publication venue for

• ESG and Derivatives 2024
• Is Singapore's Beveridge Curve Suffering from Long Covid Shifts? 2024
• Securities Prices are Set by Those at the Market's Margins 2024
• The Flipside of Financial Innovation: Why Contracts Fail 2024
• About Options Investors 2023
• An Exact Algorithm to Solve Multi-objective, Multi-Constrained Shortest Path Problems with Forbidden Paths 2023
• Dynamic Sector Rotation 2023
• ESG Role in Equity Performance in Private Market, Primary Market and Secondary Market 2023
• Estimating the Market's Expected Return and Uncertainty from Option Prices 2023
• Estimating the Market's Expected Return and Uncertainty from Option Prices 2023
• Have I Seen you Before? Measuring the Value of Tracking for Digital Advertising 2023
• Joining Lifecycle Models with Mean-Variance Optimization 2023
• Simulation and optimization of 5MW hydrogen fueled power plant based on dibenzyl toluene(h0-dbt)-octadecahydro-dibenzyl toluene(h18-dbt)-hydrogen cycle 2023
• Spatio-Temporal Generalised Hyperbolic Models with Application to Heatwave Prediction 2023
• The CAPM, APT, and PAPM 2023
• The Diminishing Role of Active Mutual Funds: Flows and Returns 2023
• Tweets versus broadsheets: Sentiment impact on stock markets around the world 2023
• Using Volatility to Add Alpha and Control Portfolio Risk 2023
• Does Privacy Regulation Harm Content Providers? A Longitudinal Analysis of the Impact of the GDPR 2022
• An Fpt Algorithm for Node-Disjoint Subtrees Problems Parameterized by Treewidth 2022
• Can We Curb Algorithmic Bias? An Experiment on a Social Network with Teens 2022
• Hitting the Right Target? Pricing and Advertising Strategies in Digital Markets 2022
• Online Popularity, Fake Followers and Soccer Players' Value 2022
• Towards Constructing the Distribution of Market Participants from Option Prices 2022
• Was the Black Scholes Hedged Portfolio Really Risk Free? 2022
• Adaptive Learning for Financial Markets Mixing Model-Based and Model-Free Rl for Volatility Targeting 2021
• An Anomaly within an Anomaly: The Halloween Effect in the Long-term Reversal Anomaly 2021
• Climate Change Transition Risk on Sovereign Bond Markets 2021
• Designing temperature alignment metrics to invest in net zero: an empirical illustration of best practices 2021
• Fair or Unbiased Algorithmic Decision-Making? A Review of the Literature on Digital Economics 2021
• How Radiolysis Impacts Astatine Chemistry? 2021
• Intangible ironies: investor mispricing of company assets on and off its balance sheet 2021
• Pricing Without Mispricing 2021
• Peer Effects on Firm Dividend Policies in Taiwan 2020
• Tradeoffs in Automated Political Advertising Regulation: Evidence from the COVID-19 Pandemic 2020
• Comovement, Liquidity and Asymmetries 2019
• Dynamics of Global Credit Markets 2019
• Equity Momentum: The Global Engine of Credit Rating Migration and Performance 2019
• In Defence of Portfolio Optimisation What If We Can Forecast? 2019
• Investment in Two-Sided Markets under Technological Uncertainty 2019
• Research Foundation Review 2018 2019
• Responsible Institutional Investing Around the World 2019
• Should Annuities be Purchased from Tax-Sheltered Assets? 2019
• The Commodity Futures Risk Premium: 1871 – 2018 2019
• The Fear of Credit Risk and the Spread Divided by Duration (SDD) Anomaly in Global Credit Markets 2019
• The First Commodity Futures Index of 1933 2019
• The PAPM with Heterogeneous Preferences and Expectations 2019
• Comovement in Arbitrage Limits 2018
• Digital Platforms and Disability in France 2018
• Digital Social Innovation: Exploring an Emerging Field 2018
• Individual, Contextual and Macro Antecedents of Online Privacy Concern: The Case of Data Collection in Europe 2018
• Nonlinear Factor Attribution 2018
• Popularity: A Bridge between Classical and Behavioral Finance 2018
• STEM and Teens: An Algorithm Bias on a Social Media 2018
• Size and Value in China 2018
• The Costs and Benefits of Performance Fees in Mutual Funds 2018
• Effcient Sequential Monte-Carlo Samplers for Bayesian Inference 2017
• On Commodity Price Limits 2017
• Sector Spillovers in Credit Markets 2017
• Strategic Asset Allocation: Combining Science and Judgment to Balance Short-Term and Long-Term Goals 2016
• A Taxonomy of Beta Based on Investment Outcomes 2016
• Anticipatory Trading in Brent Futures: Evidence from the Unregulated Dated Brent Benchmark 2016
• Are Litigated Patents More Valuable? The Case of Light Emitting Diodes 2016
• Automation, Computerisation and Future Employment In Singapore 2016
• Barriers to Eco-Innovation in the LED Sector: A Multilevel Perspective 2016
