Finished research projects


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Projects

Project Author(s) Finished
Lender of Last Resort versus Buyer of Last Resort –The Impact of the European Central Bank Actions on the Bank-Sovereign Nexus Sascha Steffen, Viral Acharya and Diane Pierret 2016
Currency Risk and Size, Value, and Momentum in International Stock Returns Andrew Karolyi and Ying Wu 2016
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions Rogier Quaedvlieg 2016
Zero Risk Contagion - Banks' Sovereign Exposure and Sovereign Risk Spillovers Sascha Steffen and Josef Korte 2015
The Unintended Consequences of the Zero Lower Bound Policy Marco Di Maggio and Marcin Kacpertcyk 2015
Dealer Inventory and the Cross-Section of Corporate Bond Returns Florian Nagler and Nils Friewald 2015
Why does idiosyncratic risk increase with market risk? Söhnke M. Bartram, Gregory Brown and René M. Stulz 2015
Non-Myopic Betas Grigory Vilkov and Semyon Malamud 2015
Two Shades of Opacity: Hidden Orders versus Dark Trading Hans Degryse, Geoffrey Tombeur and Gunther Wuyts 2015
An Anatomy of Central and Eastern European Equity Markets Lieven Baele, Geert Bekaert and Larissa Schäfer 2015
Second paper: Alpha Decay Rick Di Mascio Anton Lines and Narayan Y Naik 2014
Portfolio Selection with Options and Transaction Costs Semyon Malamud 2014
The correlation risk premium: term structure and hedging Robert Kosowski and Gonçalo Faria 2014
The impact of model instability on long-term investors Bart Diris 2014
Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry Rossen Valkanov, Eric Ghysels and Alberto Plazzi 2014
Are Interest Rate Fixings Fixed? An Analysis of Libor and Euribor Rainer Jankowitsch, Marti G. Subrahmanyam and Alexander Eisl 2014
Leading paper: Trade-Based Performance Measurement: New Tools for Assessing Skill and Active Risk Taking Narayan Y. Naik, Rick Di Mascio and Anton Lines 2013
Flights to safety Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei 2013
Institutional Trading and Near-Term Stock Returns Bernd Hanke, Aneel Keswani, Garrett Quigley and David Stolin 2013
Deleveraging Risk Scott Richardson, Pedro Saffi and Kari Sigurdsson 2013
Sovereign, bank and insurance credit spreads: connectedness and system networks Monica Billio, Mila Getmansky-Sherman, Dale Gray, Andrew Lo, Robert Merton and Loriana Pelizzon 2013
Do Hedge Funds Provide Liquidity? Evidence From Their Trades Francesco Franzoni and Alberto Plazzi 2013
Currency Premia and Global Imbalances Pasquale Della Corte, 2013
Comomentum: Inferring Arbitrage Activity from Return Correlations Dong Lou and Christopher Polk 2013
Can Large Pension Funds Beat the Market? Asset Allocation, Market Timing, Security Selection, and the Limits of Liquidity Aleksandar Andonov, Rob Bauer en Martijn Cremers 2013
Pension Fund Asset Allocation and Liability Discount Rates: Camouflage and Reckless Risk Taking by U.S. Public Plans? Aleksandar Andonov, Rob Bauer en Martijn Cremers 2013
Momentum Strategies in Futures Markets and Trend-Following Funds Akindynos-Nikolaos (Nick) Baltas and Robert Kosowski 2013
Revealing shorts: An examination of large short position disclosures Charles Jones, Adam Reed and William Waller 2012
The Performance of Separate Accounts and Collective Investment Trusts Edwin Elton, Martin Gruber and Christopher Blake 2012
The World Price of Credit Risk Don Avramov, Tarun Chordia, 2012
Bonus Schemes and Trading Activity Jenke ter Horst, Elena Pikulina and Luc Renneboog 2012
Inefficiencies in the Pricing of Exchange-Traded Funds Antti Petajisto 2012
The Stock Market Price of Commodity Risk Martijn Boons, Frans de Roon and Marta Szymanowska 2012
Information Content when Mutual Funds Deviate from Benchmarks Hao Jiang, Marno Verbeek and and Yu Wang 2011
The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance Martijn Cremers, Miguel Ferreira, Pedro Matos and Laura Starks 2011
Institutional Investors and Mutual Fund Governance: Evidence from Retail – Institutional Fund Twins Richard B. Evans and Rüdiger Fahlenbrach 2011
Experiments With The Lucas Asset Pricing Model Peter Bossaerts 2011
Activism on Corporate Social Responsibility Elroy Dimson, Oguzhan Karakas and Xi Li 2011
Dynamic commodity strategies Devraj Basu 2011
Improving Time-Series Momentum Strategies: The Role of Trading Signals and Volatility Estimators Grigory Vilkov, Uppal, DeMiguel, Playkha 2010
Improving Portfolio Selection Using Option-Implied Volatility and Skewness Victor DeMiguel, Yuliya Plyakhax, Raman Uppal and Grigory Vilkov 2010
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors Mila Getmansky, Monica Billio, Andrew W. Lo and Loriana Pelizzon 2010
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
Internationally Correlated Jumps Kuntara Pukthuanthong and 2010
Co-sponsored project Inquire UK and Inquire Europe Keynes Meets Markowitz: Phelim Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang 2010
Short selling bans and market liquidity around the world: Evidence from the 2007-2009 crisis Alessandro Beber and Marco Pagano 2010
Using Stocks or Portfolios in Tests of Factor Models Andrew Ang, Jun Liu and Krista Schwarz 2010
Ex Post Portfolio Performance with Predictable Skewness and Kurtosis Massimo Guidolin and Giovanna Nicodano 2010
