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
More filters
••
TL;DR: In this article, a time-varying CAViaR model whose parameters vary according to the evolution of the index is proposed, which can do a better job for VaR prediction when there are spillover effects from one market or market segment to other markets or market segments.
Abstract: Instead of assuming the distribution of return series, Engle and Manganelli (2004) propose a new Value-at-Risk (VaR) modeling approach, Conditional Autoregressive Value-at-Risk (CAViaR), to directly compute the quantile of an individual asset's returns which performs better in many cases than those that invert a return distribution. In this paper we explore more flexible CAViaR models that allow VaR prediction to depend upon a richer information set involving returns on an index. Specifically, we formulate a time-varying CAViaR model whose parameters vary according to the evolution of the index. The empirical evidence reported in this paper suggests that our time-varying CAViaR models can do a better job for VaR prediction when there are spillover effects from one market or market segment to other markets or market segments.
23 citations
••
TL;DR: In this article, the authors provide estimates of stock sensitivity to changes in nominal and real interest rates and expected inflation and examine whether government regulation, cyclicality of future cash flows and growth versus value characteristics of stocks can explain the differences in interest rate sensitivities across stocks.
Abstract: Knowledge of the interest rate sensitivity of stocks is important in many areas of investment and finance. This paper makes three contributions to the existing literature: (a) it provides estimates of stock sensitivity to changes in nominal and real interest rates and expected inflation (b) it provides estimates of the degree of indexation of future growth expectations to changes in nominal and real interest rates and expected inflation and (c) examines whether government regulation, cyclicality of future cash flows and growth versus value characteristics of stocks can explain the differences in interest rate sensitivities across stocks.
23 citations
•
01 Oct 2010TL;DR: In this paper, investment industry players, observers, recruiters, and academics are asked to offer their opinions and ideas about what they think the most profound changes are going to be.
Abstract: The investment industry was severely affected by the global financial crisis of 2007–2009, and changes will have to occur. In this monograph, investment industry players, observers, recruiters, and academics are asked to offer their opinions and ideas about what they think the most profound changes are going to be.
23 citations
•
TL;DR: The purpose of this article is to present this concept which is still underestimated and to analyze the factors which stimulate it, as well as a model which highlights the factors infl uencing a patient's decision to seek healthcare abroad.
Abstract: Even if its roots date back to Antiquity, medical tourism is a very recent concept and refers to patients taking advantage of medical services abroad and their rehabilitation in an environment diff erent from that of their everyday lives. Several factors have led to this recent phenomenon: modern communication tools (Internet), high quality healthcare services in medical tourism destinations (highly-qualifi ed physicians and modern facilities), low prices in order to attract tourist-patients (services must be substantially cheaper) and ease of travel (fl ights are ubiquitous, discounted and patients are taken in charge at their arrival). Consequently, the numbers speak for themselves. A report by Deloitte and Touche portrays North Americans looking abroad for medical treatment by specifying that \"6 million Americans will receive treatment in a foreign country in 2010 and 10 million in 2012\". It is in this context that we have decided to explore this fi eld of research. Th e purpose of this article is, fi rst, to present this concept which is still underestimated and, second, to analyze the factors which stimulate it, as well as a model which highlights the factors infl uencing a patient's decision to seek healthcare abroad. Even though this may be a risky endeavor for consumers, \"medical tourism is in good health\".
23 citations
••
TL;DR: In this paper, the effect of transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost gives rise to endogenous variations in liquidity.
Abstract: In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has multiple investors with stochastic labor income, heterogeneous beliefs, and heterogeneous Epstein-Zin-Weil utility functions. The transaction cost gives rise to endogenous variations in liquidity. We show how equilibrium in this incomplete-markets economy can be characterized and solved for in a recursive fashion. We have three main findings. One, costs for trading a stock lead to a substantial reduction in the trading volume of that stock, but have only a small effect on the trading volume of the other stock and the bond. Two, even in the presence of stochastic labor income and heterogeneous beliefs, transaction costs have only a small effect on the consumption decisions of investors, and hence, on equity risk premia and the liquidity premium. Three, the effects of transaction costs on quantities such as the liquidity premium are overestimated in partial equilibrium relative to general equilibrium.
23 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 |