Patrice Poncet

ESSEC Business School

Professor

Avenue Bernard Hirsch

BP 105 Cergy Cedex, 95021

France

Universite Paris I Pantheon Sorbonne

Finance Department, UFR 06

17 rue de la Sorbonne

75005 Paris

France

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 45,531

SSRN RANKINGS

Top 45,531

in Total Papers Downloads

1,128

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Ideas:
“  I'm currently working on Housing CCAPMs, Socially Responsible Firms, Asset Return predictability, Political Risk and financial Markets, Monetary policy and financial markets  ”

Scholarly Papers (22)

1.

Corporate Social Responsibility and the Cross Section of Stock Returns

Number of pages: 40 Posted: 11 Feb 2016 Last Revised: 01 Dec 2018
Abraham Lioui, Patrice Poncet and Michelle Sisto
EDHEC Business School and Scientific Beta Research Chair, ESSEC Business School and EDHEC Business School
Downloads 282 (126,556)
Citation 4

Abstract:

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Corporate Social Responsibility, multi-factor model

2.

Understanding Dynamic Mean Variance Asset Allocation

Number of pages: 53 Posted: 11 Feb 2016
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School
Downloads 222 (160,566)
Citation 1

Abstract:

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Mean Variance, Dynamic Asset Allocation, Time

3.

Misunderstanding Risk and Return?

Number of pages: 45 Posted: 13 Dec 2011
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School
Downloads 157 (218,858)

Abstract:

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Intertemporal asset pricing, value premium, size premium, Fama-French factors

4.

Long Horizon Predictability: An Asset Allocation Perspective.

Number of pages: 43 Posted: 07 May 2014 Last Revised: 06 May 2018
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School
Downloads 127 (259,256)
Citation 1

Abstract:

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dynamic portfolio decision, predictive regression, long horizon predictability, GMM estimation, inter-temporal hedging, continuous time

5.

Housing For The Long Run

Number of pages: 89 Posted: 02 Feb 2017 Last Revised: 22 Sep 2020
Messaoud Chibane, Abraham Lioui and Patrice Poncet
Neoma Business School, EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School
Downloads 111 (285,858)

Abstract:

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Housing CCAPM, Rare Disaster Events, Cumulant Generating Function, Power Law Distribution, Yield Curve

6.

Optimal Capital and Debt Structures with Loss-Absorbing Debts

Number of pages: 47 Posted: 24 Oct 2013
Sami Attaoui and Patrice Poncet
NEOMA Business School and ESSEC Business School
Downloads 93 (321,739)
Citation 1

Abstract:

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Capital structure, Debt structure, Contingent convertible bonds, Write-down debt, Credit event, Liquidity risk, Solvency risk

7.

International Stock Market Co-Movements and Politics-Related Risks

Number of pages: 72 Posted: 25 Mar 2019
Giovanni Pagliardi and Patrice Poncet
BI Norwegian Business School and ESSEC Business School
Downloads 82 (347,777)
Citation 1

Abstract:

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international stock markets, political risk, economic policy risk, pairs trading, predictive regressions, CDS spreads, abnormal returns

8.

Information Differential and Compensation of Active Fund Managers

Number of pages: 28 Posted: 27 Aug 2012
Chekib Ezzili and Patrice Poncet
ESSEC Business School and ESSEC Business School
Downloads 45 (467,934)

Abstract:

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portfolio delegation, filtration enlargement, information differential

9.

Superior Information and Compensation Fees of Active Mutual Funds

Journal of Financial Perspectives, Vol. 1, No. 3, 2013
Number of pages: 17 Posted: 29 Nov 2017
Chekib Ezzili and Patrice Poncet
NATIXIS Asset Management and ESSEC Business School
Downloads 9 (678,654)

Abstract:

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10.

Capital Structure and Debt Priority

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Posted: 13 Oct 2011 Last Revised: 14 May 2012
Sami Attaoui and Patrice Poncet
NEOMA Business School and ESSEC Business School

Abstract:

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Capital structure, Debt priority structure, Liquidation, Default probability, Credit spread

Optimal Benchmarking for Active Portfolio Managers

Posted: 17 Jul 2006
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

Abstract:

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Optimal Benchmarking for Active Portfolio Managers

European Journal of Operational Research, Vol. 226, No. 2, pp. 268-276, 2013
Posted: 08 May 2014
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

Abstract:

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Benchmarking; Incentive Fees; Mutual Funds; Continuous Time Trading; Martingale Approach; Principal-Agent model; First-best contracts

12.

General Equilibrium Pricing of Cpi's Derivatives

Journal of Banking and Finance, Forthcoming
Posted: 15 Apr 2004
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

Abstract:

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Endogenous Price Level, Inflation Risk Premium, Money Non Neutrality, Options

13.

General Equilibrium Real and Nominal Interest Rates

Journal of Banking and Finance, Forthcoming
Posted: 23 Oct 2003
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

Abstract:

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14.

General Equilibrium Pricing of Non Redundant Forward Contracts

Journal of Futures Markets, Forthcoming
Posted: 09 May 2003
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

Abstract:

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15.

International Asset Allocation: A New Perspective

Journal of Banking and Finance, Forthcoming
Posted: 14 Jun 2002
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

Abstract:

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International Portfolio Theory; Interest rate risk; Currency risk premium; Market prices of risk; Asset return predictability

16.

The Pricing of Insurance-Linked Securities Under Interest Rate Uncertainty

The Journal of Risk Finance, Vol. 3, No. 3, Spring 2002
Posted: 01 Apr 2002
Patrice Poncet and Victor Vaugirard
ESSEC Business School and TEAM-CNRS, University of Paris at Sorbonne

Abstract:

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17.

Dynamic Asset Pricing with Non-Redundant Forwards

Journal of Economic Dynamics and Control, Forthcoming
Posted: 28 Jan 2002
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

Abstract:

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forward contracts, mean variance efficiency, equilibrium risk premium

18.

The Valuation of Nature-Linked Bonds with Exchange Rate Risk

Posted: 14 Nov 2001
Patrice Poncet and Victor Vaugirard
ESSEC Business School and TEAM-CNRS, University of Paris at Sorbonne

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Insurance bonds, digital options, outside barrier calls, change of numeraire, currency risk

19.

On Optimal Portfolio Choice Under Stochastic Interest Rates

Journal of Economic Dynamics and Control
Posted: 06 Mar 2001
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

Abstract:

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Hedging, predictability, market price of risk

20.

Mean Variance Efficiency of the Market Portfolio and Futures Trading

Journal of Futures Markets
Posted: 06 Sep 2000
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

Abstract:

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21.

The Minimum Variance Hedge Ratio Under Stochastic Interest Rates

Management Science, Vol. 46, Issue 5, pp. 658-668
Posted: 19 Apr 2000
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

Abstract:

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22.

Optimal Dynamic Hedging in Incomplete Futures Markets

THE GENEVA PAPERS ON RISK AND INSURANCE THEORY, Vol. 21 No. 1, June 1996
Posted: 23 Dec 1999
EDHEC Business School and Scientific Beta Research Chair, ESSEC Business School and ESSEC Business School

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