Publications | EDHEC Climate Institute

March 2013

The EDHEC European ETF Survey 2012

The EDHEC European ETF Survey 2012 presents the results of a comprehensive survey of 212 European ETF investors. The aim…

March 2013

Hedging Versus Insurance: Long-Horizon Investing With Short-Term Constraints

This study provides comprehensive insights into all of EDHEC-Risk Institute’s research on dynamic allocation in asset…

March 2013

Taking Full Advantage of the Statistical Properties of Commodity Investments

Academic and practitioner research has documented that commodities yield important risk-reduction benefits for a…

February 2013

An Analysis Of The Convergence Between Mainstream And Alternative Asset Management

This paper provides an academic analysis of the main techniques that are currently used by hedge fund managers and that…

February 2013

Assessing the Quality of Asian Stock Market Indices

There has been increasing demand for equity indices in Asia. This is because global investors wish to benefit from the…

February 2013

Reactions to "A Review of Corporate Bond Indices: Construction Principles, Return Heterogeneity, and Fluctuations in Risk Exposures"

The results of a call for reaction conducted to help gather evidence on investor perceptions of the issues related to…

February 2013

Construction Risk in Infrastructure Project Finance

We know from the project management literature that construction risk is significant in public infrastructure projects…

January 2013

Towards Better Consideration of Pension Liabilities in European Union Countries

The goal of this study is to provide a broad picture of explicit and implicit pension liabilities in the EU-27 countries…

January 2013

Towards Efficient Benchmarks for Infrastructure Equity Investments

This paper highlights a recent research quandary with respect to infrastructure equity investment which has also been a…

December 2012

Proposals for Better Management of Non-Financial Risks within the European Fund Management Industry

This paper concludes three years of research on better management of non-financial risks within the European fund…

December 2012

A Fully Integrated Liquidity Market Risk Model

Going beyond the simple bid—ask spread overlay for a particular value at risk, this paper introduces a framework that…

November 2012

Improving Risk Management in DC and Hybrid Pension Plans

This short paper highlights the key conclusions of Amenc et al. (2012) regarding the best practices for managing risks…

November 2012

Comparing First, Second and Third Generation Commodity Indices

The rising interest of institutional investors for commodities since the early 2000s prompted remarkable financial…

September 2012

The Risks of Volatility ETNs: A Recent Incident and Underlying Issues

Getting volatility exposure has become easier for investors after the relatively recent introduction of volatility ETNs …

August 2012

Who Sank the Boat? Response to the Finance Watch paper "Investing Not Betting"

This EDHEC-Risk position paper specifically responds to a recent report by Finance Watch on regulatory proposals for…

July 2012

The Impact of Solvency II on Bond Management

Solvency II, which could come into effect in 2016, will have a significant impact on the way insurance companies, as…

July 2012

Long-Term Investing Strategies In Private Wealth Management

This paper argues that improved long-term investing strategies can be designed for private wealth management. These…

June 2012

Seeing through the Smoke Screen of Fundamental Indexers: What are the Issues with Alternative Equity Index Strategies?

With an ever-growing number of alternative index construction methods on offer, investors should, in principle, be…

June 2012

Robust Assessment of Hedge Fund Performance through Nonparametric Discounting

This paper evaluates the performance of hedge funds through a new nonlinear risk adjustment of returns. The risk…

June 2012

EDHEC-Risk North American Index Survey 2011

As the choice of an index is a crucial step in both asset allocation and performance measurement, it is useful to…

June 2012

Improving Time-Series Momentum Strategies: The Role of Trading Signals and Volatility Estimators

Constructing a time-series momentum strategy involves the volatility-adjusted aggregation of univariate strategies and…

June 2012

Revisiting Mutual Fund Performance Evaluation

Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the…

June 2012

Executive Stock Options as a Screening Mechanism

The finance literature has shown that option grants can help to screen out low-ability executives. In this paper we…

May 2012

Reactions to the EDHEC Study “Optimal Design of Corporate Market Debt Programmes in the Presence of Interest-Rate and Inflation Risks”

EDHEC-Risk Institute has conducted extensive research into advanced debt management practices, including a study on the…

May 2012

The Benefits of Volatility Derivatives in Equity Portfolio Management

The focus of this paper is to provide a formal analysis of the benefits of volatility derivatives in equity portfolio…

