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Abraham Lioui

EDHEC Business School

Professor

France

  • EDHEC Business School

SCHOLARLY PAPERS

43

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Top 3,534

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23,818

TOTAL CITATIONS
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Top 6,766

in Total Papers Citations

223

Scholarly Papers (43)

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1.

Sustainable Investing with ESG Rating Uncertainty

Journal of Financial Economics (JFE), Vol. 145, No. 2, 2022
Number of pages: 65 Posted: 14 Oct 2020 Last Revised: 27 Oct 2022
Doron Avramov, Si Cheng, Abraham Lioui and Andrea Tarelli
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Syracuse University - Department of Finance, EDHEC Business School and Catholic University of Milan
Downloads 6,799 (2,720)
Citation 124

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ESG, Rating Uncertainty, Portfolio Choice, Capital Asset Pricing Model

2.

Chasing the ESG Factor

Journal of Banking and Finance, Forthcoming
Number of pages: 76 Posted: 08 Jul 2021 Last Revised: 04 Apr 2022
Abraham Lioui and Andrea Tarelli
EDHEC Business School and Catholic University of Milan
Downloads 3,204 (9,503)
Citation 9

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ESG, Factor investing, Cross-sectional asset pricing, Media attention

3.

Is ESG Risk Priced?

Number of pages: 65 Posted: 29 Nov 2018
Abraham Lioui
EDHEC Business School
Downloads 2,113 (18,498)
Citation 1

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ESG, Anomalies, Factor Models

4.

Dynamic ESG Equilibrium

Forthcoming in Management Science
Number of pages: 73 Posted: 05 Oct 2021 Last Revised: 07 Feb 2024
Doron Avramov, Abraham Lioui, Yang Liu and Andrea Tarelli
Reichman University - Interdisciplinary Center (IDC) Herzliyah, EDHEC Business School, The University of Hong Kong - Faculty of Business and Economics and Catholic University of Milan
Downloads 1,927 (21,634)
Citation 17

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ESG, Dynamic equilibrium, Asset pricing, Preference shock

5.

Beyond Arbitrage: Deviations from the Risk-Return Tradeoff

Downloads 1,556 (29,738)
Citation 1

Beyond Arbitrage: Deviations from the Risk-Return Tradeoff

Chicago Booth Research Paper No. 22-11, Fama-Miller Working Paper, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2022-43
Number of pages: 92 Posted: 23 Mar 2022 Last Revised: 07 Mar 2024
Benjamin Holcblat, Abraham Lioui and Michael Weber
University of Luxembourg, EDHEC Business School and National Bureau of Economic Research (NBER)
Downloads 1,248 (40,549)
Citation 1

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Market frictions; Behavioral biases; Risk-return tradeoff; Strong SSD

Anomaly or Possible Risk Factor? Simple-To-Use Tests

Number of pages: 86 Posted: 15 Apr 2022 Last Revised: 12 May 2023
Benjamin Holcblat, Abraham Lioui and Michael Weber
University of Luxembourg, EDHEC Business School and National Bureau of Economic Research (NBER)
Downloads 308 (242,812)

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Cross-section of Returns; Factor Pricing; Strong SSD; Abnormal returns; Market frictions

6.

ESG Factor Investing: Myth or Reality ?

Number of pages: 74 Posted: 07 Nov 2018
Abraham Lioui
EDHEC Business School
Downloads 1,198 (43,876)
Citation 2

Abstract:

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ESG, Anomalies, Portfolio Construction

7.

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 Hanken School of Economics - Department of Finance and Statistics
Downloads 733 (86,352)
Citation 28

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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

8.

Factor Investing for the Long Run

Number of pages: 85 Posted: 05 Mar 2020
Abraham Lioui and Andrea Tarelli
EDHEC Business School and Catholic University of Milan
Downloads 577 (118,181)

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

9.

Green Silence: Double Machine Learning Carbon Emissions Under Sample Selection Bias

Swiss Finance Institute Research Paper No. 25-66
Number of pages: 70 Posted: 29 Jul 2025 Last Revised: 20 Apr 2026
Cathy Yi‐Hsuan Chen, Abraham Lioui and Olivier Scaillet
University of Glasgow, Adam Smith Business School, EDHEC Business School and Swiss Finance Institute - University of Geneva
Downloads 515 (145,565)

Abstract:

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carbon emissions, machine learning, sample selection

10.

Optimal Transport and Informed Trading in Securities Markets

Number of pages: 53 Posted: 29 Jun 2020 Last Revised: 06 Nov 2024
Kerry Back, François Cocquemas, Ibrahim Ekren and Abraham Lioui
Rice University - Jesse H. Jones Graduate School of Business, affiliation not provided to SSRN, Florida State University and EDHEC Business School
Downloads 479 (148,764)

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

11.

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, ESSEC Business School and EDHEC Business School
Downloads 473 (150,331)
Citation 5

Abstract:

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Corporate Social Responsibility, multi-factor model

12.

Which Carbon Factor ?

Number of pages: 61 Posted: 10 Nov 2023 Last Revised: 09 Apr 2026
Abraham Lioui and Sanjay Misra
EDHEC Business School and Acumain Center for Financial Research
Downloads 468 (153,416)

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Carbon emissions, climate risk, carbon factor

13.

