Alexander Stremme

University of Warwick - Finance Group

Lecturer in Finance

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

  • University of Warwick - Finance Group

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SCHOLARLY PAPERS

15

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9,104

SSRN CITATIONS
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Top 33,779

in Total Papers Citations

5

CROSSREF CITATIONS

16

Scholarly Papers (15)

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1.

How to Time the Commodity Market

Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010
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 3,509 (3,117)
Citation 3

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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 1,630 (11,326)
Citation 3

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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
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 665 (42,048)
Citation 5

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Investor Sentiment, Dynamic Asset Allocation

4.

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

Cass Business School Research Paper
Number of pages: 44 Posted: 26 Mar 2002
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 617 (46,444)
Citation 1

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

5.

The Economic Value of Linkages between Spot and Futures Market

Downloads 557 ( 52,927)

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 458 (67,012)

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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 99 (290,826)
Citation 1

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Return Predictability, Hedging Pressure, Timing Strategies

6.

The Optimal Use of Return Predictability: An Empirical Analysis

EFA 2005 Moscow Meetings Paper
Number of pages: 45 Posted: 02 Mar 2005
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 528 (56,672)
Citation 5

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Asset pricing, return predictability

7.

International Asset Pricing and Time-Varying Risk Premia

EFA 2007 Ljubljana Meetings Paper
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 470 (65,549)

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International asset pricing, Time-varying Risk Premia

8.

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

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 41 Posted: 04 Mar 2002
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 314 (104,676)
Citation 5

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9.

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 312 (105,374)

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Asset Pricing, Return Predictability, International Diversification

10.

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

EFA 2006 Zurich Meetings
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 300 (110,005)
Citation 4

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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
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 115 (260,408)

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12.

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

NYU Working Paper No. FIN-99-029
Number of pages: 44 Posted: 07 Nov 2008
Alexander Stremme
University of Warwick - Finance Group
Downloads 83 (322,739)
Citation 1

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

13.

International Dynamic Asset Allocation and Return Predictability

Journal of Business Finance & Accounting, Vol. 37, No. 7-8, pp. 1008-1025, July/August 2010
Number of pages: 18 Posted: 20 Sep 2010
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 4 (672,164)
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14.

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

Cass Business School Research Paper
Posted: 16 Mar 2006
Devraj Basu and Alexander Stremme
SKEMA Business School - Lille Campus and University of Warwick - Finance Group

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Asset Pricing, Portfolio Efficiency, Conditional Factor Models

15.

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

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Other Papers (1)

Total Downloads: 331
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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 and University of Warwick - Finance Group
Downloads 331

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return predictability, asset management