Publications

History is repeating itself: Get ready for a long dry spell

Ramzi Ben-Abdallah et Michèle Breton 
Financial Analysts Journal 73(3)

The recent disappearance of a five-year maturity gap from the set of bonds deliverable to the chicago board of trade treasury bond futures has resulted in a distinctive configuration, whereby a single t-bond will have the shortest remaining maturity in the delivery basket of bonds for a five-year period. 

www.cfapubs.org/doi/abs/10.2469/faj.v73.n3.1

 


Downside Variance Risk Premium


Good Volatility, Bad Volatility and Option Pricing


Volatilité réalisée

Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships,
Eric Jacquier et Cédric Okou
Forthcoming in Journal of Financial Econometrics
Realized variance can be broken down into continuous volatility and jumps. We show that these two components have very di ferent predictive powers on future long-term excess stock market returns. While continuous volatility is a key driver of medium to long-term risk-return relationships, jumps do not predict future medium- to long-term excess returns.


Fusions et acquisitions

Are the busiest really the best? Further evidence from frequent acquirers,
Narjess Boubakri, Andrew Chan et Maher Kooli
Journal of Multinational Financial Management, Volume 22, Issues 1–2, April 2012, Pages 1–23
We reexamine the announcement returns for a sample of 4215 U.S. frequent acquirers making 3299 domestic and 916 cross-border acquisitions of public, private and/or subsidiary targets between 1999 and 2010.


Réplication des fonds de couverture

Should we give hedge funds clones a chance?
Maher Kooli et Sameer Sharma
Managerial Finance (Special Issue: Hedge Funds During the Crisis), 2012, Volume. 38, no 1, Pages 44 -66.
The purpose of this paper is to examine the possibility of creating hedge funds “clones” using liquid exchange traded instruments. Authors analyze the performance of fixed weight and extended Kalman filter generated clone portfolios (EKF) for 14 hedge fund strategies from February 2004 to September 2009.