| Projects cover activities on the areas of finance, basic and applied
securities analysis, analysis of the financial structure of industries
with reference to capital, investment, profits and losses, and the
use of quantitative methods in financial management and portfolio management.
Research papers distributed to the sponsors of Inquire Europe may also be published in a professional journal at a later date. 4Finished projects Inquire Europe 2000 - 2009 |
| Project | Authors | Finished |
Downloads |
| Information Content when Mutual Funds Deviate from Benchmarks | Hao Jiang, Marno Verbeek and and Yu Wang |
2011 |
4pdf |
| The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance | Martijn Cremers, Miguel Ferreira, Pedro Matos and Laura Starks |
2011 |
4pdf |
| Institutional Investors and Mutual Fund Governance: Evidence from Retail – Institutional Fund Twins | Richard B. Evans and Rüdiger Fahlenbrach |
2011 |
4pdf |
|
Experiments With The Lucas Asset Pricing Model |
Peter Bossaerts |
2011 |
4pdf |
|
Activism on Corporate Social Responsibility |
Elroy Dimson, Oguzhan Karakas and Xi Li |
2011 |
4pdf |
| Dynamic commodity strategies | Devraj Basu |
2011 |
4pdf |
| Improving Portfolio Selection Using Option-Implied Volatility and Skewness | Victor DeMiguel, Yuliya Plyakhax, Raman Uppal and Grigory Vilkov |
2010 |
4pdf |
| Econometric Measures of Systemic Risk in the Finance and Insurance Sectors | Mila Getmansky, Monica Billio, Andrew W. Lo and Loriana Pelizzon |
2010 |
4pdf |
| Do Foreigners Know Better? A Comparison of the Performance of Local and Foreign Mutual Fund Managers |
Miguel
Ferreira, Pedro Matos and Joao Pedro Pereira |
2010
|
4pdf |
| Internationally Correlated Jumps | Kuntara Pukthuanthong and Richard Roll |
2010
|
4pdf |
|
Co-sponsored project
Inquire UK and Inquire Europe Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification |
Phelim Boyle, Lorenzo
Garlappi, Raman Uppal and Tan Wang |
2010 |
4pdf |
| Short selling bans and market liquidity around the world: Evidence from the 2007-2009 crisis |
Alessandro Beber and Marco
Pagano |
2010 |
4pdf |
| Using Stocks or Portfolios in Tests of Factor Models |
Andrew Ang, Jun Liu and Krista Schwarz |
2010 |
4pdf |
| Ex Post Portfolio Performance with Predictable Skewness and Kurtosis | Massimo Guidolin and Giovanna Nicodano |
2010 |
4pdf |
| Investor Interest and Hedge Fund Returns | Tarun Ramadorai |
2010 |
4pdf |
| Realized mixed-frequency factor models for vast dimensional covariance estimation | Dick van Dijk, Martin Martens and Michiel de Pooter |
2010 |
4pdf |
| Project | Authors | Started |
Downloads |
| The impact of model instability on long-term investors | Bart Diris |
2011 |
4pdf |
| The effects of disclosing large short positions | Charles Jones, Adam Reed and William Waller |
2011 |
4pdf |
|
The World Price of Credit Risk |
Don Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov |
2011 |
4pdf |
| The Performance And Characteristics Of Separate Accounts | Edwin Elton, Martin Gruber and Christopher Blake |
2011 |
4pdf |
| NASDAQ-OMX’s Switch to and from Post Trade Anonymity: What do we learn about Winners, Losers, and the Overall Impact? |
Thierry Foucault, Stefan Frey and Patrik Sandċs |
2011 |
4pdf |
| Momentum in Futures Markets: A Survey on Trading Signals and Volatility Estimators | Robert Kosowski and Akindynos-Nikolaos Baltas |
2011 |
4pdf |
| The ART of investing: Active risk taking and cost attribution for institutional portfolio management | Narayan Y. Naik, Rick Di Mascio and Anton Lines |
2011 |
|
| Are Designated Market Makers Effective Liquidity Providers? | Frank de Jong, Michael Pagano and Barbara Rindi |
2011 |
4pdf |
| The stock market price of commodity risk | Martijn Boons, Frans de Roon and Marta Szymanowska |
2011 |
4pdf |
| Return Predictability and Expected Returns | Mathijs van Dijk, Kewei Hou and Yinglei Zhang |
2011 |
4pdf |
|
Inefficiencies in the
pricing of exchange-traded funds |
Antti Petajisto |
2010 |
4pdf |
|
When greed and fear take
over: A triangular study of financial decision making and
information processing featuring economics, psychology and neuroscience |
Jenke ter
Horst, Elena Pikulina and Luc Renneboog |
2010 |
4pdf |
| Inflation hedging, real returns and optimal portfolios | Jenke ter Horst and Frans de Roon |
2009 |
4pdf |