Projects under development

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Project Author(s) Year of funding
Investor's Expectations, Economic Growth, and the Dynamics of Commodity Risk Premia Daniele Bianchi 2017
Limits to Arbitrage in the Foreign Exchange Market: Evidence from FX Trade Repository Data Gino Cenedese, Pasquale Della Corte and Tianyu Wang 2017
Do Publicly Listed Private Equity Firms Make Bad Deals? Maurice McCourt 2017
Robo-advisers and Investor Behavior Benjamin Loos, Alessandro Previtero, Sebastian Scheurle and Andreas Hackethal 2017
The Social Stigma of Short Selling Elisabeth Kempf and Mancy Luo 2017
Jumpy Cash Flows: Extracting Fundamentals from High-frequency Dividend and Earnings Data Riccardo Sabbatucci, Davide Pettenuzzo and Allan Timmermann 2017
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
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
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