Research workshop series

Forthcoming research workshops 

• May 24, 2018, Gianpaolo Parise, Bank For International Settlements, "Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families"

Past research workshops

• April 19, 2018, Yacine Aït-Sahalia, Princeton University, "Closed-Form Implied Volatility Surfaces for Stochastic Volatility Models"
• March 21, 2018, Kim Peijnenburg, HEC Paris, "Probability Weighting and Household Portfolio Choice:Empirical Evidence"
• January 25, 2018, Jeffrey M. Wooldridge, Michigan State University, "Testing and Correcting for Endogeneity in Nonlinear Unobserved Effects Models" 
• January 24, 2018, Mikhail Chernov, UCLA School of Management, "Multihorizon currency returns and  Purchasing Power Parity"
• January 11, 2018, Paolo Zaffaroni, Imperial College London, "Portfolio Choice with Model Misspecification: A Foundation for Alpha and Beta Portfolios"
• January 11, 2018, Laurent Calvet, EDHEC Business School, "From Saving Comes Having? Disentangling the Impact of Savings on Inequality"
• October 26, 2017, Federico Bandi, John Hopkins Carey Business School, "Zeros"
• October 24, 2017, Harrison Hong, Columbia University, "Mass Media versus Word of Mouth in Stock Markets"
• September 26, 2017, Marcin Kacperczyk, Imperial College London, "Institutional Ownership and Price Informativeness around the World"
• August 24, 2017, Marcel Rindisbacher, Boston University, “Information and Derivatives”
• August 23, 2017, Harjoat Bhamra, Imperial College London, “Low Inflation:High Default Risk AND High Equity Valuations"
• May 24, 2017, Raman Uppal, EDHEC Business School, “Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?"
• March 31, 2017, Sanjiv Das, Santa Clara University, "Dynamic Risk Networks"
• March 23, 2017, Arnt Verriest, EDHEC Business School, "EBITDA: A Flawed Concept?"
• January 27, 2017, Andrea Tamoni, London School of Economics,  “Level and Volatility Shocks to Government Spending: Term Structure Implications.”
• January 25, 2017, Rama Cont, Imperial College, “Fire sales, indirect contagion and systemic stress-testing”
• January 11, 2017, Enrique Schroth, Cass Business School, “Transitory versus permanent shocks: Explaining corporate savings and investment”
• September 27, 2016, Laurent Calvet, EDHEC Business School, "Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy"
• September 15, 2016, Ludovic Phalippou, University of Oxford, "Private Equity Portfolio Company Fees"
• August 23, 2016, Tim Bollerslev, Duke University, "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions"
• June 8, 2016, René Garcia, EDHEC Business School, "Nonparametric Tail Risk, Stock Returns and the Macroeconomy"
• April 28, 2016, Francis X. Diebold, University of Pennsylvania, "Estimating Global Bank Network Connectedness"
• April 7, 2016, Riccardo Rebonato, EDHEC Business School, "Bond Risk Premia: New Answers to Old Questions"
• March 9, 2016, Jérôme Detemple, Boston University, "Dynamic Noisy Rational Expectations Equilibria with Endogenous Information Production and Beliefs-Based Speculation"
• March 8, 2016, Vikas Agarwal, Georgia State University, "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings"
• January 13, 2016, Joelle Miffre, EDHEC Business School, "Commodities as Lotteries: Skewness and the Returns of Commodity Futures"
• October 22, 2015, Allan Timmermann, University of California, San Diego, "Network Centrality and Pension Fund Performance"
• October 19, 2015, Michael Brandt, Duke University, "Switching Risk Off: Correlations and Risk Premia"
• September 30, 2015, Enrique Schroth, CASS Business School, "Debt Renegotiation, Investment, and Risk Taking Across Countries"
• September 1, 2015, Harrison Hong, Princeton University, "Days-to-Cover and Stock Returns"
• May 28, 2015, Raman Uppal, EDHEC Business School, "Does Household Finance Matter? Small Financial Errors with Large Social Costs"
• April 15, 2015, Peter Christoffersen, University of Toronto, "Oil Volatility Risk and Expected Stock Returns"
• March 25, 2015, Gideon Ozik, EDHEC-Risk Institute Research Associate, "Fund Structure and the Long-Run Performance of Activism"
• March 19, 2015, Federico Bandi, Johns Hopkins University, "The Scale of Predictability"
• March 17, 2015, Torben Andersen, Northwestern University, "Intraday Trading Invariance in the E-mini S&P 500 Futures Market"
• January 15, 2015, Enrique Schroth, Cass Business School, "Debt Renegotiation and Investment Decisions across Countries"
• November 5, 2014, Chris Firth, EDHEC PhD candidate, "Could Financial Driving Licenses Help Households Avoid Investment Mistakes?"
