Written on 21 May 2018.
On 17 May 2017, two EDHEC PhD in Finance candidates (executive track), Stefano Dova and David Mascio successfully defended their doctoral thesis on the EDHEC London campus.
Stefano Dova's thesis is entitled “The impact of Company Leverage on the CAPM and Parametric Portfolio Construction”. The first paper, “From the CAPM to Fama-French: A road paved with leverage” derives a conditional CAPM for levered equity claims starting with a standard unconditional CAPM for unlevered firm values. In the second paper, “Dynamic Parametric Portfolio Policy” Stefano solves a multiperiod portfolio choice problem where the investor allocates to levered equity claims only.
Stefano was advised by Professor Raman Uppal and his thesis committee also included EDHEC Business School Professor Abraham Lioui, and Kalman J. Cohen Professor Michael Brandt (Duke University Fuqa School of Business), who served as external reviewer.
Based in London, Stefano DOVA is currently Managing Director - Head of Capital Market Solutions and Trading at Mediobanca.
The second thesis, authored by David Mascio and entitled “Forecasting Market Direction with Sentiment Indices” introduces a new concept called "Beta optimization" which is designed to change the beta of a portfolio as equity market expectations change over time; David also examines the efficacy of the market timing strategy using five forecasting indexes. These five predictive models are compared individually and are combined to create a more superior forecasting model.
David's thesis committee included EDHEC Business School Professors Frank Fabozzi (Advisor) and Abraham Lioui (Chair), and Turan Bali, the Robert S. Parker Chair Professor of Business Administration at the McDonough School of Business at Georgetown Universitysor (external reviewer).
US-based David Mascio is the Founder of Della Parola Capital Management, LLC and serves as the firm’s Chief Investment Officer and the Managing Principal of Della Parola Partners, L.P.
List of EDHEC PhD in Finance graduate theses is available here.
Photo (from left): Prof. Raman Uppal (EDHEC), Dr David Mascio, Dr Stefano Dova and Prof. Abraham Lioui (EDHEC).