Laurent Barras

Universite du Luxembourg - Department of Finance

L-1511 Luxembourg

Luxembourg

  • Universite du Luxembourg - Department of Finance

SCHOLARLY PAPERS

10

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205

CROSSREF CITATIONS

202

Scholarly Papers (10)

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1.

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Published in Journal of Finance, February 2010, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
Number of pages: 85 Posted: 05 Mar 2008 Last Revised: 01 Jul 2022
Laurent Barras, O. Scaillet and Russ Wermers
Universite du Luxembourg - Department of Finance, Swiss Finance Institute - University of Geneva and University of Maryland - Robert H. Smith School of Business
Downloads 6,658 (2,198)
Citation 44

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Mutual Fund Performance, Multiple-Hypothesis Test, Luck, False Discovery Rate

2.

Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified

Journal of Financial Economics, Vol. 154, Pages 103805, 2024
Number of pages: 83 Posted: 18 Sep 2020 Last Revised: 03 Aug 2024
David Ardia, Laurent Barras, Patrick Gagliardini and O. Scaillet
HEC Montreal - Department of Decision Sciences, Universite du Luxembourg - Department of Finance, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 1,463 (25,895)

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Hedge fund returns, alpha, beta, model misspecification, large cross-section

3.

Skill, Scale, and Value Creation in the Mutual Fund Industry

Journal of Finance, Forthcoming
Number of pages: 122 Posted: 31 Oct 2018 Last Revised: 03 Jun 2021
Laurent Barras, Patrick Gagliardini and O. Scaillet
Universite du Luxembourg - Department of Finance, University of Lugano and Swiss Finance Institute - University of Geneva
Downloads 1,142 (37,085)

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Mutual funds, skill, scale, value added, large panel, error-in-variable bias

4.

Hedge Fund Return Predictability Under the Magnifying Glass

Downloads 851 (56,119)

Hedge Fund Return Predictability Under the Magnifying Glass

Number of pages: 69 Posted: 01 Aug 2010 Last Revised: 23 Jun 2022
Doron Avramov, Laurent Barras and Robert Kosowski
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Universite du Luxembourg - Department of Finance and Imperial College Business School
Downloads 851 (55,298)
Citation 15

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Hedge Fund Performance, Return Predictability, Combination Forecasts

Hedge Fund Return Predictability Under the Magnifying Glass

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 26 Mar 2012
Doron Avramov, Laurent Barras and Robert Kosowski
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Universite du Luxembourg - Department of Finance and Imperial College Business School

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Hedge Fund Performance, Return Predictability, Combination Forecasts

5.

How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods

Downloads 699 (72,797)

How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods

EFMA 2002 London Meeting
Number of pages: 25 Posted: 02 Mar 2002
Dušan Isakov and Laurent Barras
University of Fribourg (Switzerland) - Faculty of Management, Economics and Social Sciences and Universite du Luxembourg - Department of Finance
Downloads 699 (71,709)
Citation 10

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portfolio management, international diversification, asset pricing models, conditioning information

How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods

Financial Markets and Portfolio Management, Vol. 17, No. 2, pp. 194-212, 2003
Posted: 12 Sep 2005
Laurent Barras and Dušan Isakov
Universite du Luxembourg - Department of Finance and University of Fribourg (Switzerland) - Faculty of Management, Economics and Social Sciences

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6.

A Large-Scale Approach for Evaluating Asset Pricing Models

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 88 Posted: 12 Jun 2012 Last Revised: 23 Jun 2022
Laurent Barras
Universite du Luxembourg - Department of Finance
Downloads 649 (79,953)
Citation 4

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Asset Pricing, Model Comparison, Large Cross-Section

7.

Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 19-61
Number of pages: 37 Posted: 21 Aug 2019 Last Revised: 25 Mar 2020
Laurent Barras, O. Scaillet and Russ Wermers
Universite du Luxembourg - Department of Finance, Swiss Finance Institute - University of Geneva and University of Maryland - Robert H. Smith School of Business
Downloads 543 (100,136)
Citation 10

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False Discovery Rate, Multiple Testing, Mutual Fund Performance

8.

Why Do Homeowners Invest the Bulk of their Wealth in their Home?

Number of pages: 76 Posted: 07 May 2016 Last Revised: 20 Mar 2020
Laurent Barras and Sebastien Betermier
Universite du Luxembourg - Department of Finance and McGill University - Desautels Faculty of Management
Downloads 492 (112,877)

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Portfolio allocation, real estate, hedging

9.

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

Downloads 405 (141,857)
Citation 29

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

Journal of Financial Economics, Forthcoming
Number of pages: 92 Posted: 06 Jun 2014 Last Revised: 23 Jun 2022
Laurent Barras and Aytek Malkhozov
Universite du Luxembourg - Department of Finance and McGill University
Downloads 294 (199,564)
Citation 16

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Variance Risk Premium, Option, Equity, Financial Intermediaries

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

BIS Working Paper No. 521
Number of pages: 48 Posted: 15 Oct 2015
Laurent Barras and Aytek Malkhozov
Universite du Luxembourg - Department of Finance and McGill University
Downloads 111 (476,505)
Citation 11

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variance risk premium, option, equity, financial intermediaries

10.

International Conditional Asset Allocation Under Specification Uncertainty

Journal of Empirical Finance, Vol. 14, 2007
Number of pages: 34 Posted: 28 Jul 2010
Laurent Barras
Universite du Luxembourg - Department of Finance
Downloads 72 (621,734)

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Conditional Asset Allocation, Predictability, Specification Uncertainty, Performance Measurement