• October 8, 2014, Raman Uppal, EDHEC Business School, "Equal or Value Weighting? Implications for Asset-Pricing Tests"
• September 3, 2014, Pietro Veronesi, University of Chicago, "The Price of Political Uncertainty: Theory and Evidence from the Option Market"
• September 2, 2014, Ludovic Phalippou, University of Oxford, "Estimating Private Equity Returns from Limited Partner Cash Flows"
• September 2, 2014, Lionel Martellini, EDHEC Business School, "Beyond Liability-Driven Investing: Equity Benchmarks with Improved Liability-Hedging Properties"
• August 27, 2014, René Garcia, EDHEC Business School, "The Long and the Short of the Risk-Return Trade-Off"
• May 21, 2014, Abraham Lioui, EDHEC Business School, "A Responsible CAPM"
• May 20, 2014, René Garcia, EDHEC Business School, "Funding Liquidity Risk and the Cross-Section of Stock Returns"
• May 8, 2014, Sanjiv Das, Santa Clara University, "Venture Capital Communities"
• May 7, 2014, Michael Chernov, London School of Economics, "Entropy and Asset Pricing"
• March 26, 2014, Raman Uppal, EDHEC Business School, "Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis"
• March 18, 2014, Ekkehart Boehmer, EDHEC Business School, "Low Latency Trading and Comovement of Order Flow and Prices"
• March 12, 2014, Yacine Aït-Sahalia, Princeton University, "High Frequency Traders: Taking Advantage of Speed"
• February 11, 2014, Pierre Mella-Barral, EDHEC Business School, "Strategic Decertification in Venture Capital"
• January 23, 2014, Tim Bollerslev, Duke University, "Stock Return Predictability and Tail Risk Premia"
• January 22, 2014, Allan Timmermann, University of California, "Choice of Sample Split in Out-of-Sample Forecast Evaluation"
• January 15, 2014, Stephane Gregoir, EDHEC Business School, "Empowerment Zones and the Housing Market: the French Case"
• November 5, 2013, Jakša Cvitanić, EDHEC Business School, "Moral Hazard in Dynamic Risk Management"
• October 3, 2013, Giuseppe Bertola, EDHEC Business School, "International Economic Integration and Financial Imbalances in the European Monetary Union"
• September 26, 2013, Harrison Hong, Princeton University, "Disagreement about Inflation Expectations and Reach for Yield"
• September 25, 2013, Dominic O'Kane, EDHEC Business School, "Optimising the Compression Cycle: Algorithms for Multilateral Netting in OTC Derivatives Markets"
• September 24, 2013, Federico Bandi, Johns Hopkins University, "EXcess Idle Time"
• September 5, 2013, Rama Cont, Columbia University, "Endogenous correlation: institutional investors and the covariance structure of asset returns"
• September 4, 2013, Peter Christoffersen, University of Toronto, "Illiquidity Premia in the Equity Options Market"
• August 29, 2013, René Garcia, EDHEC Business School, "Funding Liquidity Risk and the Cross-Section of Stock Returns"
• May 23, 2013, René Garcia, EDHEC Business School, "Funding Liquidity Risk and the Cross-Section of Stock Returns"
• May 7, 2013, Florencio Lopez-de-Silanes , EDHEC Business School, "Letter Grading Government Efficiency"
• May 14, 2013, Allan Timmermann , University of California, "Forecasting Stock Returns under Economic Constraints"
• March 26, 2013, Torben Andersen, Northwestern University, "Parametric Inference and Dynamic State Recovery from Option Panels"
• March 21, 2013, Raman Uppal, EDHEC Business School, "Asset Prices with Heterogeneity in Preferences and Beliefs"
• March 21, 2013, Jerome Detemple, Boston University, "A Structural Model of Dynamic Market Timing: Theory and Estimation"
• March 20, 2013, Vikas Agarwal, Georgia State University, "Under One Roof: A Study of Simultaneously Managed Hedge Funds and Funds of Hedge Funds"
• January 31, 2013, Pierre Mella Barral, EDHEC Business School, "Strategic Decertification in Venture Capital"
• January 17, 2013, Abraham Lioui, EDHEC Business School, "Short Selling Regulatory Flip/Flop: Implications for Asset Pricing and Asset Allocation"
• January 17, 2013, Michael Brandt, Duke University, "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns"
• January 16, 2013, Tarun Ramadorai, University of Oxford, "Do Stock Traders Learn from Experience? Evidence from an Emerging Market"
