Doctoral Theses

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

Two essays on Volatility Transmission and Default Prediction for Individual Firms

Author(s) :

Chiah Shiung (Kelvin) Foo, PhD

Revenue Exposure : A volatility transmission mechanism between the Shanghai Composite Index and S&P500 firms : Volatility transmission studies are mostly concerned with the volatility spillover effects between equity markets and between asset classes. Few have considered the transmission of volatility between markets and firms. We examine the significance of revenue exposure as a proxy for...

2012

Essays on Idiosyncratic Risk and Return Predictability

Author(s) :

Daniel Mantilla-Garcia, PhD

The first paper provides formal arguments and empirical evidence that justifies the use of the cross-sectional variance as a measure of average idiosyncratic volatility. The observability at any frequency of this measure allows new results on the relation of idiosyncratic risk and future returns. The paper shows that the cross-sectional variance predicts the return of the equally-weighted market...

2011

Essays in Hedge Funds

Author(s) :

Gideon Ozik, PhD

Smart Money or Smart About Money? Evidence from Hedge Funds: This paper introduces a measure of fund-flow impact, based on a fund's contemporaneous return-flow relation, and demonstrates that the smart-money phenomenon predominantly stems from high-flow-impact funds. A smarter-money strategy, one that concentrates in high-flow-impact funds, fares significantly better than a strategy which...

2011

Pages

About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 10 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

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

Two essays on Volatility Transmission and Default Prediction for Individual Firms

Essays on Idiosyncratic Risk and Return Predictability

Essays in Hedge Funds

Pages

See Also

About EDHEC

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