Doctoral Theses

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 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

Two essays on Volatility Transmission and Default Prediction for Individual Firms

Essays on Idiosyncratic Risk and Return Predictability

Essays in Hedge Funds

Pages

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About EDHEC

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