Doctoral Theses

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

Author(s) :
Teng Hwee Neo, PhD
Asymmetric and extreme dependence in Asian equity and debt markets: Existing research on international equity and bond markets have shown little evidence of asymmetric dependence between bonds and equities. Unlike stock markets, a priori, it is submitted that dependence structure between stocks and bonds is symmetric. This is because of the safe haven nature of bond markets where investors ‘...
2013

Author(s) :
Cybele Almeida, PhD
Cash-flow risk and world consumption: role and relevance for the cross-section of international equity returns: Issues such as foreign exchange effects, level of integration across countries, the influence of local versus global factors and heterogeneity risk become relevant when an asset pricing model is tranposed to an international framework. Taking some of those elements into account, this...
2013

Author(s) :
Carlos Heitor Campani, PhD
Approximate Analytical Solutions for Consumption and Portfolio Decisions under Recursive Utility and Finite Horizon: In the first chapter, we study the asset allocation and consumption decisions of an investor with stochastic differential recursive utility and a given  finite investment horizon. We provide an approximate analytical solution for this problem under a stochastic investment...
2013

Author(s) :
Kaipichit Ruengsrichaiya, PhD
Mixed Motives and Agency Conflict in Asset Pricing: The paper considers two main problems of conflict of interest called the mixed motive, or empirebuilding, and agency conflict. It employs heterogeneous-agent production-base asset pricing model as in Albuquerue and Wang (2008). We consider the effect of separation of ownership and control between controlling shareholder, who entrench and control...
2012

Author(s) :
Vijay Vaidyanathan, PhD
Strategic Decertification in Venture Capital : Early round VC syndicates can strategically threaten not to participate in a follow-on round of  nancing. Non-pursued certi cation would send a negative signal to alternative syndicates. This reduces the value of the entrepreneur's reservation strategy. In competitive early rounds, syndicates with highest expertise are the most threatening. They...
2012

Author(s) :
Chiah Shiung (Kelvin) Foo, PhD
Revenue Exposure : A volatility transmission mechanism between the Shanghai Composite Index and S&P500 firms : Volatility transmission studies are mostly concerned with the volatility spillover effects between equity markets and between asset classes. Few have considered the transmission of volatility between markets and firms. We examine the significance of revenue exposure as a proxy for...
2012

Author(s) :
Daniel Mantilla-Garcia, PhD
The first paper provides formal arguments and empirical evidence that justifies the use of the cross-sectional variance as a measure of average idiosyncratic volatility. The observability at any frequency of this measure allows new results on the relation of idiosyncratic risk and future returns. The paper shows that the cross-sectional variance predicts the return of the equally-weighted market...
2011

Author(s) :
Gideon Ozik, PhD
Smart Money or Smart About Money? Evidence from Hedge Funds: This paper introduces a measure of fund-flow impact, based on a fund's contemporaneous return-flow relation, and demonstrates that the smart-money phenomenon predominantly stems from high-flow-impact funds. A smarter-money strategy, one that concentrates in high-flow-impact funds, fares significantly better than a strategy which...
2011

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See Also

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The EDHEC Community mourns the passing of a PhD alumnus
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It is with great sadness that we share the news of the passing of one of our EDHEC...