PUBLICATIONS

• EDHEC Publications
• Academics Publications

EDHEC PUBLICATIONS

Improved Forecasts of Higher-Order Co-moments and Implications for Portfolio Selection

In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require not only estimates of variance-covariance parameters, but also estimates of higher-order moments and co-moments of the return distribution. This paper expands on existing literature, which has focused mostly on the covariance matrix, by introducing improved estimators for the coskewness and cokurtosis parameters.

Lionel Martellini & Volker Ziemann (November 2007),
"Improved Forecasts of Higher-Order Co-moments and Implications for Portfolio Selection", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [More]

The Myths and Limits of Passive Hedge Replication

In this paper we provide a detailed critical analysis of various methodologies involved in the so-called passive replication of hedge fund returns, a subject that has sparked renewed interest following recent initiatives by major investment banks such as Merrill Lynch and Goldman Sachs.

Noël Amenc, Walter Géhin, Lionel Martellini, Jean-Christophe Meyfredi (June 2007), "The Myths and Limits of Passive Hedge Replication.", EDHEC Risk and Asset Management Research Centre, EDHEC Publication.[More]

ACADEMIC PUBLICATIONS

In this issue of Research Highlights, we will take a look at the last three years of EDHEC academic publications in the field of management.

British Journal of Management

Teerikangas, Satu; Very, Philippe (2006), "The Culture–Performance Relationship in M&A: From Yes/No to How."
[British Journal of Management, March 2006]

Management International Review

Arrègle, J-L; Hébert, L.; Beamish, P. (2006), "Mode of International Entry: The Advantages of Multilevel Methods"
[Management International Review, November 2006]

Organization Studies (Sage Publications Inc.)

Hébert, L.; Very, P.; Beamish, Paul W. (2007),
"Expatriation as a Bridge Over Troubled Water: A Knowledge-Based Perspective Applied to Cross-Border Acquisitions."
[Organization Studies, December 2006]

Journal of Management Studies

Arrègle, J-L; Hitt, M.; Sirmon D.; Very P. (2007),
"The development of organizational social capital : Attributes of family firms"
[Journal of Management Studies, January 2007]

Journal of Organizational Behavior

Lubatkin, M.; Lane, P.J.; Collin, S.; Very, P. (2007),
"An embeddedness framing of governance and opportunism: towards a cross-nationally accommodating theory of agency"
[Journal of Organizational Behavior, January 2007]

Journal of Management Information Systems

Josserand E.; Charki, Mohamed Hedi (2007/2008), « Online Reverse Auctions and The Dynamics of Trust »
[Journal of Management Information Systems, Forthcoming Publication]

EVENTS

European Financial Management Symposium
17-19 April 2008 - EDHEC Business School, Nice - France
The Symposium, jointly organised by the EFM Association and EDHEC Business School, will focus on all aspects of risk and asset management. Topics will include asset allocation, risk and performance measurement, alternative investments, risk management and portfolio optimization.
[More]

EDHEC Asset Management Education - TILL & LHABITANT Commodities Seminar
21-22 January, The Dorchester, London
Designed and delivered by two leading experts in the theory and practice of commodities trading and alternative investment, this seminar equips participants with a comprehensive overview of natural resources markets, a thorough understanding of the importance of commodities as an asset class, and the state-of-the-art techniques for designing futures programmes and implementing institutional commodity investments.
[More]

Labor Market Outcomes : A Transatlantic Perspective
11-12 January 2008, La Maison de la Chimie, Paris - France
EDHEC and GAINS (University of Le Mans) are jointly organising in Paris an international Conference on Labor Market Outcomes: A Transatlantic Perspective with the support of ADRES and CEPREMAP, and in partnership with PSE. The aim of this conference is to show the role played by institutions and the consequences of macroeconomic shocks in explaining labor market differences between European countries and the US. It is particularly concerned with modelling and assessing the main mechanisms at work behind these heterogeneous labor market outcomes. Among the speakers of note is Edward C. Prescott, Nobel Prize in Economic Sciences 2004.
[More]

RESEARCH CENTRE

News

Stéphane Grégoir, director of the EDHEC Economics Research Centre, participated last December 14 at the 17th annual EC2 conference (European Conference of the Econometrics Community), the theme of which was “Advances in Time Series Analysis”. He also presided over the closing session.
Launched in 1990 the main aim of EC2 conferences is to maintain and extend an adequate forum for both senior and junior European researchers in quantitative economics and econometrics to discuss the progress and results of their research.
[More]

EDHEC to Launch MiFID & Best Execution Research Chair
As part of the development of its Risk and Asset Management Research Centre, EDHEC Business School is pleased to announce the launch of its fourth research chair, on MiFID and Best Execution.
A first steering committee meeting was organised in Paris on September 18th in order to formally launch the newly formed EDHEC MiFID & Best Execution Research Chair supported jointly by CACEIS, NYSE Euronext and SunGard.
[more]

This event was also the occasion to present the results of the EDHEC survey of real estate investment and risk management in Europe as well as the position paper on passive hedge fund replication, publications that solidify our reputation for innovative studies of alternative asset classes.
[More]

Interview with Christophe Roquilly
Director of LegalEDHEC

- What is LegalEDHEC’s particular approach?

