Abraham Lioui

EDHEC Business School and Scientific Beta Research Chair

Professor

France

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 14,416

SSRN RANKINGS

Top 14,416

in Total Papers Downloads

3,654

SSRN CITATIONS
Rank 33,108

SSRN RANKINGS

Top 33,108

in Total Papers Citations

15

CROSSREF CITATIONS

7

Scholarly Papers (34)

1.

Interest Rate Risk and the Cross-Section of Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 48 Posted: 04 Apr 2010 Last Revised: 27 Feb 2013
Abraham Lioui and Paulo F. Maio
EDHEC Business School and Scientific Beta Research Chair and Hanken School of Economics - Department of Finance and Statistics
Downloads 485 (63,510)
Citation 15

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Asset pricing models, Consumption CAPM, Interest rates, Opportunity cost of money, Equity premium, Risk-free rate puzzle, Linear multifactor models, Crosssection of stock returns, Size and value anomalies

2.

ESG Factor Investing: Myth or Reality ?

Number of pages: 74 Posted: 07 Nov 2018
Abraham Lioui
EDHEC Business School and Scientific Beta Research Chair
Downloads 428 (73,958)

Abstract:

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ESG, Anomalies, Portfolio Construction

3.

Is ESG Risk Priced?

Number of pages: 65 Posted: 29 Nov 2018
Abraham Lioui
EDHEC Business School and Scientific Beta Research Chair
Downloads 330 (100,125)

Abstract:

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ESG, Anomalies, Factor Models

4.

Stock Return Predictability in a Monetary Economy

Number of pages: 48 Posted: 26 Feb 2007
Abraham Lioui and Jesper Rangvid
EDHEC Business School and Scientific Beta Research Chair and Copenhagen Business School
Downloads 293 (113,598)
Citation 3

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monetary economy, short interest rate, return predictability

5.

Flight to Gold: Extreme Weather Events and Stock Returns

Number of pages: 81 Posted: 09 Jan 2017 Last Revised: 22 Jul 2017
Matthew Lanfear, Abraham Lioui and Mark Siebert
EDHEC Business School, EDHEC Business School and Scientific Beta Research Chair and EDHEC Business School
Downloads 273 (122,378)

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Event study, extreme weather events, gold, hurricanes, market efficiency, safe assets

6.

Corporate Social Responsibility and the Cross Section of Stock Returns

Number of pages: 40 Posted: 11 Feb 2016 Last Revised: 01 Dec 2018
Abraham Lioui, Patrice Poncet and Michelle Sisto
EDHEC Business School and Scientific Beta Research Chair, ESSEC Business School and EDHEC Business School
Downloads 272 (122,842)
Citation 1

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Corporate Social Responsibility, multi-factor model

7.

Understanding Dynamic Mean Variance Asset Allocation

Number of pages: 53 Posted: 11 Feb 2016
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School
Downloads 215 (155,192)
Citation 1

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Mean Variance, Dynamic Asset Allocation, Time

8.

Factor Investing for the Long Run

Number of pages: 85 Posted: 05 Mar 2020
Abraham Lioui and Andrea Tarelli
EDHEC Business School and Scientific Beta Research Chair and Catholic University of Milan
Downloads 181 (181,840)

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Factor investing, Market anomalies, Dynamic asset allocation, Portfolio choice, Return predictability, Stochastic volatility

9.

Are Value Stocks More Exposed to Disaster Risk? Evidence from Extreme Weather Events

Number of pages: 45 Posted: 04 Jan 2017 Last Revised: 05 Jul 2017
Matthew Lanfear, Abraham Lioui and Mark Siebert
EDHEC Business School, EDHEC Business School and Scientific Beta Research Chair and EDHEC Business School
Downloads 179 (183,601)

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event study, extreme weather events, hurricanes, illiquidity, rare disasters, size and value effects, tail risk

10.

Market Anomalies and Disaster Risk: Evidence from Extreme Weather Events.

