Research Publications 2009

Recent studies find that a position in at-the-money (ATM) straddles consistently yields losses. This is interpreted as evidence for the non-redundancy of options and as a risk premium for volatility risk.

We show that non-linear transaction costs generate external effects between accounts due to trade volume dependent marginal transaction costs.

Wide variety of risk–return ratios is routinely reported in sales pitches as well as academic publications.

Because many facets of the global oil markets have not been sufficiently transparent, it is unclear how much of the oil-price rally that peaked in July 2008 can be put down to speculation.

Following the 2008 financial crisis, private financial institutions such as hedge funds and private equity funds have been faced with multiple calls for their regulation, both for consumer protection and systemic reasons.

EDHEC has surveyed pension funds, their advisers, their regulators, their fiduciary managers, and their asset managers for their reactions to an EDHEC study entitled “Impact of Regulations on the ALM of European Pension Funds.”

The vast current account surpluses of commodity-rich nations, combined with record current account deficits in developed markets (US, Britain), have created a new type of investor.

Evoquer la conformité réglementaire, ce n’est pas uniquement s’interroger sur l’intérêt qu’ont les entreprises à se soumettre à la norme juridique, mais également se livrer à un constat objectif sur certaines caractéristiques de cette norme.

All insurers, regardless of their characteristics (public companies, mutual insurers, provident societies) will be subject to the new prudential rules and will thus have to make heavy investments in the data collection, risk measurement, and simulations required by the supervisor.

The immediate recognition of the volatility of pension surpluses and deficits in the profit and loss accounts of the sponsor may lead pension funds to shed risky assets.

The European Commission is seeking to harmonise the depositary fonction and to strengthen protection mechanisms.

The objective of this paper is to shed light on the ways new forms of welfare- improving financial innovation inspired by the use of asset-liability management techniques, originally developed for institutional money management, can be used in private wealth management.

In this paper we extend Hasanhodzic and Lo (2007) by assessing the out-of-sample performance of various non-linear and conditional hedge fund replication models.

The existence of oil stabilization funds as the largest category of sovereign wealth funds relies on oil prices as a main source of macroeconomic risk for oil exporting countries.

We solve for the equilibrium of a standard real business cycle model with money under model ambiguity.

In September 2008, the U.S. Securities and Exchange Commission (SEC) surprised the investment community by adopting an emergency order that temporarily banned most short sales in nearly 1,000 financial stocks.

This position paper looks at the changes that have been effected in the European capital markets more than one year after the implementation of MiFID (Markets in Financial Instruments Directive).

Une explication récemment avancée de la sous-représentation des femmes à des postes à hautes responsabilités est que celles-ci sont moins favorisées par un système d’évaluation assis sur la performance relative.

Du point de vue de la régulation de la gestion d’actifs, l’analyse des dirigeants européens, notamment français et allemands, dans l’été 2007 n’a pas été à la hauteur des enjeux de la crise financière que nous connaissons depuis deux ans. En désignant les hedge funds, puis les ventes à découvert comme responsables de la déstabilisation des marchés, les dirigeants politiques et les régulateurs de marchés ont retardé la prise de conscience quant à la gravité de la crise et la faillite du système de régulation.

The recent pension crisis has triggered a fierce debate in most developed countries between advocates of a tighter regulation designed to provide explicit incentives for pension funds to increase their focus on risk management, and those arguing that imposing short-term funding constraints and solvency requirements on such long-term investors would only increase the cost of pension financing.

This survey is the first piece of work done as part of the Crédit Agricole Structured Asset Management (CASAM) "Core-Satellite and ETF Investment" research chair.

The development of alternative investment has not yet been accompanied by a genuine consideration of the specific characteristics of the risks and returns of hedge funds with regard to the provision of information to investors.

We use an error correction model in order to predict the changes in equity risk premia for a set of emerging markets and the US market.

This paper attemps to determine what fraction a static investor should optimally allocate to investment strategies with convex exposure to stock market returns in a general economy with stochastically time-varying interest rates and stock market excess returns.

An in-depth study of the short-selling market calls into question both the reasons for the decision to ban short selling and the prejudices that weigh on those who short.

This letter focuses on hidden orders and shows how they contribute to liquidity.

In 2003, the pension fund industry was severely affected by the steep fall in equity prices and the fall in interest rates.

This paper attempts to determine whether exchange-listed hedge funds experience longer lifetimes than non-listed funds, even after factors known to affect survival, such as size and performance, are considered.

This study analyses the impact of prudential and accounting constraints on the asset-liability management (ALM) of European pension funds in the Netherlands, the UK, Germany, and Switzerland.

A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist.

Institutional investors allocate considerable shares of their portfolios to real estate, primarily in anticipation of diversification benefits.

We analyse twelve years of data on EDHEC Alternative Indexes for different hedge fund strategies to provide some perspective on their performance.

For more than seventeen years, Bernard Madoff operated what was viewed as one of the most successful investment strategies in the world.

Il existe des marges de manoeuvre pour augmenter les ressources de l’éducation du supérieur tout en préservant une forme d’équité, grâce à l’introduction de dispositifs de prêt à remboursement conditionnel au revenu.

The EDHEC European Investment Practices Survey 2008 (EDHEC 2008) sheds light on current practices in the industry and compares these practices with the recent state of the art as described in the investment literature.

The present publication is the first to be drawn from the EDHEC/Morgan Stanley Investment Management research chair on Financial Engineering and Global Alternative Portfolios for Institutional Investors.

Reducing the mandate of top executives— and the broader undermining of top management functions—is no longer a good governance practice but rather an indicator of a crisis: that of the legitimacy of top management teams.

The financial crisis has put great pressure on banks and led to a number of emergency measures intended to restore confidence in the banking system: tentative changes to accounting standards, recapitalisation of the banking industry, and higher capital requirements.