Alumni Publications

Below is a selection of articles by PhD Alumni which were recently published or are forthcoming in peer-reviewed academic and professional journals.

• Mispricing, Short-Sale Constraints, and the Cross-Section of Option Returns, R.L. Shankar and Jitendra Tayal, Journal of Financial Economics, forthcoming.

• Optimal Portfolio Strategies in the Presence of Regimes in Asset Returns, Carlos Heitor Campani, René Garcia and Marcelo Lewin, Journal of Banking & Finance, Volume 123, February 2021, 106030

• Short-Term Trend:  A Jewel Hidden in Daily Returns, Marat Molyboga, Larry Swedroe and Junkai Qian, The Journal of Portfolio Management, November 2020, jpm.2020.1.186.

• XVA Analysis from the Balance Sheet, Claudio Albanese,Stéphane Crépey, Rodney Hoskinson and Bouazza Saadeddine, Quantitative Finance, October 2020

• Time series analysis of Cryptocurrency returns and volatilities, Rama K. Malladi, Prakash L. Dheeriya, Journal of Economics and Finance, September 2020, 45(1), 75-94

• A General Method for Valuing Complex Capital Structures, Paul Borochin, Yaacov Kopeliovich and KevinShea, Finance Research Letters, July 2020, Volume 35,101304.

• A Modified Hierarchical Risk Parity Framework for Portfolio Management, Marat Molyboga, The Journal of Financial Data Science, Summer 2020, jfds.2020.1.038.

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• Structural recovery of face value at default, Andrea Tarelli, Rajiv Guha and Alessandro Sbuelz, European Journal of Operational Research, 2020, Volume 283(3), Pages 1148-1171.

• Performance of Retirement Funds: An Analysis Focused on Pure Insurance Companies, Carlos Heitor Campani and William Clem Soares, Accounting & Finance Review, Revista Contabilidade & Finanças, Sept./Dec. 2020, vol.31 no.84 São Paulo.

• Equally Weighted Portfolios and Momentum Effect: An Interesting Combination for Unsophisticated Investors?, Carlos Heitor Campani, Fábio Civiletti and Raphael Moses Roquete, Brazilian Business Review, Sept./Oct. 2020, vol.17 no.5 Vitória.

• Portfolio Management under Multiple Regimes: Strategies that Outperform the Market, Carlos Heitor Campani and Marcelo Lewin, Revista de Administração Contemporânea, 2020, Volume 24, No. 4, Pages 300-316.

• Foreign direct investment and financial markets influences: Results from the United States, Yavas, Burhan F., and Rama K. Malladi, The North American Journal of Economics and Finance, 2020, Volume 53, 101182.

• Protecting investors from themselves: Evidence from a regulatory intervention, Chris Firth, Journal of Behavioral and Experimental Finance, September 2020, Volume 27, Pages 100329.

• Market Timing using Combined Forecasts and Machine Learning, David Mascio, Frank J. Fabozzi, and J. Kenton Zumwalt, Journal of Forecasting, April 2020.

• Market Anomalies and Disaster Risk: Evidence from Extreme Weather Events, Matt Lanfaer, Abraham Lioui and Mark Siebert, Journal of Financial Markets, November 2019, Volume 46, 100477.

• Exploring Entrepreneurs’ Perceptions of Venture Capitalists’ Added Value, Rajiv Vaidyanathan, Vijay Vaidyanathan, and Vivek Wadhwa, Journal of Macromarketing, November 2019, Volume 39, 4, Pages 447-462;

• The Impact of Performance Fees on Multi-Manager CTA Portfolios, Kathryn Kaminski and Marat Molyboga, The Journal of Alternative Investments, Fall 2019, Volume 22, Issue 2, Pages 24-34.

• Exchange Options in the REIT Industry, Carlos Heitor Campani, Ginaluca Marcato, and Tulellano Sebehela, Advances in Investment Analysis & Portfolio Management, 2019, Volume 9. 

• Effectiveness of Developed and Emerging Market FX Options in Active Currency Risk Management, Suprita Vohra and Frank J. Fabozzi, Journal of International Money and Finance, Volume 96, September 2019, Pages 130-146.

• Risk premia in Chinese Commodity Markets, Chaohua He, Cheng Jiang, and Marat Molyboga, Journal of Commodity Markets, September 2019, Volume 15, 100075. 

• The Heuristic of Representativeness and Overconfidence Bias in Entrepreneurs, Marcos Avila, Carlos Heitor Campani, and Natalia Dias, Latin America Business Review, September 2019.  

• KIDZ Beating The Market? A Case For Children-Focused Thematic Index (KIDZ), Prakash Dheeriya and Rama Malladi, The Journal of Wealth Management, Summer 2019, Volume 22 (1), Pages 62-72. 

• Emerging Market Equity Benchmarks for Japanese Investors: Countries, Sectors or Styles?, Harsh Parikh, Journal of Asset Management, July 2019, Volume 20, Issue 4, Pages 289–300.

• Investor Segmentation: How to Improve Current Techniques by incorporating Behavioral Finance Concepts?, Ronaldo Andrade Deccax, and Carlos Heitor Campani, International Journal of Economics and Business Research, May 2019, Volume 18, No. 1, Pages 31 – 48, 2019.

• Approximate Analytical Solutions for Consumption/investment Problems under Recursive Utility and Finite Horizon, Carlos Heitor Campani, and René Garcia, The North American Journal of Economics and Finance, April 2019, Volume 48, Pages 364-384

• Sentiment Indices and their Forecasting Ability, David Mascio and Frank J. Fabozzi, Journal of Forecasting, January 2019, Volume 38, Pages 257-276.

