PhD Theses
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.
The impact of Company Leverage on the CAPM and Parametric Portfolio Construction
This thesis is divided in two chapters, in which I analyze the impact of company leverage on stock returns and optimal portfolios.Chimerica and Expected Return of Stocks
Chimerica and Expected Return of Chinese Stocks: Using various econometrics methods with varying degrees of success, my research fDynamic Asset Pricing with Funding-Shortfall Risk
Funding-Shortfall Risk and Asset Prices in General Equilibrium : Institutional investors, such as pensions and insurers, are typicPortfolio Allocation and Testing in Markov Switching Models
Constructing a Real-Time Regime Indicator for Asset Allocation: Modeling regimes directly from multiple asset class returns is a nTopics in Asset Prices and Crashes
Methodological Advances in Estimating Non-Gaussian Consumption-Based Asset Pricing Models: We contribute to the literature of rareTwo essays in Empirical Finance
The Cross-Sectional Dispersion and Volatility of Bond Returns and Manager Outperformance: This paper examines the link between fixEffectiveness of Developed and Emerging Market FX Options In Active Currency Risk Management
Active Currency Risk Management Using Option Structures: This paper explores the effectiveness of currency options in internationaA Study of Asset Pricing in an Ageing Population
When the Representative Agent Ages, Risk Attitude of an Aging Population - a Case of Japan: Demographic distribution influences asTwo essays played on the credit triangle: Implied Recovery Rates and Implied Ratings
Local Volatility and the Recovery Rate of Corporate Bonds: The credit default swap (CDS) spread can be decomposed into the productBankruptcy Law Reforms and Enforcement: consequences on Bank Credit for SMEs
“Great Expectations” or “Side Effects”?Essays in Asset Pricing and Market Microstructure
Does market incompleteness matter for market microstructure?: Market incompleteness should matter in theory, but it is difficult tPerformance evaluation and Persistence in Private Equity
Performance Persisted in Private Equity: The first paper studies the performance and persistence of U.S.Multiple Curves and Multiple Regimes: Libor Market Models on Switching (co-Jump) Diffusions
Multiple Curve Libor Market Models on Hybrid Switching Diffusions: This paper introduces a comprehensive approach to modelling the- Asset Pricing Of Life-Contingent Claims with n-State Stochastic Longevity Data Generating Process: Longevity risk is expected to d
Forecasting Equity Returns and Volatility with Regime-Switching Partial Least Squares
A Regime Switching Partial Least Squares Approach to Forecasting Industry Stock Returns: Using monthly stock returns on 16 industrExtreme Weather Events and Financial Markets: The Impact of North Atlantic Hurricanes
An Industry Comparison of the Impact of Extreme Weather Events on Stock Returns: Scientists forecast increasing extreme weather ev- An Industry Comparison of the Impact of Extreme Weather Events on Stock Returns: Scientists forecast increasing extreme weather ev
Evaluation of alternative managers and strategies
Skillful Hiding: Evaluating hedge fund managers' performance based on what they hide: Mandatory disclosure of hedge fund portfolioNonparametric Methods in Asset Allocation
Equity Style Allocation: A Nonparametric Approach: The purpose of this paper is to produce a framework to assist with style allocaMulti-country study of yield curve dynamics in a monetary policy framework
Multi-Country Study Of The Yield Curve In A Monetary Policy Framework: This paper studies the yield curve in 20 countries with a sHousehold investment mistakes: evidence and avoidance
New Evidence And Perspectives On Household Investment Mistakes: I empirically test predictions of normative finance models using a- Can technical trading be profitable - evidence from volatility markets: In this paper we research whether look back trading strate
Comovement in Asset Prices and Low Latency Trading
Impact of low latency trading on market liquidity: We study the impact of low latency trading on market liquidity using a naturalBR-CVA with Wrong Way Risk and SABR Hedging for FX Option
Bilateral Counterparty Risk Valuation Adjustment with Wrong Way Risk on Collateralized Commodity Counterparty: Basel III explicitlLoan default rates in the great recession
Stochastic Volatility and Regime Switching for Consumer Loan Loss Dynamics: The majority of the empirical studies in the fields ofEssays on Conditional Inflation Hedging and Manager Performance Persistence
Persistence of luck drives funds-of-funds outperformance: This paper shows there is a third way in the debate between proponents oEssays on corporate DB pension plans and on cointegrated time-series and panel models
Managing Sponsor Risk in Pension Plans: Dynamic Strategies vs.Central clearing and pre-emptive liquidity hoarding in financial networks
The impact of central clearing on the structure of financial networks: In this paper I investigate how the introduction of centralResponsibility, Regulation and Asset Pricing
Responsibility, Regulation and Asset Pricing: This paper investigates whether Corporate Social Responsibility is a risk factor impStock market momentum, investor sentiment, and the accruals anomaly
Dissecting Momentum witDissecting with Accruals Information: This paper examines whether excess returns from momentum-based strate- Capital Structure Decisions and the Optimal Design of Corporate Market Debt Programs: This paper provides a joint quantitative ana
Volatility and dependence transmission in Asian equity and bond markets
Asymmetric and extreme dependence in Asian equity and debt markets: Existing research on international equity and bond markets hav- Cash-flow risk and world consumption: role and relevance for the cross-section of international equity returns: Issues such as for
Essays in asset allocation with recursive utility and regimes in asset return
Approximate Analytical Solutions for Consumption and Portfolio Decisions under Recursive Utility and Finite Horizon: In the firstTheoretical Essays on Corporate Governance in Theory of Finance
Mixed Motives and Agency Conflict in Asset Pricing: The paper considers two main problems of conflict of interest called the mixedEssays in Venture Capital and Predictability
Strategic Decertification in Venture Capital : Early round VC syndicates can strategically threaten not to participate in a followTwo essays on Volatility Transmission and Default Prediction for Individual Firms
Revenue Exposure : A volatility transmission mechanism between the Shanghai Composite Index and S&P500 firms : Volatility tranEssays on Idiosyncratic Risk and Return Predictability
The first paper provides formal arguments and empirical evidence that justifies the use of the cross-sectional variance as a measure of average idi