• November 6, 2012, Jakša Cvitanic, EDHEC Business School, "Competition in Portfolio Management: Theory and Experiment"
• October 3, 2012, Pierre Mella-Barral, EDHEC Business School, "Strategic Decertification in Venture Capital", joint with Vijay Vaidyanathan
• September 6, 2012, Sanjiv Das, Santa Clara University, "Optimising Investments in Distressed Debt"
• September 5, 2012, Jianging Fan, Princeton, "Leverage Effect Puzzle"
• August 30, 2012, Pietro Veronesi, EDHEC Business School, "Investors' and Central Bank's Uncertainty Measures Embedded in Index Options"
• August 30, 2012, René Garcia, EDHEC Business School, "Robust Assessment of Hedge Fund Performance through Nonparametric Risk Adjustment"
• August 29, 2012, Lionel Martellini, EDHEC Business School, "From Fund Separation Theorems to Fund Interaction Theorems"
• June 14, 2012, Professor Tim Bollerslev, Duke University, "Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence"
• May 24, 2012, Professor René Garcia, EDHEC Business School, "Robust Assessment of Hedge Fund Performance through Nonparametric Discounting"
• May 24, 2012, Professor Florencio Lopez-de-Silanes, EDHEC Business School, "Capital Allocation within Conglomerates"
• March 21, 2012, Professor Federico Bandi, Johns Hopkins University, "Price and Volatility Co-jumps"
• March 15, 2012, Professor Ekkehart Boehmer, EDHEC Business School, "The Impact of Algorithmic and High Frequency Trading"
• March 15, 2012, Professor Harrison Hong, Princeton University, "Speculative Betas"
• February 16, 2012, Professor Pierre Mella-Barral, EDHEC Business School, "Entrepreneurial Spawning and Firm Characteristics"
• January 26, 2012, Professor Mikhail Chernov, London School of Economics, "Sources of Risk in Currency Returns"
• January 25, 2012, Professor Rama Cont, Columbia University, "Statistical Modeling of CDS Portfolios: A Multivariate Model for Spread Risk"
• January 19, 2012, Professor Giuseppe Bertola, EDHEC Business School, "Finance, Governments, and Trade: 1980-2007"
• November 17, 2011, Professor Jakša Cvitanic, Caltech, "Do High Frequency Traders Affect Transaction Prices?"
• October 20, 2011, Professor Ravi Bansal, Duke University, "Volatility, the Macroeconomy and Asset Prices"
• October 19, 2011, Professor Tarun Ramadorai, University of Oxford, "Change You Can Believe In? Hedge Fund Data Revisions"
• October 5, 2011, Professor Abraham Lioui, EDHEC Business School, "The Myth of Long Horizon Predictability: An Asset Allocation Perspective"
• September 1, 2011, Professor René Garcia, EDHEC Business School, "Idiosyncratic Risk and the Cross-section of Stock Returns"
• June 23, 2011, Professor Lionel Martellini, EDHEC Business School, "Life-Cycle Investing for Individual Investors - When Wall Street meets Main Street"
• June 09, 2011, Professor Jérôme Detemple, Boston University, "Optimal Portfolio Allocations with Hedge Funds"
• June 09, 2011, Professor Nicholas Polson, University of Chicago, "Nonlinear Filtering and Learning Dynamics"
• May 26, 2011, Professor Florencio Lopez de Silanes, EDHEC Business School, "Giants at the Gate: On the Cross-section of Private Equity Investment Returns in the Past 30 Years"
• April 15, 2011, Professor Robert Kimmel, EDHEC Risk Institute—Asia, "Statistical Inference Using Maximum-Correlation Portfolios"
• March 24, 2011, Professor Stéphane Gregoir, EDHEC Economics Research Centre, "Testing in Vector Autoregressions with Possibly Seasonally and Non-seasonally (Co-)Integrated Processes: An Application to Monetary Policy"
• March 16, 2011, Professor Antonio Mello, University of Wisconsin, "Pay Now or Later: Designing Securities for Financial Flexibility"
• February 24, 2011, Professor Pierre Mella-Barral, EDHEC Business School, "Entrepreneurial Spawning and Firm Characteristics"
• January 20, 2011, Professor Yacine Aït-Sahalia, Princeton University, "Modelling Financial Contagion Using Mutually Exciting Jump Processes"
• January 19, 2011, Professor Peter Christoffersen, Rotman School of Management, "Is the Potential for International Diversification Disappearing?"
