Doctoral Theses

Essays on Market Liquidity and Time-Varying Jump Dynamics in the Stock Market

Author(s) :
Ichiro Tange, PhD
Market Liquidity and Time-Varying Jump Intensity Dynamics in Aggregate Stock Market Returns I find that significant time variations in the aggregate stock market's jump intensity are partly attributable to a market liquidity dynamic, although a latent information dynamic captured by an approximate autoregressive moving average (ARMA) form of stock market returns is also driving the jump...
2020

Essays on Expected Prediction Error

Author(s) :
Ian Hunt, PhD
Finite-Sample Bias in Cross-Validation and Pseudo-Out-of-Sample Testing: This paper analyses finite-sample bias in cross-validation estimates of expected prediction error. A significant risk of positive bias against flexible models is identified— this bias has practical implications for assessing curve-fitting models in finance and economics, for example when comparing regime-change models...
2020

Essays in Household Finance

Author(s) :
Mads Hesselhold, PhD
Is Risk Aversion Really Constant? A Reinvestigation with Danish Micro-Level Data: This study revisits the important and widely used constant relative risk aversion (CRRA) assumption using a new and proprietary panel data set that is not exposed to inertia. It specifically tests whether individuals' risk preferences change in response to changes in nancial wealth at a micro level. The...
2020

Liquidity of Futures Markets: Dynamics and Risk Premium

Author(s) :
Mark Refermat, PhD
Liquidity in futures markets across asset classes: Futures offer a unique lens to analyze cross-market and asset class liquidity dynamics due to their broad market and asset class representation and comparability. This analysis is to use futures markets to understand liquidity commonality and idiosyncrasy inter and intra asset class and to examine if liquidity shocks are related and have...
2020

Two Essays on Currency Market and Sentiment

Author(s) :
Robert Normand, PhD
The Value of Currency Forecasts: This paper examines whether users of consensus currency forecasts can exploit information of relative ranking of currency expected returns. Despite currency forecasters are not able to beat a random walk as a single currency forecast, the rank expected returns could lead to significant abnormal returns. The rank currency forecasts are explained by the main generic...
2019

Interpretable Liquidity Proxy in Fixed Income Markets and Application to the TIPS Market

Author(s) :
Hong Sherwin, PhD
A Robust and Interpretable Liquidity Proxy: In this paper we provide an operational definition of market and funding liquidity, and we introduce a method to create two corresponding liquidity measures. The construction is based on creating two parsimonious linear combinations of many liquidity proxies often used in the literature. We manage to attribute a precise financial interpretation to our...
2019

Climate-related finance: studies of disclosure and temperature

Author(s) :
Jonathan Harris, PhD
What drives voluntary greenhouse gas emissions disclosure?: Voluntary disclosure should naturally arise in theory but may not in practice due to real world frictions. This paper investigates climate-related disclosure in a comprehensive, global panel of publicly listed firms from 2010-2017, studying a diverse set of firm, sector and geographic characteristics, as predictors of response to the...
2019

Back to Basis with Investment Consultants

Author(s) :
Marat MOLYBOGA, PhD
The thesis includes two papers that investigate return predictability across asset classes and agency issues associated with investment consultants. The first paper provides an explanation to the pervasive pattern of return predictability across asset classes discussed in Cochrane (2011). The paper shows analytically that the basis between spot and futures contracts contains information about...
2019

Impact of corporate social responsibility on corporate financial performance and credit ratings: Evidence from Asia

Author(s) :
Peck Wah NG, PhD

2019

Social Factors of Financial Markets

Author(s) :
Anmol Sethy, PhD
Trust Based Origins of Disagreement in Financial Markets: Disagreement affects asset prices and several asset specific sources of disagreement have been identified. Still relatively little is known about the potential exogenous sources. This article presents evidence that one such exogenous source is societal trust. Trust leads to two kinds of behaviour - reliance on others and disclosure to...
2019

Essays on ETFs and Futures in Commodity Space: Price Discovery Dynamics and the Physical-versus-Synthetic Debate

Author(s) :
Soner Kistak, PhD
Have ETFs Dethroned Futures as Price Leaders in the Kingdom of Precious Metals?: With the advent of precious metal ETFs and mini-futures in the 2000s, precious metal (PM) investment, once reserved for institutions, has become increasingly available to retail investors. This innovation has significantly increased the product choices available to gold, silver, platinum, and palladium investors. For...
2018

