PhD candidates work closely with their supervisor and faculty to author insightful dissertations that advance financial knowledge and practices and are worthy of publication in professional journals.
Below is the list of doctoral theses successfully defended since programme inception.
- Understanding on Technological Origin of the Value Premium Dynamics: In asset pricing, mean reversion in productivity is known to
- The Delegation Gap: The Disposition Effect and Other People's Money: Using a unique dataset, this paper documents a "delegation ga
- On the application of the constrained IPCA model in climate finance: We study whether the US stock market is pricing exposures to
- The Impact of Energy Consumption on the Equity Market: Implications for ESG investment: The study of energy consumption becomes mo
- Forecasting Volatility With Price Thresholds: This paper develops a specification of return dynamics that incorporates price thres
- Impact of ESG Criteria on the Risk and Return of Sovereign Bonds: We provide an assessment of the materiality and impact of ESG sc
- Alternative Risk Premium: Workhorse or Trojan Horse? Diversified alternative risk premium (ARP) portfolios seek to generate absolu
- Multifractal volatility predictions with a high-dimensional state space using high frequency data with suppressed microstructure noise:
- Scarcity Risk Premium: This paper revisits the cost-of-carry model and proposes a decomposition of the futures basis that disentan
- ETF Flows and FX: The thesis examines ETF markets' effect on anomalies on anomalies in FX and Equity markets.
- Fundamental Momentum and equity returns: Can fundamental trends predict future returns and deliver alpha?
- Effects of the US and China on Asian Government Bond Markets: We incorporate factors from the US, China and other Asian markets in
- Market Liquidity and Time-Varying Jump Intensity Dynamics in Aggregate Stock Market Returns: I find that significant time variatio
- Liquidity in futures markets across asset classes: Futures offer a unique lens to analyze cross-market and asset class liquidity d
- A Robust and Interpretable Liquidity Proxy: In this paper we provide an operational definition of market and funding liquidity, an
- What drives voluntary greenhouse gas emissions disclosure?: Voluntary disclosure should naturally arise in theory but may not in p
- Have ETFs Dethroned Futures as Price Leaders in the Kingdom of Precious Metals?: With the advent of precious metal ETFs and mini-f
- Assessment of the Impact of Multivariate Heteroscedasticity on the Dynamics of the Diebold and Yilmaz Measures of Connectedness.
- Successful market timing strategies depend on superior forecasting ability and the accuracy of market forecasts.
- This thesis is divided in two chapters, in which I analyze the impact of company leverage on stock returns and optimal portfolios.
- Constructing a Real-Time Regime Indicator for Asset Allocation: Modeling regimes directly from multiple asset class returns is a n
- Active Currency Risk Management Using Option Structures: This paper explores the effectiveness of currency options in internationa
- Local Volatility and the Recovery Rate of Corporate Bonds: The credit default swap (CDS) spread can be decomposed into the product