Author Page for Devraj Basu

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

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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

SKEMA Business School - Lille Campus and Audencia School of Management

Downloads 1,566 (6,920)

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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

SKEMA Business School - Lille Campus and University of Warwick - Finance Group

Downloads 1,211 (9,919)

Citation 1

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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

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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

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

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Citation 2

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6.

The Economic Value of Linkages between Spot and Futures Market

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2

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 437 (53,320)

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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 89 (244,314)

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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

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 505 (44,974)

Citation 10

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8.

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 443 (51,103)

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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 304 (82,400)

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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

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 303 (81,482)

Citation 2

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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

SKEMA Business School - Lille Campus and University of Warwick - Finance Group

Downloads 277 (89,386)

Citation 3

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12.

Conditioned Diffusions and the Equity Premium

Cass Business School Research Paper

Number of pages: 26 Posted: 22 Jul 2001

Devraj Basu

SKEMA Business School - Lille Campus

Downloads 232 (108,365)

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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

SKEMA Business School - Lille Campus and University of Glasgow - Adam Smith Business School

Downloads 230 (106,438)

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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

SKEMA Business School - Lille Campus and University of Warwick - Finance Group

Downloads 107 (209,896)

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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

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 (529,228)

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16.

Disentangling Persistence from Predictability in Asset Pricing

Posted: 15 Feb 2011 Last Revised: 03 Feb 2015

Devraj Basu and Marta Szymanowska

SKEMA Business School - Lille Campus and Erasmus University Rotterdam (EUR) - Department of Finance

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17.

The Performance of Simple Dynamic Commodity Strategies

Posted: 04 Mar 2009 Last Revised: 27 Jun 2014

Devraj Basu and Joëlle Miffre

SKEMA Business School - Lille Campus and Audencia School of Management

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18.

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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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 SKEMA Business School - Lille Campus

Devraj Basu

SKEMA Business School - Lille Campus

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Scholarly Papers (19)

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International Dynamic Asset Allocation and Return Predictability

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