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: In this paper, the authors attempted to identify key problems faced and solutions employed by acquirers during the stages of the acquisition process for domestic and cross-border deals, which was then interpreted from a learning perspective.
230 citations
TL;DR: In this article, the authors investigate the responses of European sector stock markets to oil price changes using linear and asymmetric models and find strong evidence of asymmetry in the reaction of stock returns to changes in the price of oil.
223 citations
TL;DR: An embeddedness framing of governance and opportunism towards a cross-nationally accommodating theory of agency is proposed in this article, where the authors propose an embeddedness framework of governance.
Abstract: An embeddedness framing of governance and opportunism : towards a cross-nationally accommodating theory of agency
210 citations
TL;DR: In this paper, an alternative regime-switching copula model that includes one normal regime in which dependence is symmetric and a second regime characterized by asymmetric dependence is proposed, and applied to international equity and bond markets, to allow for intermarket movements.
Abstract: Common negative extreme variations in returns are prevalent in international equity markets. This has been widely documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime-switching models. We point to limits of these tools to characterize extreme dependence and propose an alternative regime-switching copula model that includes one normal regime in which dependence is symmetric and a second regime characterized by asymmetric dependence. We apply this model to international equity and bond markets, to allow for inter-market movements. Empirically, we find that dependence between international assets of the same type is strong in both regimes, especially in the asymmetric one, but weak between equities and bonds, even in the same country.
198 citations
TL;DR: In this article, the authors examined value and momentum effects in 18 emerging stock markets using stock level data from January 1990 to December 2011, and found strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe.
197 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 |