Devraj Basu

Université Lille Nord de France - Skema Business School

Campus de Lille

Avenue Willy Brandt, Euralille

Lille, 59777

France

SCHOLARLY PAPERS

19

DOWNLOADS
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SSRN RANKINGS

Top 2,722

in Total Papers Downloads

10,418

CITATIONS
Rank 14,958

SSRN RANKINGS

Top 14,958

in Total Papers Citations

24

Scholarly Papers (19)

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
Université Lille Nord de France - Skema Business School, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 2,939 (2,349)
Citation 2

Abstract:

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

2.

Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure

Journal of Banking and Finance, Vol. 37, No. 7, 2013
Number of pages: 37 Posted: 12 Feb 2009 Last Revised: 10 Nov 2015
Devraj Basu and Joëlle Miffre
Université Lille Nord de France - Skema Business School and EDHEC Business School
Downloads 1,566 (6,655)
Citation 3

Abstract:

Commodity, Risk premium, Hedging pressure, Term structure, Momentum

3.

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

Number of pages: 30 Posted: 20 Mar 2007
Devraj Basu and Alexander Stremme
Université Lille Nord de France - Skema Business School and University of Warwick - Finance Group
Downloads 1,211 (9,703)
Citation 1

Abstract:

Capital Asset Pricing Model, Time-Varying Risk Premium

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
University of Exeter Business School, University of Exeter, Université Lille Nord de France - Skema Business School and University of Warwick - Finance Group
Downloads 597 (33,556)

Abstract:

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

5.

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
Université Lille Nord de France - Skema Business School, University of Glasgow - Adam Smith Business School, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 569 (33,705)
Citation 2

Abstract:

Investor Sentiment, Dynamic Asset Allocation

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
Université Lille Nord de France - Skema Business School and University of Warwick - Finance Group
Downloads 430 (51,120)

Abstract:

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
Université Lille Nord de France - Skema Business School and University of Warwick - Finance Group
Downloads 87 (233,962)

Abstract:

Return Predictability, Hedging Pressure, Timing Strategies

7.

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
University of Exeter Business School, University of Exeter, Université Lille Nord de France - Skema Business School and University of Warwick - Finance Group
Downloads 500 (42,746)
Citation 10

Abstract:

Asset pricing, return predictability

8.

International Asset Pricing and Time-Varying Risk Premia

EFA 2007 Ljubljana Meetings Paper
Number of pages: 36 Posted: 27 Feb 2007
Université Lille Nord de France - Skema Business School, University of Glasgow - Adam Smith Business School and University of Warwick - Finance Group
Downloads 443 (48,164)

Abstract:

International asset pricing, Time-varying Risk Premia

9.

Exploiting Predictability in International Anomalies

Number of pages: 27 Posted: 05 Mar 2007
Université Lille Nord de France - Skema Business School, University of Glasgow - Adam Smith Business School and University of Warwick - Finance Group
Downloads 303 (77,735)

Abstract:

Asset Pricing, Return Predictability, International Diversification

10.

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
University of Exeter Business School, University of Exeter, Université Lille Nord de France - Skema Business School and University of Warwick - Finance Group
Downloads 303 (77,205)
Citation 2

Abstract:

11.

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
Université Lille Nord de France - Skema Business School and University of Warwick - Finance Group
Downloads 277 (84,320)
Citation 3

Abstract:

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

12.

Conditioned Diffusions and the Equity Premium

Cass Business School Research Paper
Number of pages: 26 Posted: 22 Jul 2001
Devraj Basu
Université Lille Nord de France - Skema Business School
Downloads 232 (102,766)

Abstract:

equity premium puzzle, conditioned diffusions, dividend yield regressions.

13.

The Global Price of Market Risk and Country Inflation

Number of pages: 41 Posted: 03 Mar 2008 Last Revised: 06 May 2009
Devraj Basu and Chi-Hsiou Daniel Hung
Université Lille Nord de France - Skema Business School and University of Glasgow - Adam Smith Business School
Downloads 230 (101,914)

Abstract:

Country-specific asset pricing, Nonlinear SDF, Time-varying risk premiums

14.

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
Université Lille Nord de France - Skema Business School and University of Warwick - Finance Group
Downloads 107 (198,049)

Abstract:

15.

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
Université Lille Nord de France - Skema Business School, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 4 (504,100)
Citation 1

Abstract:

16.

Disentangling Persistence from Predictability in Asset Pricing

Posted: 15 Feb 2011 Last Revised: 03 Feb 2015
Devraj Basu and Marta Szymanowska
Université Lille Nord de France - Skema Business School and Erasmus University Rotterdam (EUR) - Department of Finance

Abstract:

asset pricing, persistent predictors, stochastic discount factor bounds, conditioning information

17.

The Performance of Simple Dynamic Commodity Strategies

Posted: 04 Mar 2009 Last Revised: 27 Jun 2014
Devraj Basu and Joëlle Miffre
Université Lille Nord de France - Skema Business School and EDHEC Business School

Abstract:

Commodity futures, Hedging pressure, Active strategies

18.

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

Cass Business School Research Paper
Posted: 16 Mar 2006
Devraj Basu and Alexander Stremme
Université Lille Nord de France - Skema Business School and University of Warwick - Finance Group

Abstract:

Asset Pricing, Portfolio Efficiency, Conditional Factor Models

19.

Does Conditioning Information Matter in Estimating Continuous Time Interest Rate Diffusions?

Journal of Financial and Quantitative Analysis, Cass Business School Research Paper
Posted: 11 Feb 2001
Abhay Abhyankar and Devraj Basu
University of Exeter Business School, University of Exeter and Université Lille Nord de France - Skema Business School

Abstract:

Other Papers (1)

Total Downloads: 316    Citations: 10
1.

The Optimal Use of Return Predictability: An Empirical Analysis

AFA 2006 Boston Meetings Paper
Number of pages: 48 Posted: 22 Mar 2005
Université Lille Nord de France - Skema Business School, University of Exeter Business School, University of Exeter and University of Warwick - Finance Group
Downloads 0 (42,746)
Citation 10

Abstract:

return predictability, asset management