Academic Publications

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Looking Beyond Credit Ratings: Factors Investors Consider in Pricing European Asset-Backed Securities

Author(s) :
Frank Fabozzi, Dennis Vink
European Financial Management Volume18, Issue4 September 2012 Pages 515-542 In this paper, we empirically investigate what credit...

Environmental corporate social responsibility and financial performance: Disentangling direct and indirect effects

Author(s) :
Abraham Lioui, Zenu Sharma
Ecological Economics, Vol. 78, June 2012.   This paper assesses the impact of environmental corporate social responsibility (ECSR...

What’s Wrong with Today’s Economics? The Current Crisis Calls for an Approach to Economics Rooted More on Data Than on Rationality

Author(s) :
Frank J. Fabozzi, Sergio M. Focardi
The Journal of Portfolio Management Spring 2012, 38 (3) 104 - 119 Focardi and Fabozzi argue that current mainstream economics is not a science in...

Option pricing and hedging under a stochastic volatility Lévy process model

Author(s) :
Frank J. Fabozzi, Young Shin Kim, Zuodong Lin, Svetlozar T. Rachev
Review of Derivatives Research, Volume 15, pages 81–97, (2012) In this paper, we discuss a stochastic volatility model with a Lévy...

Higher-Order Durations with Respect to Inflation and Real Rates and their Portfolio Management Applications

Author(s) :
Frank J. Fabozzi, Yuewu Xu
The Journal of Fixed Income Spring 2012, 21 (4) 69 - 79 This study considers duration measures of any order with respect to inflation and real...

Approximation of Skewed and Leptokurtic Return Distributions

Author(s) :
Frank Fabozzi, Young Shin Kim, Svetlozar Rachev, Matthias Scherer
Applied Financial Economics Volume 22, 2012 - Issue 16 There is considerable empirical evidence that financial returns exhibit leptokurtosis and...

Performance of Socially Responsible Investment Funds against an Efficient SRI Index: The Impact of Benchmark Choice when Valuating Active Managers

Author(s) :
Véronique Le Sourd
Bankers, Markets & Investors, N.117 - March - April 2012 This paper conducts a performance measurement of SRI funds and assesses the impact of...

Determinants of Primary Market Spreads on U.K. Residential Mortgage-Backed Securities and the Implications for Investor Reliance on Credit Ratings

Author(s) :
Frank J. Fabozzi, Dennis Vink
The Journal of Fixed Income Winter 2012, 21 (3) 7 - 14 We provide empirical evidence about the credit factors that affect the pricing of newly...

A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates

Author(s) :
Rosella Giacomettia, Marida Bertocchi, Svetlozar T. Rachev, Frank J. Fabozzi
Insurance: Mathematics and Economics Volume 50, Issue 1, January 2012, Pages 85-93 With the decline in the mortality level of populations,...

Diversifying The Diversifiers And Tracking The Tracking Error: Outperformaing Cap-Weighted Indices With Limited Risk Of Underperformance

Author(s) :
Noël Amenc, Felix Goltz
The Journal of Portfolio Management Spring 2012, 38 (3) 72 - 88 A number of quantitative or fundamental weighting schemes have been shown to...

The Changing Face of Real Estate Investment Management

Author(s) :
Jim Clayton, Frank J. Fabozzi, S. Michael Giliberto, Jacques N. Gordon, Susan Hudson-Wilson, William Hughes, Youguo Liang, Greg MacKinnon, Asieh Mansour
The Journal of Portfolio Management Special Real Estate Issue 2011, 37 (5) 12 - 23 The real estate investment management industry has been...

Household Search Choice: Theory and Evidence

Author(s) :
Yosef Bonaparte, Frank J. Fabozzi
Applied Economics 43, 2011 - Issue 26 Since the work by Stigler (1961) on the economics of information in the early 1960s, economists have paid...

Metrization of Stochastic Dominance Rules

Author(s) :
Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
International Journal of Theoretical and Applied Finance Vol. 15, No. 02 (2012) We consider a new approach towards stochastic dominance rules...

Selecting Prior Year’s Top Fund of Hedge Funds as This Year’s Choice

Author(s) :
Greg N. Gregoriou, Razvan Pascalau
The Journal of Wealth Management Fall 2010,13 (2) 61 - 68 Can investors select winning funds of hedge funds (FOFs) by merely assuming a simple...

The Performance of Socially Responsible Investment: A Study of the French Market

Author(s) :
Véronique Le Sourd
Bankers, Markets & Investors, N.106 - May - June 2010 Socially responsible investment (SRI) has grown considerably since 2000 and it is now...

Corporate governance reform and firm value in Mexico: an empirical assessment

Author(s) :
Alberto Chonga, Jorge Guillenb, Florencio Lopez-de-Silanes
Journal of Economic Policy Reform Volume 12, 2009 - Issue 3 Based on a newly assembled firm-level data set on corporate governance and firm...

The Performance of Characteristics-based Indices

Author(s) :
Noël Amenc, Felix Goltz, Véronique Le Sourd
European Financial Management vol. 5, n°2, March 2009 This paper analyses a set of characteristics-based indices that, it has been argued,...

Unbundling common style exposures, time variance and style timing of hedge fund beta

Author(s) :
Rodrigo Dupleich, Daniel Giamouridis, Spyros Mesomeris, Nima Noorizadeh
Journal of Asset Management Volume 11, pages 19–30, (2010) This article is concerned with the systematic exposures of equity hedge fund...

The Benefits of Hedge Funds in Asset Liability Management

Author(s) :
Lionel Martellini, Véronique Le Sourd, Volker Ziemann
Bankers, Markets & Investors, N.97 - November - December 2008 This paper examines the benefits of including hedge funds for investors facing...

MiFID Pre-Trade Transparency Rules: An Investor's Perspective

Author(s) :
Catherine D'Hondt, Jean-René Giraud
The Journal of Trading Spring 2008, 3 (2) 8 - 17 In this article, EDHEC emphasises an important issue that is probably not the expected outcome of...