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EDHEC-Risk Information
Asset Management Education - January 21, 2011

EDHEC-Risk PhD in Finance students invited to present their specialised research topics at recent EDHEC-Risk Institutional Days in Monaco


The presenters, Gideon Ozik, Michelle Sisto, and Vijay Vaidyanathan, are three executive track students with very different profiles. Gideon works for Nexar Capital Group, a hedge fund management group founded by SGAM AI veterans; he was previously the Head of Hedge Funds and Alpha Solutions at SGAM AI, and prior to that a quantitative derivatives trader at NISA Investment Advisors LLC. Michelle is Professor of Mathematics and Statistics at the International University of Monaco. Vijay has just joined EDHEC-Risk Indices and Benchmarks as President for North America. He was formerly CEO of Return Metrics Inc., a boutique investment management and technology consulting firm. A classic Silicon Valley entrepreneur, he has held senior executive positions in technology firms over the last fifteen years, including CEO of Yaga Inc., Chief Strategy Officer with NBC Internet, and Chief Technology Officer with Xoom.Com.

Gideon’s and Vijay’s theses are for the most part a reflection of their professional backgrounds, but with a definite academic twist. Vijay looks at theory explaining syndication decisions made by venture capital firms and suggests a new motive for some of them. He proposes a model and devises empirical tests to distinguish between his and other maintained hypotheses in the literature.

Gideon investigates the potential biases in the coverage of hedge fund news by different media sources, including mass media, specialised media, and corporate communications. Using textual analysis, he analyses close to 70,000 articles containing references on over 750 long/short equity hedge funds and uncovers three types of biases: reporting style, editorial selection, and contents. He then examines whether media reports contain information about future performance and whether investors act upon this information and concludes that investors do not seem to exploit valuable information embedded in media coverage.

Michelle also looks at market efficiency, although from a different angle. She develops an empirical model to assess the impact of short-selling restrictions on long-only investors. She examines the effect of bans in the United States with daily returns over the 1999-2009 period for forty-eight value-weighted industry portfolios. The conclusion is that the regulatory interventions are costly. All three students gave superb presentations and received very useful feedback, both from academic discussants and the audience. We look forward to the finished and polished papers coming out of these exciting research agendas.

In the rest of the cohort other topics hold great promises. While the study of volatility is popular amongst doctoral students, two of our PhD candidates approach it from original angles. Daniel Mantilla-Garcia, a residential track candidate, develops a model-free measure of idiosyncratic volatility based on the cross-sectional dispersion of individual stock returns. Kelvin Foo, Senior Risk Manager for Funds and Bancassurance at Standard Chartered Bank in Singapore, studies the significance of trade links in the transmission of volatility between the equity markets of a host of countries and S&P500 firms that trade with these nations. In the same vein, Jasmine Yu who works as Senior Investment Analyst for a major sovereign wealth fund in the Gulf region, looks at how strong links with China may impact the equity premium of corporates. Focusing on investment solution design, Sanjay Misra, Portfolio Manager with BlackRock in Japan, studies life-cycle investing with an uncertain terminal retirement date. Corporate finance is not forgotten as Kaipichit Ruengsrichaiya, another residential student, develops a heterogeneous-agent production model to address conflicts of interest in a firm emanating from empire building motives and agency issues.

Research performed by candidates from the programme’s inaugural class combines the use of the latest methodological developments with a strong anchoring to the reality of markets, and should translate into publications in academic and professional peer-reviewed journals of repute.

We invite you to attend one of our forthcoming presentations:

  • New York – 16 February, 2011 – Grand Hyatt Hotel – 5.30pm
  • Boston – 19 February, 2011 – The Eliot Suite Hotel – 9.00am
  • Singapore – 15 March, 2011 – Venue & time TBC
  • Kuala Lumpur – 17 March, 2011 – Venue & time TBC
  • Jakarta – 24 March, 2011 – Venue & time TBC
  • Dubai – 4 April, 2011 – Venue & time TBC
  • London – 6 April, 2011 – Tower Hill – 10.30am

EDHEC-Risk Institute PhD in Finance information sessions will be conducted by:

  • René Garcia, Professor of Finance at EDHEC Business School and Academic Director of the EDHEC-Risk Institute PhD in Finance
  • Florencio Lopez de Silanes, Professor of Finance at EDHEC Business School
  • Robert Kimmel, Professor of Finance at EDHEC Business School and Assistant Academic Director of the EDHEC-Risk Institute PhD in Finance for Asia
  • Frédéric Ducoulombier, Director, EDHEC Risk Institute—Asia
To reserve your place or to learn more about the EDHEC-Risk Institute PhD in Finance, please contact Ms Maud Gauchon at maud.gauchon@edhec-risk.com or on +33 493 183 267.