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

Downloads 2,939 (2,421)

Citation 2

Abstract:

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 EDHEC Business School

Downloads 1,566 (6,870)

Citation 3

Abstract:

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 (9,882)

Citation 1

Abstract:

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 597 (35,269)

Abstract:

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

Downloads 569 (35,053)

Citation 2

Abstract:

6.

The Economic Value of Linkages between Spot and Futures Market

Downloads 525 ( 42,466)

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 (52,884)

Abstract:

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 88 (244,411)

Abstract:

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 504 (44,738)

Citation 10

Abstract:

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 (50,690)

Abstract:

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 (81,717)

Abstract:

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 (80,833)

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

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

Downloads 277 (88,700)

Citation 3

Abstract:

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 (107,521)

Abstract:

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 (105,615)

Abstract:

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 (208,439)

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

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 (526,109)

Citation 1

Add to Cart

Abstract:

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

Abstract:

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 EDHEC Business School

Abstract:

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

Abstract:

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

19

Top 2,814

10,612

Top 15,010

24

Scholarly Papers (19)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

International Dynamic Asset Allocation and Return Predictability

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Other Papers (1)

Abstract:

Quick Links

Rankings

About