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.

The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas

Abstract: Most previous tests of hedge fund performance have failed to model the exposure of hedge fund returns to systematic non-normality risks, nor have they taken the tactical asset allocation decisions of hedge funds managers into account. This paper shows that failure to account for these features leads to incorrect statistical inferences on the performance of 1 out of 4 hedge funds and overstates hedge funds' alpha by 1.54% on average. Put another way, hedge funds offer abnormal returns that are 23.1% lower than commonly accepted.

Sustainable, hedonic and efficient: Interaction effects between product properties and consumer reviews on post-experience responses

Abstract: Purpose – This paper aims to investigate the influence of consumer reviews on the evaluation, post-experience, of products with a combination of sustainable, hedonic and utilitarian properties Design/methodology/approach – In the first instance, consumer reviews for organic and non-organic cosmetics posted on the French Web site beaute-testcom were analyzed Second, a full-factorial two product types (organic and non-organic) × three reviews (positive, negative and no reviews) experiment was conducted Sixty French women tested a beauty product and evaluated it on hedonic and utilitarian (ambiguous and non-ambiguous) properties In a second experiment, 132 English-speaking students evaluated an herbal tea at home, along a full-factorial two product types (fair-trade and non-fair-trade) × three product properties (hedonic, utilitarian ambiguous and utilitarian non-ambiguous) × two reviews (negative review and no review) between-subject design Findings – First, consumers are significantly less influenced

Recent advancements in robust optimization for investment management

Abstract: Robust optimization has become a widely implemented approach in investment management for incorporating uncertainty into financial models. The first applications were to asset allocation and equity portfolio construction. Significant advancements in robust portfolio optimization took place since it gained popularity almost two decades ago for improving classical models on portfolio optimization. Recently, studies applying the worst-case framework to bond portfolio construction, currency hedging, and option pricing have appeared in the practitioner-oriented literature. Our focus in this paper is on recent advancements to categorize robust optimization models into asset allocation at the asset class level and portfolio selection at the individual asset level, and we further separate robust portfolio selection approaches specific to each asset class. This organization provides a clear overview on how robust optimization is extensively implemented in investment management.

Leaks, legislation and freedom of speech: how can the law effectively promote public interest whistleblowing

Abstract: In this article we outline the differences between leaking and whistleblowing, and provide possible justifications for leaking. We argue that, as a matter of principle, leaking information outside an organization will normally not further any public interest and should only be used as a last resort where problems have not been resolved internally. As uncontrolled leaking may be hazardous, we believe that the opportunity to blow the whistle in accordance with structured procedures offers a more satisfactory mechanism for exposing financial and other forms of wrongdoing (Carr and Lewis 2010). Next we describe how freedom of speech, whistleblowing legislation and internal reporting procedures provide alternatives to leaking and explain how they all operate unsatisfactorily in certain respects. In our analysis we refer to international conventions and the laws of four countries (USA, UK, France and Germany) that we consider representative of the different approaches to the treatment of whistleblowers. In conclusion, we suggest that regimes which are aimed at encouraging public interest disclosures through organizational insiders need improvement. Without this, unauthorized leaking could be tolerable in certain situations. Finally, we observe that public interest disclosure regimes need to take the human right dimension into account

Noncognitive Abilities and Financial Distress: Evidence from a Representative Household Panel

Abstract: This paper provides evidence of how noncognitive abilities affect financial distress. In a representative panel of households, we find that people in the bottom quintile of noncognitive abilities are 10 times more likely to experience financial distress than those in the top quintile. We provide evidence that this relation largely arises from worse financial choices and lack of financial insight by low-ability individuals and reflects differential exposure to income shocks only to a lesser degree. We mitigate endogeneity concerns using an IV approach and an extensive set of controls. Implications for policy and finance research are discussed.Received September 24, 2017; editorial decision September 26, 2018 by Editor Stijn Van Nieuwerburgh. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.