Journal of Financial Markets, Forthcoming
Number of pages: 50 Posted: 07 Nov 2018
Matthew Lanfear, Abraham Lioui and Mark Siebert
EDHEC Business School, EDHEC Business School and Scientific Beta Research Chair and EDHEC Business School
Downloads 156 (206,544)
Citation 1

Abstract:

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event study, extreme weather events, hurricanes, illiquidity, rare disasters, anomalies, tail risk

11.

Misunderstanding Risk and Return?

Number of pages: 45 Posted: 13 Dec 2011
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School
Downloads 155 (207,725)

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Intertemporal asset pricing, value premium, size premium, Fama-French factors

12.

Time Consistent vs. Time Inconsistent Dynamic Asset Allocation: Some Utility Cost Calculations for Mean Variance Preferences

Number of pages: 108 Posted: 02 Nov 2011
Abraham Lioui
EDHEC Business School and Scientific Beta Research Chair
Downloads 146 (218,203)

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mean-variance preferences, dynamic asset allocation, intertemporal hedging, predictability, value and growth investment

13.

Long Horizon Predictability: An Asset Allocation Perspective.

Number of pages: 43 Posted: 07 May 2014 Last Revised: 06 May 2018
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School
Downloads 122 (251,047)

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dynamic portfolio decision, predictive regression, long horizon predictability, GMM estimation, inter-temporal hedging, continuous time

14.

Asset Pricing with Housing Booms and Disasters

Number of pages: 81 Posted: 02 Feb 2017 Last Revised: 05 Dec 2017
Messaoud Chibane, Abraham Lioui and Patrice Poncet
Neoma Business School, EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School
Downloads 108 (273,997)

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Housing CCAPM, Rare Disaster Events, Cumulant Generating Function, Power Law Distribution, Yield Curve

15.

Do Stocks Outperform Treasury Bills During Climate Disasters?

Number of pages: 98 Posted: 19 Feb 2020 Last Revised: 07 May 2020
Matthew Lanfear, Abraham Lioui and Mark Siebert
EDHEC Business School, EDHEC Business School and Scientific Beta Research Chair and EDHEC Business School
Downloads 103 (283,137)

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Climate change, climate finance, event study, extreme weather events, flight-to-safety, flight-to-quality, hurricanes, safe assets, safety premium

16.

Money Illusion and TIPS Demand

Number of pages: 116 Posted: 07 May 2018 Last Revised: 27 Mar 2019
Abraham Lioui and Andrea Tarelli
EDHEC Business School and Scientific Beta Research Chair and Catholic University of Milan
Downloads 90 (308,930)

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Money Illusion, Term Structure of Interest Rates, Portfolio Choice

17.

Online Appendix to the Paper: Approximate Analytical Solutions for Consumption/Investment Problems Under Recursive Utility and Finite Horizon

Number of pages: 44 Posted: 29 Sep 2015 Last Revised: 14 Oct 2015
Carlos Heitor Campani, René Garcia and Abraham Lioui
The COPPEAD Graduate School of Business - Federal University of Rio de Janeiro (UFRJ), Université de Montréal - CIREQ - Département de sciences économiques and EDHEC Business School and Scientific Beta Research Chair
Downloads 47 (433,180)

Abstract:

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18.

Short Selling, Regulatory Flip/Flops and Uncertainty: Implications for Asset Pricing and Asset Allocation

Number of pages: 54 Posted: 02 Oct 2012 Last Revised: 06 May 2014
Onay Batur, Abraham Lioui and Michelle Sisto
Koc University, EDHEC Business School and Scientific Beta Research Chair and EDHEC Business School
Downloads 47 (433,180)

Abstract:

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short selling, regulation, asset pricing, asset allocation

19.

A General Solution Method for Insider Problems

Number of pages: 43 Posted: 29 Jun 2020
François Cocquemas, Ibrahim Ekren and Abraham Lioui
Florida State University, Florida State University and EDHEC Business School and Scientific Beta Research Chair
Downloads 24 (541,959)

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Kyle's model, options, informed trading, optimal transport, asymmetric information, price impact

20.

