Doctoral Theses

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Author(s) :
Marat MOLYBOGA, PhD

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

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

A Study of Asset Pricing in an Ageing Population

Author(s) :
Yasusori Iwanaga, PhD
When the Representative Agent Ages, Risk Attitude of an Aging Population - a Case of Japan: Demographic distribution influences asset pricing through shifting the agent’s risk attitude. I develop a simple preference model, "ageing agent utility", with a linear risk aversion function of age distribution in a time-separable utility. Two descriptors incorporate the dynamics of demography: the...
2016

Two essays played on the credit triangle: Implied Recovery Rates and Implied Ratings

Author(s) :
Jeroen Jansen, PhD
Local Volatility and the Recovery Rate of Corporate Bonds: The credit default swap (CDS) spread can be decomposed into the product of the probability of default and the loss given default. It is necessary to implement some structure on either the probability or the loss given default to disentangle them. With the help of a hybrid binomial tree for equities and a recovery function, Das and Hanouna...
2016

Bankruptcy Law Reforms and Enforcement: consequences on Bank Credit for SMEs

Author(s) :
Marco Ghitti, PhD
“Great Expectations” or “Side Effects”? Bankruptcy Law Reforms and Bank Credit for SMEs: A series of Italian Bankruptcy Law reforms, aiming to facilitate debt renegotiation and business continuation, allows us to disentangle how a change of creditor rights affects Bank Credit Market for SMEs. We exploit a new credit level dataset on bank credit, with more than 6.4 million pooled observations. By...
2016

Essays in Asset Pricing and Market Microstructure

Author(s) :
François Cocquemas, PhD
Does market incompleteness matter for market microstructure?: Market incompleteness should matter in theory, but it is difficult to identify and measure the magnitude of its effects, especially on market microstructure. We use a natural experiment at the Tel Aviv Stock Exchange (TASE) to analyze how order submission patterns, trading and hedging strategies, and overall market impact are affected...
2016

Performance evaluation and Persistence in Private Equity

Author(s) :
Sue Wan Chua, PhD
Performance Persisted in Private Equity: The first paper studies the performance and persistence of U.S. buyout funds with updated and detailed cash flow data from a publicly available database. I find substantial heterogeneity in performance exists across post-2000 funds and the better performing funds sustain their outperformance across successive funds of the same GP. When current funds are...
2016

Multiple Curves and Multiple Regimes: Libor Market Models on Switching (co-Jump) Diffusions

Author(s) :
Rodney Hoskinson, PhD
Multiple Curve Libor Market Models on Hybrid Switching Diffusions: This paper introduces a comprehensive approach to modelling the term structure of interest rates and volatility by setting double curve Libor market models (“LMMs”) on a hybrid switching diffusion. Modelling interest rate volatility over the whole term structure is an important part of building a model for pricing interest rates...
2016

Introducing State Contingencies in Longevity Risk Models with n-State Stochastic Longevity Data Generating Process - Applications to Asset Pricing of Life-Contingent Claims and Decumulation Phase Asset Allocation

Author(s) :
Russell Nel, PhD
Asset Pricing Of Life-Contingent Claims with n-State Stochastic Longevity Data Generating Process: Longevity risk is expected to dominate all major public and private sectors for the foreseeable future. The research hypothesizes that idiosyncratic impaired-health states, in the age cohort exceeding 65 years, is a crucial clinical variable required to profile individual life expectancy with...
2016

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See Also

Three new alumni for the EDHEC PhD in Finance programme
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- 25-01-2019
Three new alumni...
On 21 & 22 January 2019, three EDHEC PhD in Finance candidates (executive track),...
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Best paper award for EDHEC PhD in Finance Affiliate Faculty Sanjiv R. Das
Actualités
- 23-01-2019
Best paper award...
The 2018 Harry M. Markowitz Award was given to “A New Approach to Goals-Based Wealth...
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EDHEC Professor Frank J. Fabozzi appointed co-editor of a new journal: The Journal of Financial Data Science
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- 13-12-2018
EDHEC Professor...
Frank J. Fabozzi, Professor of Finance at EDHEC Business School, member of EDHEC-Risk...
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EDHEC PhD candidate Eric Tham’s research presented at the 31st Australasian Finance and Banking Conference
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- 06-12-2018
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“Trusting the Social Media”  PhD candidate in Finance at EDHEC Business School (...
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