Recent Advances in quantitative investing
Joint Spring Seminar with Inquire UK at the Palais Hanssen Kempinski, Vienna, Austria
Papers
Comomentum: Inferring Arbitrage Activity from Return Correlations
Dong Lou and Christopher Polk (London School of Economics)
Sovereign Bank and Insurance Spreads: Connectedness and System Networks**
Mila Getmansky Sherman*, Andrew Lo, Robert Merton e.o. (Umass Amherst, Isenberg School of Management)
Do Hedge Funds Provide Liquidity? Evidence From Their Trades
Francesco Franzoni, Alberto Plazzi* (University of Lugano and Swiss Finance Institute)
Flights to Safety
Lieven Baele* (CentER, Tilburg University, Netspar), Geert Bekaert (Columbia University and NBER), Koen Inghelbrecht (Ghent University), Min Wei (Federal Reserve Board of Governors)
Do Stock Returns Really Decrease with Default Risk? New International Evidence
Kevin Aretz* (Manchester Business School)
Backtesting
Campbell Harvey* (Duke University)
The Economic Analysis of the Regulation of Money Market Funds
Craig Lewis* (SEC)
Pricing CDS with Capital Relief
Chris Dennis* (CVA / FVA Quantitative Research)
Forecasting Stock Returns under Economic Constraints
Allan Timmermann* (Rady School of Management, UC San Diego), Davide Pettenuzzo (Brandeis University), Rossen Valkanov, UC San Diego)