Faculty Publications

Below is a selection of articles by programme faculty members which were recently published or are forthcoming. Appearing are representative articles in scientific journals co-authored by faculty members publishing under their EDHEC Business School affiliation.

• Sustainable Investing with ESG Rating Uncertainty, Doron Avramov, Si Cheng, Abraham Lioui, and Andrea Tarelli*, Journal of Financial Economics, forthcoming   

              *Andrea Tarelli is a graduate of the EDHEC PhD in Finance programme.

• Value Creation in Shareholder Activism, Rui A. Albuquerque, Vyacheslav Fos, and Enrique J. Schroth, Journal of Financial Economics, forthcoming 

• Understanding Cash Flow Risk, Sebastian Gryglewicz, Loriano Mancini, Erwan Morellec,  Enrique J. Schroth, and Philippe Valta, Review of Financial Studies, November 2021, hhab127. 

• Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing, Lionel Martellini, and Lou-Salomé Vallée*, Journal of Portfolio Management, Vol. 47, Issue 9, Novel Risks 2021

                *Lou-Salomé Vallée is PhD candidate at EDHEC Buisness School

• Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field, Stephen G. Dimmock, Roy Kouwenberg, Olivia S. Mitchell, and Kim Peijnenburg, The Review of Financial Studies, Volume 34, Issue 9, September 2021, Pages 4524–4563.

• Is Convexity Efficiently Priced? Evidence From International Swap Markets, Riccardo Rebonato, and Riccardo Ronzani, Journal of Empirical Finance, Volume 63, September 2021, Pages 392-41

• On the resilience of ESG stocks during COVID-19: Global evidence, Gianfranco Gianfrate, Tim Kievid, and Mathijs van Dijk, Covid Economics, Issue 83, 2 July 2021, Pages 25-53

• Capital Structure Choices, Pension Fund Allocation Decisions and the Rational Pricing of Liability Streams, Lionel Martellini and Vincent Milhau, Journal of Pension Economics and Finance, 18 February 2021, pp 1-21. 

• Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity, Riccardo Rebonato and Hong Sherwin*, The Journal of Fixed Income, Winter 2021, 30 (3) 67-82

              *Hong Sherwin is a graduate of the EDHEC PhD in Finance programme.

• Rich Pickings? Risk, Return, and Skill in Household Wealth, Laurent Bach, Laurent Calvet and Paolo Sodini, American Economic Review, September 2020, Vol. 110, No. 9.

• Multivariate Volatility Forecasts for Stock Market Indices, Ines Wilms, Jeroen Rombouts, Christophe Croux - International Journal of Forecasting, September 2020

• Factor Investing for the Long Run, Abraham Lioui and Andrea Tarelli, Journal of Economic Dynamics and Control, August 2020, Volume 117, 103960. 

• A Transaction-Cost Perspective on the Multitutde of Firm Caracteristics, Victor DeMiguel, Alberto Martin-Utrera, Francisco J. Nogales, and Raman Uppal, The Review of Financial Studies, May 2020, Volume 33, Issue 5, Pages 2180–2222.

• Factor Based Commodity Investing, Athanasios Sakkas and Nikolaos Tessaromatis, Journal of Banking and Finance, June 2020, Volume 115,105807.

• Securing Replacement Income with Goal-Based Retirement Investing Strategies, Lionel Martellini, Vincent Milhau and John Mulvey, Journal of Retirement, Spring 2020, 7 (4) 8-26.

• Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?, Jean-Michel Maseo and Lionel Martellini, Quantitative Finance, April 2020, Volume 20, Issue 7.

• Does Factor Investing Improve Investor Welfare? A Multi-Asset Perspective, Lionel Martellini and Vincent Milhau, Journal of Portfolio Management, 2020, 46 (6) 32-53.​

• Measuring Portfolio Rebalancing Benefits in Equity Markets, Jean-Michel Maeso, and Lionel Martellini, The Journal of Portfolio Management, March 2020, 1.130.

• Trading Out of Sight: An Analysis of Cross-trading in Mutual Fund Families, Alexander Eisele, Tamara Nefedova, Gianpaolo Parise and Kim Peijnenburg, Journal of Financial Economics, February 2020, Volume 135, Issue 2.