The impact of Company Leverage on the CAPM and Parametric Portfolio Construction

Author(s) :
Stefano Dova, PhD
This thesis is divided in two chapters, in which I analyze the impact of company leverage on stock returns and optimal portfolios. In the first chapter, I derive a CAPM for levered equity from the unlevered one-factor CAPM (or asset CAPM), correcting for the presence of debt at both the individual company and market level. I show that the levered representation of the one-factor asset CAPM...
2018

Forecasting Market Direction with Sentiment Indices

Author(s) :
David Mascio, PhD
Successful market timing strategies depend on superior forecasting ability and the accuracy of market forecasts. We use six predictive models to forecast the S&P 500 Index (SPX) consisting of investor sentiment, current business conditions, economic policy uncertainty, market dislocation information, credit spreads, and financial uncertainty. These indices are combined to create two...
2018

Chimerica and Expected Return of Stocks

Author(s) :
Jasmine Yu, PhD
Chimerica and Expected Return of Chinese Stocks: Using various econometrics methods with varying degrees of success, my research finds that the Chimerica phenomenon possibly exists in expected return of Chinese stocks, reflecting the symbiotic macroeconomic linkage between the two countries. The larger the corporation, the more “Chimerica” it is. Chimerica is a noticeable factor that exhibits...
2018

Essays in Banking Sector Stability

Author(s) :
Krishnamurthy Vaidyanathan, PhD

2017

Dynamic Asset Pricing with Funding-Shortfall Risk

Author(s) :
Majid Hasan, PhD
Funding-Shortfall Risk and Asset Prices in General Equilibrium : Institutional investors, such as pensions and insurers, are typically constrained to hold enough wealth to be able to make their contractually promised payments to fund beneficiaries, and face a funding-shortfall risk. We seek to explore the optimal asset allocation strategies for institutions facing this risk, and its effects on...
2017

Portfolio Allocation and Testing in Markov Switching Models

Author(s) :
Douglas Chau, PhD
Constructing a Real-Time Regime Indicator for Asset Allocation: Modeling regimes directly from multiple asset class returns is a numerically challenging exercise. Here, we present an alternative approach to classifying regimes for a large number of assets through the construction of a single real-time regime indicator. The indicator is based on a dynamic factor model, using multi-frequency...
2016

Topics in Asset Prices and Crashes

Author(s) :
Messaoud Chibane, PhD
Methodological Advances in Estimating Non-Gaussian Consumption-Based Asset Pricing Models: We contribute to the literature of rare disaster events by constructing a robust methodology for estimating non-Gaussian extensions of the standard CCAPM. We demonstrate theoretically that, in the presence of consumption rare disaster events, all cumulants of order strictly higher than two help solve the...
2016

Two essays in Empirical Finance

Author(s) :
Harsh Parikh, PhD
The Cross-Sectional Dispersion and Volatility of Bond Returns and Manager Outperformance: This paper examines the link between fixed income manager outperformance and both longitudinal and cross-sectional volatility in the bond markets. By conditioning our analysis based on different market environments such as rising yield regimes and periods of increasing volatility, we show that opportunities...
2016

Effectiveness of Developed and Emerging Market FX Options In Active Currency Risk Management

Author(s) :
Suprita Vohra, PhD
Active Currency Risk Management Using Option Structures: This paper explores the effectiveness of currency options in international portfolios. While most academic focus has been on assessing currency risk in a portfolio via measures such as VaR, CVaR etc, several practitioners aim to use this risk in their portfolio as a source of excess returns. We look at the role of FX option structures...
2016

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See Also

Special Issue on PhD Research
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- 24-06-2020
Special Issue on...
EDHEC PhD in Finance Newsletter - Special Issue - June 2020 Article signed by Professor...
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Still Too Big to Fail?
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- 24-06-2020
Still Too Big to...
EDHEC PhD in Finance Newsletter - June 2020  Editorial © signed by Darrell Duffie[1] ,...
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L’EDHEC rejoint la Global Research Alliance for Sustainable Finance and Investment
Actualités
- 09-06-2020
L’EDHEC rejoint la...
L’EDHEC Business School intègre la Global Research Alliance for Sustainable Finance and...
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The EDHEC Community mourns the passing of a PhD alumnus
Actualités
- 20-04-2020
The EDHEC Community...
It is with great sadness that we share the news of the passing of one of our EDHEC...
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