Note: Authors can update the version of their paper(s) on this webpage by sending it directly to: Rajat Kadia
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PARTICIPANTS
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PAPERS
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Almeida Caio, Vincente Jose
Email: calmeida@fgv.br
The Role of No-arbitrage on Forecasting: Lessons from a Parametric Term Structure Model
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Arnott Robert, Hsu Jason
Email: arnott@rallc.com
Does Noise Create the Size and Value Effects?
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Alexander Gordon , Alexandre M. Baptista, Shu Yan
Email: gjalex@umn.edu
Risk Management with Value-at-Risk and Stress Testing:An Alternative to Conditional Value-at-Risk?
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B
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Basu Devraj, Martellini Lionel
Email: devraj.basu@edhec-risk.com
Total Volatility and the Cross Section of Expected Stock Returns
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Berg Tobias, Kaserer Christoph
Email: tobias.berg@wi.tum.de
A New Approach for Estimating the Equity Premium based on Credit Valuations
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Bodson Laurent, Coen Alain
Email: Laurent.Bodson@ulg.ac.be
Dynamic Hedge Fund Style Analysis with Errors in Variables
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Boulier Jean-Francois, Briere Marie
Email: jean-francois.boulier@caam.com
Do Leveraged Credit Derivatives Modify Credit Asset Allocation ?
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Briere Marie, Ombretta Signori
Email: marie.briere@caam.com
Do Inflation-Linked Bonds Still Diversify?
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C
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Chretien Stephane, Ahn Dong-Hyun
Email: stephane.chretien@fsa.ulaval.ca
Portfolio Performance Measurement: A No Arbitrage Bounds Approach
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Chung Sam, Tindall Michael
Email: sam.chung@liu.edu
Does Idiosyncratic Risk Matter in Hedge Fund? Institutional Investor's View
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D
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Duellmann Klaus, Kuell Jonathan
Email: klaus.duellmann@bundesbank.de
Estimating Asset Correlations From Stock Prices or Default Rates--Which Method is Superior?
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F
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Faff Robert, Parwada Jerry
Email: Robert.Faff@BusEco.monash.edu.au
Fund Managers' Institutional Background and the Birth of Investment Management Companies
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Goltz Félix, Amenc Noël
Email:
The Performance of Fundamentally Weighted Indices
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Garcia René, Tsafack Georges
Email:Rene.Garcia@edhec.edu
Dependence Structure and Extreme Comovements in International Equity and Bond Markets with Portfolio Diversification Effects
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Heyman Dries, Annaert Jan
Email: dries.heyman@ugent.be
Disposition bias and overconfidence in institutional trades
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J
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Jun Derek, Malkiel Burton
Email:jjun@princeton.edu
New Paradigms in Stock Market Indexing
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Kazemi Hossein, Li Ying
Email:yingl@iusb.edu
Compensation Option, Managerial Incentive, and Risk-Shifting in Hedge Funds
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Lehnert Thorsten, Honcoop Daphne
Email: t.lehnert@finance.unimaas.nl
Can Sentiment be predicted to have Cross-Sectional Effects?
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Li Minnoyuan
Email: lmyleon@mail.ncku.edu.tw
Volatility Regimes and Cross-market Correlation Dynamics in the Determination of the Optimal International Equity Portfolio
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Lohre Harald, Neumann Thorsten
Email: harald.lohre@googlemail.com
Portfolio Construction with Downside Risk
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M
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Mellios Constantin, Six Pierre
Email: constantin.mellios@univ-paris1.fr
Optimal dynamic strategies in commodity futures markets with a stochastic convenience yield
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Miffre Joelle, Li Xiafei
Email: Joelle.Miffre@edhec.edu
The value premium and time-varying idiosynchratic risk
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Natale Francesco, Braga Maria Debora
Email: francesco.natale@unimib.it
TEV Sensitivity to Views in Black-Litterman Model
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O'Sullivan Niall, Cuthbertson Keith
Email: niall.osullivan@ucc.ie
Mutual Fund Performance: Skill or Luck ?
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Papageorgiou Nicolas, Remillard Bruno
Email: nicolas.papageorgiou@hec.ca
Replicating the statistical properties of hedge fund returns
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Poti Valerio, Levich Richard
Email: valerio.poti@dcu.ie
Predictability and 'Good Deals' in Currency Markets
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Prokopczuk Marcel, Paschke Raphael
Email: prokopczuk@uni-mannheim.de
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
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Robe Michel, Buyuksahin Bahattin
Email: mrobe@american.edu
Commodities and Equities: A "Market of One?"
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Signori Ombretta, Briere Marie
Email: ombretta.signori@caam.com
Do Inflation-Linked Bonds Still Diversify?
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Sun Wei, Rechev Svetlozar
Email: wei.sun@statistik.uni-karlsruhe.de
Determining and Forecasting High-Frequency Value at Risk by Using Levy Processes
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Todorovic Natasa, Clare Andrew
Email: n.todorovic@city.ac.uk
The Impact of Manager Changes on Fund Performance
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