will go down this year? The Determinants of Promotion and Relegation in European Soccer Leagues
2009
Drut B., Nice but cautious guys: The cost of responsible investing in the bond markets
2009
Brière M. and B. Drut, "The Revenge of Purchasing Power Parity on Carry Trades during Crises"
Empirical evidence shows that fundamental models have produced disappointing results over the past 20 years while carry trade strategies have performed superbly. But the real picture is much more complex. In fact, the track records of both strategies have varied considerably. This article shows that they have actually alternated between periods of profitability and underperformance. It also shows that when carry trade strategies perform well, fundamental strategies do poorly, and vice versa. Crises appear to play a significant role in the alternation of investment styles on currency markets. In contrast to carry trades, fundamental strategies perform remarkably well in crises. A portfolio that rotates between these two types of strategies, based on a risk aversion indicator such as implied equity volatility, would substantially outperform a pure carry trade strategy.
2009
Drut B., Sovereign Bonds and Socially Responsible Investment
Other papers
2009
Brière M., B. Drut, and H. Dänner, “Währungsstrategien in Krisenzeiten”, Absolut Report, 50, Jul-Aug 2009.