Maxime Bonelli

HEC Paris - Finance Department

France

  • HEC Paris - Finance Department

SCHOLARLY PAPERS

10

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4,119

SSRN CITATIONS

4

CROSSREF CITATIONS

7

Scholarly Papers (10)

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1.

The Capacity of Trading Strategies

HEC Paris Research Paper No. FIN-2015-1089
Number of pages: 50 Posted: 27 Mar 2015 Last Revised: 05 Feb 2019
Maxime Bonelli, Augustin Landier, Guillaume Simon and David Thesmar
HEC Paris - Finance Department, HEC, Capital Fund Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,325 (21,584)
Citation 9

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trading costs, asset pricing anomalies, asset management, arbitrage

2.

Causal Effects of Closing Businesses in a Pandemic

Number of pages: 66 Posted: 13 May 2020 Last Revised: 05 Jan 2022
Jean-Noel Barrot, Jean-Noel Barrot, Maxime Bonelli, Basile Grassi and Julien Sauvagnat
HEC ParisHEC Paris, HEC Paris - Finance Department, Bocconi University - Department of Economics and Bocconi University
Downloads 941 (35,081)
Citation 3

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COVID-19, pandemic, business closures, non-essential businesses

3.

Exchange Traded Funds: Toward a Tailored Selection Approach

Number of pages: 15 Posted: 31 Oct 2014 Last Revised: 28 Apr 2015
Maxime Bonelli
HEC Paris - Finance Department
Downloads 449 (91,215)

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Passive investment, ETF, tracking error, tracking difference

4.

Stock Market Volatility Dynamics: A Volume Filtered-GARCH Model

Number of pages: 59 Posted: 07 Mar 2016 Last Revised: 08 Jun 2016
Maxime Bonelli
HEC Paris - Finance Department
Downloads 335 (127,562)

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Mixture of Distribution, stochastic volatility, GARCH, trading volume

5.

An Alternative Model of Expected Returns and its Implications for Return Predictability

Number of pages: 68 Posted: 25 May 2014 Last Revised: 29 Oct 2016
Maxime Bonelli and Daniel Mantilla-Garcia
HEC Paris - Finance Department and Universidad de Los Andes - School of Management
Downloads 287 (149,489)

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return predictability, economic constraints, dividend-price ratio, Kalman filter, Bayesian analysis

6.

Labor Mobility and Capital Misallocation in the Mutual Fund Industry

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 63 Posted: 22 Nov 2019 Last Revised: 06 Jul 2021
Maxime Bonelli
HEC Paris - Finance Department
Downloads 241 (177,765)

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Mutual Funds, Capital Misallocation, Labor Mobility, Non-Competes

7.

Portfolio Management with Drawdown Constraint: An Analysis of Optimal Investment

Number of pages: 61 Posted: 29 Apr 2017
Maxime Bonelli and Mireille Bossy
HEC Paris - Finance Department and Institut National de Recherche en Informatique et Automatique (INRIA)
Downloads 210 (202,435)

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portfolio optimization, drawdown constraint, prospect theory, dynamic programming

8.

Quality and Product Differentiation: Theory and Evidence from the Mutual Fund Industry

HEC Paris Research Paper No. FIN-2021-1428
Number of pages: 71 Posted: 11 Oct 2021 Last Revised: 27 Jul 2022
Maxime Bonelli, Anastasia Buyalskaya and Tianhao Yao
HEC Paris - Finance Department, California Institute of Technology - Division of the Humanities and Social Sciences and HEC Paris
Downloads 155 (263,295)

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Mutual Funds, Product Differentiation, Market Structure, Textual Analysis, Ratings

9.

Should a Skeptical Portfolio Insurer Use an Optimal or a Risk-Based Allocation?

Number of pages: 23 Posted: 03 Jun 2014 Last Revised: 30 Apr 2015
Maxime Bonelli and Daniel Mantilla-Garcia
HEC Paris - Finance Department and Universidad de Los Andes - School of Management
Downloads 142 (282,272)
Citation 1

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return predictability, risk-based strategies, asset allocation, portfolio insurance, maximum drawdown

10.

Altruism or Self-Interest? ESG and Participation in Employee Share Plans

Number of pages: 56 Posted: 25 Jul 2022
Maxime Bonelli, Marie Briere and François Derrien
HEC Paris - Finance Department, Amundi Asset Management and HEC Paris - Finance Department
Downloads 34 (611,968)

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ESG, 401(k), employee ownership, employee satisfaction