Inquire Europe | Institute for quantitative investment research
  • About
    • About Inquire Europe
    • Our Board
    • Committees
    • Honorary members
    • Sister organisations
    • CQA
  • News
  • Membership
    • Membership
    • Our members
    • Membership fee
    • Registration form
    • Young Professionals Program
    • Guest program
  • Seminars / Webinars
    • Seminars / Webinars
    • Future seminars
    • Previous seminars
  • Research
    • Research
    • Call for research proposals
    • Call for papers
    • Research Published in Top Finance Journals
    • Finished research projects
    • Projects under development
  • Awards
  • Contact

Inquire Europe

Institute for quantitative investment research

Home » Research » Finished research projects

Finished research projects

You need to be a member of Inquire Europe and must be logged onto the website in order to view or download the documents.

Project Author(s) Year of completion Downloads
Asset Pricing with Panel Tree under Global Split Criteria Jingyu He, Xin He, Gavin Feng and Lin William Cong 2022 Please log in
Climate Change and Long-Horizon Portfolio Choice: Combining Theory and Empirics Mathijs Cosemans, Mathijs van Dijk and Xander Hut 2022 Please log in
Uncertainty Shocks and Personal Investment: Evidence from a Global Brokerage Shimon Kogan, Rawley Z. Heimer and Nancy R. Xu 2022 Please log in
Institutional Corporate Bond Pricing Lorenzo Bretscher, Lukas Schmid, Ishita Sen and Varun Sharma 2022 Please log in
How do Funds Deviate from Benchmarks? Evidence from MSCI's Inclusion of Chinese A-shares Lennart Dekker, Frank de Jong and Jasmin Gider 2022 Please log in
Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment Johannes Wohlfart, Christine Laudenbach and Annika Weber 2021 Please log in
Separate Accounts and Mutual Funds in Asset Management Howard Jones, Jose Vicente Martinez and Alexander Montag 2021 Please log in
Choosing Investment Managers Amit Goyal, Sunil Wahal and M. Deniz Yavuz 2021 Please log in
Inflation and Individual Investors' Behavior: Evidence from the German Hyperinflation Nic Schaub, Fabio Braggion and Felix von Meyerinck (updated paper February 2023) 2021 Please log in
There's an App for That: Goal-Setting and Saving in the FinTech Era Alberto Rossi and Antonio Gargano 2021 Please log in
ESG and credit spreads Benjamin Hübel, Florian Barth and Hendrik Scholz 2021 Please log in
Hedging Permanent Income Shocks Raffaele Corvino, Fabio Cesare Bagliano, Carolina Fugazza and Giovanna Nicodano 2021 Please log in
The Social Stigma of Short Selling Elisabeth Kempf and Mancy Luo 2021 Please log in
Long-term Investors, Demand Shifts, and Yields Kristy Jansen 2020 Please log in
Get Real! Individuals Prefer More Sustainable Investments Rob Bauer, Tobias Ruof and Paul Smeets 2020 Please log in
AlphaPortfolio for Investment and Economically Interpretable AI SPONSORED BY INQUIRE UK. Lin William Cong, Ke Tang, Jingyuan Wang, Yang Zhang 2020 Please log in
Deep Learning in Characteristics-Sorted Factor Models Guanhao Feng, Nicholas Polson and Jianeng Xu 2020 Please log in
Crowding and Liquidity Provision in Factor Investing Raman Uppal, Victor DeMiguel and Alberto Martin-Utrera 2019 Please log in
Hedge Fund Activism and Big Bears: The Impact of Large Short Positions Disclosuress Pedro A.C. Saffi, Tao Li and Daheng Yang 2019 Please log in
Textual Factors: A Scalable, Interpretable, and Data-driven Approach to Analyzing Unstructured Information Lin William Cong and Tengyuan Liang 2019 Please log in
Do institutional investors manage factor exposures strategically? Kristy Jansen and Dirk Broeders 2019 Please log in
Seasonal reversals Matti Keloharju, Peter Nyberg and Juhani Linnainmaa 2019 Please log in
