Recent Submissions

  • Un réexamen de la relation entre le rendement et le risque des actions canadiennes 

    , , Oumar Sy, and . 2003. "Un réexamen de la relation entre le rendement et le risque des actions canadiennes." Finance : Revue de l'Association Françoise de Finance 24(2): 7-28.
    The model depicting the balance of the financial credits (CAPM) envisages a linear and positive relation between the anticipated output of risky credits and their level of systematic risk (beta). Insofar as the specific ...
  • Country, Industry, and Risk Factor Loadings in Portfolio Management 

    L'Her, Jean-Francois, Oumar Sy, and Mohamed Yassine Tnani. 2002. "Country, Industry, and Risk Factor Loadings in Portfolio Management." Journal of Portfolio Management 28(4): 70-79.
    Examines the relative importance of country and industry effects in the variation of international stock returns. Differentiation of country and industry fixed effects; Analysis of fixed effects and global risk loadings; ...
  • Resolving the Presidential Puzzle 

    Sy, Oumar, and Ashraf Al Zaman. 2012. "Resolving the Presidential Puzzle." CFA Digest 42(1): 54-56.
    An abstract of the article "Resolving the Presidential Puzzle," by Oumar Sy and Ashraf Al Zaman is presented.
  • Profitability of the Short-Run Contrarian Strategy in Canadian Stock Markets 

    Assoé, Kodjovi, and Oumar Sy. 2003. "Profitability of the Short-Run Contrarian Strategy in Canadian Stock Markets." Canadian Journal of Administrative Sciences (Canadian Journal of Administrative Sciences) 20(4): 311-319.
    Using a time-varying three-factor pricing model, this paper examines the profitability of the short-term contrarian strategy in Canadian stock markets from January 1964 to December 1998. This strategy, which consists in ...
  • Does conditional market skewness resolve the puzzling market risk-return relationship? 

    Guedhami, Omrane, and Oumar Sy. 2005. "Does conditional market skewness resolve the puzzling market risk-return relationship?." Quarterly Review of Economics & Finance 45(4): 582-598.
    Abstract: In this paper, we employ instrumental variables methods that allow time-varying risk and reward-to-risk to test various conditional asset pricing models. We find a negative partial relation between the market ...