EFMA

European Financial Management Symposium 2008
Risk and Asset Management
April 17-19, 2008
EDHEC, NICE, FRANCE


Accepted Papers & Participants List

A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Participants

Paper


A


Almeida Caio, Vincente Jose
Email: calmeida@fgv.br
The Role of No-arbitrage on Forecasting: Lessons from a Parametric Term Structure Model


Arnott Robert, Hsu Jason
Email: arnott@rallc.com
Does Noise Create the Size and Value Effects?


Basu Devraj, Martellini Lionel
Email: devraj.basu@edhec-risk.com
Total Volatility and the Cross Section of Expected Stock Returns


B


Basu Devraj, Martellini Lionel
Email: devraj.basu@edhec-risk.com
Total Volatility and the Cross Section of Expected Stock Returns


Berg Tobias, Kaserer Christoph
Email: tobias.berg@wi.tum.de
A New Approach for Estimating the Equity Premium based on Credit Valuations


Bodson Laurent, Coen Alain
Email: Laurent.Bodson@ulg.ac.be
Dynamic Hedge Fund Style Analysis with Errors in Variables


Boulier Jean-Francois, Briere Marie
Email: jean-francois.boulier@caam.com
Do Leveraged Credit Derivatives Modify Credit Asset  Allocation ?


C


Chretien Stephane, Ahn Dong-Hyun
Email: stephane.chretien@fsa.ulaval.ca
Portfolio Performance Measurement: A No Arbitrage Bounds Approach


Chung Sam, Tindall Michael
Email: sam.chung@liu.edu
Does Idiosyncratic Risk Matter in Hedge Fund?  Institutional Investor's View


D


Duellmann Klaus, Kuell Jonathan
Email: klaus.duellmann@bundesbank.de
Estimating Asset Correlations From Stock Prices or Default Rates--Which Method is Superior?


E


F


Faff Robert, Parwada Jerry
Email: Robert.Faff@BusEco.monash.edu.au
Fund Managers' Institutional Background and the Birth of Investment Management Companies


G


Goltz Félix, Amenc Noël
Email:
The Performance of Fundamentally Weighted Indices


H


Heyman Dries, Annaert Jan
Email: dries.heyman@ugent.be
Disposition bias and overconfidence in institutional trades


I


J


Jun Derek, Malkiel Burton
Email:derek_jun@ml.com
New Paradigms in Stock Market Indexing


J.F. Boulier, M. Brière and J.R. Viala
Email:jean-françois.boulier@caam.com
Do Leveraged Credit Derivatives Modify Credit Allocation?


K


Kazemi Hossein, Li Ying
Email:yingl@iusb.edu
Compensation Option, Managerial Incentive, and Risk-Shifting in Hedge Funds


L


Lehnert Thorsten, Honcoop Daphne
Email: t.lehnert@finance.unimaas.nl
Can Sentiment be predicted to have Cross-Sectional Effects?


Li Minnoyuan
Email: lmyleon@mail.ncku.edu.tw
Volatility Regimes and Cross-market Correlation Dynamics in the Determination of the Optimal International Equity Portfolio


Lohre Harald, Neumann Thorsten
Email: harald.lohre@googlemail.com
Portfolio Construction with Downside Risk


M


Mellios Constantin, Six Pierre
Email: constantin.mellios@univ-paris1.fr
Optimal dynamic strategies in commodity futures markets with a stochastic convenience yield


Miffre Joelle, Li Xiafei
Email: Joelle.Miffre@edhec.edu
The value premium and time-varying idiosynchratic risk


Munk Claus, Nielsen Linda Sandris
Email: cmu@sam.sdu.dk
Dynamic Asset Allocation with Time-Varying Investment Opportunities: How Costly are Deviations from the Optimal Investment Strategy?


N


Natale Francesco, Braga Maria Debora
Email: francesco.natale@unimib.it
TEV Sensitivity to Views in Black-Litterman Model


O


O'Sullivan Niall, Cuthbertson Keith
Email: niall.osullivan@ucc.ie
Mutual Fund Performance: Skill or Luck ?


P


Papageorgiou Nicolas, Remillard Bruno
Email: nicolas.papageorgiou@hec.ca
Replicating the statistical properties of hedge fund returns


Poti Valerio, Levich Richard
Email: valerio.poti@dcu.ie
Predictability and 'Good Deals' in Currency Markets


Prokopczuk Marcel, Paschke Raphael
Email: prokopczuk@uni-mannheim.de
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics


Q


R


Robe Michel, Buyuksahin Bahattin
Email: mrobe@american.edu
Commodities and Equities: A "Market of One?"


S


Signori Ombretta, Briere Marie
Email: ombretta.signori@caam.com
Do Inflation-Linked Bonds Still Diversify?


Sun Wei, Rechev Svetlozar
Email: wei.sun@statistik.uni-karlsruhe.de
Determining and Forecasting High-Frequency Value at Risk by Using Levy Processes


T


Todorovic Natasa, Clare Andrew
Email: n.todorovic@city.ac.uk
The Impact of Manager Changes on Fund Performance


U


V


W


X


Y


Z