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 EDHEC Business School
Downloads 463 (154,619)
Citation 2

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

14.

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 EDHEC Business School
Downloads 375 (197,069)
Citation 1

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

15.

Stock Return Predictability in a Monetary Economy

Number of pages: 48 Posted: 26 Feb 2007
Abraham Lioui and Jesper Rangvid
EDHEC Business School and Copenhagen Business School
Downloads 357 (208,329)

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monetary economy, short interest rate, return predictability

16.

Understanding Dynamic Mean Variance Asset Allocation

Number of pages: 53 Posted: 11 Feb 2016
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School
Downloads 323 (232,793)
Citation 1

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Mean Variance, Dynamic Asset Allocation, Time

17.

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 EDHEC Business School
Downloads 321 (235,151)
Citation 23

Abstract:

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

18.

Money Illusion and TIPS Demand

Number of pages: 137 Posted: 07 May 2018 Last Revised: 01 Feb 2022
Abraham Lioui and Andrea Tarelli
EDHEC Business School and Catholic University of Milan
Downloads 283 (269,245)
Citation 3

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Money Illusion, Term Structure of Interest Rates, TIPS, Portfolio Choice

19.

Shelter from the Storm: Which Safe Asset for Climate Disasters?

Number of pages: 98 Posted: 19 Feb 2020 Last Revised: 08 Sep 2020
Matthew Lanfear, Abraham Lioui and Mark Siebert
EDHEC Business School, EDHEC Business School and EDHEC Business School
Downloads 272 (279,442)
Citation 2

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

20.

Understanding Regularization for Portfolio Construction

Number of pages: 34 Posted: 15 Mar 2021 Last Revised: 26 May 2021
Abraham Lioui
EDHEC Business School
Downloads 267 (286,114)

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Machine Learning, Portfolio Construction, Regularization, Estimation Risk

21.

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
Downloads 228 (334,744)
Citation 2

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

22.

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 ESSEC Business School
Downloads 207 (368,123)
Citation 2

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

23.

Misunderstanding Risk and Return?

Number of pages: 45 Posted: 13 Dec 2011
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School
Downloads 202 (376,944)

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

24.

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 and EDHEC Business School
Downloads 174 (433,279)

Abstract:

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25.

Carbon Uncertainty and Asset Prices 

Number of pages: 50 Posted: 09 Mar 2026
Cathy Yi‐Hsuan Chen, George M. Constantinides, Nilesh Hegde and Abraham Lioui
University of Glasgow, Adam Smith Business School, University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and EDHEC Business School
Downloads 129 (576,708)

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carbon emissions uncertainty, carbon emissions premium, carbon emissions uncertainty premium, Trucost imputation of carbon emissions

26.

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 EDHEC Business School
Downloads 113 (630,858)

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short selling, regulation, asset pricing, asset allocation

27.

Green Silence: Double Machine Learning Carbon Emissions Under Sample Selection Bias

Number of pages: 69 Posted: 10 Apr 2026
Cathy Yi‐Hsuan Chen, Abraham Lioui and Olivier Scaillet
University of Glasgow, Adam Smith Business School, EDHEC Business School and Swiss Finance Institute - University of Geneva
Downloads 42 (1,222,651)

Abstract:

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Carbon Emissions, Machine Learning, Sample Selection

28.

Carbon Uncertainty and Asset Prices

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2026-63
Number of pages: 51 Posted: 13 May 2026
Cathy Yi‐Hsuan Chen, George Constantinides, Nilesh Hegde and Abraham Lioui
University of Glasgow, Adam Smith Business School, University of Chicago Booth School of Business, University of Chicago - Booth School of Business and EDHEC Business School
Downloads 20 (1,500,778)

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carbon emissions uncertainty, carbon emissions premium, carbon emissions uncertainty premium, Trucost imputation of carbon emissions, random forest imputation of carbon emissions and uncertainty

29.

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

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Short Ban, Market Volatility, Downward Pressure, Extreme Movements

30.

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

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31.

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, Scientific Beta and EDHEC Business School

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

32.

Stochastic Dividend Yield and Derivatives Pricing in Complete Markets

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

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

33.

Optimal Benchmarking for Active Portfolio Managers

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Optimal Benchmarking for Active Portfolio Managers

Posted: 17 Jul 2006
Abraham Lioui and Patrice Poncet
EDHEC Business School 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 ESSEC Business School

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

34.

The Asset Allocation Puzzle is Still a Puzzle

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

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portfolio theory, asset return predictability, market price of risk

35.

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 ESSEC Business School

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

36.

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 ESSEC Business School

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37.

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 ESSEC Business School

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38.

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 ESSEC Business School

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

39.

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 ESSEC Business School

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forward contracts, mean variance efficiency, equilibrium risk premium

40.

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 ESSEC Business School

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Hedging, predictability, market price of risk

41.

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 ESSEC Business School

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42.

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 ESSEC Business School

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43.

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
Abraham Lioui, Pascal Nguyen Duc Trong and Patrice Poncet
EDHEC Business School, ESSEC Business School and ESSEC Business School

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