Laurent Barras

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 4,605

in Total Papers Downloads

7,442

CITATIONS
Rank 6,359

SSRN RANKINGS

Top 6,359

in Total Papers Citations

78

Scholarly Papers (8)

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 4,960 (1,000)
Citation 74

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, McGill University - Desautels Faculty of Management and Imperial College Business School
Downloads 675 (30,260)
Citation 3

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, McGill University - Desautels Faculty of Management and Imperial College Business School

Abstract:

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 636 (32,749)
Citation 1

Abstract:

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

Abstract:

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 204 (124,583)

Abstract:

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 62 (302,016)

Abstract:

variance risk premium, option, equity, financial intermediaries

5.

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 142 (165,628)

Abstract:

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

6.

Improving Asset Pricing Models By Expanding the Set of Test Portfolios

Number of pages: 47 Posted: 12 Jun 2012 Last Revised: 05 Apr 2017
Laurent Barras
McGill University - Desautels Faculty of Management
Downloads 113 (112,546)

Abstract:

Asset Pricing, Model Comparison, Large Cross-Section

7.

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 42 (342,734)

Abstract:

Conditional Asset Allocation, Predictability, Specification Uncertainty, Performance Measurement

8.

The Predominance of Real Estate in the Household Portfolio

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 0 (355,601)

Abstract:

G11, G12