14/11/2024 Portfolio Allocation Return Predictability, Expectations, and Investments: Experimental Evidence This paper proposes an experiment to understand why investors tend to adjust their portfolios insufficiently in response to changes in their own forecasts...
27/08/2019 Sustainable Finance Do universal owners vote to curb negative corporate external... This paper tests whether very diversified and patient investors, also known as universal owners, tend to vote in favor of shareholder resolutions instructing...
24/06/2019 Portfolio Allocation Factor Investing in Currency Markets: Does it Make Sense? The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.
18/06/2019 Asset Pricing & Behavioural Finance Pricing Individual Stock Options using both Stock and Market... When it comes to individual stock option pricing, most applications consider a univariate framework.
17/06/2019 Asset Pricing & Behavioural Finance Variance Premium, Downside Risk, and Expected Stock Returns We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from...
17/06/2019 Asset Pricing & Behavioural Finance International Stock Market Co-Movements and Politics-Related... We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors.
7/05/2019 Asset Pricing & Behavioural Finance News-Based Indices on Country Fundamentals: Do They Help Exp... This paper revisits the discussion about the role that fundamentals play in asset prices using sovereign credit spread data.