Publications des institutions partenaires
Beta-arbitrage strategies: when do they work, and why?
Contrary to what traditional asset pricing would imply, a strategy that bets against beta, by going long in low beta stocks and short in high beta stocks, tends to outperform the market. We consider a market in which diversity is maintained, i.e. no single stock can dominate the entire market, and we show that beta-arbitrage strategies mechanically out-perform the market portfolio....
Institution partenaire
English / 01/01/2015
Apathy and noradrenaline; silent partners to mild cognitive impairment in parkinsons's disease?
The search for PD-MCI biomarkers has employed an array of neuroimaging techniques, but still yields divergent findings. This may be due in part to MCI's broad definition, encompassing heterogeneous cognitive domains, only some of which are affected in Parkinson's disease. Most domains falling under the MCI umbrella include fronto-dependent executive functions, whereas...
Institution partenaire
English / 01/01/2015
Transaction-based and appraisal-based capitalization rate determinants
Institution partenaire
English / 01/01/2014
The effect of lock-ups on the suggested real estate portfolio weight
Institution partenaire
English / 01/01/2014
Integration of sovereign bonds markets: time variation and maturity effects
Institution partenaire
English / 01/01/2014
Contagion Channels between Real Estate and Financial Markets
Institution partenaire
English / 01/01/2014
Beta-Arbitrage strategies: when do they work, and why ?
Institution partenaire
English / 01/01/2014
Margining in derivatives markets and the stability of the banking sector
We investigate the effects of margining, a widely-used mechanism for attaching collateral to derivatives contracts, on derivatives trading volume, default risk, and on the welfare in the banking sector. First, we develop a stylized banking sector equilibrium model to develop some basic intuition of the effects of margining. We find that a margin requirement can be privately and...
Institution partenaire
English / 01/01/2013
Liquidity Risk, Return Predictability, and Hedge Funds' Performance: An Empirical Study
This article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to Avramov, Kosowski, Naik, and Teo (2007),(2011), we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios that incor- porate predictability in managerial skills generate superior performance. This outperfor-mance disappears or weakens...
Institution partenaire
English / 01/01/2013
Preferences for Truthfulness: Heterogeneity among and within Individuals
We conduct an experiment assessing the extent to which people trade off the economic costs of truthfulness against the intrinsic costs of lying. The results allow us to reject a type-based model. People's preferences for truthfulness do not identify them as only either "economic types" (who care only about consequences) or "ethical types" (who care only about...
Institution partenaire
English / 01/01/2013
Do Implicit Barriers Matter for Globalization?
Market liberalization may not result in full market integration if implicit barriers are important. We test this proposition for investable and non-investable segments of twenty- two emerging markets (EMs). We also measure the degree of integration for six major developed markets (DMs) as a meaningful benchmark. We find that while the DMs are close to fully integrated, both EM...
Institution partenaire
English / 01/01/2013
Liquidity Risk, Return Predictability, and Hedge Funds’ Performance: An Empirical Study
This article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to Avramov, Kosowski, Naik, and Teo (2007),(2011), we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios that incor- porate predictability in managerial skills generate superior performance. This outperfor-mance disappears or weakens...
Institution partenaire
Français / 01/01/2013
Volatility spillovers, comovements and contagion in securitized real estate markets
Institution partenaire
English / 01/01/2013
Valuing American options using fast recursive projections
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients of the representation from one date to the previous one by an explicit recursion formula....
Institution partenaire
English / 01/01/2012
Technical trading revisited: false discoveries,persistence tests, and transaction costs
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows diversifying against model uncertainty. Persistence tests show that, even with the more...
Institution partenaire
English / 01/01/2012
Fractional cointegration analysis of securitized real estate
Institution partenaire
English / 01/01/2012
Incomplete information, idiosyncratic volatility and stock returns
Institution partenaire
English / 01/01/2011
Time-varying risk premium in large cross-sectional equity datasets
Institution partenaire
English / 01/01/2010
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