May 2012

Revisiting Core-Satellite Investing - A Dynamic Model of Relative Risk Management

Tracking error is not necessarily bad. Just like with good and bad cholesterol, there is “good” tracking error, which…

May 2012

New 'Stylised facts' about Hedge Funds and Database Selection Bias

This paper presents new stylized facts about hedge fund performance and database selection biases based on a novel…

May 2012

EDHEC-Risk Asian Index Survey 2011

This is the first comprehensive survey of Asian investment professionals that identifies the criteria investors use to…

May 2012

Inferring the Value of Intangible Assets

This paper examines whether financial statement analysis can be effective in inferring the intangible value of firms. It…

May 2012

Stock Return Predictability of Cross-Market Deviations in Option Prices and Credit Default Swap Spreads

Cross-market deviations in (deep out-of-the-money) equity put option prices and credit default swap spreads of the same…

April 2012

Optimal Market Estimates of French Office Property Performance

In the world of institutional investment, the performance of the office property sector has traditionally been valued…

March 2012

Performance of Socially Responsible Investment Funds against an Efficient SRI Index: The Impact of Benchmark Choice when Evaluating Active Managers - An Update

This paper conducts a performance measurement of SRI funds and assesses the impact of changing the reference from a…

March 2012

Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?

This paper compares the performance of equal-, value-, and price-weighted portfolios of stocks in the major U.S. equity…

March 2012

The EDHEC European ETF Survey 2011

The EDHEC European ETF Survey 2011 presents the results of a comprehensive survey of 174 institutional investment…

March 2012

Shifting Towards Hybrid Pension Systems: A European Perspective

This paper examines recent developments and the major risks of retirement systems, from both the sponsor and pension…

March 2012

What Asset-Liability Management Strategy For Sovereign Wealth Funds?

This publication presents the industry reactions to an EDHEC-Risk Institute study entitled “Asset-Liability Management…

March 2012

Commodity Futures Returns and Idiosyncratic Volatility

This paper studies the relationship between idiosyncratic volatility and expected returns in commodity futures markets.…

February 2012

Pension Fund Investment in Social Infrastructure: Insights from the 2012 reform of the private finance initiative in the United Kingdom

In February 2012, EDHEC-Risk Institute responded to the UK Treasury’s Call for Evidence about the reform of the Private…

February 2012

Dynamic Investment Strategies For Corporate Pension Funds In The Presence Of Sponsor Risk

This paper aims to go beyond simple forms of dynamic strategies, and to show that more sophisticated dynamic allocation…

February 2012

Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure

This paper constructs long-short factor-mimicking portfolios that capture the hedging pressure risk premium of commodity…

February 2012

Shedding Light on Non-Financial Risks - A European Survey

This survey analyses the views of European fund industry professionals on non-financial risk and performance in a…

January 2012

Lessons from History on Commodity Futures Trading Controversies

Public scrutiny of, and scepticism about, commodity futures markets has had a long tradition in both the United States…

January 2012

Introducing the EDHEC-Risk Solvency Benchmarks - Maximising the Benefits of Equity Investments for Insurance Companies facing Solvency II Constraints

This study proposes a methodological framework, based on objective and thoroughly tested academic references, to design…

January 2012

What do Short Sellers Know?

Using proprietary short-sale order data, we investigate the sources of short sellers’ informational advantage. Heavier…

January 2012

What are the Risks of European ETFs?

This paper outlines EDHEC-Risk Institute's positions on the major concerns of counterparty risk, liquidity risk,…

January 2012

Solvency II : A unique opportunity for hedge fund strategies

There is growing empirical evidence that the complexity of financial markets makes it increasingly challenging for…

January 2012

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

Risk management through marginal rebalancing is important for institutional investors due to the size of their…

January 2012

The Link between Eurozone Sovereign Debt and CDS Prices

This paper performs a theoretical and empirical analysis of the relationship between the price of Eurozone sovereign…

January 2012

Response to the European Commission White Paper "An Agenda for Adequate, Safe and Sustainable Pensions"

On February 16th, 2012, the European Commission published a White Paper entitled “An Agenda for Adequate, Safe and…

January 2012

Asset Prices in General Equilibrium with Transactions Costs and Recursive Utility

This paper studies the effect of proportional transactions costs on asset prices and liquidity premia in a general…