• Bitcoin Market Volatility Analysis Using Grand Canonical Minority Game 2016
• Extending Fama-French Factors to Corporate Bond Markets 2016
• Finding Yield in a 2% World 2016
• Enforcement of IFRS by Regulatory Oversight Bodies: Modelisation and Empirical Test 2015
• Factor Attribution and the Impact of Investment Constraints 2015
• Facts and Fantasies About Commodity Futures Ten Years Later 2015
• From Less Promising to Green? Technological Opportunities and Their Role in (Green) ICT Innovation 2015
• Learning to Play Offense and Defense: Combining Value and Momentum from the Bottom Up, and the Top Down 2015
• Limit Order Behaviour and Execution Costs: Retail vs Non-Retail Investors 2015
• MAFI: A Multi-Asset Fragility Indicator Using Principal Component Analysis 2015
• Orthant Probabilities for Robust Correlation and Structural Performance Enhancement 2015
• Social Network and Private Provision of Public Goods 2015
• The Supply of Stock Returns: Adding Back Buybacks 2015
• Modern Pension Fund Diversification 2014
• Smart Currency Hedging for Smart Beta Global Equities 2014
• Tactical Timing of Low Volatility Equity Strategies 2014
• The Price Tag of Impatience, Stress and Release: An Exploration of the Revenue Model of Mobile Gaming Companies 2014
• A Framework for Value Investing 2013
• Country and Sector Drive Low-Volatility Investing in Global Equity Markets 2013
• Country and Sector Drive Minimum-Volatility Investing in Emerging Markets Too 2013
• Decoding the American Vanilla Prices 2013
• Effectiveness of Independent Boards of Luxembourg Funds 2013
• Household Aggregate Wealth in the Main OECD Countries from 1980 to 2011: What Do the Data Tell Us? 2013
• Momentum Profits, Market Cycles, and Rebounds: Evidence from Germany 2013
• Quality Investing in an Australian Context 2013
• Style Factor Timing: An Application to the Portfolio Holdings of US Fund Managers 2013
• The Lure of the Brand: Evidence from the European Mutual Fund Industry 2013
• To Hedge or Not to Hedge: The Slings and Arrows of Currency Risk in Minimum-Volatility Investing 2013
• Waste Prevention and Social Preferences: The Role of Intrinsic and Extrinsic Motivations 2013
• Beyond Q: Estimating Investment without Asset Prices 2012
• Deleveraging Risk 2012
• Enhancing the Profitability of Earnings Momentum Strategies: The Role of Price Momentum, Information Diffusion and Earnings Uncertainty 2012
• Global Cape Model Optimization 2012
• How Does Earnings Management Influence Investors’ Perceptions of Firm Value? Survey Evidence from Financial Analysts 2012
• Information Induced Liquidity Crises 2012
• Liquidity Style of Mutual Funds 2012
• Patterns of Innovation in Green ICT: A Patent-Based Analysis 2012
• Portfolio Quality and Mutual Fund Performance 2012
• The Business Cycle and the Correlation Between Stocks and Commodities 2012
• Time-Varying Risk Aversion in the Cross-Section of Mutual Fund Flows 2012
• Does Earnings Management Affect Financial Analysts? Survey Evidence 2011
• Firm/Market Equivalency: Determinants and Effects on Industry Dynamics 2011
• Governance through Trading: Institutional Swing Trades and Subsequent Firm Performance 2011
• How Many Commodity Sectors Are There, and How Do They Behave? 2011
• Plateformes, Coordination et Incitations 2011
• Subprime Mortgage Design 2011
• An Examination of Traditional Style Indexes 2010
• Convergence in Corporate Investments and Aggregate Investment Dynamics 2010
• Investment Case for Commodities? Myths and Reality 2010
• Migration Options for Skilled Labor and Optimal Investment in Human Capital 2010
• Relative Strength Strategies for Investing 2010
• The Relationship between Environmental Social Governance Factors and Stock Returns 2010
• The Relationship between Environmental Social Governance Factors and Stock Returns 2010
• Turning Points Detection of Business Cycles: A Model Comparison 2010
• Are Mutual Fund Managers Investors or Speculators? 2009
• Can Mutual Fund Managers Outguess Sectors? 2009
• Eliciting Coordination with Rebates 2009
• How Much is Enough? Diversification across Mutual Funds 2009
• Information Revelation and Strategic Use of Capital Structure in Duopoly with Asymmetric Information 2009
• Information Revelation and Strategic Use of Capital Structure in Duopoly with Asymmetric Information 2009
• The Threat of Exit with Optimal Contracting: Institutional Churning Trades and Subsequent Firm Performance 2009
• VoIP Diffusion Among New Entrants: A Path Dependent Process 2009
• What is the Wind Behind this Sail? Can Fund Managers Successfully Time Their Investment Styles? 2009
