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Dissertations

Essays in investment strategies

Jimmy Kyung-Soo Liew, 1999
Faculty Advisor: Franklin R. Edwards

Abstract

This thesis consists of two studies in investment strategies. The first study examines the performance of hedge funds and managed futures as alternative asset classes. Hedge fund and managed futures investments are attractive both as stand-alone investments and performance-enhancing portfolio assets. We find that including these investments in diversified portfolio of stocks and bonds typically increases the Sharpe ratios of the original portfolio between 22.7 and 45.4 percent. Moreover, we find that hedge funds and managed futures are complementary asset classes; the fundamental source of their returns differs. Hedge funds have exposure to dynamically constructed long-short equity strategies, and managed futures have exposure to similar long-short strategies in the commodity futures markets. Finally, an analysis of performance persistence suggests that some hedge fund managers possess superior fund-management skills.

The second study analyzes zero-investment international equity strategies. International evidence exists for the predictability of the cross-section of expected stock returns. Company specific information such as book-to-market, market capitalization, and past returns have been documented to predict equity returns in many countries. This study provides time-series evidence that the book-to-market and size return-based factors predict future economic growth even after we control for predictability due to the market. In addition, evidence indicates that the size factor predicts cross-sectional differences in country real growth. Limited evidence exists that links country momentum to future real growth.

Application Deadlines

Master of Science in Marketing >

For Fall 2016 Entry:

Available: August 1st, 2015
Deadline: January 4th, 2016

 

Master of Science in Financial Economics >

For Fall 2016 Entry:

Available: August 1st, 2015
Deadline: January 4th, 2016

 

Master of Science in Management Science and Engineering >

For Fall 2016 Entry:
To be determined

 

Available 8/1/15
Sept 2016

Doctoral
Deadline: 01/05/16

MS Marketing
Deadline: 01/04/16

MS Financial Economics
Deadline: 01/04/16

 

Doctoral Program News

Young Alumni Balseiro wins George B. Dantzig Dissertation Award

At the 2014 Informs national meeting, Santiago Balseiro was honored for his work in "Competition and Yield Optimization in Ad Exchanges". We congratulate Santiago on his accomplishment.

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Ethan Rouen wins Deloitte Doctoral Fellowship in Accounting

The Deloitte Foundation has awarded $25,000 grants to 10 top accounting Ph.D. candidates through the Deloitte Foundation’s annual Doctoral Fellowship program. Given to students who plan to pursue academic careers upon graduation, the award will support the 2015 recipients’ final year of coursework and the subsequent year to complete their doctoral dissertation.

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Honigsberg featured in Ideas at Work

The August issue of Ideas at Work features research that doctoral candidate Colleen Honigsberg led in conjunction with Sharon Katz.

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Wazlawek featured in Ideas at Work

Abbie Wazlawek's joint research with Professor Daniel Ames is featured in the June 24th, 2014 edition of Ideas at Work

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Ethan Rouen featured in Ideas at Work

Ethan Rouen's joint research with Professor Dan Amiram is featured in the May 15th, 2014 edition of Ideas at Work

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Rivas Wins Fellowship

The PhD program is proud to congratulate Miguel Duro Rivas, who was awarded the Nasdaq Educational Foundation Doctoral Dissertation Fellowship.

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Wong wins Deloitte Fellowship

We are proud to announce that Yu Ting (Forester) Wong is one of the recipients of the 2014 Deloitte Foundation Doctoral Fellowship in Accounting.

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The PhD Program Congratulates John Yao

PhD student John Yao was a finalist in the 2013 M&SOM (Manufacturing & Service Operations Management) student paper competition.

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Honigsberg Named Postdoctoral Fellow

The PhD program is proud to congratulate Colleen Honigsberg, who was named the Postdoctoral Fellow in Corporate Governance at the Millstein Center at Columbia Law School in October 2013

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