Working paper

Author(s) : Ferhat Akbas
They appear to have information about these events several months before they become public. Most importantly, the cross-sectional relation between...
2013
Author(s) : Ekkehart Boehmer
They appear to have information about these events several months before they become public. Most importantly, the cross-sectional relation between...
2013
Author(s) : Bilal Erturk
They appear to have information about these events several months before they become public. Most importantly, the cross-sectional relation between...
2013
Author(s) : Sorin Sorescu
They appear to have information about these events several months before they become public. Most importantly, the cross-sectional relation between...
2013
Author(s) : Akindynos-Nikolaos Balta
First, we construct a very comprehensive set of time series momentum benchmark portfolios. Second, we provide evidence that CTAs follow timeseries...
2013
Author(s) : Robert Kosowski
First, we construct a very comprehensive set of time series momentum benchmark portfolios. Second, we provide evidence that CTAs follow timeseries...
2013
Author(s) : Attilio Meucci
We overlay a whole distribution of liquidity uncertainty on future market risk scenarios and we allow the liquidity uncertainty to vary from one...
2012
Author(s) : Joelle Miffre
The purpose of this article is to review this evolution and to give an assessment of index performance. Long-only second generation indices, which...
2012
Author(s) : Juha Joenvaara
By highlighting economically important effects of database selection bias on previously documented results we aim to improve the ability of...
2012
Author(s) : Robert Kosowski
By highlighting economically important effects of database selection bias on previously documented results we aim to improve the ability of...
2012
Author(s) : Pekka Tolonen
By highlighting economically important effects of database selection bias on previously documented results we aim to improve the ability of...
2012
Author(s) : Noel Amenc
By severely restricting the amounts invested in active strategies as a result of tight tracking error constraints, investors forgive an opportunity...
2012
Author(s) : Philippe Malaise
By severely restricting the amounts invested in active strategies as a result of tight tracking error constraints, investors forgive an opportunity...
2012
Author(s) : Lionel Martellini
By severely restricting the amounts invested in active strategies as a result of tight tracking error constraints, investors forgive an opportunity...
2012
Author(s) : Noel Amenc
These dynamic allocation strategies exploit the presence of mean-reversion in interest rates, equity Sharpe ratio and equity volatility. The...
2012
Author(s) : Romain Deguest
These dynamic allocation strategies exploit the presence of mean-reversion in interest rates, equity Sharpe ratio and equity volatility. The...
2012
Author(s) : Lionel Martellini
These dynamic allocation strategies exploit the presence of mean-reversion in interest rates, equity Sharpe ratio and equity volatility. The...
2012
Author(s) : Vincent Milhau
These dynamic allocation strategies exploit the presence of mean-reversion in interest rates, equity Sharpe ratio and equity volatility. The...
2012
Author(s) : Akindynos-Nikolaos Balta
Using a dataset with intra-day quotes of 12 futures contracts from November 1999 to October 2009, we investigate these dependencies and their...
2012
Author(s) : Robert Kosowski
Using a dataset with intra-day quotes of 12 futures contracts from November 1999 to October 2009, we investigate these dependencies and their...
2012

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