Archives for LFIN

You are kindly invited to the Seminar in Financial Research co-organised by the National Bank of Belgium and the Belgian universities (KU Leuven, UA, UCL, UGent, ULB, ULg, UMons, UNamur, USaint- Louis, Vlerick and VUB) Bail-ins and Bail-outs: Incentives, Connectivity and Systemic Stability...

Crowding and Trading Diversification in Factor Investing Victor DeMiguel, London Business School Abstract: The growing number of institutions exploiting smart-beta strategies raises concerns that crowding may increase price-impact costs and thus erode their pro ts. We identify a mechanism,...

Earnings Autocorrelation and the Post-Earnings-Announcement Drift Stefan Palan, University of Graz Abstract : Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies in the literature. This paper presents the first investigation into...

Joint ISBA/LFIN Statistics Seminar Noncausal Affine Process with Appliations to Derivative Pricing Yang Lu, Université Paris 13 Abstract: Linear factor models, where the factors are affine processes, play a key role in Finance, since they allow for quasi-closed form expressions of the...