Campus life: from a master’s thesis to an article

Is it common at EDHEC for students and their professors to write articles together?

Prof. Riccardo Rebonato: For MSc students it is not common – which is a pity because the quality of the theses often does warrant public dissemination of the results.

How did you choose the subject? Select the Journal?

Prof. Riccardo Rebonato: For an MSc thesis, I chose the subject that, with some help from me as someone very familiar with the topic, the student could handle well.

We chose a good journal (The Journal of Fixed Income) that is read by practitioners and academics. We felt it was important to reach both audiences. Just a couple of days ago, Michael Bauer, who is a prominent academic in the field, asked me for a re-print of the paper so that he could quote it in his own work – a good indication that we have hit the ‘soft spot’.

As a student, how do you feel this experience change the way you envision research?

Pietro Zanetti: As the best way to learn and master a skill is to test it in practice, I think this experience was particularly effective for me to build a bridge between what I studied during my theoretical courses and how to implement these notions in a research setting. Therefore, it allowed me to better explore and define what academic research practically means, while narrowing my knowledge on financial economics topics. In the end, despite some initial efforts and difficulties, I could take full advantage of the opportunity by learning many useful theoretical and methodological practices from my thesis supervisor, Professor Rebonato.

Which skills did this exercise allow you to use or develop?

Pietro Zanetti: The main advantage of having the chance to write an experimental thesis and, eventually, a research paper, is that it did not only make me develop theoretical notions from my finance-related background but it also helped me strengthen my coding and paper writing skills. Indeed, I had the chance to widen my programming knowledge using quantitative analysis softwares like Matlab and translating mathematical formulas into dynamic and useful functions that I could test with real world data. Lastly, it served me as a very effective way to exercise and test my academic writing and research presentation skills, a set of abilities that may be overlooked but can make a paramount qualitative difference when presenting a work to readers.

Was this experience valued by your current employer at the time of recruitment?

Pietro Zanetti: Yes, a first research publication is surely appreciated by employers as it gives a substantial value added to a student's background and may prove high commitment and curiosity towards the working fields. In particular, I experienced a pronounced interest from recruiters in portfolio management, risk management or quantitative research divisions.

How did you organise your writing?

Prof. Riccardo Rebonato: Mr Zanetti did the writing, and I made suggestions about how to present the results more clearly. A paper is not a thesis…

Could you sump up the findings of the article you have published?

Prof. Riccardo Rebonato: In the last decade, there has been a lot of debate about whether the model by two famous financial economists, Cochrane and Piazzesi, can indeed predict the excess returns of Treasury bonds as well as it claims. We have taken the perspective that a practitioner would take – ie, we have set up a test without ‘peeking ahead’ – and we have used a very new resampling technique to show that, indeed, the Cochrane-Piazzesi model predicts well out of sample. 

Can you tell us about the publishing process?

Prof. Riccardo Rebonato: The journal we chose has a very streamlined publishing process – which is one reason we chose it.

Read also: Professor Rebonato receives PMR Quant Researcher of the year award