Laurent Barras

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

SCHOLARLY PAPERS

11

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Top 5,122

in Total Papers Downloads

8,976

SSRN CITATIONS
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SSRN RANKINGS

Top 4,691

in Total Papers Citations

60

CROSSREF CITATIONS

206

Scholarly Papers (11)

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: 53 Posted: 05 Mar 2008 Last Revised: 27 Oct 2019
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 5,809 (1,357)
Citation 36

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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 741 (36,992)
Citation 4

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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 (Switzerland) - Faculty of Management, Economics and Social Sciences and McGill University - Desautels Faculty of Management
Downloads 654 (43,767)
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
McGill University - Desautels Faculty of Management and University of Fribourg (Switzerland) - Faculty of Management, Economics and Social Sciences

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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 540 (56,853)
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 244 (139,950)
Citation 3

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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 76 (352,810)
Citation 8

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variance risk premium, option, equity, financial intermediaries

6.

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

Swiss Finance Institute Research Paper No. 18-66
Number of pages: 99 Posted: 31 Oct 2018 Last Revised: 13 Jul 2020
Laurent Barras, Patrick Gagliardini and O. Scaillet
McGill University - Desautels Faculty of Management, University of Lugano and University of Geneva GSEM and GFRI
Downloads 260 (131,816)

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

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
McGill University - Desautels Faculty of Management, University of Geneva GSEM and GFRI and University of Maryland - Robert H. Smith School of Business
Downloads 183 (183,933)
Citation 3

Abstract:

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False Discovery Rate, Multiple Testing, Mutual Fund Performance

8.

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 173 (193,159)
Citation 1

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

9.

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
McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 132 (241,442)
Citation 1

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Portfolio allocation, real estate, hedging

10.

Hedge Fund Performance under Misspecified Models

Swiss Finance Institute Research Paper No. 20-82
Number of pages: 48 Posted: 18 Sep 2020 Last Revised: 13 Oct 2020
HEC Montreal - Department of Decision Sciences, McGill University - Desautels Faculty of Management, University of Lugano and University of Geneva GSEM and GFRI
Downloads 114 (272,709)

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Hedge funds, performance, model misspecification, large panel

11.

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 (430,355)

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Conditional Asset Allocation, Predictability, Specification Uncertainty, Performance Measurement