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Working paper

Inferring Petroleum-Complex Fundamentals

Author(s) : Hilary Till

This paper will discuss inferring crude-oil-market fundamentals through price-relationship data, largely through the perspective of a commodity...

2018

Inferring Petroleum-Complex Fundamentals

Author(s) : Joseph Eagleeye

This paper will discuss inferring crude-oil-market fundamentals through price-relationship data, largely through the perspective of a commodity...

2018

Factor-Based Commodity Investing

Author(s) : Athanasios Sakkas

A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor portfolios significantly,...

2018

Factor-Based Commodity Investing

Author(s) : Nikolaos Tessaromatis

A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor portfolios significantly,...

2018

Hedge Fund Styles and Macroeconomic Uncertainty

Author(s) : Marie Lambert

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.

2017

Hedge Fund Styles and Macroeconomic Uncertainty

Author(s) : Federico Platania

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.

2017

What do measures of real-time corporate sales tell us about earnings surprises and post-announcement returns?

Author(s) : Kenneth Froot

We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain...

2017

What do measures of real-time corporate sales tell us about earnings surprises and post-announcement returns?

Author(s) : Namhco Kang

We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain...

2017

What do measures of real-time corporate sales tell us about earnings surprises and post-announcement returns?

Author(s) : Gideon Ozik

We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain...

2017

What do measures of real-time corporate sales tell us about earnings surprises and post-announcement returns?

Author(s) : Ronnie Sadka

We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain...

2017

The MF Global Debacle: What were the Red Flags?

Author(s) : Hilary Till

The author presented an abbreviated version of this paper during presentations at the Commodity and Energy Markets Conference at Oxford University on...

2017

Crude Oil Futures Markets: Are the Benefits of “Roll Yield” Real?

Author(s) : Hilary Till

Is roll yield still a useful concept in evaluating crude oil futures markets? This is a timely question because of (a) scepticism on the benefits of...

2017

Long-Short Commodity Investing: A Review of the Literature

Author(s) : Joëlle Miffre

This article reviews recent academic studies that analyse the performance of long-short strategies in commodity futures markets. Special attention is...

2017

Commodities as Lotteries: Skewness and the Returns of Commodity Futures

Author(s) : Adrian Fernández-Pérez

This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...

2017

Commodities as Lotteries: Skewness and the Returns of Commodity Futures

Author(s) : Bart Frijns

This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...

2017

Commodities as Lotteries: Skewness and the Returns of Commodity Futures

Author(s) : Ana-Maria Fuertes

This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...

2017

Commodities as Lotteries: Skewness and the Returns of Commodity Futures

Author(s) : Joëlle Miffre

This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...

2017

Term Structure Analysis of Option Implied Volatility in the Brazilian Market using a Continuous-Time GARCH Model

Author(s) : Carlos Heitor Campani

This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modelling of the asset's volatility,...

2016

Term Structure Analysis of Option Implied Volatility in the Brazilian Market using a Continuous-Time GARCH Model

Author(s) : Carlos Eduardo Fucci

This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modelling of the asset's volatility,...

2016

An Introduction to U.S. Commodity Futures Markets: A Historical Perspective Along with Commodity Trading Principles

Author(s) : Hilary Till

This paper provides an introduction to U.S. commodity futures markets, which is especially relevant for individuals in developing markets who are...

2016

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About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools, ranked 1st worldwide for its Master in Finance. 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. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
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”.

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