Alexander Stremme

University of Warwick - Finance Group

Lecturer in Finance

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

  • University of Warwick - Finance Group

    • Email
    • Tel: +44 (0) 2476 - 522 066
    • Fax: +44 (0) 2476 - 523 779
SCHOLARLY PAPERS

14

DOWNLOADS
Rank 7,775

SSRN RANKINGS

Top 7,775

in Total Papers Downloads

9,910

SSRN CITATIONS
Rank 37,229

SSRN RANKINGS

Top 37,229

in Total Papers Citations

9

CROSSREF CITATIONS

14

Scholarly Papers (14)

Actions:
Email selected abstracts
1.

How to Time the Commodity Market

Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010, WBS Finance Group Research Paper No. 66
Number of pages: 16 Posted: 22 Jun 2006 Last Revised: 23 Dec 2019
Devraj Basu, Roel C. A. Oomen and Alexander Stremme
SKEMA Business School - Lille Campus, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 3,811 (4,793)
Citation 3

Abstract:

Loading...

commodities, active asset management, return predictability, Commitment of Traders report

2.

CAPM and Time-Varying Beta: The Cross-Section of Expected Returns

WBS Finance Group Research Paper No. 78
Number of pages: 30 Posted: 20 Mar 2007
Devraj Basu and Alexander Stremme
SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 1,799 (16,034)
Citation 3

Abstract:

Loading...

Capital Asset Pricing Model, Time-Varying Risk Premium

3.

When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation?

EFA 2006 Zurich Meetings Paper, Cass Business School Research Paper, Durham Business School Working Paper, WBS Finance Group Research Paper No. 54
Number of pages: 33 Posted: 08 Mar 2006
Devraj Basu, Chi-Hsiou Daniel Hung, Roel C. A. Oomen and Alexander Stremme
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 758 (56,027)
Citation 5

Abstract:

Loading...

Investor Sentiment, Dynamic Asset Allocation

4.

Efficient Use of Conditioning Information: A Sharpe Ratio Based Test of Return Predictability

Cass Business School Research Paper, WBS Finance Group Research Paper No. 18
Number of pages: 44 Posted: 26 Mar 2002
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 641 (69,783)

Abstract:

Loading...

asset pricing, return predictability, mean-variance analysis, conditioning information

5.

The Economic Value of Linkages between Spot and Futures Market

Downloads 603 (75,333)

The Economic Value of Linkages between Spot and Futures Market

WBS Finance Group Research Paper No. 108
Number of pages: 36 Posted: 11 Feb 2009 Last Revised: 23 Dec 2019
Devraj Basu and Alexander Stremme
SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 485 (97,631)

Abstract:

Loading...

Return Predictability, Hedging Pressure, Timing Strategies

The Economic Value of Linkages between Spot and Futures Market

WBS Finance Group Research Paper No. 92
Number of pages: 29 Posted: 17 Mar 2008
Devraj Basu and Alexander Stremme
SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 118 (389,163)
Citation 1

Abstract:

Loading...

Return Predictability, Hedging Pressure, Timing Strategies

6.

The Optimal Use of Return Predictability: An Empirical Analysis

EFA 2005 Moscow Meetings Paper, Cass Business School Research Paper, WBS Finance Group Research Paper No. 39
Number of pages: 45 Posted: 02 Mar 2005
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 564 (81,897)
Citation 7

Abstract:

Loading...

Asset pricing, return predictability

7.

International Asset Pricing and Time-Varying Risk Premia

EFA 2007 Ljubljana Meetings Paper, WBS Finance Group Research Paper No. 73
Number of pages: 36 Posted: 27 Feb 2007
Devraj Basu, Chi-Hsiou Daniel Hung and Alexander Stremme
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School and University of Warwick - Finance Group
Downloads 492 (96,867)

Abstract:

Loading...

International asset pricing, Time-varying Risk Premia

8.

Exploiting Predictability in International Anomalies

WBS Finance Group Research Paper No. 76
Number of pages: 27 Posted: 05 Mar 2007
Devraj Basu, Chi-Hsiou Daniel Hung and Alexander Stremme
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School and University of Warwick - Finance Group
Downloads 333 (151,384)

Abstract:

Loading...

Asset Pricing, Return Predictability, International Diversification

9.

Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: A Unified Approach

EFA 2002 Berlin Meetings Presented Paper, Cass Business School Research Paper, WBS Finance Group Research Paper No. 13
Number of pages: 41 Posted: 04 Mar 2002
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 330 (152,823)
Citation 6

Abstract:

Loading...

10.

Asset Pricing Anomalies and Time-Varying Betas: A New Specification Test for Conditional Factor Models

EFA 2006 Zurich Meetings, Cass Business School Research Paper, WBS Finance Group Research Paper No. 57
Number of pages: 43 Posted: 15 Mar 2006
Devraj Basu and Alexander Stremme
SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 323 (156,468)
Citation 4

Abstract:

Loading...

Asset Pricing, Factor Models, Size/Value Prmium, Momentum Effect

11.

Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: An Empirical Study

EFA 2003 Annual Conference Paper No. 591, Cass Business School Research Paper, WBS Finance Group Research Paper No. 29
Number of pages: 37 Posted: 24 Jul 2003
Devraj Basu and Alexander Stremme
SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 148 (325,847)

Abstract:

Loading...

12.

Optimal Compensation for Fund Managers of Uncertain Type: Informational Advantages of Bonus Schemes

NYU Working Paper No. FIN-99-029, WBS Finance Group Research Paper No. 105
Number of pages: 44 Posted: 07 Nov 2008
Alexander Stremme
University of Warwick - Finance Group
Downloads 108 (412,919)
Citation 1

Abstract:

Loading...

Fund Manager Compensation, Portfolio Choice, Asymmetric Information, Learning by Experimentation

13.

Cay Revisited: Can Optimal Scaling Resurrect the (C)Capm?

Cass Business School Research Paper, WBS Finance Group Research Paper No. 60
Posted: 16 Mar 2006
Devraj Basu and Alexander Stremme
SKEMA Business School - Lille Campus and University of Warwick - Finance Group

Abstract:

Loading...

Asset Pricing, Portfolio Efficiency, Conditional Factor Models

14.

Market Volatility and Feedback Effects from Dynamic Hedging

WBS Finance Group Research Paper No. 3
Posted: 06 Sep 1999
Rüdiger Frey and Alexander Stremme
ETH Zürich and University of Warwick - Finance Group

Abstract:

Loading...

Other Papers (1)

Total Downloads: 356
Actions:
Email selected abstracts
1.

The Optimal Use of Return Predictability: An Empirical Analysis

AFA 2006 Boston Meetings Paper
Number of pages: 48 Posted: 22 Mar 2005
Devraj Basu, Abhay Abhyankar and Alexander Stremme
SKEMA Business School - Lille Campus, MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and University of Warwick - Finance Group
Downloads 356

Abstract:

Loading...

return predictability, asset management