"What is a SIFI? On the Systemic Importance of Financial Institutions as Determined by an Extended CAPM with Systemic Risk”, Bertrand MAILLET, Variances and EM Lyon Business School, Jean-Charles GARIBAL Variances and University of Orléans, Patrick KOUONTCHOU, ABN AMRO and University of Lorraine, and Sessi TOKPAVI, ABN AMRO and University of Orléans.
Discussant: Sylvain BENOIT, Université Paris-Dauphine. Discussion
“Smart Alpha: a Post Factor Investing Paradigm”, Christophe BOUCHER, University of Paris Ouest, Alexandre JASINSKI, ABN AMRO Investment Solutions, Patrick KOUONTCHOU, ABN AMRO and University of Lorraine and Sessi TOKPAVI, CNRS and University of Orléans. Slides
Discussant: Emmanuel JURCZENKO, Ecole Hôtelière de Lausanne. Discussion
“Lucky Factors”, Campbell HARVEY, Duke University and Fuqua School of Business, National Bureau of Economic Research, and Yan LIU, Texas A&M University. Slides