Devraj Basu

SKEMA Business School - Lille Campus

Avenue Willy Brandt, Euralille

Lille, 59777

France

  • SKEMA Business School - Lille Campus

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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Top 20,158

in Total Papers Citations

29

CROSSREF CITATIONS

21

Scholarly Papers (19)

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1.

How to Time the Commodity Market

Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010, WBS Finance Group Research Paper No. 66
Number of pages: 16 Posted: 22 Jun 2006 Last Revised: 23 Dec 2019
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 3,571 (3,476)
Citation 3

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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
SKEMA Business School - Lille Campus and Audencia Business School
Downloads 2,019 (9,130)
Citation 26

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

3.

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

WBS Finance Group Research Paper No. 78
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 1,674 (12,299)
Citation 3

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Capital Asset Pricing Model, Time-Varying Risk Premium

4.

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, WBS Finance Group Research Paper No. 54
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 691 (44,941)
Citation 5

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Investor Sentiment, Dynamic Asset Allocation

5.

Efficient Use of Conditioning Information: A Sharpe Ratio Based Test of Return Predictability

Cass Business School Research Paper, WBS Finance Group Research Paper No. 18
Number of pages: 44 Posted: 26 Mar 2002
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 623 (51,487)
Citation 1

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

6.

The Economic Value of Linkages between Spot and Futures Market

Downloads 565 ( 58,270)

The Economic Value of Linkages between Spot and Futures Market

WBS Finance Group Research Paper No. 108
Number of pages: 36 Posted: 11 Feb 2009 Last Revised: 23 Dec 2019
Devraj Basu and Alexander Stremme
SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 464 (73,726)

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Return Predictability, Hedging Pressure, Timing Strategies

The Economic Value of Linkages between Spot and Futures Market

WBS Finance Group Research Paper No. 92
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 101 (315,402)
Citation 1

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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, WBS Finance Group Research Paper No. 39
Number of pages: 45 Posted: 02 Mar 2005
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 536 (62,293)
Citation 7

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Asset pricing, return predictability

8.

International Asset Pricing and Time-Varying Risk Premia

EFA 2007 Ljubljana Meetings Paper, WBS Finance Group Research Paper No. 73
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 472 (72,899)

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International asset pricing, Time-varying Risk Premia

9.

Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: A Unified Approach

EFA 2002 Berlin Meetings Presented Paper, Cass Business School Research Paper, WBS Finance Group Research Paper No. 13
Number of pages: 41 Posted: 04 Mar 2002
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 318 (114,821)
Citation 5

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10.

Exploiting Predictability in International Anomalies

WBS Finance Group Research Paper No. 76
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 315 (116,032)

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Asset Pricing, Return Predictability, International Diversification

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, WBS Finance Group Research Paper No. 57
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 303 (120,883)
Citation 4

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

12.

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 250 (147,405)

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

13.

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 244 (151,035)

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equity premium puzzle, conditioned diffusions, dividend yield regressions.

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, WBS Finance Group Research Paper No. 29
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 117 (283,031)

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15.

Persistent Predictors and the Cross-Section of Stock Returns

Number of pages: 70 Posted: 05 Sep 2019 Last Revised: 04 May 2020
Devraj Basu and Marta Szymanowska
SKEMA Business School - Lille Campus and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 47 (471,375)

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

16.

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 (732,862)
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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 Business School

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Commodity futures, Hedging pressure, Active strategies

18.

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

Cass Business School Research Paper, WBS Finance Group Research Paper No. 60
Posted: 16 Mar 2006
Devraj Basu and Alexander Stremme
SKEMA Business School - Lille Campus and University of Warwick - Finance Group

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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
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and SKEMA Business School - Lille Campus

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Other Papers (1)

Total Downloads: 332
Actions:
Email selected abstracts
1.

The Optimal Use of Return Predictability: An Empirical Analysis

AFA 2006 Boston Meetings Paper
Number of pages: 48 Posted: 22 Mar 2005
Devraj Basu, Abhay Abhyankar and Alexander Stremme
SKEMA Business School - Lille Campus, MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and University of Warwick - Finance Group
Downloads 332

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return predictability, asset management