Projects under development

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Project Author(s) Year of funding
Global Active Ownership Elroy Dimson, Oğuzhan Karakaş and Xi Li 2016
How to quantify cross-section mispricing? A comprehensive analysis of global stock markets Heiko Jacobs and Sebastian Müller 2016
Institutional Trading Costs and Intraday Returns Predictability in Europe Roman Kozhan and Wing Wah Tham 2016
Parametric Portfolio Choice of Corporate Bonds: The Role of Bond Characteristics Maximilian Bredendiek, Giorgio Ottonello and Rossen Valkanov 2016
A Test for Time-varying Market Integration in Large International Equity Markets Ines Chaieb, Hugues Langlois and Olivier Scaillet 2016
Price Pressure in Stocks and Informed Trading in Options Ahead of Corporate News Events Luis Goncalves-Pinto, Bruce Grundy, Allaudeen Hameed and Thijs van der Heijden 2016
Global q-factors Kewei Hou, Chen Xue and Lu Zhang 2016
The impact of unconventional monetary policies on European financial markets Alberto Plazzi, Massimiliano Caporin, Loriana Pelizzon and Roberto Rigobon 2015
Strategic Asset Allocation and Risk Budgeting for Insurers under Solvency II Roy Kouwenberg 2015
Liquidity provision by passively-managed funds Dion Bongaerts and Martijn Cremers 2014
Financial market anomalies: A comprehensive out-of-sample test Joost Driessen, Fabio Braggion and Lyndon Moore 2014
Mutual Fund Performance: Using Bespoke Benchmarks to Disentangle Mandates, Constraints and Skill Alessandro Beber, Michael W. Brandt and Kenneth Kavajecz 2013