Research Centre Publications

We develop a hybrid model that relies on the nonlinear classification Decision Tree (DT) approach but also on multivariate predictive regressions to aid implement a size rotation strategy in the U.S. equity markets.

The purpose of this publication, which is drawn from the AXA Investment Managers research chair at EDHEC-Risk Institute on “Regulation and Institutional Investment”, is to examine the role of pension systems in the dinancing of current and future standards of living in Asia’s ageing nations and to study the potential contribution of scientific asset management to the challenges faced by the region’s pension reserve funds and funded pension schemes.

This paper argues that inflation-linked bonds, in addition to being attractive for issuing corporations, are also attractive for investors such as pension funds facing long-term inflation-linked liabilities.

Traditional risk modeling using Value-at-Risk (VaR) is widely viewed as ill equipped for dealing with tail risks. As a result, scenario-based portfolio stress testing is increasingly being promoted as central to the risk management process.

The authors study whether investors can exploit stock return serial dependence to improve out-ofsample portfolio performance.

The present publication, “Hedging versus Insurance: Long-Horizon Investing with Short-Term Constraints,” was produced as part of the BNP Paribas Investment Partners research chair at EDHEC-Risk Institute on “ALM and Institutional Investment Management”.

The present survey has been conducted as part of the Amundi ETF "Core-Satellite and ETF Investment" research chair at EDHECRisk Institute.

This paper is the first one of a series examining the opportunity for institutional investors to become involved in infrastructure debt, as part of the NATIXIS Research Chair on infrastructure debt instruments and governance.

This study shows that Smart Beta 1.0 indices present systematic and specific risks that are neither documented nor explicitly controlled by their promoters.

The present document, which represents the latest publication from the “Advanced Modelling for Alternative Investments” research chair at EDHEC Risk Institute, supported by the Prime Brokerage Group at Newedge, is part of the chair research on “Analysing the Convergence between Mainstream and Alternative Money Management.”

In a study entitled “Assessing the Quality of Asian Stock Market Indices,” researchers at EDHEC-Risk Institute have reported results for 10 major Asian stock market indices over the past decade.

In this survey, researchers at EDHEC-Risk Institute have analysed industry reactions to a previous EDHEC-Risk study on corporate bond indices and confirmed that investors are dissatisfied with the indices currently on offer.

This article demonstrates that momentum, term structure and idiosyncratic volatility signals in commodity futures markets are not overlapping, which motivates the design of a new triplescreen strategy.

Using new data, we show that construction risk in infrastructure project finance is well-managed
and that project sponsors face very little construction risk compared to the well-documented,
systematic and very large costs overruns found in traditional infrastructure project procurement.

While public and private pension systems in the EU are under tremendous pressure, a new study by EDHEC-Risk Institute analyses the explicit and implicit pension liabilities that are weighing on the public finances, and the principal related risks.

This publication marks the launch of the Meridiam/Campbell Lutyens research chair on infrastructure equity investment management and benchmarking at EDHEC-Risk Institute.

Within the framework of research on the topic of a better grasp of non-financial risks, which has been conducted over the last three years thanks to sponsorship from CACEIS, EDHEC-Risk Institute would like to summarise its findings and conclusions in a series of proposals targeting not only European regulators, but also fund management professionals and investors.

Going beyond the simple bid—ask spread overlay for a particular value at risk, we introduce a framework that integrates liquidity risk, funding risk, and market risk.

This short paper highlights the key conclusions of Amenc et al. (2012) regarding the best practices for managing risks in defined-contribution (DC) and hybrid plans.

The rising interest of institutional investors for commodities since the early 2000s prompted remarkable financial engineering in the commodity index space which is now in its third generation.

The excessive pay some corporate executives
have received for mediocre economic and financial performance has provoked no little outrage.

Do French firms know how to make the most of M&A waves?

The authors argue in this paper that improved long-term investing strategies can be designed for private wealth management.

After a short summary of some of the main challenges facing European pension systems, this paper discusses the Commission’s proposals point by point.

The EDHEC IEIF Commercial Property Index (France) is a capitalisation weighted index that measures the performance of SCPIs (unlisted property trusts), collective investment companies that invest in commercial property (offices, shopping centres, logistics infrastructures, and so on).

This study addresses Volatility ETNs following the Credit Suisse TVIX controversy of early 2012.

Although the Internet has provided economic growth, new forms of social exchange and political revolution, it has also been the field for new types of fraud and rights infringements.

Internet ha determinato una crescita economica e la nascita di nuove forme di interazione sociale e di rivoluzione politica.

This paper clarifies that methodological choices can be made independently on two steps in the construction of alternative equity index strategies – the constituent selection and the choice of a diversification-based weighting scheme.

This study conducted by the EDHEC Financial Analysis and Accounting Research Centre analyses the impact of the new prudential regulation on bond management.

Cette étude propose de mesurer l’effet sur les prix du marché immobilier local de la mise en place de Zones Franches Urbaines (ZFU) en France.

With an ever-growing number of alternative index construction methods on offer, investors should, in principle, be thankful for comparative analysis.

This study, produced as part of the Newedge research chair on “Advanced Modelling for Alternative Investments,” Proposes a Robust New Method for Assessing Hedge Fund Performance.

This EDHEC-Risk position paper specifically responds to a recent report by Finance Watch on regulatory proposals for commodity derivatives markets in Europe.

The EDHEC-Risk North American Index Survey 2011 aims to analyse the current uses of and opinions on stock, bond and equity volatility indices.

Toutes les entreprises ont des besoins en expertise juridique, plus ou moins fréquents et sophistiqués selon la taille de l’entreprise, son secteur d’activité ou ses projets.

This survey has been conducted with the support of Amundi ETF in the context of the EDHEC-Risk Institute research programme on indices and benchmarking.

Le principal objectif de ce document est de stimuler une discussion, à l’occasion de l’élection présidentielle 2012, sur l’évaluation de notre modèle économique et social au sens large.

La question du financement de l’enseignement supérieur n’a pas été débattue jusqu’à présent dans la campagne présidentielle, cependant face aux difficultés financières de l’Etat, il s’agit d’un point sensible, évoqué désormais par les présidents d’université lors de leur dernier colloque annuel.

In the world of institutional investment, the performance of the office property sector has traditionally been valued using indices constructed from appraisal values, rather than values derived from transactions.

We compare the performance of equal-, value-, and price-weighted portfolios of stocks in the major U.S. equity indices over the last four decades.

The purpose of the present publication, “Shifting Towards Hybrid Pension Systems: A European Perspective”, which is drawn from the AXA Investment Managers research chair at EDHEC-Risk Institute on “Regulation and Institutional Investment”, is to examine recent developments and the major risks of retirement systems, from both the sponsor and pension risk perspective, while focusing on European pension schemes.

This survey has been conducted as part of the third year of the Amundi ETF "Core-Satellite and ETF Investment" research chair.

That study put forward a model to optimise the investment and risk management practices of sovereign wealth funds, which can be regarded as the extension to sovereign wealth funds of the liabilitydriven investing paradigm recently developed in the pension fund industry.

This paper examines whether financial statement analysis can be effective in inferring the intangible value of firms.

This survey has been conducted within the research chair "Risk and Regulation in the European Fund Management Industry" sponsored by CACEIS.

In this publication, we extend our response to the issues relating to pension fund investment in social infrastructure.

The present publication is part of the BNP Paribas Investment Partners research chair at EDHEC-Risk Institute on “ALM and Institutional Investment Management”.