• Volatility Smiles when Information is Lagged in Prices, Gianluca Marcatoa, Tumellano Sebehelab, Carlos Heitor Campani, The North American Journal of Economics and Finance, November 2018, Volume 46, Pages 151-165.

• The Impact of Market Conditions on Active Equity Management, Harsh Parikh, Karen McQuiston and Sujian Zhi, The Journal of Portfolio Management, Winter 2018, 44 (3, Pages 89-101.

• Risk Premia in Chinese Commodity Markets, Marat Molyboga, Journal of Commodity Markets, online 24 September 2018.

• Local Volatility and the Recovery Rate of Credit Default Swaps, Jeroen Jansen, Sanjiv Das and Frank J. Fabozzi, Journal of Economic Dynamics and Control, July 2018, Volume 92, Pages 1-29. 

• Capital Structure Decesions and the Optimal Design of Corporate Market Debt Programs, Lionel Martellini, Vincent Milhau and Andrea Tarelli, Journal of Corporate Finance, April 2018, Volume 49, Pages 141-167.

• Predicting Stock Returns in the Presence of Uncertain Structural Changes and Sample Noise, Daniel Mantilla-Garcia and Vijay Vaidyanathan, Financial Markets and Portfolio Management, 2017, Volume 31, No. 3, Pages 357-391.

• What do measures of real-time corporate sales say about earnings surprises and post-announcement returns?, Kenneth Froot, Namho Kang, Gideon Ozik and Ronnie Sadka, Journal of Financial Economics, 2017, Volume 125, No. 1, Pages 143-162.

• CDS Implied Credit Ratings, Jeroen Jansen and Frank J. Fabozzi, Journal of Fixed Income, Spring 2017, Volume 26, Issue 4, Pages 25-52.

• Benchmark Construction and Performance Evaluation of Mezzanine Finance Funds, Yaacov Kopeliovich, The Journal of Private Equity, Spring 2017, Volume 20, No. 2, Pages 46-51.

• Skillful Hiding: Evaluating Hedge Fund Managers' Performance Based On What They Hide, Rama Malladi and Frank J. Fabozzi, Applied Economics, 2017, Volume 49, Issue 7, Pages 664-676.

• Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence, Rama Malladi and Frank J. Fabozzi, Journal of Asset Management, 2017, Volume 18, No. 3, Pages 188-208.

• The Impact of Market Conditions on Bond Fund Managers, Harsh Parikh and  Frank J. Fabozzi, The Journal of Fixed Income, 2017, Volume 27, No. 3, Pages 6-22.

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• Still No Presidential Puzzle for the Stock Market, Francois Cocquemas and Robert E. Whaley, Journal of Portfolio Management, Summer 2016, Volume 42, No. 4, Pages 4-7.

• Equity Style Allocation: A nonparametric approach, Mohan Subbiah and Frank J. Fabozzi, Journal of Asset Management, May 2016, Volume 17, Issue 3, Pages 141-164.

• Hedge Fund Allocation: Evaluating Parametric and Nonparametric Forecasts Using Alternative Portfolio Construction Techniques, Mohan Subbiah and Frank J. Fabozzi, International Review of Financial Analysis, May 2016, Volume 45, Pages 189-201.

• Stochastic Alpha-Beta-Rho Hedging for Foreign Exchange Options: Is It Worth the Effort?, Yifan Yang, Frank J. Fabozzi, and Michele Leonardo Bianchi, Journal of Derivatives, Winter 2015, Volumr 23, Issue 2, Pages 76-89. 

• The disposition effect in the absence of taxes, Chris Firth, Economics Letters, November 2015, Volume 136, Pages 55–58.

• On the Rate of Return and Valuation of Non-Conventional Projects, Carlos Heitor Campani, Business and Management Review, October 2015, Volume 3(12) Pages 01.

• On the Correct Evaluation of Cost of Capital for Project Valuation, Carlos Heitor Campani, Applied Mathematical Sciences, October 2015, Volume 9, No. 132, Pages 6583-6604.

• Towards Conditional Risk Parity – Improving Risk Budgeting Techniques in Changing Economic Environments, Lionel Martellini, Vincent Milhau and Andrea Tarelli, Journal of Alternative Investments, Summer 2015, Volume 18, Issue 1, Pages 48-64. 

• Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach, Yaacov Kopeliovich, Arcady Novosyolov, Daniel Satchkov and Barry Schachter, Journal of Derivatives, Summer 2015, Volume 22, Issue 4, Pages 10-25. 

• Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty, Yifan Yang, Frank J. Fabozzi, and Michele Leonardo Bianchi, Journal of Financial Engineering, March 2015, Volume 02, No. 01.

• Skin in the Game versus Skimming the Game: Governance, Share Restrictions, and Insider Flows, Gideon Ozik, Ronnie Sadka, Journal of Financial and Quantitative Analysis, 2015, Volume 50, No. 6, Pages 1293-1319.

• Estimation Risk versus Optimality Risk: An Ex-Ante Efficiency Analysis of Alternative Equity Portfolio Diversification Strategies, Lionel Martellini, Vincent Milhau and Andrea Tarelli, Bankers, Markets & Investors, September-October 2014, Volume 132, Pages 26-42.

• Dynamic Allocation Strategies for Absolute and Relative Loss Control, Daniel Mantilla-Garcia, July 2014, Algorithmic Finance 2014, 3:30-4, Pages 209-231.

• Growth Optimal Portfolio Insurance for Long-Term Investors, Daniel Mantilla-Garcia, February 2014, Journal of Investment Management.

• Idiosyncratic Risk and the Cross-Section of Realized Returns: Reconciling the Aggregate Returns’ Predictability Evidence, Daniel Mantilla-Garcia, Lionel Martellini, René Garcia, November 2009.