Working Paper Series

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Author(s):

Victor DeMiguel

,

Alberto Martín-Utrera

,

Francisco J. Nogales

,

Raman Uppal

Working Paper Number: WP-18-005

We investigate how transaction costs change the number of firm-specific charac-teristics that are jointly significant for explaining the cross section of stock returns. We find that transaction costs increase the number of significant characteristics from six to 15. The explanation is that, as we show theoretically and empirically, combining characteristics reduces transaction costs because the...

2018

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Author(s):

Raman Uppal

,

Harjoat S. Bhamra

Working Paper Number: WP-18-004

Households with familiarity biases tilt their portfolios toward a few risky assets. The resulting mean-variance loss from portfolio underdiversiﬁcation is equivalent to only a modest reduction of about 1% per year in a household’s portfolio return. However, once we consider also the eﬀect of familiarity biases on the asset-allocation and intertemporal consumption-savings decisions, the welfare...

2018

Multivariate lasso-based forecast combinations for stock market volatility

Author(s):

Christophe Croux

,

Jeroen Rombouts

,

Ines Wilms

Working Paper Number: WP-18-003

Volatility forecasts indicate future risk and are key inputs in ﬁnancial analysis. We fore-cast the realized variance, an observable measure of volatility, of several major international stock market indices and account for the diﬀering predictive information present in jump, continuous, and option-implied variance components. We allow for volatility spillovers of diﬀerent stock markets by using...

2018

SPAC IPOs

Author(s):

Yochanan Shachmurove

,

Milos Vulanovic

Working Paper Number: WP-18-002

Specified Purpose Acquisition Companies (SPACs) are a special type of public companies currently available to investors in financial markets. As an investment vehicle, modern SPACs are traced back to 18-th century England where blank checks were first mentioned as blind pools during the infamous South Sea Bubble. In the United States, the Security and Exchange Commission classifies SPAC as a...

2018

Money Illusion: A Rationale for the TIPS Puzzle

Author(s):

Abraham Lioui

,

Andrea Tarelli

Working Paper Number: WP-18-001

Why is the TIPS market so small? We show that a rational agent, dynamically investing into multiple asset classes over a 20-year horizon, benefits by 1.2% per annum from having access to inflation-indexed bonds. However, if the investor suffers from money illusion, the perceived certainty equivalent gains reduce to less than 0.3%. Furthermore, the benefits become totally negligible if the money-...

2018

Asset Pricing with Housing Booms and Busts

Author(s):

Messaoud Chibane

,

Abraham Lioui

,

Patrice Poncet

Working Paper Number: WP-17-002

The U.S. economy witnessed several periods of booms and busts specific to the housing market. We generalize the Housing CCAPM by incorporating rare disasters into the dynamics of non-housing consumption and rare booms and busts into housing consumption, and by assuming Epstein-Zin, rather than time-additive, preferences. We extend existing Cumulant Generating Function-based pricing formulas to a...

2017

Flight to Gold: Extreme Weather Events and Stock Returns

Author(s):

Matthew G. Lanfear

,

Abraham Lioui

,

Mark G. Siebert

Working Paper Number: WP-17-001

Using an event study approach at the stock level, we examine the effect of North Atlantic hurricanes on U.S. stocks. We document a substantial economic impact of hurricanes on the aggregate market: an accumulated loss of 0.522% (6.264% annualized) to 30 days post-landfall. For Industry Portfolios encompassing the entire U.S. stock market, we document several patterns. Many manufacturingbased and...

2017

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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. 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”.

Working Paper Series

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Multivariate lasso-based forecast combinations for stock market volatility

SPAC IPOs

Money Illusion: A Rationale for the TIPS Puzzle

Asset Pricing with Housing Booms and Busts

Flight to Gold: Extreme Weather Events and Stock Returns

--- Page under construction ---
More Working Papers are coming soon

PhD in Finance

See Also

About EDHEC

Useful links

Direct Access

Working Paper Series

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Multivariate lasso-based forecast combinations for stock market volatility

SPAC IPOs

Money Illusion: A Rationale for the TIPS Puzzle

Asset Pricing with Housing Booms and Busts

Flight to Gold: Extreme Weather Events and Stock Returns

--- Page under construction --- More Working Papers are coming soon

PhD in Finance

See Also

About EDHEC

Useful links

Direct Access

--- Page under construction ---
More Working Papers are coming soon