Projects under development

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Project Author(s) Year of funding
Global q-factors Kewei Hou, Lu Zhang and Chen Xue 2016
A Test for Time-varying Market Integration in Large International Equity Markets Ines Chaieb, Hugues Langlois and Olivier Scaillet 2016
Price pressure and informed option trading around corporate news events Thijs van der Heijden, Bruce Grundy, Luis Goncalves-Pinto and Allaudeen Hameed 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
Shrouded Trades Lauren Cohen and Dong Lou 2013