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.

A Pricing Framework for Real Estate Derivatives

Abstract: New methods are developed here for pricing the main real estate derivatives — futures and forward contracts, total return swaps, and options. Accounting for the incompleteness of this market, a suitable modelling framework is outlined that can produce exact formulae, assuming that the market price of risk is known. This framework can accommodate econometric properties of real estate indices such as predictability due to autocorrelations. The term structure of the market price of risk is calibrated from futures market prices on the Investment Property Databank index. The evolution of the market price of risk associated with all five futures curves during 2009 is discussed.

Money Laundering and Its Regulation

Abstract: The recent wave of terrorist attacks has increased the attention to money laundering activities, and the role played by the regulatory frameworks controlling feeder activities. We investigate empirically the determinants of money laundering and its regulation in close to 100 countries. We use various methodologies to put together a cross-country dataset on proxies for money laundering and construct specific money laundering regulation indices based on specific laws and their enforcement. Results show that tougher money laundering regulation, particularly those that criminalize feeding activities and improve disclosure, are linked to lower levels of money laundering across countries. The relevance of historical factors in explaining the variation of money laundering regulation across countries sheds light on the theories of institutions and provides room for further action, particularly in the areas of the law that reduce the burden of proof, increase the liability of intermediaries and improve disclosure.

Postmaterialism Influencing Total Entrepreneurial Activity Across Nations

Abstract: The relative stability of differences in entrepreneurial activity across countries suggests that other than economic factors are at play. The objective of this paper is to explore how postmaterialism may explain these differences. A distinction is made between nascent entrepreneurship, new business formation and a combination of the two, referred to as total entrepreneurial activity, as defined within the Global Entrepreneurship Monitor (GEM). The model is also tested for the rate of established businesses. The measure for postmaterialism is based upon Inglehart’s four-item postmaterialism index. A set of economic, demographic and social factors is included to investigate the independent role postmaterialism plays in predicting entrepreneurial activity levels. In particular, per capita income is used to control for economic effects. Education rates at both secondary and tertiary levels are used as demographic variables. Finally, life satisfaction is included to control for social effects. Data from 27 countries (GEM, World Values Survey and other sources) are used to test the hypotheses. Findings confirm the significance of postmaterialism in predicting total entrepreneurial activity and more particularly, new business formation rates.

Does Finance Theory Make the Case forCapitalization-Weighted Indexing?

Abstract: Indexers often evoke financial theory to claim that cap-weighted stock market indices are good investment choices. This article analyzes the existing literature to see whether the recommendation of holding cap-weighted indices is indeed grounded in financial theory. Although the capital asset pricing model (CAPM) theory does lead to a recommendation to hold the market portfolio, the model’s practical relevance is limited by its unrealistic assumptions. If we relax those assumptions, theory does not predict that the market portfolio is efficient. In addition, the CAPM also fails in empirical tests, showing that it is not the true asset pricing model. Even if the CAPM were the true model, and the market portfolio was efficient, a stock market index is a very poor proxy for the market portfolio, because it includes only a fraction of the economy-wide wealth. Thus, from a theoretical perspective, cap-weighted stock market indices seem to have no particular appeal.

The Divergence of Legal Procedures

Abstract: dural formalism every year since 1950 We find that large differences in procedural formalism between common and civil law countries existed in 1950 and widened by 2000 For this area of law, the find ings are inconsistent with the hypothesis that national legal systems are converging, and support the view that legal origins exert long lasting influence on legal rules (JEL K41, 017) oth the standard historical narrative and recent empirical research show that national legal systems vary systematically according to the legal traditions or origins that countries belong to In particular, both substantive and procedural legal rules and regulations of civil (or Roman) law countries differ systematically from those of common (or English) law countries (Konrad Zweigert and Hein Kotz 1998; La Porta, Lopez-de-Silanes, and Shleifer 2008) The observed variation raises a number of questions Are these observed differences in laws and regulations merely a figment of recent data, or have they been present historically as well? Are legal rules coming from different legal traditions converging? Answers to these questions are central to the interpretation of legal origins, since some degree of permanence of their influence is central to the accounts of why they matter today In addition, we wish to know which factors economic, political, or even internal to the legal system itself determine the nature and the pace of legal change In this paper, we examine the design of the legal process for civil litigation in 40 countries between 1950 and 2000 We focus on civil procedure, defined as the "body of law concerned with methods, procedures and practices used in civil liti