• Volatility Spillovers in Commodity Markets: A Large t-Vector AutoRegressive Approach, Luca Barbagli, Christophe Croux and Ines Wilms, Energy Economics, Volume 85, January 2020, 104555.

• Factor Investing in US Sovereign Bond Market: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management, Jean-Michel Maeso, Lionel Martellini, and Riccardo Rebonato, The Journal of Portfolio Management, Quantitative Special Issue 2020; jpm.2019.1.115. 

• Positional Portfolio Management, Patrick Gagliardini and Christian Gourieroux and Mirco Rubin, Journal of Financial Econometrics, November 2019, pp. 1 - 57. 

• Long Horizon Predictability: An Asset Allocation Perspective, Abraham Lioui, Patrice Poncet, European Journal of Operational Research, Volume 278, Issue 3, November 2019, Pages 961-975.

• Crowdfunding for Sustainability Ventures, Nuno Bento, Gianfranco Gianfrate, and Marco Horst Thoni, Journal of Cleaner Production, November 2019, Volume 237, 117751.

• Noncognitive Abilities and Financial Distress: Evidence from a Representative Household Panel, Gianpaolo Parise and Kim Peijnenburg, Review of Financial Studies, October 2019, Volume 32, Issue 10, Pages 3884–3919.

• Defining and Exploiting Value in US Treasury Bonds, Jean-Michel Maeso, Lionel Martellini, and Riccardo Rebonato, Journal of Fixed-Income, Fall 2019, volume 29, Issue 2, Pages 6-25.

• Inference in Group Factor Models with an Application to Mixed Frequency Data, Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin, Econometrica, July 2019, Volume 87, No. 4,  Pages 1267–1305.

• “Flexicure” Retirement Solutions: A Part of the Answer to the Pension Crisis?, Lionel Martellini, Vincent Milhau, and John Mulvey, Journal of Portfolio Management, July 2019, Volume 44, No. 5, Pages 136-151.

• Future-Proof your Climate Strategy, Gianpaolo Gianfrate and Joseph E. Aldy, Harvard Business Review, May–June 2019 issue, Pages 86–97.

• The Green Advantage: Exploring the Convenience of Issuing Green Bonds, Gianfranco Gianfate, and Mattia Peri, Journal of Cleaner Production, May 2019, Volume 219,  Pages 127-135

• Macroeconomic Environment, Money Demand and Portfolio Choice, Abraham Lioui and Andrea Tarelli*, European Journal of Operational Research, April 2019, Volume 274, Issue 1, Pages 357-374.

              *Andrea Tarelli is a graduate of the EDHEC PhD in Finance programme.

• Does Household Finance Matter? Small Financial Errors with Large Social Costs, Harjoat Bhamra and Raman Uppal, American Economic Review, March 2019, Volume 109(3), Pages 1116-54.

• A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits, John M. Mulvey, Lionel Martellini, Han Hao and Nongchao Li, The Journal of Portfolio Management Quantitative Special Issue, March 2019, Volume 45, Issue 3, Pages 165-177.

• Predicting Returns in US Treasuries: Do Tents Matter?, Riccardo Rebonato, International Journal of Theoretical and Applied Finance, 2018, Volume 21, No. 07, 1850047.

• Aggregation of Heterogenous Beliefs, Asset Pricing, and Risk Sharing in Complete Financial Markets, Laurent E. Calvet, Jean-Michel Grandmont and Isabelle Lemaire, Research in Economics, 2018, Volume 72, Pages 117-146.

• Life-Cycle Asset Allocation with Ambiguity Aversion and Learning, Kim Peijnenburg, Journal of Financial and Quantitative Analysis, October 2018, Volume 53, Issue 5, Pages 1963-1994.

• A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems, Romain Deguest, Lionel Martellini, Vincent Milhau, Management Science, September 2018, Volume 64, Issue 9, Pages 3971-4470.

• Sovereign to Corporate Risk Spillovers, Patrick Augustin, Hamid Boustanifar, Johannes H. Breckenfelder, and Jan Schnitzler, Journal of Money, Credit, and Banking,  August 2018, Volume 50 (5), Pages 857-891.

