| 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 |
|
Corporate Governance and
Value Creation: Evidence from Private Equity Market |
Viral Acharya |
2009 |
4pdf 4pdf 4pdf |
| Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices | Roman Kräussl and Narasimhan Jegadeesh |
2009 |
4pdf |
| Liquidity Risk and the Cross-Section of Hedge-Fund Returns |
Ronnie Sadka |
2009 |
4pdf |
| Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises | Rainer Jankowitsch and Marti G. Subrahmanyam |
2009 |
4pdf |
|
Do Smart Investors
Outperform Dumb Investors? |
Matti Keloharju, Mark Grinblatt and Juhani Linnainmaa |
2009 |
4pdf |
| Measuring the Market Beta Dynamics of Individual Stocks | Mathijs Cosemans, Rik Frehen, Rob Bauer and Peter Schotman |
2009 |
4pdf |
| Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns |
Mathijs van Dijk and Kewei Hou |
2008 |
4pdf |
| International Price and Earnings Momentum | Markus Leippold and Harald Lohre |
2008 |
4pdf |
| 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 |
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 |
|
| 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 |
|
| 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 |
|
| 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 |
|
| 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 |
|
| 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 |
|
| 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 |