Research

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.

Project	Authors	Finished	Downloads
The Determinants of Stock-Bond Return Comovements	Lieven Baele, Geert Bekaert and Koen Inghelbrecht	2008	4pdf
The Effects of Organizational Structure on Asset Management	Massimo Massa and Lei Zhang	2008	4pdf
Dispersion, Equity Returns Correlations and Market Integration	Esther Eiling and Bruno Gerard	2007	4pdf
Liquidity and price discovery in the European corporate bond market	Bruno Biais and Fany Declerck	2007	4pdf
Preferences and Characteristics of Mutual Fund Investors	Stefan Engström	2007	4pdf
The Investment Value of Mutual Fund Portfolio Disclosure	Russ Werners, Tong Yao and Jane Zhao	2006	4pdf
Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments	Markus Leippold and Liuren Wu and Daniel Egloff	2006	4pdf
Cross section of liquity dynamics	Arzu Ozoguz	2006	4pdf
Risk in Capital Structure Arbitrage	Stephen Schaefer and Ilya Strebulaev	2006	4pdf
Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market	Vikas Agarwal, Willliam H. Fung, Yee Cheng Loon and Narayan Y. Naik	2006	4pdf
Mutual Fund Fees Around the World	Ajay Khorana, Henri Servaes and Peter Tufano	2006	4pdf
Hedging Currency Risk: a Regret-Theoretic Approach	Sébastien Michenaud and Bruno Solnik	2006	4pdf
Liquidity Risk Premia in Corporate Bond Markets	Frank de Jong and Joost Driessen	2005	4pdf
Unobserved Actions of Mutual Funds	Marcin Kacperczyk, Clemens Sialm and Lu Zheng	2005	4pdf
Robust mean variance portfolio choice	Frank Lutgens and Peter Schotman	2005	4pdf
Disposition matters: volume, volatility and price impact of behavioral biases	Massaimo Massa and William N. Goetzmann	2005	4pdf
Risk taking, stock pricing and behavioral biases	Massimo Massa and Andrei Simonov	2005	4
Do mutual fund families play family strategies? Evidence on cross-subsidization across funds	Massimo Massa, José-Miguel Gaspar and Pedro Matos	2005	4pdf
Fund Liquidation, Self-selection and look-ahead bias in the hedge fund industry	Jenke R. ter Horst and Marno Verbeek	2005	4pdf
The influence of Screening on SRI Fund Performance and Investment Style	Rob Bauer, Kees Koedijk and Roger Otten	2005	4
Do Hedge Fund Flows Chase Performance? Evidence on Money flow & Risk-taking behavior of Hedge Fund Managers	Vikas Agarwal, Naveen Daniel and Narayan Y. Naik	2005	4pdf
The active management of sector funds in United States and Europe	Radu Burclacu and Patrice Fontaine	2005	4pdf
Risk, Mispricing and Asset Allocation: Conditioning on Dividend Yield	Jay Shanken and Ane Tamayo	2005	4pdf
Dynamic Asset Allocation with Stochastic Income and Interest Rates	Claus Munk and Carsten Sørensen	2005	4
Valuation, Liquidity and Risk in Government Bond Markets	Marco Pagano and Ernst-Ludwig von Thadden	2005	4pdf
The Microstructure of EuroMTS	Frank de Jong and Barbara Rindi	2005	4pdf
Operational Risk and Capital Requirements in the European Investment Fund Industry	Bruno Biais, Catherine Casamatta and Jean Charles Rochet	2005	4
Dynamic Portfolio Optimization under Tracking Error Constraints	Isabelle Bajeux-Besnainou, Roland Portait and Guillaume Tergny	2005	4pdf
Persistence, Predictability and Portfolio Planning	Xia and Brennan	2005	4pdf
Incentives and Risk Taking in Hedge Funds	Roy Kouwenberg and William and T. Ziemba	2004	4pdf
A Portfolio Perspective on Option Pricing Anomalies	Joost Driessen and Pascal Maenhout	2003	4pdf
Overconfidence and Trading Colume	Markus Glaser and Martin Weber	2003	4
Predicting Mutual Fund Returns	Russ Wermers	2003	4pdf
How Do Regimes Affect Asset Allocation	Andrew Ang and Geert Bekaert	2003	4pdf
The market response to earnings tresholds	François Degeorge, Jayendu Patel and Richard Zeckhauser	2003	4
Dealer Liquidity in an auction market: evidence from the London Stock Exchange	Sylvain Friederich and Richard Payne	2003	4pdf
Conditional Asset Allocation, Hedging and Intertemporal Asset Pricing	Bruno Gerard and Guojan Wu	2003	4pdf
European Momentum Strategies, Information Diffusion and Investor Conservatism	John A. Doukas and Phillip J. McKnight	2003	4pdf
International CAPM with Regime Switching CARCH Parameters	Lorenzo Cappiello, Tom A. Fearnly and Hans Geberg	2001
Portfolio Insurance and Market Crashed	François Longin	2001
Option Pricing Applications of Long Memory Effects in Volatility	Stephen J. Taylor	2001	4pdf
Geographic Patterns of Trading Profitability in Xetra	Harald Hau	2001
Dynamic Portfolio Optimization under Tracking Error Constraints	Isabelle Bajeux-Besnainou, Roland Portait and Guillaume Tergny	2001	4doc
Derivatives pricing with incomplete markets: an equilibrium approach	Elyès Jouini.	2001
Evaluating Style Analysis	Frans A. de Roon, Theo E. Nijman and Jenke R. ter Horst	2000	4pdf
The Geography of Equity Listing: Why Do European Companies List Abroad?	Marco Pagano, Ailsa A. Röell, Josef Zechner	2000
Dynamic Asset Allocation for Stocks, Bonds and Cash	Isabelle Bajeux-Besnainou, James V. Jordan and Roland Portait	2000
The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse	Harald Hau		4pdf
Cross-exchange competition in euro-denominated futures contracts	Owain ap Gwilym
International Portfolio Diversification: Industry, Country, and Currency Effects Revisited	Bruno Gerard, Pierre Hillion and Frans de Roon		4pdf

Project	Authors	Started	Downloads
International Price and Earning Momentum	Markus Leippold and Harald Lohre	2008	4pdf
Measuring the Market Beta Dynamics of Individual Stocks	Mathijs Cosemans, Rik Frehen, Rob Bauer and Peter Schotman	2008	4pdf
Intelligence, Investment Mistakes, and Performance Heterogeneity	Matti Keloharju, Mark Grinblatt and Juhani Linnainmaa	2008	4pdf
The Secondary Market for Hedge Funds	Tarun Ramadorai	2008	4pdf
Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns	Mathijs van Dijk and Kewei Hou	2008	4pdf
Do Locals Know Better? A Cross-Country Analysis of the Performance of Domestic and Foreign Money Managers	Miguel Ferreira, Pedro Matos and Joao Pedro Pereira	2007	4pdf
Hedge fund tail risk	Tobias Adrian and Markus Brunnermeier	2007	4pdf
Forecasting Co-movements Between Many Stocks Using Intra-day Data	Dick van Dijk, Martin Martens and Michiel de Pooter	2007	4pdf
Corporate Governance and Value Creation: Evidence from Private Equity Market	Viral Acharya	2007	4pdf
Will Equilibrium-Induced Predictability Survive UndoingBy The Uninitiated And Skeptical?	Peter Bossaerts	2006	4pdf
Towards Hedging of Liquidity Risk: Time-Series and Cross-Sectional Behavior of Liquidity	Claudio Loderer and Lukas Roth	2006	4pdf