Doctoral Theses

Author(s) :
Kistak Soner, PhD
Have ETFs Dethroned Futures as Price Leaders in the Kingdom of Precious Metals?: With the advent of precious metal ETFs and mini-futures in the 2000s, precious metal (PM) investment, once reserved for institutions, has become increasingly available to retail investors. This innovation has significantly increased the product choices available to gold, silver, platinum, and palladium investors. For...
2018

Author(s) :
Jasmine Yu, PhD
Chimerica and Expected Return of Chinese Stocks: Using various econometrics methods with varying degrees of success, my research finds that the Chimerica phenomenon possibly exists in expected return of Chinese stocks, reflecting the symbiotic macroeconomic linkage between the two countries. The larger the corporation, the more “Chimerica” it is. Chimerica is a noticeable factor that exhibits...
2018

Author(s) :
Majid Hasan, PhD
Funding-Shortfall Risk and Asset Prices in General Equilibrium : Institutional investors, such as pensions and insurers, are typically constrained to hold enough wealth to be able to make their contractually promised payments to fund beneficiaries, and face a funding-shortfall risk. We seek to explore the optimal asset allocation strategies for institutions facing this risk, and its effects on...
2017

Author(s) :
Douglas Chau, PhD
Constructing a Real-Time Regime Indicator for Asset Allocation: Modeling regimes directly from multiple asset class returns is a numerically challenging exercise. Here, we present an alternative approach to classifying regimes for a large number of assets through the construction of a single real-time regime indicator. The indicator is based on a dynamic factor model, using multi-frequency...
2016

Author(s) :
Messaoud Chibane, PhD
Methodological Advances in Estimating Non-Gaussian Consumption-Based Asset Pricing Models: We contribute to the literature of rare disaster events by constructing a robust methodology for estimating non-Gaussian extensions of the standard CCAPM. We demonstrate theoretically that, in the presence of consumption rare disaster events, all cumulants of order strictly higher than two help solve the...
2016

Author(s) :
Harsh Parikh, PhD
The Cross-Sectional Dispersion and Volatility of Bond Returns and Manager Outperformance: This paper examines the link between fixed income manager outperformance and both longitudinal and cross-sectional volatility in the bond markets. By conditioning our analysis based on different market environments such as rising yield regimes and periods of increasing volatility, we show that opportunities...
2016

Author(s) :
Suprita Vohra, PhD
Active Currency Risk Management Using Option Structures: This paper explores the effectiveness of currency options in international portfolios. While most academic focus has been on assessing currency risk in a portfolio via measures such as VaR, CVaR etc, several practitioners aim to use this risk in their portfolio as a source of excess returns. We look at the role of FX option structures...
2016

Author(s) :
Yasusori Iwanaga, PhD
When the Representative Agent Ages, Risk Attitude of an Aging Population - a Case of Japan: Demographic distribution influences asset pricing through shifting the agent’s risk attitude. I develop a simple preference model, "ageing agent utility", with a linear risk aversion function of age distribution in a time-separable utility. Two descriptors incorporate the dynamics of demography: the...
2016

Author(s) :
Jeroen Jansen, PhD
Local Volatility and the Recovery Rate of Corporate Bonds: The credit default swap (CDS) spread can be decomposed into the product of the probability of default and the loss given default. It is necessary to implement some structure on either the probability or the loss given default to disentangle them. With the help of a hybrid binomial tree for equities and a recovery function, Das and Hanouna...
2016

Author(s) :
Marco Ghitti, PhD
“Great Expectations” or “Side Effects”? Bankruptcy Law Reforms and Bank Credit for SMEs: A series of Italian Bankruptcy Law reforms, aiming to facilitate debt renegotiation and business continuation, allows us to disentangle how a change of creditor rights affects Bank Credit Market for SMEs. We exploit a new credit level dataset on bank credit, with more than 6.4 million pooled observations. By...
2016

Author(s) :
François Cocquemas, PhD
Does market incompleteness matter for market microstructure?: Market incompleteness should matter in theory, but it is difficult to identify and measure the magnitude of its effects, especially on market microstructure. We use a natural experiment at the Tel Aviv Stock Exchange (TASE) to analyze how order submission patterns, trading and hedging strategies, and overall market impact are affected...
2016

