Inquire Europe awards Euro 10,000 research grant to CQF director

Markus Leippold, director of the Centre for Quantitative Finance, has recently been awarded a research grant by Inquire Europe.

The organisation, which encourages quantitative investment research to better inform financial and portfolio management, has given Euro 10,000 to support Dr Leippold’s new project.

The grant joins a prize awarded to Dr Leippold in February for a paper on variance swap (found here).  The new research project will examine pricing and earning momentum strategies. Dr Leippold explains:

“We see an idea floating around in finance that stocks which provided high returns in the past are a likely predictor of high returns in the future.  What we will look at is whether this is a statistically significant phenomenon across international stock markets.  If it is robust, we will examine what may be causing it and how can this knowledge be directly exploited by investors.”

Although it is too soon to predict the outcome of the analysis, Dr Leippold’s early work suggests that if momentum does affect returns, possible explanations may include macroeconomic factors such as industrial production and consumption growth, or behavioural biases due to investors’ underreaction to news about a stock or company’s performance.

Dr Leippold is working with a PhD student of his, Harald Lohre, from the University of Zurich and Union Investment.

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About Markus 
Markus Leippold is a Senior Lecturer/Associate Professor in Finance at Tanaka Business School. Until 2007, he was an assistant professor at the Swiss Banking Institute of the University of Zurich.   In 2005, he was a visiting professor at the Federal Reserve Bank of New York. Prior to moving back to academia in 2002, he was working for Sungard, Trading and Risk Management Systems, and the Zurich Cantonal Bank. During his PhD studies, he was a research fellow at the Stern School of Business in New York. He obtained his PhD in financial economics from the University of St.Gallen, Switzerland, in 1999.

Markus' main research interests are term structure modelling, asset pricing, and risk management. He has published in several Journals such as Review of Financial Studies, Journal of Financial and Quantitative Analysis, Review of Finance, and Journal of Banking and Finance. In 2003, he and his colleagues were awarded by the German Finance Association with the best paper award for their paper on equilibrium impacts of Value-at-Risk regulation and with an achievement award from RISK for their paper on Operational Risk. In 2004, their research paper on credit contagion won the STOXX Gold Award at the annual conference of the European Financial Management Association. In 2006, they were awarded a research grant from INQUIRE Europe for their work on variance swaps.

http://www3.imperial.ac.uk/people/m.leippold 

About Inquire Europe

http://www.inquire-europe.org/