Written on 24 June 2020.
Article signed by Professor Niikolaos Tessaromatis, Director, PhD in Finance Program, EDHEC Business School.
We normally hold the PhD Forum at this time of the year, where our PhD candidates and graduates present their research to academics and finance practitioners. The pandemic makes it impossible to meet face-to-face so instead this month’s PhD in Finance Newsletter shares the research findings of five of our PhD candidates and graduates. We are extremely grateful to Professor Darrell Duffie for agreeing to write the editorial and to be the keynote speaker at our next PhD Forum that will be held in London in May 2021.
EDHEC’s PhD in Finance program has two objectives: to be academically excellent and make a difference in finance and business practice. An academically rigorous program tailored specifically to the needs of the finance professional.
Our experience running the PhD program over the last ten years strongly suggests that experienced professionals with a strong academic background are capable of high-quality academic research with potential to make a difference in both academia and practice.
Successful completion of a PhD from students who combine a full-time job with the many challenges of academic study requires discipline, motivation, perseverance, tenacity and tremendous determination. We are, therefore, especially proud of all our 54 graduates and their publication record of 47 research papers in top academic and professional journals.
This month’s PhD in Finance Newsletter shares the research findings of five of our PhD candidates and graduates:
The role of financial disasters in asset-price behavior has been the subject of many academic studies. Mark Siebert and his co-authors, Lanfear and Lioui, assess whether natural disasters like the North Atlantic hurricane affect the return of factor portfolios. Since extreme weather events are expected to increase as a result of climate change, the evidence is directly relevant to the current debate on the effects of climate change on the economy and financial markets.
There has been much research showing the importance of factors in equity pricing and portfolio management, evidence on the role of factors in government bond portfolios are rather scant. Cheryl Lim looks at the importance of factors like value, carry and momentum in explaining the yield curve dynamics for the Asian government bond markets of China, India, Indonesia and Singapore. She also compares the role of bond factor premia in developed and emerging Asian government bond markets.
The question of currency predictability has been the subject of many papers in the academic literature. The statistical evidence suggests that various forecasting approaches including macro-economic models, PPP, the forward rate, and past prices cannot beat a simple random walk model. Robert Normand, in addition to the statistical performance, evaluates the economic benefits of using consensus currency forecasts to create profitable investment strategies with remarkably interesting results.
Jean-Paul Brasier examines the profitability of pair trading strategies between CDS and VIX futures portfolios. The paper’s findings should be of interest to asset managers looking for profitable, uncorrelated investment strategies. The market linkages and causality between the volatility premium derived from the stock and credit markets and underlying bond market liquidity conditions should inform policy responses by market regulators on how to control volatility and volatility spillovers.
The connectedness of global asset prices and the importance of asset shocks interest portfolio and risk managers, market makers, traders, and regulators. Aravind Srinivasan proposes a Dynamic Bayesian Network (DBN) for identifying global asset connectedness across 43 global assets from the foreign exchange, stock, and commodity markets. He presents an application of the proposed methodology to improve the pricing, risk management and execution decisions faced by a high-frequency market-maker.