EDHEC Business School

About: EDHEC Business School is a education organization based out in Roubaix, France. It is known for research contribution in the topics: Portfolio & Capital asset pricing model. The organization has 294 authors who have published 1749 publications receiving 42687 citations. The organization is also known as: Ecole des Hautes Etudes Commerciales du Nord & EDHEC Business School.

Smart Money or Smart about Money? Evidence from Hedge Funds

Abstract: 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 concentrates in low-flow-impact funds and earns a premium of 6.5% annually over 1999-2008, after controlling for various risk factors and trading restrictions. Although the effect is strongly apparent for outflows, the analysis shows that a smarter-money-conscious long-only-investment portfolio significantly outperforms the hedge-fund index. The paper suggests that the smart-money effect is not necessarily indicative of superior investor ability to predict manager skill, but rather may reflect the ability of some investors to predict the behavior of other investors whose flow affects fund return.

What Do Measures of Real-Time Corporate Sales Tell Us About Earnings Surprises and Post-Announcement Returns?

Abstract: We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain information from both the earnings quarter (“within quarter”) and the period between that quarter’s end and the earnings announcement date (“post quarter”). Our within-quarter measure is powerful in explaining quarterly sales growth, revenue surprises and earnings surprises, generating average excess announcement returns of 3.4%. However, surprisingly, our post-quarter measure is related negatively to announcement returns, and positively to post-announcement returns. When post-quarter private information is positive, managers, at announcement, provide pessimistic guidance and use negative language. This effect is more pronounced when, post-announcement, management insiders trade. We conclude managers do not fully disclose their private information and instead bias their disclosures down when in possession of positive private information. The data suggest they may be motivated in part by subsequent personal stock-trading opportunities.

Factor based commodity investing

Abstract: A multi-factor commodity portfolio combining the momentum, basis, basis-momentum, hedging pressure and value commodity factor portfolios outperforms significantly, economically and statistically, widely used commodity benchmarks. We find evidence that a variance timing strategy applied to commodity factor portfolios generates timing gains for the commodity momentum factor but not the other commodity factors. Dynamic commodities strategies based on commodity factor return prediction models provide little value added.

Estimation Risk in Financial Risk Management: A Correction

Abstract: Christoffersen and Goncalves (2005) study the effect of parameter estimation error in computing Value at Risk and Expected Shortfall through commonly used methods including the Cornish-Fisher/Gram-Charlier approximations approach. We provide a correction to the expression used for the computation of the Expected Shortfall under the Cornish-Fisher/Gram-Charlier approximations and illustrate the effect of the error found in assessing the accuracy of Expected Shortfall point forecasts.