A Parsimonious Explanation for Momentum Based on the Merton Model. SPONSORED BY INQUIRE UK. Zhaneta Tancheva, Alberto Manconi and Frans de Roon 2019 Please log in
Institutional Trading Costs and Intraday Returns Predictability Roman Kozhan, Shiyun Song and Wing Wah Tham 2019 Please log in
Coordinated Engagements Elroy Dimson, Oğuzhan Karakaş and Xi Li 2019 Please log in
Do Publicly Listed Private Equity Firms Make Bad Deals? Maurice McCourt 2018 Please log in
The Costs and Benefits of Performance Fees in Mutual Funds Henri Servaes and Kari Sigurdsson 2018 Please log in
Project's name: Investor's Expectations, Economic Growth, and the Dynamics of Commodity Risk Premia PAPER 2: Carry Trades and Tail Risk: Evidence from Commodity Markets Daniele Bianchi 2018 Please log in
Cash Flow News and Stock Price Dynamics Riccardo Sabbatucci, Davide Pettenuzzo and Allan Timmermann 2018 Please log in
Project's name: Investor's Expectations, Economic Growth, and the Dynamics of Commodity Risk Premia PAPER 1: Adaptive Expectations and Commodity Risk Premia Daniele Bianchi and Jacopo Piana 2018 Please log in
Quantifying Mispricing Heiko Jacobs and Sebastian Müller 2018 Please log in
Currency Mispricing and Dealer Balance Sheets Gino Cenedese, Pasquale Della Corte and Tianyu Wang 2017 Please log in
Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market Luis Goncalves-Pinto, Bruce Grundy, Allaudeen Hameed, Thijs van der Heijden and Yichao Zhu 2017 Please log in
Time-varying risk premia in Large International Equity Markets Ines Chaieb, Hugues Langlois and Olivier Scaillet 2017 Please log in
Corporate Bond Portfolios and Macroeconomic Conditions Maximilian Bredendiek, Giorgio Ottonello and Rossen Valkanov 2017 Please log in
Strategic Asset Allocation and Risk Budgeting for Insurers under Solvency II Roy Kouwenberg 2017 Please log in
Financial market anomalies: A comprehensive out-of-sample test Joost Driessen, Fabio Braggion and Lyndon Moore 2017 Please log in
Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets Alberto Plazzi, Massimiliano Caporin and Loriana Pelizzon 2017 Please log in
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions Rogier Quaedvlieg 2016 Please log in
Currency Risk and Size, Value, and Momentum in International Stock Returns Andrew Karolyi and Ying Wu 2016 Please log in
Cloaked Trading Lauren Cohen, Dong Lou and Christopher Malloy 2016 Please log in
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 Please log in
An Anatomy of Central and Eastern European Equity Markets Lieven Baele, Geert Bekaert and Larissa Schäfer 2015 Please log in
Two Shades of Opacity: Hidden Orders versus Dark Trading Hans Degryse, Geoffrey Tombeur and Gunther Wuyts 2015 Please log in
Non-Myopic Betas Grigory Vilkov and Semyon Malamud 2015 Please log in
Why does idiosyncratic risk increase with market risk? Söhnke M. Bartram, Gregory Brown and René M. Stulz 2015 Please log in
Dealer Inventory and the Cross-Section of Corporate Bond Returns Florian Nagler and Nils Friewald 2015 Please log in
The Unintended Consequences of the Zero Lower Bound Policy Marco Di Maggio and Marcin Kacpertcyk 2015 Please log in
Zero Risk Contagion - Banks' Sovereign Exposure and Sovereign Risk Spillovers Sascha Steffen and Josef Korte 2015 Please log in
Are Interest Rate Fixings Fixed? An Analysis of Libor and Euribor Rainer Jankowitsch, Marti G. Subrahmanyam and Alexander Eisl 2014 Please log in
Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry Rossen Valkanov, Eric Ghysels and Alberto Plazzi 2014 Please log in
The impact of model instability on long-term investors Bart Diris 2014 Please log in
The correlation risk premium: term structure and hedging Robert Kosowski and Gonçalo Faria 2014 Please log in
Portfolio Selection with Options and Transaction Costs Semyon Malamud 2014 Please log in
