Alexander Stremme

University of Warwick - Finance Group

Lecturer in Finance

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 4,450

SSRN RANKINGS

Top 4,450

in Total Papers Downloads

8,951

CITATIONS
Rank 20,752

SSRN RANKINGS

Top 20,752

in Total Papers Citations

22

Scholarly Papers (15)

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: 10 Sep 2016
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 3,459 (2,785)
Citation 2

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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

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 1,580 (10,493)
Citation 1

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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, Cass Business School Research Paper, Durham Business School Working Paper
Number of pages: 33 Posted: 08 Mar 2006
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 640 (39,652)
Citation 3

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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
University of Exeter Business School, University of Exeter, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 614 (41,921)

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

The Economic Value of Linkages between Spot and Futures Market

Number of pages: 36 Posted: 11 Feb 2009 Last Revised: 18 Mar 2014
Devraj Basu and Alexander Stremme
SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 453 (61,140)

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Return Predictability, Hedging Pressure, Timing Strategies

The Economic Value of Linkages between Spot and Futures Market

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 97 (268,810)

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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, Cass Business School Research Paper
Number of pages: 45 Posted: 02 Mar 2005
Abhay Abhyankar, Devraj Basu and Alexander Stremme
University of Exeter Business School, University of Exeter, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 527 (51,099)
Citation 6

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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 467 (59,492)

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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, Cass Business School Research Paper
Number of pages: 41 Posted: 04 Mar 2002
Abhay Abhyankar, Devraj Basu and Alexander Stremme
University of Exeter Business School, University of Exeter, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 314 (94,636)
Citation 6

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9.

Exploiting Predictability in International Anomalies

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 309 (96,327)

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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, Cass Business School Research Paper
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 296 (100,902)
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, Cass Business School Research Paper
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 112 (241,831)

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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 79 (303,325)

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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 (612,143)
Citation 2
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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

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: 326
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, University of Exeter Business School, University of Exeter and University of Warwick - Finance Group
Downloads 326

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return predictability, asset management