Doctoral Theses

Evaluation of alternative managers and strategies

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

Short-Term Nodal Trading in Electricity Markets: Momentum Strategies & Benchmarking Performance

Author(s) :

Bahi Kandavel, PhD

2015

Nonparametric Methods in Asset Allocation

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

Multi-country study of yield curve dynamics in a monetary policy framework

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

Household investment mistakes: evidence and avoidance

Author(s) :

Chris Firth, PhD

New Evidence And Perspectives On Household Investment Mistakes: I empirically test predictions of normative finance models using a unique set of disaggregated data on household investment portfolios. Most findings of this study are consistent with stylized facts, but I uncover new mistakes and puzzles. On average, the households in the sample (i) perform well versus equity benchmarks but poorly...

2015

Can we outperform simple rule strategies: Evidence from volatility market and optimized bond portfolios

Author(s) :

Yaacov Kopeliovich, PhD

Can technical trading be profitable - evidence from volatility markets: In this paper we research whether look back trading strategies can be pro table in volatility markets over time. We examine these strategies on VIX time series and short term futures, which trade based on the VIX index. We compare the performance of the technical strategies with a benchmark strategy of buy and hold. We ...

2014

Comovement in Asset Prices and Low Latency Trading

Author(s) :

Shankar Ramachandran, PhD

Impact of low latency trading on market liquidity: We study the impact of low latency trading on market liquidity using a natural experiment at National Stock Exchange of India. We find that introduction of co-location facilities leads to a significant improvement in market liquidity; quoted spreads and effective spreads decline across all stocks. Studying the impact on the components of...

2014

BR-CVA with Wrong Way Risk and SABR Hedging for FX Option

Author(s) :

Yifan Yang, PhD

Bilateral Counterparty Risk Valuation Adjustment with Wrong Way Risk on Collateralized Commodity Counterparty: Basel III explicitly requires banks to include credit value adjustment (CVA) into capital charges, and both CVA and debt value adjustment (DVA) are required to be included in the accounting value for derivatives that are using market-to-market accounting rule. Wrong-way risk (WWR) refers...

2014

Loan default rates in the great recession

Author(s) :

Kai Wing Chan, PhD

Stochastic Volatility and Regime Switching for Consumer Loan Loss Dynamics: The majority of the empirical studies in the fields of Finance and Econometric focus on asset pricing and interest rate. Related studies on bank’s lending portfolio loan losses are lacking. In this study, I propose using a discrete-time stochastic volatility model with regime switching to fit the loss dynamics of the...

2014

Essays on Conditional Inflation Hedging and Manager Performance Persistence

Author(s) :

Rehan Syed, PhD

Persistence of luck drives funds-of-funds outperformance: This paper shows there is a third way in the debate between proponents of passive versus active management. In contrast to a common finding of underperformance in the mutual fund industry, we show that fund-of-funds composed of active managers of asset allocation funds can outperform due to the persistence of luck; such a portfolio, formed...

2014

Essays on corporate DB pension plans and on cointegrated time-series and panel models

Author(s) :

Samuel Sender, PhD

Managing Sponsor Risk in Pension Plans: Dynamic Strategies vs. Pension Assurance: Defined-benefit (DB) pension funds, often underfunded, rely on the legal obligation of their sponsor to secure pension rights for individuals. Because that guarantee is risky, ways must be found to secure the pension promises. This paper is the first to identify the optimal pension fund portfolio, taking into...

2014

Central clearing and pre-emptive liquidity hoarding in financial networks

Author(s) :

Su Fen Lee, PhD

The impact of central clearing on the structure of financial networks: In this paper I investigate how the introduction of central clearing affects the network structure of over-the-counter (OTC) derivative market participants. Drawing on both modeled and real-life network structures, I study how central clearing affects network centrality | a measure of the systemic importance of market...

2014

Responsibility, Regulation and Asset Pricing

Author(s) :

Michelle Sisto, PhD

Responsibility, Regulation and Asset Pricing: This paper investigates whether Corporate Social Responsibility is a risk factor important for asset pricing. We use monthly measures of “responsibility” based on returns of portfolios of more responsible versus less responsible stocks to create responsibility factors, and we present empirical evidence that our responsibility risk factors contribute...

