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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01 Jan 2020TL;DR: In this article, the core entity of the family business as object of divestment from the Real Options and Regret theoretical lenses is discussed, with case vignettes around configurations of divested options, their valuation, and their influence in different emotional family business archetypes.
Abstract: Divestments have received little attention in family business research, although representing one of the most important strategic and financial decisions. Additionally, they have been insufficiently studied from the owning family's emotional perspective. This chapter contributes in filling these gaps by focusing on the core entity of the family business as object of divestment from the Real Options and Regret theoretical lenses. It suggests a characterization of the family business divestment decision and a series of propositions with case vignettes around configurations of divestment options, their valuation, and influence in different emotional family business archetypes.
10 citations
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TL;DR: In this article, a review of recent academic studies that analyze the performance of long-short strategies in commodity futures markets is presented, focusing on the strategies based on roll-yields, inventory levels or hedging pressure.
Abstract: This article reviews recent academic studies that analyze the performance of long-short strategies in commodity futures markets. Special attention is devoted to the strategies based on roll-yields, inventory levels or hedging pressure that directly arise from the theory of storage and the hedging pressure hypothesis. Alternative strategies based on past performance, risk, value, skewness, liquidity or inflation betas are also studied, alongside with recent attempts to enhance performance by modifying or combining the original signals. Overall, the literature highlights the superiority of being long-short in commodity futures markets relative to being long-only.
10 citations
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31 Jan 2019TL;DR: The authors argue that owing to the unique nature of financial information, financial data science should be considered a field in its own right and not just an application of data science methods to finance.
Abstract: The authors situate financial data science within the broader history of econometrics and argue that its ascendance marks a reorientation of the field toward a more empirical and pragmatic stance. They also argue that owing to the unique nature of financial information, financial data science should be considered a field in its own right and not just an application of data science methods to finance.
10 citations
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TL;DR: In this paper, the authors discuss the investment policy and the methodology for the valuation of the liabilities of the Pension Benefit Guaranty Corporation (PBGC), and offer suggestions as to how the PBGC should consider modifying the Pension Insurance Modeling System.
Abstract: We discuss pension system risk in the United States by focusing on the investment policy and the methodology for the valuation of the liabilities of the Pension Benefit Guaranty Corporation (PBGC). We offer suggestions as to how the PBGC should consider modifying the Pension Insurance Modeling System. The issues of investment policy and liability valuation are not two distinct topics. As emphasized here, the proper valuation of liabilities provides a benchmark for the PBGC to use as a starting point for the establishment of its investment policy and then for assessing investment performance.
10 citations
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TL;DR: In this article, the authors investigated the return links and volatility transmission between five major equity markets of the Latin American region and the USA over the period 1993-2012, using a multivariate vector autoregressive moving average (VAR-GARCH) methodology, which allows for cross-market transmissions in both return and volatility.
Abstract: Purpose – This paper aims to investigate the return links and volatility transmission between five major equity markets of the Latin American region and the USA over the period 1993-2012. Design/methodology/approach – The authors employ a multivariate vector autoregressive moving average – generalized autoregressive conditional heteroskedasticity (VAR-GARCH) methodology which allows for cross-market transmissions in both return and volatility. Moreover, we show how the obtained results can be used to design internationally diversified portfolios involving the Latin American assets and to analyze the effectiveness of hedging strategies. Findings – The results point to the existence of substantial cross-market return and volatility spillovers and are thus crucial for international portfolio management in the Latin American region. However, the intensity of shock and volatility cross effects varies across the studied markets. Research limitations/implications – The optimal weights and hedging ratios that we ...
10 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 |