Author(s) :
Sue Wan Chua, PhD
Performance Persisted in Private Equity: The first paper studies the performance and persistence of U.S. buyout funds with updated and detailed cash flow data from a publicly available database. I find substantial heterogeneity in performance exists across post-2000 funds and the better performing funds sustain their outperformance across successive funds of the same GP. When current funds are...
2016

Author(s) :
Rodney Hoskinson, PhD
Multiple Curve Libor Market Models on Hybrid Switching Diffusions: This paper introduces a comprehensive approach to modelling the term structure of interest rates and volatility by setting double curve Libor market models (“LMMs”) on a hybrid switching diffusion. Modelling interest rate volatility over the whole term structure is an important part of building a model for pricing interest rates...
2016

Author(s) :
Russell Nel, PhD
Asset Pricing Of Life-Contingent Claims with n-State Stochastic Longevity Data Generating Process: Longevity risk is expected to dominate all major public and private sectors for the foreseeable future. The research hypothesizes that idiosyncratic impaired-health states, in the age cohort exceeding 65 years, is a crucial clinical variable required to profile individual life expectancy with...
2016

Author(s) :
Jakob Von Ganske, PhD
A Regime Switching Partial Least Squares Approach to Forecasting Industry Stock Returns: Using monthly stock returns on 16 industry portfolios next to the S&P500 com- posite stock return index as forecasting targets, this paper shows that a data reduction technique which incorporates regime dependent forecasting power of various macroeconomic and  nancial predictors produces positive and...
2016

Author(s) :
Matthew Lanfear, PhD
An Industry Comparison of the Impact of Extreme Weather Events on Stock Returns: Scientists forecast increasing extreme weather events over the coming decades due to climate change. We examine the effect of North Atlantic hurricanes on U.S. stock returns over the period January 1990 to December 2014. For industry portfolios spanning the entire U.S. stock market, we find that the abnormal effect...
2016

Author(s) :
Mark Siebert, PhD
An Industry Comparison of the Impact of Extreme Weather Events on Stock Returns: Scientists forecast increasing extreme weather events over the coming decades due to climate change. We examine the effect of North Atlantic hurricanes on U.S. stock returns over the period January 1990 to December 2014. For industry portfolios spanning the entire U.S. stock market, we find that the abnormal effect...
2016

Author(s) :
Rama Malladi, PhD
Skillful Hiding: Evaluating hedge fund managers' performance based on what they hide: Mandatory disclosure of hedge fund portfolios has been a hotly debated topic. After much deliberation, the Securities and Exchange Commission (SEC) adopted in July 2011 new guidelines and rules as part of the Dodd-Frank Wall Street Reform and Consumer Protection Act. This paper studies asset returns of \...
2016

Author(s) :
Mohan Subbiah, PhD
Equity Style Allocation: A Nonparametric Approach: The purpose of this paper is to produce a framework to assist with style allocation in Asian equity funds. We implement a nonparametric methodology to capture short-term stable time-varying relationships of otherwise long-term unstable relationships between numerous macroeconomic variables and style returns. We demonstrate that a nonparametric...
2015

Author(s) :
Igor Lojevsky, PhD
Multi-Country Study Of The Yield Curve In A Monetary Policy Framework: This paper studies the yield curve in 20 countries with a special focus on monetary policy framework, most importantly in ation targeting (IT) and exchange rate (ER) anchor. It has been shown that the Nelson-Siegel (NS) approach provides a close  to the actual yields under both monetary regimes. The average yields in the...
2015

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See Also

PROFESSOR JOHN GEANAKOPLOS, KEYNOTE SPEAKER AT THE EDHEC PhD IN FINANCE FORUM 2018
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- 25-06-2018
“Leverage Cycles, Credit Surfaces And Central Banking”.  At the EDHEC PhD IN...
 THE ECONOMETRIC SOCIETY - NORTH AMERICA SUMMER MEETING - June 2018
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- 19-06-2018
Two EDHEC PhD in Finance alumni Andrea Tarelli, PhD (2014) and François Cocquemas, PhD...
The EDHEC PhD in Finance Programme adds two new alumni
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- 21-05-2018
On 17 May 2017, two EDHEC PhD in Finance candidates (executive track), Stefano Dova and...
Award for EDHEC PhD alumnus Messaoud Chibane
News
- 17-05-2018
Photo: Award-winning Messaoud Chibane, PhD (2016) and Alain Papiasse, BNP Paribas...