Spillover Effects of Counter-Cyclical Market Regulation: Evidence from the 2008 Ban on Short Sales

Posted: 15 Nov 2011 Last Revised: 16 Nov 2011
Abraham Lioui
EDHEC Business School and Scientific Beta Research Chair

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Short Ban, Market Volatility, Downward Pressure, Extreme Movements

21.

The Impact of the 2008 Short Sale Ban on Stock Returns

Posted: 15 Nov 2011 Last Revised: 16 Nov 2011
Abraham Lioui
EDHEC Business School and Scientific Beta Research Chair

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22.

Practitioner Portfolio Construction and Performance Measurement: Evidence from Europe

Financial Analysts Journal, Vol. 67, No. 3, 2011
Posted: 11 Jun 2011
Noel Amenc, Felix Goltz and Abraham Lioui
EDHEC Business School, EDHEC Business School and EDHEC Business School and Scientific Beta Research Chair

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performance measurement and evaluation, portfolio management, portfolio construction and revision, risk management, portfolio risk management

23.

Stochastic Dividend Yield and Derivatives Pricing in Complete Markets

Review of Derivatives Research, Forthcoming
Posted: 01 Aug 2006
Abraham Lioui
EDHEC Business School and Scientific Beta Research Chair

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complete markets, forward and futures, market prices of risk, stochastic dividend

Optimal Benchmarking for Active Portfolio Managers

Posted: 17 Jul 2006
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

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Optimal Benchmarking for Active Portfolio Managers

European Journal of Operational Research, Vol. 226, No. 2, pp. 268-276, 2013
Posted: 08 May 2014
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

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Benchmarking; Incentive Fees; Mutual Funds; Continuous Time Trading; Martingale Approach; Principal-Agent model; First-best contracts

25.

The Asset Allocation Puzzle is Still a Puzzle

Journal of Economic Dynamics and Control, Forthcoming
Posted: 17 Jul 2006
Abraham Lioui
EDHEC Business School and Scientific Beta Research Chair

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portfolio theory, asset return predictability, market price of risk

26.

General Equilibrium Pricing of Cpi's Derivatives

Journal of Banking and Finance, Forthcoming
Posted: 15 Apr 2004
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

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Endogenous Price Level, Inflation Risk Premium, Money Non Neutrality, Options

27.

General Equilibrium Real and Nominal Interest Rates

Journal of Banking and Finance, Forthcoming
Posted: 23 Oct 2003
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

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28.

General Equilibrium Pricing of Non Redundant Forward Contracts

Journal of Futures Markets, Forthcoming
Posted: 09 May 2003
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

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29.

International Asset Allocation: A New Perspective

Journal of Banking and Finance, Forthcoming
Posted: 14 Jun 2002
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

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International Portfolio Theory; Interest rate risk; Currency risk premium; Market prices of risk; Asset return predictability

30.

Dynamic Asset Pricing with Non-Redundant Forwards

Journal of Economic Dynamics and Control, Forthcoming
Posted: 28 Jan 2002
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

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forward contracts, mean variance efficiency, equilibrium risk premium

31.

On Optimal Portfolio Choice Under Stochastic Interest Rates

Journal of Economic Dynamics and Control
Posted: 06 Mar 2001
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

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Hedging, predictability, market price of risk

32.

Mean Variance Efficiency of the Market Portfolio and Futures Trading

Journal of Futures Markets
Posted: 06 Sep 2000
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

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33.

The Minimum Variance Hedge Ratio Under Stochastic Interest Rates

Management Science, Vol. 46, Issue 5, pp. 658-668
Posted: 19 Apr 2000
Abraham Lioui and Patrice Poncet
EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School

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34.

Optimal Dynamic Hedging in Incomplete Futures Markets

THE GENEVA PAPERS ON RISK AND INSURANCE THEORY, Vol. 21 No. 1, June 1996
Posted: 23 Dec 1999
EDHEC Business School and Scientific Beta Research Chair, ESSEC Business School and ESSEC Business School

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