Laurent Barras

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

SCHOLARLY PAPERS

9

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8,221

CITATIONS
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Top 20,752

in Total Papers Citations

22

Scholarly Papers (9)

1.

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

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
Number of pages: 53 Posted: 05 Mar 2008 Last Revised: 03 Feb 2011
Laurent Barras, O. Scaillet and Russ Wermers
McGill University - Desautels Faculty of Management, University of Geneva GSEM and GFRI and University of Maryland - Robert H. Smith School of Business
Downloads 5,672 (1,185)
Citation 193

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

Hedge Fund Return Predictability Under the Magnifying Glass

Number of pages: 69 Posted: 01 Aug 2010 Last Revised: 12 Jul 2013
Doron Avramov, Laurent Barras and Robert Kosowski
Interdisciplinary Center (IDC) Herzliyah, McGill University - Desautels Faculty of Management and Imperial College Business School
Downloads 726 (32,968)
Citation 7

Abstract:

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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
Interdisciplinary Center (IDC) Herzliyah, McGill University - Desautels Faculty of Management and Imperial College Business School

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Hedge Fund Performance, Return Predictability, Combination Forecasts

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 - Faculty of Economics and Social Science and McGill University - Desautels Faculty of Management
Downloads 652 (38,255)
Citation 11

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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
McGill University - Desautels Faculty of Management and University of Fribourg - Faculty of Economics and Social Science

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4.

A Large-Scale Approach for Evaluating Asset Pricing Models

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 12 Jun 2012 Last Revised: 21 Oct 2018
Laurent Barras
McGill University - Desautels Faculty of Management
Downloads 450 (62,319)
Citation 4

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Asset Pricing, Model Comparison, Large Cross-Section

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

Journal of Financial Economics, Forthcoming
Number of pages: 34 Posted: 06 Jun 2014 Last Revised: 19 Mar 2016
Laurent Barras and Aytek Malkhozov
McGill University - Desautels Faculty of Management and Board of Governors of the Federal Reserve System
Downloads 234 (128,536)
Citation 2

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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
McGill University - Desautels Faculty of Management and Board of Governors of the Federal Reserve System
Downloads 69 (331,485)
Citation 5

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variance risk premium, option, equity, financial intermediaries

6.

The Economic Gains from Predicting Returns of Multiple Assets

Number of pages: 38 Posted: 17 Jan 2011 Last Revised: 12 Feb 2013
Laurent Barras
McGill University - Desautels Faculty of Management
Downloads 161 (181,848)
Citation 2

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Factor-Timing, Asset-Selectivity, Forecast Persistence, Estimation Risk, Trading Costs

7.

Skill and Value Creation in the Mutual Fund Industry

Swiss Finance Institute Research Paper No. 18-66
Number of pages: 48 Posted: 31 Oct 2018 Last Revised: 25 May 2019
Laurent Barras, Patrick Gagliardini and O. Scaillet
McGill University - Desautels Faculty of Management, University of Lugano - Institute of Finance and University of Geneva GSEM and GFRI
Downloads 121 (228,760)

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Mutual fund skill, non-parametric density estimation, large panel

8.

The Predominance of Real Estate in the Household Portfolio

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 42 Posted: 07 May 2016 Last Revised: 04 Jun 2017
Laurent Barras and Sebastien Betermier
McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 86 (288,375)
Citation 2

Abstract:

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G11, G12

9.

International Conditional Asset Allocation Under Specification Uncertainty

Journal of Empirical Finance, Vol. 14, 2007
Number of pages: 34 Posted: 28 Jul 2010
Laurent Barras
McGill University - Desautels Faculty of Management
Downloads 50 (383,339)
Citation 1

Abstract:

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Conditional Asset Allocation, Predictability, Specification Uncertainty, Performance Measurement