2014

Stock market momentum, investor sentiment, and the accruals anomaly

Author(s) :

Seong-Han Kim, PhD

Dissecting Momentum witDissecting with Accruals Information: This paper examines whether excess returns from momentum-based strategies and excess returns from accruals-based strategies are to a significant extent manifestations of the same underlying phenomenon or whether they are separate. It makes three main contributions: First, it shows that the returns from the accruals-based strategies...

2014

Dynamic term structure models and inflation: implications for asset allocation and corporate debt structure

Author(s) :

Andrea Tarelli, PhD

Capital Structure Decisions and the Optimal Design of Corporate Market Debt Programs: This paper provides a joint quantitative analysis of capital structure decisions (debt versus equity) and debt structure decisions (fixed-rate debt versus floating-rate debt or inflation-linked debt) in a dynamic continuous-time setting. We show that optimal debt structure decisions have an impact on capital...

2013

Volatility and dependence transmission in Asian equity and bond markets

Author(s) :

Teng Hwee Neo, PhD

Asymmetric and extreme dependence in Asian equity and debt markets: Existing research on international equity and bond markets have shown little evidence of asymmetric dependence between bonds and equities. Unlike stock markets, a priori, it is submitted that dependence structure between stocks and bonds is symmetric. This is because of the safe haven nature of bond markets where investors ‘...

2013

Cash Flow risk, dispersion risk and world consumption: role and relevance for the cross-section of international equity returns

Author(s) :

Cybele Almeida, PhD

Cash-flow risk and world consumption: role and relevance for the cross-section of international equity returns: Issues such as foreign exchange effects, level of integration across countries, the influence of local versus global factors and heterogeneity risk become relevant when an asset pricing model is tranposed to an international framework. Taking some of those elements into account, this...

2013

Essays in asset allocation with recursive utility and regimes in asset return

Author(s) :

Carlos Heitor Campani, PhD

Approximate Analytical Solutions for Consumption and Portfolio Decisions under Recursive Utility and Finite Horizon: In the first chapter, we study the asset allocation and consumption decisions of an investor with stochastic differential recursive utility and a given finite investment horizon. We provide an approximate analytical solution for this problem under a stochastic investment...

2013

Theoretical Essays on Corporate Governance in Theory of Finance

Author(s) :

Kaipichit Ruengsrichaiya, PhD

Mixed Motives and Agency Conflict in Asset Pricing: The paper considers two main problems of conflict of interest called the mixed motive, or empirebuilding, and agency conflict. It employs heterogeneous-agent production-base asset pricing model as in Albuquerue and Wang (2008). We consider the effect of separation of ownership and control between controlling shareholder, who entrench and control...

2012

Essays in Venture Capital and Predictability

Author(s) :

Vijay Vaidyanathan, PhD

Strategic Decertification in Venture Capital : Early round VC syndicates can strategically threaten not to participate in a follow-on round of nancing. Non-pursued certi cation would send a negative signal to alternative syndicates. This reduces the value of the entrepreneur's reservation strategy. In competitive early rounds, syndicates with highest expertise are the most threatening. They...

2012

Pages

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Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.

Doctoral Theses

PhD in Finance

Evaluation of alternative managers and strategies

Short-Term Nodal Trading in Electricity Markets: Momentum Strategies & Benchmarking Performance

Nonparametric Methods in Asset Allocation

Multi-country study of yield curve dynamics in a monetary policy framework

Household investment mistakes: evidence and avoidance

Can we outperform simple rule strategies: Evidence from volatility market and optimized bond portfolios

Comovement in Asset Prices and Low Latency Trading

BR-CVA with Wrong Way Risk and SABR Hedging for FX Option

Loan default rates in the great recession

Essays on Conditional Inflation Hedging and Manager Performance Persistence

Essays on corporate DB pension plans and on cointegrated time-series and panel models

Central clearing and pre-emptive liquidity hoarding in financial networks

Responsibility, Regulation and Asset Pricing

Stock market momentum, investor sentiment, and the accruals anomaly

Dynamic term structure models and inflation: implications for asset allocation and corporate debt structure

Volatility and dependence transmission in Asian equity and bond markets

Cash Flow risk, dispersion risk and world consumption: role and relevance for the cross-section of international equity returns

Essays in asset allocation with recursive utility and regimes in asset return

Theoretical Essays on Corporate Governance in Theory of Finance

Essays in Venture Capital and Predictability

Pages

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