Second paper: Alpha Decay (The leading paper of the same authors was finished in 2013) Rick Di Mascio Anton Lines and Narayan Y Naik 2014 Please log in
Momentum Strategies in Futures Markets and Trend-Following Funds Akindynos-Nikolaos (Nick) Baltas and Robert Kosowski 2013 Please log in
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 Please log in
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 Please log in
Comomentum: Inferring Arbitrage Activity from Return Correlations Dong Lou and Christopher Polk 2013 Please log in
Currency Premia and Global Imbalances Pasquale Della Corte, 2013 Please log in
Do Hedge Funds Provide Liquidity? Evidence From Their Trades Francesco Franzoni and Alberto Plazzi 2013 Please log in
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 Please log in
Deleveraging Risk Scott Richardson, Pedro Saffi and Kari Sigurdsson 2013 Please log in
Institutional Trading and Near-Term Stock Returns Bernd Hanke, Aneel Keswani, Garrett Quigley and David Stolin 2013 Please log in
Flights to safety Lieven Baele, Geert Bekaert, Koen Inghelbrecht and Min Wei 2013 Please log in
Leading paper: Trade-Based Performance Measurement: New Tools for Assessing Skill and Active Risk Taking (Second paper: "Alpha Decay" of the same authors has been finished in 2014) Narayan Y. Naik, Rick Di Mascio and Anton Lines 2013 Please log in
The Stock Market Price of Commodity Risk Martijn Boons, Frans de Roon and Marta Szymanowska 2012 Please log in
Inefficiencies in the Pricing of Exchange-Traded Funds Antti Petajisto 2012 Please log in
Bonus Schemes and Trading Activity Jenke ter Horst, Elena Pikulina and Luc Renneboog 2012 Please log in
The World Price of Credit Risk Don Avramov, Tarun Chordia, 2012 Please log in
The Performance of Separate Accounts and Collective Investment Trusts Edwin Elton, Martin Gruber and Christopher Blake 2012 Please log in
Revealing shorts: An examination of large short position disclosures Charles Jones, Adam Reed and William Waller 2012 Please log in
Dynamic commodity strategies Devraj Basu 2011 Please log in
Activism on Corporate Social Responsibility Elroy Dimson, Oguzhan Karakas and Xi Li 2011 Please log in
Experiments With The Lucas Asset Pricing Model Peter Bossaerts 2011 Please log in
Institutional Investors and Mutual Fund Governance: Evidence from Retail - Institutional Fund Twins Richard B. Evans and Rüdiger Fahlenbrach 2011 Please log in
The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance Martijn Cremers, Miguel Ferreira, Pedro Matos and Laura Starks 2011 Please log in
Information Content when Mutual Funds Deviate from Benchmarks Hao Jiang, Marno Verbeek and and Yu Wang 2011 Please log in
Realized mixed-frequency factor models for vast dimensional covariance estimation Dick van Dijk, Martin Martens and Michiel de Pooter 2010 Please log in
Investor Interest and Hedge Fund Returns Tarun Ramadorai 2010 Please log in
Ex Post Portfolio Performance with Predictable Skewness and Kurtosis Massimo Guidolin and Giovanna Nicodano 2010 Please log in
Using Stocks or Portfolios in Tests of Factor Models Andrew Ang, Jun Liu and Krista Schwarz 2010 Please log in
Short selling bans and market liquidity around the world: Evidence from the 2007-2009 crisis Alessandro Beber and Marco Pagano 2010 Please log in
Co-sponsored project Inquire UK and Inquire Europe Keynes Meets Markowitz: Phelim Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang 2010 Please log in
Internationally Correlated Jumps Kuntara Pukthuanthong and Richard Roll 2010 Please log in
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 Please log in
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors Mila Getmansky, Monica Billio, Andrew W. Lo and Loriana Pelizzon 2010 Please log in
Improving Portfolio Selection Using Option-Implied Volatility and Skewness Victor DeMiguel, Yuliya Plyakhax, Raman Uppal and Grigory Vilkov 2010 Please log in