• Bond Portfolio Optimization in the Presence of Duration Constraints, Romain Deguest, Frank J. Fabozzi, Lionel Martellini and Vincent Milhau, Journal of Fixed Income, Summer 2018, Volume 28, Issue 1.

• Staying on top of the curve: A cascade model of term structure dynamics, Laurent E. Calvet, Adlai Fisher and Liuren Wu, Journal of Financial and Quantitative Analysis, April 2018, Volume 53, Issue 2, Pages 937-963.

• Capital Structure Decesions and the Optimal Design of Corporate Market Debt Programs, Lionel Martellini, Vincent Milhau and Andrea Tarelli, Journal of Corporate Finance, April 2018, Volume 49, Pages 141-167.

   *Andrea Tarelli is a graduate of the EDHEC PhD in Finance programme

• A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of Variance, Riccardo Rebonato and Chu Ming Ng, Spring 2018, Journal of Derivatives, Volume 25, Issue 3.

• Wages and Human Capital in Finance: International Evidence 1970-2011, Hamid Boustanifar, Everett. Grant and Ariell Reshef, Review of Finance, March 2018, Volume 22, Issue 2, 1, Pages 699-745.

• The Quickest Way to Lose the Money You Could Not Afford To Lose - Reverse Stress Testing and Other Problems with Maximum-Entropy, Riccardo Rebonato, Journal of Risk, February 2018, Volume 20, No. 3.

• Threat of Entry and Debt Maturity: Evidence from Airlines, Gianpaolo Parise, Journal of Financial Economics, February 2018, Volume 127, Issue 2, Pages 226-247​.

• Proverbial Baskets are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions, Lionel Martellini and Vincent Milhau, Journal of Portfolio Management, January 2018, Volume 44, Issue 2, Multi-Asset Special. 

• Equity Portfolios with Improved Liability-Hedging Benefits, Guillaume Coqueret, Lionel Martellini and Vincent Milhau, Journal of Portfolio Management, Winter 2017, Volume 43, Issue 2, Pages 37-49.

• How much do means-tested benefits reduce the demand for annuities? Butler, M., Peijnenburg, K. and Staubli, S., Journal of Pension Economics & Finance,  October 2017, Volume 16, Issue 4, Pages 419-449.

• “Who Internationalizes? Managerial Risk-Taking and Cross Border M&As”, Hamid Boustanifar and Flladina Zilja, Academy of Management Proceedings, 2017, No.1.

• The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities, Riccardo Rebonato, Journal of Derivatives, Summer 2017, Volume 24, Issue 4, Pages 21-51.

• Health Cost Risk: A Potential Solution to the Annuity Puzzle, Kim Peijnenburg, The Economic Journal, August 2017, Volume 127, Issue 603, Pages 1598-1625. 

• The value of convexity: a theoretical and empirical investigation, Riccardo Rebonato, Vladislav Putyatin, Quantitative Finance, July 2017, Pages 11-30.

• A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems, Romain Deguest, Lionel Martellini, and Vincent Milhau, Management Science, June 2017.

• Who are the value and growth investors?, Sebastien Betermier, Laurent Calvet and Paolo Sodini, Journal of Finance, February 2017, Volume 72, Issue 1, Pages 5-46.

• Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting, Jean-Michel Maeso and Lionel Martellini, Journal of Alternative Investments, 2017, 20, 1, Pages 27-42.

• Understanding Dynamic Mean Variance Asset Allocation, Abraham Lioui and Patrice Poncet, European Journal of Operational Research, October 2016, Volume 254, Issue 1, Pages 320-337.

• The Annuity Puzzle Remains a Puzzle, Kim Peijnenburg, Theo Nijman, Bas Werker, Journal of Economic Dynamics and Control, September 2016, Volume 70, Pages 18-35. 

• The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis, Adrian Buss, Bernard Dumas, Raman Uppal, and Grigory Vilkov. Journal of Monetary Economics, August 2016, Volume 81, Pages 25-43.

• Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence, Kim Peijnenburg, Steve Dimmock, Roy Kouwenberg, Olivia Mitchell, Journal of Financial Economics, March 2016, Volume 119, Issue 3, Pages 559-577.