• Follow the Leader: The Cause and Consequences of Fund Managers Trading in Signal-Strength Sequence 2008
• Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of CTAs 2008
• Inflation and Industry Returns - A Global Perspective 2008
• Style Timing with the Value Spread in Australia 2008
• The Two Faces of Open Innovation: Network Externalities and Learning 2008
• Economics of Free Mobile Applications: Personal Data 2007
• The Impact of Strategic Investor Activism on Institutional Trading and Portfolio Returns 2007
• Portfolio Pumping: An Examination of Investment Manager Quarter-End Trading and Impact on Performance 2005
• The Implications of Blending Specialist Active Equity Management 2005
• Why Has the Flow-Performance Relationship in the U.S. Mutual Fund Industry become More Linear? 2005
• Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments 2004
• The Effect of New Money Inflows on the Flow-Performance Relationship in the U.S. Mutual Fund Industry 2004
• Airline Revenue Management Under Imperfect Market Segmentation 2003
• Long-Run Abnormal Stock Performance: Some Additional Evidence 2003
• The Aggregate Behaviour of Individual Investors 2003
• Trade Generation, Reputation and Sell-Side Analysts 2003
• Unifying Underreaction Anomalies 2002
• Volatility in Emerging Stock Markets Revisited 2002
• High Frequency Performance Monitoring 2001
• Industries, Business Cycle and Profitability of Momentum Strategies: An International Perspective 2001
• Who Are the Best? Local Versus Foreign Analysts on Latin American Stock Markets 2001
• The Bivariate Stochastic Functional Form 1999
• Contrarian Strategies and Cross-Autocorrelations in Stock Returns: Evidence From France 1998
• Performance Attribution Through a Factor Lens 2018
• Quantifying the Skewness Loss of Diversification 2018
• Oil and Stock Market Momentum 2017
• Benchmark Regulation and Market Quality 2017
• Chapter 29: Practical Challenges of Implementing Behavioral Finance: Reflections from the Field 2017
• The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy 2017
• Common Equity Factors in Corporate Bond Markets 2017
• The Trinity Portfolio: A Long-Term Investing Framework Engineered for Simplicity, Safety, and Outperformance 2016
• The Apple Twist 2016
• An Overview of Retirement Income Strategies 2016
• Investor Interest and the Returns to Commodity Investing 2016
• Finding Yield in a 2% World 2016
• Langevin and Hamiltonian Based Sequential MCMC for Efficient Bayesian Filtering in High-Dimensional Spaces 2015
• Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors 2013
• From Minority Game to Black & Scholes Pricing 2013
• Liquidity-Driven Dynamic Asset Allocation 2012
• Global Value: Building Trading Models with the 10 Year CAPE 2012
• Factor Attribution that Adds Up 2012
• Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US 2011
• How Index Trading Increases Market Vulnerability 2011
• Learning to Love Investment Bubbles: What if Sir Isaac Newton had been a Trendfollower? 2011
• Where the Black Swans Hide & the 10 Best Days Myth 2011
• What if 8% is Really 0%? Pension Funds Investing with Fingers-Crossed and Eyes Closed 2011
• The Impact of Skewness and Fat Tails on the Asset Allocation Decision 2011
• On-Line Brokerage in Europe: Actors & Strategies 2011
• Where the Black Swans Hide & The 10 Best Days Myth 2011
• Demographics, Dividend Clienteles and the Dividend Premium 2010
• Technical Innovations - (Re)Shaping the Mobile Sector: The Breaker, the Trojan and… the Shopping Malls 2010
• An Empirical Study of Dividend Payout and Future Earnings in Singapore 2010
• The Equal Importance of Asset Allocation and Active Management 2010
• Politics and Profit: Combining the Presidential Cycle and the January Effect 2010
• Retail Minority Shareholders and Corporate Reputation as Determinant of Dividend Policy in Australia 2010
• Should Good Stocks Have High Prices or High Returns 2009
• An Empirical Study of the Fisher Effect and the Dynamic Relation between Nominal Interest Rate and Inflation in Singapore 2009
• A Structural Analysis of the Default Swap Market, Part 1 (Calibration) 2008
• Custom Factor Attribution 2008
• The Value Spread as a Market Timing Signal: Evidence from Asia 2008
• A Simulation Based Specification Test for Diffusion Processes 2008
• A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects 2007
• Simulation-Based Booking Limits for Airline Revenue Management 2005
• Valuation Effects of Listing on a More Prominent Segment of the Stock Market: Evidence from France 2003
• New Uses that Revitalize Old Brands 1999