Improving Time-Series Momentum Strategies: The Role of Trading Signals and Volatility Estimators Akindynos-Nikolaos (Nick) Baltas and Robert Kosowski 2010 Please log in
Measuring the Market Beta Dynamics of Individual Stocks Mathijs Cosemans, Rik Frehen, Rob Bauer and Peter Schotman 2009 Please log in
Do Smart Investors Outperform Dumb Investors? Matti Keloharju, Mark Grinblatt and Juhani Linnainmaa 2009 Please log in
Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises Rainer Jankowitsch and Marti G. Subrahmanyam 2009 Please log in
Liquidity Risk and the Cross-Section of Hedge-Fund Returns Ronnie Sadka 2009 Please log in
Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices Roman Kräussl and Narasimhan Jegadeesh 2009 Please log in
Private Equity Target Selection: Performance and Risk Measurement based on Propensity Score Matching Viral V. Acharya, Moritz Hahn and Conor Kehoe 2009 Please log in
Private Equity Deal Partner Background, Value Creation Strategies and Outperformance Viral Acharya, Moritz Hahn and Conor Kehoe 2009 Please log in
Corporate Governance and Value Creation: Evidence from Private Equity Viral Acharya, Moritz Hahn and Conor Kehoe 2009 Please log in
CoVaR Tobias Adrian and Markus K. Brunnermeier 2008 Please log in
The Effects of Organizational Structure on Asset Management Massimo Massa and Lei Zhang 2008 Please log in
The Determinants of Stock-Bond Return Comovements Lieven Baele, Geert Bekaert and Koen Inghelbrecht 2008 Please log in
International Price and Earnings Momentum Markus Leippold and Harald Lohre 2008 Please log in
Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns Mathijs van Dijk and Kewei Hou 2008 Please log in
Preferences and Characteristics of Mutual Fund Investors Stefan Engström 2007 Please log in
Liquidity and price discovery in the European corporate bond market Bruno Biais and Fany Declerck 2007 Please log in
Dispersion, Equity Returns Correlations and Market Integration Esther Eiling and Bruno Gerard 2007 Please log in
Hedging Currency Risk: a Regret-Theoretic Approach Sébastien Michenaud and Bruno Solnik 2006 Please log in
Mutual Fund Fees Around the World Ajay Khorana, Henri Servaes and 2006 Please log in
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 Please log in
Risk in Capital Structure Arbitrage Stephen Schaefer and Ilya Strebulaev 2006 Please log in
Cross section of liquity dynamics Arzu Ozoguz 2006 Please log in
Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments Markus Leippold and Liuren Wu and 2006 Please log in
The Investment Value of Mutual Fund Portfolio Disclosure Russ Werners, Tong Yao and Jane Zhao 2006 Please log in
Persistence, Predictability and Portfolio Planning Xia and Brennan 2005 Please log in
Dynamic Portfolio Optimization under Tracking Error Constraints Isabelle Bajeux-Besnainou, Roland Portait and Guillaume Tergny 2005 Please log in
Operational Risk and Capital Requirements in the European Investment Fund Industry Bruno Biais, Catherine Casamatta and Jean Charles Rochet 2005 Please log in
The Microstructure of EuroMTS Frank de Jong and Barbara Rindi 2005 Please log in
Valuation, Liquidity and Risk in Government Bond Markets Marco Pagano and Ernst-Ludwig von Thadden 2005 Please log in
Dynamic Asset Allocation with Stochastic Income and Interest Rates Claus Munk and Carsten Sørensen 2005 Please log in
Risk, Mispricing and Asset Allocation: Conditioning on Dividend Yield Jay Shanken and Ane Tamayo 2005 Please log in
The active management of sector funds in United States and Europe Radu Burclacu and Patrice Fontaine 2005 Please log in
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 Please log in
The influence of Screening on SRI Fund Performance and Investment Style Rob Bauer, Kees Koedijk and Roger Otten 2005 Please log in
