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 Oct 2012TL;DR: In this paper, the Cressie-Read family of discrepancies is considered and a family of convex functions that take into account higher moments of asset returns is proposed to solve the minimum discrepancy problem.
Abstract: Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum Discrepancy projections where misspecification is measured by a family of convex functions that take into account higher moments of asset returns. The Minimum Discrepancy problems are solved on dual spaces producing a family of estimators that captures the least-square problem as a particular case. We derive the asymptotic distributions of the estimators for the Cressie–Read family of discrepancies, and illustrate their use with an assessment of the Consumption Asset Pricing Model.
42 citations
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TL;DR: In this article, a qualitative approach with semi-structured interviews through the lens of the diffusion of innovations theory was adopted to understand emerging areas and technologies for digital entrepreneurship, and a structured process of open, axial, and selective coding was adopted for the thematic analysis.
42 citations
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TL;DR: In this paper, the authors derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money, and the model explains well the cross section of stock returns in addition to the excess market return.
Abstract: We derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money. The model explains well the cross section of stock returns in addition to the excess market return. The interest rate factor is priced and seems to drive most of the explanatory power of the model. In this model, both value stocks and past long-term losers enjoy higher average (excess) returns because they have higher interest rate risk than growth/past winner stocks. The model significantly outperforms the nested models (capital asset pricing model (CAPM) and consumption CAPM (CCAPM)) and compares favorably with alternative macroeconomic models.
41 citations
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TL;DR: In this paper, a survey of the 101 performance measures for portfolios that have been proposed so far in the scientific literature is presented, and a classification based on their objectives, properties and degree of generalization is provided.
Abstract: This paper performs a census of the 101 performance measures for portfolios that have been proposed so far in the scientific literature. We discuss their main strengths and weaknesses and provide a classification based on their objectives, properties and degree of generalization. The measures are categorized based on the general way they are computed: asset selection vs. market timing, standardized vs. individualized, absolute vs. relative and excess return vs. gain measure. We show that several categories have been exhausted while some others feature very heterogeneous ways to assess performance within the same sets of objectives.Note. The definitive version of this working paper was published by the "Journal of Performance Measurement" in two parts:- “The (more than) 100 Ways to Measure Portfolio Performance - Part 1: Standardized Risk-Adjusted Measures”, Journal of Performance Measurement, Vol. 13, N° 4, Summer 2009, pp. 56-71.- “The (more than) 100 Ways to Measure Portfolio Performance - Part 2: Special Measures and Comparison”, Journal of Performance Measurement, Vol. 14, N° 1, Fall 2009, pp. 56-69.
41 citations
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TL;DR: In this article, independent component analysis (ICA) was applied to Eurozone sovereign credit default swap (CDS) spreads during the Eurozone debt crisis to identify three factors that impact spreads and capture the features specific to the crisis.
41 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 |