Past and Current Research Agenda --2010
Christophe Faugère, Ph.D.
My main areas of research are asset/stock (market) valuation and institutional investors’ behavior. My articles appear in Advances in Investment Analysis and Portfolio Management, Journal of Applied Finance, Journal of Portfolio Management, Journal of Investing and Advances in Financial Planning and Forecasting.
I am also involved in cross-disciplinary research in the areas of Information Economics and Corporate Governance/Management.
· C. Faugère and H. A. Shawky, “”, Advances in Financial Planning and Forecasting, New series 2005, 1, 101-130. This article develops a model to value the stock of technology companies that have zero or negative earnings early in their lifecycle.
· I have also developed models (with co-authors) to explain the behavior of a stock market index (S&P 500) returns and valuation, based on macroeconomic variables such as inflation and productivity growth, and a new understanding of the P/E ratio.
o C. Faugère and H. A. Shawky, 2002, “”, Advances in Investment Analysis and Portfolio Management, 9, 1-20. This article attempts to explain S&P 500 stock returns based on a current macroeconomic growth model.
o C. Faugère and J. Van Erlach, 2009, “”, Financial Markets, Institutions and Instruments, 18 (1), 27-88. This article introduces our Required Yield Theory (RYT) and applies it to the valuation of the S&P 500 and Treasuries.
· C. Faugère and J. Van Erlach, “”, The Financial Review, 41(4), 547-564. In this paper, we analyze the equity premium (S&P 500 return minus Treasury yield), and find that it is fully consistent with historic GDP growth and option pricing due to a portfolio insurance motive.
· C. Faugère and J. Van Erlach, “”, Journal of Investing, 14 (1), Spring 2005, 99-111. Required Yield Theory is applied to price Gold in this paper.
· C. Faugère and H. A. Shawky, “”, Journal of Applied Finance, Winter/Spring 2003, 13 (2), 32-42. This article studies the behavior of institutional investors (mutual funds, pension funds) around a market downturn and documented the comparative advantage that institutional investors have over individual investors performance-wise.
· C. Faugère, H. A. Shawky, and D. M. Smith, “”, The Journal of Portfolio Management, 30 (3), Spring 2004, 95-105. This article studies and characterizes the successful sell strategies employed by a large sample of institutional portfolio managers in bear and bull market periods.
o This article was featured in the May 30th, 2004.
· C. Faugère, H. A. Shawky, and D. M. Smith, “ submitted to The Journal of Economics and Finance, Spring 2006. This article characterizes the differences between Value and Growth funds and identifies some new findings about the stocks picked by portfolio managers adhering to these styles.
· C. Faugère and G. Tayi, “”, forthcoming in ITEM. An interest of mine has been Information Economics. I developed (with Giri K. Tayi) a model to explain the best marketing strategies for designing free software samples.
· In another vein, I am co-authoring a study (with Janet Marler) that examines the corporate governance issue from the standpoint of how shareholder activism shapes compensation structures for middle and upper management. We received a grant from the Center for Institutional Investment Management for this study. The paper is “The Effect of Institutional Activism on the Incentive Structure of Managerial Compensation”.
· C. Faugère, “”, UAlbany, May 2010.