Abraham Lioui

EDHEC Business School and Scientific Beta Research Chair

Professor

France

SCHOLARLY PAPERS

38

DOWNLOADS
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Top 8,631

in Total Papers Downloads

6,893

SSRN CITATIONS
Rank 26,726

SSRN RANKINGS

Top 26,726

in Total Papers Citations

29

CROSSREF CITATIONS

6

Scholarly Papers (38)

1.

Chasing the ESG Factor

Number of pages: 63 Posted: 08 Jul 2021 Last Revised: 30 Jul 2021
Abraham Lioui and Andrea Tarelli
EDHEC Business School and Scientific Beta Research Chair and Catholic University of Milan
Downloads 1,188 (22,168)

Abstract:

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ESG, Factor investing, Cross-sectional asset pricing, Sentiment

2.

Sustainable Investing with ESG Rating Uncertainty

Number of pages: 65 Posted: 14 Oct 2020 Last Revised: 28 Jul 2021
Doron Avramov, Si Cheng, Abraham Lioui and Andrea Tarelli
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance, EDHEC Business School and Scientific Beta Research Chair and Catholic University of Milan
Downloads 797 (39,040)
Citation 2

Abstract:

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

3.

Is ESG Risk Priced?

Number of pages: 65 Posted: 29 Nov 2018
Abraham Lioui
EDHEC Business School and Scientific Beta Research Chair
Downloads 717 (45,041)
Citation 1

Abstract:

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ESG, Anomalies, Factor Models

4.

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 609 (55,786)

Abstract:

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ESG, Anomalies, Portfolio Construction

5.

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 518 (68,294)
Citation 17

Abstract:

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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

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 310 (123,526)
Citation 5

Abstract:

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Corporate Social Responsibility, multi-factor model

7.

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 300 (127,997)
Citation 1

Abstract:

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

8.

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 299 (128,441)

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monetary economy, short interest rate, return predictability

9.

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 281 (136,995)

Abstract:

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

10.

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 231 (166,446)
Citation 1

Abstract:

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Mean Variance, Dynamic Asset Allocation, Time

11.

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 207 (184,614)

Abstract:

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

12.

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 182 (207,375)
Citation 6

Abstract:

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

13.

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 Scientific Beta Research Chair and EDHEC Business School
Downloads 172 (217,770)
Citation 1

Abstract:

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

14.

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 158 (234,033)

Abstract:

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

15.

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 153 (240,266)

Abstract:

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

16.

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 132 (270,130)
Citation 1

Abstract:

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

17.

Dynamic ESG Equilibrium

Number of pages: 61 Posted: 05 Oct 2021 Last Revised: 15 Oct 2021
Doron Avramov, Abraham Lioui, Yang Liu and Andrea Tarelli
Interdisciplinary Center (IDC) Herzliyah, EDHEC Business School and Scientific Beta Research Chair, The University of Hong Kong - Faculty of Business and Economics and Catholic University of Milan
Downloads 131 (273,224)

Abstract:

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ESG, Dynamic equilibrium, Asset pricing, Preference shock

18.

Housing For The Long Run

Number of pages: 89 Posted: 02 Feb 2017 Last Revised: 22 Sep 2020
Messaoud Chibane, Abraham Lioui and Patrice Poncet
Neoma Business School, EDHEC Business School and Scientific Beta Research Chair and ESSEC Business School
Downloads 116 (296,911)

Abstract:

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

19.

Money Illusion and TIPS Demand

Number of pages: 137 Posted: 07 May 2018 Last Revised: 11 Jan 2021
Abraham Lioui and Andrea Tarelli
EDHEC Business School and Scientific Beta Research Chair and Catholic University of Milan
Downloads 110 (308,259)

Abstract:

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

20.

Understanding Regularization for Portfolio Construction

Number of pages: 34 Posted: 15 Mar 2021 Last Revised: 26 May 2021
Abraham Lioui
EDHEC Business School and Scientific Beta Research Chair
Downloads 103 (322,405)

Abstract:

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Machine Learning, Portfolio Construction, Regularization, Estimation Risk

21.

Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading

Number of pages: 39 Posted: 29 Jun 2020 Last Revised: 24 Sep 2021
Rice University - Jesse H. Jones Graduate School of Business, Florida State University, Florida State University and EDHEC Business School and Scientific Beta Research Chair
Downloads 73 (397,594)

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

22.

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 54 (462,505)

Abstract:

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short selling, regulation, asset pricing, asset allocation

23.

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 52 (470,349)

Abstract:

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24.

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

25.

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

Abstract:

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26.

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

27.

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

Abstract:

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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

29.

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

Abstract:

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portfolio theory, asset return predictability, market price of risk

30.

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

31.

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

Abstract:

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32.

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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33.

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

34.

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

35.

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

36.

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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37.

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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38.

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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