Fund Liquidation, Self-selection and look-ahead bias in the hedge fund industry Jenke R. ter Horst and Marno Verbeek 2005 Please log in
Do mutual fund families play family strategies? Evidence on cross-subsidization across funds Massimo Massa, José-Miguel Gaspar and Pedro Matos 2005 Please log in
Risk taking, stock pricing and behavioral biases Massimo Massa and Andrei Simonov 2005 Please log in
Disposition matters: volume, volatility and price impact of behavioral biases Massimo Massa and William N. Goetzmann 2005 Please log in
Robust mean variance portfolio choice Frank Lutgens and Peter Schotman 2005 Please log in
Unobserved Actions of Mutual Funds Marcin Kacperczyk, Clemens Sialm and Lu Zheng 2005 Please log in
Liquidity Risk Premia in Corporate Bond Markets Frank de Jong and Joost Driessen 2005 Please log in
Incentives and Risk Taking in Hedge Funds Roy Kouwenberg and William and T. Ziemba 2004 Please log in
European Momentum Strategies, Information Diffusion and Investor Conservatism John A. Doukas and Phillip J. McKnight 2003 Please log in
Conditional Asset Allocation, Hedging and Intertemporal Asset Pricing Bruno Gerard and Guojan Wu 2003 Please log in
Dealer Liquidity in an auction market: evidence from the London Stock Exchange Sylvain Friederich and Richard Payne 2003 Please log in
The market response to earnings tresholds François Degeorge, Jayendu Patel and Richard Zeckhauser 2003 Please log in
How Do Regimes Affect Asset Allocation Andrew Ang and Geert Bekaert 2003 Please log in
Predicting Mutual Fund Returns Russ Wermers 2003 Please log in
Overconfidence and Trading Colume Markus Glaser and Martin Weber 2003 Please log in
A Portfolio Perspective on Option Pricing Anomalies Joost Driessen and Pascal Maenhout 2003 Please log in
International Portfolio Diversification: Industry, Country, and Currency Effects Revisited Bruno Gerard, Pierre Hillion and Frans de Roon 2002 Please log in
Cross-exchange competition in euro-denominated futures contracts Owain ap Gwilym 2002 Please log in
The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse Harald Hau 2002 Please log in
Derivatives pricing with incomplete markets: an equilibrium approach Elyès Jouini. 2001 Please log in
Geographic Patterns of Trading Profitability in Xetra Harald Hau 2001 Please log in
Option Pricing Applications of Long Memory Effects in Volatility Stephen J. Taylor 2001 Please log in
Portfolio Insurance and Market Crashed François Longin 2001 Please log in
International CAPM with Regime Switching CARCH Parameters Lorenzo Cappiello, Tom A. Fearnly and Hans Geberg 2001 Please log in
Dynamic Asset Allocation for Stocks, Bonds and Cash Isabelle Bajeux-Besnainou, James V. Jordan and Roland Portait 2000 Please log in
The Geography of Equity Listing: Why Do European Companies List Abroad? Marco Pagano, Ailsa A. Röell, Josef Zechner 2000 Please log in
Evaluating Style Analysis Frans A. de Roon, Theo E. Nijman and Jenke R. ter Horst 2000 Please log in

Sitemap

  • About
  • News
  • Membership
  • Seminars / Webinars
  • Research
  • Awards
  • ANBI
  • GDPR
  • Complaints
  • Contact
© 1990-2023  Inquire Europe - Institute for quantitative investment research

  • About
    • About Inquire Europe
    • Our Board
    • Committees
    • Honorary members
    • Sister organisations
    • CQA
  • News
  • Membership
    • Membership
    • Our members
    • Membership fee
    • Registration form
    • Young Professionals Program
    • Guest program
  • Seminars / Webinars
    • Seminars / Webinars
    • Future seminars
    • Previous seminars
  • Research
    • Research
    • Call for research proposals
    • Call for papers
    • Research Published in Top Finance Journals
    • Finished research projects
    • Projects under development
  • Awards
  • Contact