The LegalEDHEC Research Centre has “Legal Performance and Company Competitiveness” as a subtitle, so to speak. At the heart of the Centre then is the notion of legal performance and its variations. Looking into “legal performance” (trademarked by EDHEC, as it happens) implies looking into the contribution of the law to overall company performance. Our approach has several facets. We are working, for one, on the company modes of using the law to create or to strengthen competitive advantages. In other words, it is the equivalent of determining the role the law should play in company strategy. One of our key notions is that companies should reason as much in terms of the legal management of risks as in terms of management of legal risks. A second key notion is that legal performance involves not merely the preservation of company resources but also the creation of value. We are also looking into legal performance in particular fields such as competition law, intellectual property law, corporate governance, and corporate structure. The choice of these fields is, to be sure, linked to the fields of expertise of the members of the Centre but, more objectively, they also correspond to the areas of risk most frequently mentioned by companies. Our ambition is to highlight the strategic nature of the use of the law in companies, to come up with criteria by which to gauge legal performance, and, should the occasion arise, recommend legislative or regulatory changes when it turns out that legal performance involves breaking the law.

- Can you introduce your team and the research done by its members?

The Centre currently has four members: they are Christophe Collard, Björn Fasterling, Cédric Manara, and I. Our areas of expertise, our experience, and our centres of interest allow us to cover broad aspects of the role of legal performance in corporate strategy, the modelling of the management of legal risk, the problems of compliance, the development of competitive advantages through intellectual property rights, the legal management of the risks of the digital economy, the growth of competition law as an influence on strategy and performance, and the impact of legal instruments for corporate governance on the performance of the company. This team structure will also enable us to make complementary contributions in terms of media coverage, involvement in and communication with professional circles, potential visibility in academic journals, and development of corporate contacts.

What these areas of expertise have been helping us do for a year now is, in my view, both interesting and meritorious. We have been mentioned frequently in both the domestic and international press, in particular with respect to issues linked to legal problems having to do with the internet and other communication technologies. We are also well known in French professional circles, as we have been invited to discuss our work both by the community of business counsellors and that of lawyers, and the originality of our research on legal performance is widely acknowledged. Every three months we publish a research article in Les Petites Affiches (a very well known legal review) in the context of a report that we have created on legal performance. The Centre also has an advisory board made up of experts from both French companies and multinationals: Jean-Claude Cotoni (partner at Freshfields, former managing partner of the Paris office), Philippe Legrez (general counsel, Michelin), Didier Lamethe (secretary general, EDF International SA), Rémi Sainte Fare Garnot (general counsel, SB Alliance), Pascal Malfoy (director of development, Leroy Merlin), Michel Kukula-Descelers (general counsel, La Mondiale), Frédéric Descamps (director of marketing and development, Xfire, Viacom), and Bernard Drui (managing director, Protiviti).

We have recently submitted two articles to CNRS or FT journals, a third is currently being translated into English, and the finishing touches are being put on yet another. Together with two research centres from the school of law at Lille 2, we are undertaking a project on transparency and information disclosure in corporate governance, a project that has been approved (after an invitation to tender) by the ANR (French agency for research). We have also received several thousand euros of funding from the Fonds Fédératifs pour la Recherche for an international conference that we are going to organise in the fourth quarter of 2008. Finally, we are awaiting confirmation of three years of funding by the ANF for our approved project, and we are at the final stage of negotiations for funding with two private companies (in the insurance and risk management industries).

- What are LegalEDHEC’s major research themes?

We have several objectives for the coming year, as we want to continue covering a lot of ground. We would like to continue strengthening our ties with French professional circles, in particular by working on projects together with the AFJE (the French corporate jurists’ association) and the ACE (corporate counsel association). These projects deal with (or will deal with) analysis of the criteria for legal performance and with the role of law firms in legal performance. A book chapter, a special section in a professional journal, and several articles in French law journals are already in the works. It’s important for us that we be recognised by professionals abroad as well. Academically, our objective for 2008 is to submit at least four new articles to FT or CNRS journals. These articles will deal with legal performance and corporate strategy, legal performance in the digital economy, and the problems of compliance and disclosure. A large international conference will be organised in the fourth quarter of 2008, a conference that will make it possible to take stock of the issue of legal performance from both an academic and practical perspective. It is our intention to publish the proceedings of this conference, one edition for the French-speaking market and another for the English-speaking market. The development of our larger projects depends on the outcome of ongoing actions: the confirmation of ANR funding for the “Transparency and Disclosure” project (a project that will extend over three years), the signature of a research contract currently being negotiated (on compliance in the energy industry), and the closing of a partnership deal for work on the legal management of risks.

Christophe Roquilly,
director of LegalEDHEC.

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In the Media...

For the third straight year, "La Tribune" and EDHEC have ranked French funds of hedge funds. These rankings, done by Philippe Malaise, were also the occasion for Noël Amenc, Lionel Martellini, Walter Géhin, and Véronique Le Sourd to present other Centre studies.

EDHEC Business School has a place of honour in the rankings of French Grandes Ecoles drawn up by "L’Etudiant". EDHEC’s place among the top French schools is confirmed by these rankings and its research strategy is mentioned as a standard for others to meet.

In the international press, the International Herald Tribune quotes Cédric Manara, professor of law at EDHEC and member of the LegalEDHEC Research Centre, on French law in the matter of mobile telephony.

All EDHEC citations are available in the EDHEC Press Review.

Prizes, awards, and appointments...

EDHEC Researchers Receive Prestigious Award from the Journal of Performance Measurement
Noël Amenc, Professor of Finance at EDHEC Business School and Director of the EDHEC Risk and Asset Management Research Centre, and Véronique Le Sourd, Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre, have received one of four Honourable Mention Awards from the Journal of Performance Measurement as part of this year's Dietz Award for Excellence in Performance Measurement Literature.
[more]

3 new PhDs at EDHEC
We are pleased to announce that Mohamed Hedi Charki, Philippe Dujardin, and Volker Ziemann have recently received their PhDs. Mohamed Hedi Charki is a professor in the department of people, markets and humanities, Philippe Dujardin is a professor in the department of languages, communication and IT, and Volker Ziemann is a research engineer with the EDHEC Risk and Asset Management Centre.