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37th International Conference of the French Finance Association (AFFI)

Audencia Business School

25 May 2020 - 27 May 2020

The special issue is postponed by a year and will be linked to the postponed 2021 event. In autumn, an new timeline will be provided.

 

Publication Opportunities

We are pleased to announce that selected papers, presented at the Conference, will be published in special issues of the following Journals:

1. Journal of Banking and Finance

Call for papers

Special issue on asset pricing and factor investing

Motivation and Objective of the Special Issue

The special issue aims to invite submissions of state-of-the-art high-quality articles on topics related to asset pricing and factor investing. The asset pricing literature has identified hundreds of factors capable of capturing sizeable risk premia. The range of ‘successful’ styles that impact asset returns has become so wide that investors are likely to be somewhat bewildered by the possibilities. This special issue, edited jointly with the 2020 conference of the French Finance Association, aims at helping academics and practitioners alike in their search for risk premia and in their asset allocation decisions within and across asset classes. Topics of interest include, but are not limited to,

  • Theoretical asset pricing models
  • Estimating and evaluating asset pricing models
  • Asset allocation
  • Return predictability
  • Factor identification, timing and forecasting
  • Factor optimization
  • Factor zoo
  • Style integration
  • Fading anomalies
  • Risk management
  • Performance evaluation
  • Big data and machine learning
  • Implementation and transaction costs 

Any paper presented at the conference is eligible for publication in the special issue. The Guest Editors will initially review the papers and decide which papers will go forward for review by two anonymous referees. The General Editors of the Journal have oversight over the final set of papers accepted for publication.

 

 Planned Schedule

- First submission date: May 30th, 2020

- Submission deadline: August 30th, 2020

- Latest possible notification of final decision: March 30th, 2022

- Special issue publication date: in 2022.

 

Guest Editors of the Special Issue

Galariotis Emilios

Miffre Joelle

Sevi Benoit

 

Submission site

Submissions will be open from the 30th of May until the 30th of August 2020. The submission site will be avalaibale later on. You will receive updates by email, also on the webpage, and on the webpage of the journal (link can be found just below).

 

Please click HERE for more information.

Information on the Special Issue will be updated in due time. However, if you have any inquiry about the special issue, please contact : affi2020@audencia.com