Institution
EDHEC Business School
Education•Roubaix, France•
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.
Topics: Portfolio, Capital asset pricing model, Volatility (finance), Risk premium, Asset allocation
Papers published on a yearly basis
Papers
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TL;DR: A modeling method based on a biclustering technique that seeks out groups of firms that are each characterized by a well-defined subset of variables and on an ensemble technique that is used to embody the full diversity of all bankruptcy situations that belong to each bicluster as precisely as possible is proposed.
Abstract: Most bankruptcy prediction models that have been analyzed in the literature, and that are estismated using ensemble-based techniques, are still not able to fully embody the true diversity of firm bankruptcy situations. Indeed, these models try to assess all bankruptcy situations either mostly using the same set of variables (bagging, boosting), or using the same set of observations (random subspace). In the first case, an ensemble assumes that any symptom of failure has the same origin. In the second case, it assumes that any financial situation that can lead to failure is the same for all firms. However, there are many situations where these two assumptions do not hold and where a state of bankruptcy may be specific to a given subgroup of firms or may be explained by a particular subset of variables. Certain methods, such as random forest or rotation forest, which combine the characteristics of both random subspace and bagging appear as solutions to this issue. However, they do not always perform significantly better than other ensemble models do. This is why we propose a modeling method that attempts to overcome the limitations of the previous models. It is based on a biclustering technique that seeks out groups of firms that are each characterized by a well-defined subset of variables and on an ensemble technique that is used to embody the full diversity of all bankruptcy situations that belong to each bicluster as precisely as possible. We show how the complementarity between these two techniques can improve forecasts.
16 citations
01 May 2003
TL;DR: In this article, a revue de la litterature anglo-saxonne is presented, which etudie l'effet sur les comportements du controle par les resultats and du controLE social.
Abstract: Se placant dans le champ du controle organisationnel, ce papier presente une revue de la litterature anglo-saxonne qui etudie l'effet sur les comportements du controle par les resultats et du controle social. Une reflexion est menee sur les apports possibles des approches configurationnelles a ce domaine de recherche.
15 citations
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TL;DR: Based on Corporate Social Responsibility (CSR) strength and concern ratings, the authors sort stocks into portfolios based on their size and strength ratings and size and concern rating, and show that traditional systematic factors and firm characteristics leave a large fraction of the portfolios' excess returns unexplained.
Abstract: Based on Corporate Social Responsibility (CSR) strength and concern ratings, we sort stocks into portfolios based on their size and strength ratings and size and concern ratings. We show that traditional systematic factors and firm characteristics leave a large fraction of the portfolios' excess returns unexplained. We present empirical evidence that a three factor model is able to explain 94% of the cross sectional variation in these portfolios excess returns. These systematic factors are motivated by a principal component analysis of the returns on the responsibility portfolios. One factor is related to portfolios' characteristics (size) and two factors are related to CSR strengths (High minus Low rating along this dimension) and CSR concerns. Market prices of risk changed tremendously during the 1992-2013 period. As of June 2013, we show that firms highly rated along CSR strengths see their cost of capital reduced by 1.2% on a yearly basis while companies highly rated along the CSR concern dimension see their cost of capital increased by 1.5%.
15 citations
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TL;DR: In this article, the authors investigated hedge fund performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama and French (1998), Agarwal and Naik (2000) models and a new factor that take into account the fact that some hedge funds invest in emerging market bond.
Abstract: Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama and French (1998), Agarwal and Naik (2000) models and a new factor that take into account the fact that some hedge funds invest in emerging market bond. We find out that our combined model is able to explain a significant proportion of the variation in hedge fund returns over time. This latter particularly suits for Event-Driven, Global Macro, US Opportunistics, Equity non-Hedge and Sector funds. We analyse the performance of hedge funds and the persistence in performance for different subperiods including the Asian Crisis period. Then, after having studied dissolution frequencies, we made the same calculations for several individual hedge fund strategies. We showed there is a proof of persistence in performance in some cases but that persistence is not always constant over time.
15 citations
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TL;DR: What biometric data entails and how it may be used is described, opportunities associated with usingBiometric data in various business applications are described, and potential for reduced inclusiveness and enhanced biases is discussed.
15 citations
Authors
Showing all 311 results
Name | H-index | Papers | Citations |
---|---|---|---|
Lionel Martellini | 67 | 204 | 43434 |
Frank J. Fabozzi | 60 | 845 | 15469 |
Christophe Croux | 55 | 296 | 12839 |
Giuseppe Bertola | 53 | 231 | 12704 |
Jeffrey J. Reuer | 53 | 180 | 11133 |
Florencio Lopez-de-Silanes | 49 | 107 | 76801 |
Jakša Cvitanić | 43 | 127 | 6500 |
Mohamed El Hedi Arouri | 43 | 212 | 7460 |
Martin Wetzels | 41 | 117 | 11718 |
René Garcia | 40 | 172 | 7026 |
Raman Uppal | 39 | 111 | 8697 |
Ekkehart Boehmer | 38 | 81 | 8493 |
Maurizio Zollo | 34 | 96 | 13546 |
Laurent E. Calvet | 33 | 98 | 5718 |
Wolfgang Ulaga | 31 | 58 | 9609 |