Investor Interest and Hedge Fund Returns Tarun Ramadorai 2010
Realized mixed-frequency factor models for vast dimensional covariance estimation Dick van Dijk, Martin Martens and Michiel de Pooter 2010
Corporate Governance and Value Creation: Evidence from Private Equity Market Viral Acharya 2009
Corporate Governance and Value Creation: Evidence from Private Equity Market Viral Acharya 2009
Corporate Governance and Value Creation: Evidence from Private Equity Market Viral Acharya 2009
Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices Roman Kräussl and Narasimhan Jegadeesh 2009
Liquidity Risk and the Cross-Section of Hedge-Fund Returns Ronnie Sadka 2009
Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises Rainer Jankowitsch and Marti G. Subrahmanyam 2009
Do Smart Investors Outperform Dumb Investors? Matti Keloharju, Mark Grinblatt and Juhani Linnainmaa 2009
Measuring the Market Beta Dynamics of Individual Stocks Mathijs Cosemans, Rik Frehen, Rob Bauer and Peter Schotman 2009
Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns Mathijs van Dijk and Kewei Hou 2008
International Price and Earnings Momentum Markus Leippold and Harald Lohre 2008
The Determinants of Stock-Bond Return Comovements Lieven Baele, Geert Bekaert and Koen Inghelbrecht 2008
The Effects of Organizational Structure on Asset Management Massimo Massa and Lei Zhang 2008
CoVaR Tobias Adrian and Markus K. Brunnermeier 2008
Dispersion, Equity Returns Correlations and Market Integration Esther Eiling and Bruno Gerard 2007
Liquidity and price discovery in the European corporate bond market Bruno Biais and Fany Declerck 2007
Preferences and Characteristics of Mutual Fund Investors Stefan Engström 2007
The Investment Value of Mutual Fund Portfolio Disclosure Russ Werners, Tong Yao and Jane Zhao 2006
Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments Markus Leippold and Liuren Wu and 2006
Cross section of liquity dynamics Arzu Ozoguz 2006
Risk in Capital Structure Arbitrage Stephen Schaefer and Ilya Strebulaev 2006
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
Mutual Fund Fees Around the World Ajay Khorana, Henri Servaes and 2006
Hedging Currency Risk: a Regret-Theoretic Approach Sébastien Michenaud and Bruno Solnik 2006
Liquidity Risk Premia in Corporate Bond Markets Frank de Jong and Joost Driessen 2005
Unobserved Actions of Mutual Funds Marcin Kacperczyk, Clemens Sialm and Lu Zheng 2005
Robust mean variance portfolio choice Frank Lutgens and Peter Schotman 2005
Disposition matters: volume, volatility and price impact of behavioral biases Massaimo Massa and William N. Goetzmann 2005
Risk taking, stock pricing and behavioral biases Massimo Massa and Andrei Simonov 2005
Do mutual fund families play family strategies? Evidence on cross-subsidization across funds Massimo Massa, José-Miguel Gaspar and Pedro Matos 2005
Fund Liquidation, Self-selection and look-ahead bias in the hedge fund industry Jenke R. ter Horst and Marno Verbeek 2005
The influence of Screening on SRI Fund Performance and Investment Style Rob Bauer, Kees Koedijk and Roger Otten 2005
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
The active management of sector funds in United States and Europe Radu Burclacu and Patrice Fontaine 2005
Risk, Mispricing and Asset Allocation: Conditioning on Dividend Yield Jay Shanken and Ane Tamayo 2005
Dynamic Asset Allocation with Stochastic Income and Interest Rates Claus Munk and Carsten Sørensen 2005
Valuation, Liquidity and Risk in Government Bond Markets Marco Pagano and Ernst-Ludwig von Thadden 2005
The Microstructure of EuroMTS Frank de Jong and Barbara Rindi 2005
Operational Risk and Capital Requirements in the European Investment Fund Industry Bruno Biais, Catherine Casamatta and Jean Charles Rochet 2005
Dynamic Portfolio Optimization under Tracking Error Constraints Isabelle Bajeux-Besnainou, Roland Portait and Guillaume Tergny 2005
Persistence, Predictability and Portfolio Planning Xia and Brennan 2005
Incentives and Risk Taking in Hedge Funds Roy Kouwenberg and William and T. Ziemba 2004
A Portfolio Perspective on Option Pricing Anomalies Joost Driessen and Pascal Maenhout 2003
Overconfidence and Trading Colume Markus Glaser and Martin Weber 2003
Predicting Mutual Fund Returns Russ Wermers 2003
How Do Regimes Affect Asset Allocation Andrew Ang and Geert Bekaert 2003
The market response to earnings tresholds François Degeorge, Jayendu Patel and Richard Zeckhauser 2003
Dealer Liquidity in an auction market: evidence from the London Stock Exchange Sylvain Friederich and Richard Payne 2003
Conditional Asset Allocation, Hedging and Intertemporal Asset Pricing Bruno Gerard and Guojan Wu 2003
European Momentum Strategies, Information Diffusion and Investor Conservatism John A. Doukas and Phillip J. McKnight 2003
The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse Harald Hau 2002
Cross-exchange competition in euro-denominated futures contracts Owain ap Gwilym 2002
International Portfolio Diversification: Industry, Country, and Currency Effects Revisited Bruno Gerard, Pierre Hillion and Frans de Roon 2002
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
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
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
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