Doctoral Theses

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

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

Author(s) :
Jakob Von Ganske, PhD
A Regime Switching Partial Least Squares Approach to Forecasting Industry Stock Returns: Using monthly stock returns on 16 industry portfolios next to the S&P500 com- posite stock return index as forecasting targets, this paper shows that a data reduction technique which incorporates regime dependent forecasting power of various macroeconomic and  nancial predictors produces positive and...
2016

Author(s) :
Matthew Lanfear, PhD
An Industry Comparison of the Impact of Extreme Weather Events on Stock Returns: Scientists forecast increasing extreme weather events over the coming decades due to climate change. We examine the effect of North Atlantic hurricanes on U.S. stock returns over the period January 1990 to December 2014. For industry portfolios spanning the entire U.S. stock market, we find that the abnormal effect...
2016

Author(s) :
Mark Siebert, PhD
An Industry Comparison of the Impact of Extreme Weather Events on Stock Returns: Scientists forecast increasing extreme weather events over the coming decades due to climate change. We examine the effect of North Atlantic hurricanes on U.S. stock returns over the period January 1990 to December 2014. For industry portfolios spanning the entire U.S. stock market, we find that the abnormal effect...
2016

Author(s) :
Rama Malladi, PhD
Skillful Hiding: Evaluating hedge fund managers' performance based on what they hide: Mandatory disclosure of hedge fund portfolios has been a hotly debated topic. After much deliberation, the Securities and Exchange Commission (SEC) adopted in July 2011 new guidelines and rules as part of the Dodd-Frank Wall Street Reform and Consumer Protection Act. This paper studies asset returns of \...
2016

Author(s) :
Mohan Subbiah, PhD
Equity Style Allocation: A Nonparametric Approach: The purpose of this paper is to produce a framework to assist with style allocation in Asian equity funds. We implement a nonparametric methodology to capture short-term stable time-varying relationships of otherwise long-term unstable relationships between numerous macroeconomic variables and style returns. We demonstrate that a nonparametric...
2015

Author(s) :
Igor Lojevsky, PhD
Multi-Country Study Of The Yield Curve In A Monetary Policy Framework: This paper studies the yield curve in 20 countries with a special focus on monetary policy framework, most importantly in ation targeting (IT) and exchange rate (ER) anchor. It has been shown that the Nelson-Siegel (NS) approach provides a close  to the actual yields under both monetary regimes. The average yields in the...
2015

Author(s) :
Chris Firth, PhD
New Evidence And Perspectives On Household Investment Mistakes: I empirically test predictions of normative finance models using a unique set of disaggregated data on household investment portfolios. Most findings of this study are consistent with stylized facts, but I uncover new mistakes and puzzles. On average, the households in the sample (i) perform well versus equity benchmarks but poorly...
2015

Author(s) :
Yaacov Kopeliovich, PhD
Can technical trading be profitable - evidence from volatility markets: In this paper we research whether look back trading strategies can be pro table in volatility markets over time. We examine these strategies on VIX time series and short term futures, which trade based on the VIX index. We compare the performance of the technical strategies with a benchmark strategy of buy and hold. We ...
2014

Author(s) :
Shankar Ramachandran, PhD
Impact of low latency trading on market liquidity: We study the impact of low latency trading on market liquidity using a natural experiment at National Stock Exchange of India. We find that introduction of co-location facilities leads to a significant improvement in market liquidity; quoted spreads and effective spreads decline across all stocks. Studying the impact on the components of...
2014

Author(s) :
Yifan Yang, PhD
Bilateral Counterparty Risk Valuation Adjustment with Wrong Way Risk on Collateralized Commodity Counterparty: Basel III explicitly requires banks to include credit value adjustment (CVA) into capital charges, and both CVA and debt value adjustment (DVA) are required to be included in the accounting value for derivatives that are using market-to-market accounting rule. Wrong-way risk (WWR) refers...
2014

Author(s) :
Kai Wing Chan, PhD
Stochastic Volatility and Regime Switching for Consumer Loan Loss Dynamics: The majority of the empirical studies in the fields of Finance and Econometric focus on asset pricing and interest rate. Related studies on bank’s lending portfolio loan losses are lacking. In this study, I propose using a discrete-time stochastic volatility model with regime switching to fit the loss dynamics of the...
2014

Author(s) :
Rehan Syed, PhD
Persistence of luck drives funds-of-funds outperformance: This paper shows there is a third way in the debate between proponents of passive versus active management. In contrast to a common finding of underperformance in the mutual fund industry, we show that fund-of-funds composed of active managers of asset allocation funds can outperform due to the persistence of luck; such a portfolio, formed...
2014

Author(s) :
Samuel Sender, PhD
Managing Sponsor Risk in Pension Plans: Dynamic Strategies vs. Pension Assurance: Defined-benefit (DB) pension funds, often underfunded, rely on the legal obligation of their sponsor to secure pension rights for individuals. Because that guarantee is risky, ways must be found to secure the pension promises. This paper is the first to identify the optimal pension fund portfolio, taking into...
2014

Author(s) :
Su Fen Lee, PhD
The impact of central clearing on the structure of financial networks: In this paper I investigate how the introduction of central clearing affects the network structure of over-the-counter (OTC) derivative market participants. Drawing on both modeled and real-life network structures, I study how central clearing affects network centrality | a measure of the systemic importance of market...
2014

Author(s) :
Michelle Sisto, PhD
Responsibility, Regulation and Asset Pricing: This paper investigates whether Corporate Social Responsibility is a risk factor important for asset pricing. We use monthly measures of “responsibility” based on returns of portfolios of more responsible versus less responsible stocks to create responsibility factors, and we present empirical evidence that our responsibility risk factors contribute...
2014

Author(s) :
Seong-Han Kim, PhD
Dissecting Momentum witDissecting with Accruals Information: This paper examines whether excess returns from momentum-based strategies and excess returns from accruals-based strategies are to a significant extent manifestations of the same underlying phenomenon or whether they are separate. It makes three main contributions: First, it shows that the returns from the accruals-based strategies...
2014

Author(s) :
Andrea Tarelli, PhD
Capital Structure Decisions and the Optimal Design of Corporate Market Debt Programs: This paper provides a joint quantitative analysis of capital structure decisions (debt versus equity) and debt structure decisions (fixed-rate debt versus floating-rate debt or inflation-linked debt) in a dynamic continuous-time setting. We show that optimal debt structure decisions have an impact on capital...
2013

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See Also

EDHEC Faculty at the CEPR  European Conference on Household Finance 2019
Actualités
- 20-09-2019
Household Finance expert Professor Laurent Calvet (EDHEC Business School & CEPR),...
EDHEC Faculty welcomes Oxford professor Renée B. Adams for a reseach seminar
Actualités
- 11-09-2019
On September 12, 2019, EDHEC faculty will be delighted to welcome Oxford professor...
Launch of the
Actualités
- 03-09-2019
EDHEC Business School and Scientific Beta have announced the launch of the “Advanced...
EDHEC Professor Abraham Lioui invited for a talk at the 2019 Econometric Society European Meeting
Actualités
- 26-08-2019
Professor Abraham Lioui (EDHEC) will be sharing his research “Money Illusion and TIPS...