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.

• Positional Portfolio Management, Patrick Gagliardini and Christian Gourieroux and Mirco Rubin, Journal of Financial Econometrics, forthcoming.

• Market Anomalies and Disaster Risk: Evidence from Extreme Weather Events, Matt Lanfaer*, Abraham Lioui, Mark Siebert*, Journal of Financial Markets, forthcoming.

               * Matt Lanfaer and Mark Siebert are graduates of the EDHEC PhD in Finance programme.

• 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, forthcoming.

• Triumph of the Empiricists: The Birth of Financial Data Science, Joseph Simonian and Frank J. Fabozzi, The Journal of Financial Data Science, (Winter 2019) Volume 1, Issue 1 , Pages 10-13.

• 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.

• Effectiveness of Developed and Emerging Market FX Options in Active Currency Risk Management, Suprata Vohra and Frank J. Fabozzi, Journal of International Money and Finance, September 2019, Volume 96, Pages 130-146.

• Default Prediction of Commercial Real Estate Properties Using Machine Learning, Chad Cowden, Frank J. Fabozzi, and Abdolreza Nazemi, Journal of Portfolio Management, August 2019, Volume 45, No. 7 (2019), Pages 55-67. 

• 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.

• The Timeline Estimation of Bubbles: The Case of Real Estate, Frank J. Fabozzi and Keli Xiao, Real Estate Economics, June 2019, Volume 47, No. 2, Pages 564-594. 

• 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.

• Market Implied Volatilities for Defaultable Bonds, Vincenzo Russo, Rosella Giacometti and Frank J. Fabozzi, Annals of Operational Research, April 2019, Volume 275, Issue 2, Pages 669–683.

• 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.

• Ecolution of real estate derivatives and their pricing, Frank J. Fabozzi, Robert J. Shiller and Radu S. Tunaru, The Journal of Derivatives, March 2019, Volume 26, Issue 3.

• 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.

• Quanto Option Pricing with Lévy Models, Hasan A. Fallahgoul, Young S. Kim, Frank J. Fabozzi and Jiho Park, Computational Economics, March 2019, Volume 53, Issue 3, Pages 1279–1308.

• Does the Corporate Bond Market Overvalue Bonds of Sin Companies?, Frank J.Fabozzi, Asjeet S. Lambab, Takeshi Nishikawa, Ramesh P. Raod and  K.C. Mae, Finance Research Letters, March 2019, Volume 28, Pages 165-170.

• Sentiment Indices and their Forecasting Ability, David Mascio and Frank J. Fabozzi, Journal of Forecasting, January 2019, Volume 38, Pages 257-276.

• The three-factor hedging strategy for mortgage pass-through securities: empirical evidence, Emory E. Ruscus, Frank J. Fabozzi and Glenn Schultz, The Journal of Fixed Income, January 2019, Volume 28 N° 3, Pages 55 - 67.

• The Prevalence and Validity of EBITDA as a Performance Measure, Jan Bouwens, Ties de Kok and Arnt Verriest, Comptabilité - Contrôle - Audit, 2019/1 (Tome 25), Pages 55-105. 

• 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 Economics, 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.

• Another Look at the Ho-Lee Bond Option Pricing Model, Young Shin Kim, Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank J. Fabozzi, The Journal of Derivatives, Summer 2018, 25 (4), Pages 48-53.

• Recent advancements in robust optimization for investment management, Jang Ho Kim, Woo Chang Kim and Frank J. Fabozzi, Annals of Operations Research, July 2018, Volume 266, Issue 1–2, Pages 183–198.

• Local Volatility and the Recovery Rate of Credit Default Swaps, Jeroen Jansen*, Sanjiv Das and Frank J. Fabozzi, Journal of Economic Dynamics and Control, July 2018, Volume 92, Pages 1-29. 

               *Jeroen Jansen is a graduate of the EDHEC PhD in Finance programme.

• 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.

• Macroeconomic Variable Selection for Creditor Recovery Rates, Abdolreza Nazemi and Frank J. Fabozzi, Journal of Banking & Finance, April 2018, Volume 89, Pages 14-25.

• 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.

• Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models, Michele Leonardo Bianchi, Svetlozar T. Rachev and Frank J. Fabozzi, Computational Economics, March 2018, Volume 51, Issue 3, Pages 339-378.

• 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.

• Explosive Rent During Housing Market Exuberance, Frank J. Fabozzi and Keli Xiao, The Quarterly Review of Economics and Finance, November 2017, Volume 66, Pages 100-107. 

• Fuzzy Decision Fusion Approach for Loss-Given-Default Modeling, Abdolreza Nazemi, Farnoosh Fatemipour, Konstantin Heidenreich, and Frank J. Fabozzi, European Journal of Operational Research, October 2017, Volume 262, Issue 2, Pages 780-791.

• 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.

• Sin Stocks Revisited: Resolving the Sin Stock Anomaly, David Blitz and Frank J. Fabozzi, The Journal of Portfolio Management, Fall 2017, Volume 44, Issue 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.

• Effects of Spot Market Short-Sale Constraints on Index Futures Trading, Frank J. Fabozzi, Ahmet K. Karagozoglu, and Na Wang, Review of Finance, August 2017, Volume 21, Issue 5, Pages 1975-2005.

• 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.

• CDS Implied Credit Ratings, Jeroen Jansen* and Frank J. Fabozzi, Journal of Fixed Income, Spring 2017, Volume 26, Issue 4, Pages 25-52.

              *Jeroen Jansen is a graduate of the EDHEC PhD in Finance programme.

• 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.

• Skillful Hiding: Evaluating Hedge Fund Managers' Performance Based On What They Hide, Rama Malladi* and Frank J. Fabozzi, Applied Economics, 2017, Volume 49, Issue 7, Pages 664-676.

              *Rama Malladi is a graduate of the EDHEC PhD in Finance programme.

• Penalizing Variances for Higher Dependency on Factors, Frank J. Fabozzi, Jang Ho Kim and Woo Chang Kim, and Frank J. Fabozzi, and Radu Tunaru, Quantitative Finance, 2017, Issue 4, Volume 17, Pages 479-489 (lead article).

• 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.

• Calibrating Short Interest Rate Models in a Negative Rate Environment, Frank J. Fabozzi and Vincenzo Russo, Journal of Derivatives, 2017, Volume 24, Issue 4, Pages 80-92.

• Exploring Rating Shopping For European Triple A Senior Structured Finance Securities. Frank J.  Fabozzi, Mike Nawas, and Dennis Vink, Finance Research Letters, 2017, Volume 20, Pages 35-39.  

• An Improved Method Least Squares Monte Carlo Valuation Method Based on Heteroscedasticity, Frank J. Fabozzi, Tommaso Paletta, Silvia Stanescu, and Radu Tunaru, European Journal of Operational Research, 2017, Volume 263, Pages 698-706.

• Predictability Dynamics of Emerging Sovereign CDS Markets, Ahmet Sensoy, Frank J. Fabozzi, and Veysel Eraslanc, Economics Letters, 2017, Volume 161, Pages 5-9.

• 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.

• Bridging the gap: the design of bank loan contracts and distance. Arnt Verriest, Journal of Financial Economics, February 2016, Volume 119, Issue 2, Pages 399-419.