• November 17, 2010, Professor Olivier Ledoit, University of Zurich, "Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices"
• October 14, 2010, Professor Raman Uppal, London Business School, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness"
• September 16, 2010, Professor Francis X. Diebold, University of Pennsylvania, "Connectedness’ Measurement for Financial Risk Management"
• September 16, 2010, Professor Ekkehart Boehmer, University of Oregon, "What do Short Sellers Know?"
• June 24, 2010, Professor Stéphane Gregoir, EDHEC Economics Research Centre, "Testing in Vector Autoregressions with Possibly Seasonally and Non-seasonally (Co-)integrated Processes: An Application to Monetary Policy"
• March 25, 2010, Professor Florencio Lopez-de-Silanes, EDHEC Business School, "Opening the Black Box: Internal Capital Markets and Managerial Power"
• March 18, 2010, Professor Harrison Hong, Princeton University, "Gradual Information Diffusion in Asset Markets"
• February 25, 2010, Professor Massimo Guidolin, Manchester Business School, "Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective"
• January 28, 2010, Professor Laurent Calvet, HEC Paris, "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios"
• January 20, 2010, Professor Tim Bollerslev, Duke University, "Tails, Fears and Risk Premia"
• January 20, 2010, Professor Rama Cont, Columbia University, "Systemic Risk and Default Contagion in Banking Networks"
• January 14, 2010, Professor Andrea Buraschi, Imperial College London, "When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia"
• January 11, 2010, Professor Hui Guo, College of Business, University of Cincinnati, "Uncovering the Relation between Aggregate Stock Illiquidity and Expected Excess Market Returns"
• November 19, 2009, Professor Olivier Scaillet, HEC Université de Genève, "Detecting spurious jumps in high frequency data"
• November 13, 2009, Professor Alexandre Jeanneret, University of Lausanne - HEC School, Institute of Banking and Finance, "Sovereign Default Risk and the U.S. Equity Market"
• November 12, 2009, Professor Giuseppe Bertola, Facoltà di Scienze Politiche, Università degli Studi di Torino, "Reforms, Finance, and Current Accounts"
• October 16, 2009, Professor Daniel Dorn, Drexel University LeBow College of Business, "Rational Disposition Effects: Theory and Evidence"
• October 15, 2009, Professor Sudipto Bhattacharya, London School of Economics, "Control Rights and Corporate Venturing"
• September 3, 2009, Professor Pietro Veronesi, University of Chicago Booth School of Business, "Stock Based Compensation and CEO (Dis)Incentives"
• June 25, 2009, Professor Pierre Mella-Barral, EDHEC Business School, "Firm Spawning Dynamics"
• June 18, 2009, Professor Marcel Rindisbacher, Boston University School of Management, "Optimal Portfolio Allocations with Hedge Funds"
• June 15, 2009, Doctor Tobias Adrian, Assistant Vice President, Federal Reserve Bank of New York, "CoVaR"
• May 28, 2009, Professor Raman Uppal, London Business School, "Keynes Meets Markowitz: The Trade-off between Familiarity and Diversification"
• April 30, 2009, Professor João Cocco, London Business School, "Longevity Risk and Retirement Savings"
• March 26, 2009, Professor Jakša Cvitanic, Caltech, "Optimal Compensation of Managers and Executives"
• February 12, 2009, Professor Ekkehart Boehmer, Mays Business School at Texas A&M University, "Short Selling and the Informational Efficiency of Prices"
• January 28, 2009, Professor Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre, "How Costly is Regulatory Short-Termism for Defined-Benefit Pension Funds?"
• December 4, 2008, Professor Abraham Lioui, EDHEC Business School, "Do the Fama French Factors Really Proxy for Time Varying Opportunity Set?"
• November 13, 2008, Professor Jacob Sagi, Owen Graduate School of Management at Vanderbilt University, "Do Fund Managers Make Informed Asset Allocation Decisions?"
• October 16, 2008, Professor Robert Kosowski, Imperial College Business School, "When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns"
• September 18, 2008, Professor Federico Bandi, University of Chicago Graduate School of Business, "Market Volatility, Market Frictions, and the Cross-Section of Stock Returns"

These sessions have been recorded and are available in multimedia streaming. Affiliate faculty members and prospective students should contact Brigitte Bogaerts to participate in future sessions.