Greg N. Gregoriou
Professor of Finance
Publications
Editorial Boards
Hedge Fund Editor and Editorial Board Member for the Journal of
Derivatives and Hedge Funds
Editorial Board Member for the Journal of
Wealth Management
Editorial Board Member for the Journal of Risk
Management in Financial Institutions
Editorial Board Member for the Brazilian Business Review
Editorial Board Member for the Journal of Multinational Energy and Value
Chartered Alternative Investment Analyst Association
Gregoriou, G.N. and R. Pascalau (eds.) Handbook of Financial Econometrics, 2010, Chapman-Hall/Taylor and Francis Group.
Gregoriou, G.N. (ed.) Handbook of Banking Crises, 2010. Chapman-Hall/Taylor and Francis Group.
Gregoriou, G.N., C. Hoppe and C. Wehn (eds.) Model Risk, 2010. McGraw-Hill.
Gregoriou, G.N., G. Masala, and M. Miccoci (eds.) New Trends in Risk Management of Pension Funds, 2010, Chapman-Hall/Taylor and Francis Group.Gregoriou, G.N. (ed.) Emerging Markets: Performance, Analysis and Innovation, Chapman Hall-CRC/Taylor and Francis, 2009.
Gregoriou, G.N. (ed.) VaR Modeling Handbook, McGraw-Hill. 2009.
Gregoriou, G.N. (ed.) VaR Implementation Handbook, McGraw-Hill, 2009.
Gregoriou, G.N. (ed.) Operational Risk Towards Basel III, John Wiley and Sons, 2009.
Gregoriou, G.N. (ed.) Stock Market Volatility, Chapman Hall-CRC/Taylor and Francis, 2009.
Gregoriou, G.N. and P.U. Ali. (eds.) The Credit Derivatives Handbook, McGraw-Hill, 2008.
Gregoriou, G.N. and C. Hoppe. (eds.) Handbook of Credit Portfolio Management, McGraw-Hill, 2008.
Gregoriou, G.N. and P.U. Ali. (eds.) Insider Trading, Chapman-Hall/Routledge Taylor and Francis, London: UK, 2008.
Gregoriou, G.N. (ed.) Encyclopedia of Alternative Investments, Chapman-Hall/Routledge Taylor and Francis, London: UK, 2008.
Gregoriou, G.N. (ed.) Initial Public Offerings: An International Perspective, Russian Translation, 2008.
Gregoriou, G.N. and F.S. Lhabitant (eds.) Stock Market Liquidity, John Wiley and Sons, 2008.
Gregoriou, G.N., and Karavas, V.N., LHabitant, F.S. and F. Rouah (eds.) Commodity Trading Advisors: Risk, Performance Analysis and Selection, Chinese Translation, John Wiley and Sons, China, 2007.
Gregoriou, G.N. and L. Renneboog (eds.) International Mergers and Acquisitions Activity Since 1990: Recent Research and Quantitative Analysis, Elsevier, 2007.
Gregoriou, G.N. and L. Renneboog (eds.) Corporate Governance and Regulatory Impact on Mergers and Acquisitions: Research and Activity Worldwide Since 1990, Elsevier, 2007.
Gregoriou, G.N. and K. Neuhauser (eds.) Mergers and Acquisitions: A Global View, Palgrave-Macmillan, 2007.
Gregoriou, G.N. and D. Kaiser (eds.) Handbook of Hedge Funds and Managed Futures for Institutional Investors, Euromoney Books, 2006.
Gregoriou, G.N., M. Kooli and R. Kraüssl (eds.) Venture Capital: A European Perspective, Elsevier, 2006. .
Gregoriou, G.N. and C. Read (eds.) International Taxation, Elsevier, 2006.
Gregoriou, G.N. (ed.) Performance of Mutual Funds: An International Perspective, Palgrave-MacMillan, 2006.
Gregoriou, G.N. (ed.) Diversification and Portfolio Management of Mutual Funds, Palgrave-MacMillan, 2006.
Gregoriou, G.N. (ed.) Advances in Risk Management, Palgrave-MacMillan, 2006.
Gregoriou, G.N. (ed.) Asset Allocation and International Investments, Palgrave-MacMillan, 2006.
Gregoriou, G.N., and M. Gaber (eds.) International Accounting: Standards, Regulation, and Financial Reporting, Elsevier Press, 2006.
Gregoriou, G.N. (ed.) Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, Elsevier Press, 2006.
Gregoriou, G.N., and Paul Ali (eds.) Corporate Governance: An International Perspective after Sarbanes-Oxley, John Wiley and Sons Inc. February 2006.
Gregoriou, G.N. (ed.) Initial Public Offerings: An International Perspective, December 2005, Elsevier Press.
Gregoriou, G.N., Georges Hübner, Nicolas Papageorgiou and F. Rouah (eds.) Hedge Funds: Insights in Performance Measurement, Risk Analysis and Portfolio Allocation, John Wiley and Sons Inc., 2005.
Gregoriou, G.N., and J. Zhu. Data Envelopment Analysis: Evaluating Hedge Funds and CTAs + CD-ROM, John Wiley and Sons Inc., April 2005.
Gregoriou, G.N., and Karavas, V.N., LHabitant, F.S. and F. Rouah (eds.) Commodity Trading Advisors: Risk, Performance Analysis and Selection, John Wiley and Sons. Inc., 2004.
Gregoriou, G.N., F. Rouah and K. Sedzro (eds.) Performance Evaluation of
Hedge Funds: A Quantitative Approach. Beard books Inc., Baltimore,
Maryland, 2003.
Gregoriou, G.N., Karavas, V., and F. Rouah (eds.) Hedge Funds: Strategies, Risk Assessment and Returns. Beard books Inc., Baltimore, Maryland, 2003.
"Survival of Exchange Listed Hedge Funds." with F.S. Lhabitant and F.
Rouah, Managerial Finance (forthcoming).
"Madoff: A Riot of Red Flags." with F.S. Lhabitant, Journal of Wealth Management, Vol. 12, No.1, 2009, pp. 89-98.
"A Two-Staged Benchmarked Decision Support System Using DEA Profiles of Efficiency." with E. J. Lusk and M. Halperin, INFOR, Vol. 46, No.3, 2009, pp. 177-187.
"Efficiency Persistence of Bank and Thrift CEOs Using Data Envelopment Analysis." with Y. Chen and F. Rouah, Computers and Operations Research, Vol. 36, No.5, 2009, pp.1554-1561.
"Survival of Strategic, Market Defensive, Diversified and Conservative Fund of Hedge Funds: 1994-2005." with Kooli, M. and Rouah, F. Journal of Derivatives and Hedge Funds, Vol. 13, No. 4, 2008, pp. 273-286.
"Funds of Funds versus Simple Portfolios of Hedge Funds: A Comparative Study of Persistence in Performance." with G. Hübner, N. Papageorgiou and F. Rouah, Journal of Derivatives and Hedge Funds, Vol. 13, No. 2, 2007, pp. 88-106.
"Data Envelopment Analysis." with J. Zhu. Journal of Portfolio Management, Vol. 33, No. 2, 2006, pp. 120-133.
"Evaluation of Commodity Trading Advisors Using Fixed and Variable Benchmark Models." with Y. Chen, Annals of Operations Research, Vol. 145, No. 1, 2006, pp. 183-200.
"Hedge Fund Performance Appraisal Using Data Envelopment Analysis." with J. Zhu and K. Sedzro, European Journal of Operational Research, Vol. 164, No. 2, 2005, pp. 555-571.
"Survival of Commodity Trading Advisors: 1990-2003." with N. Papageorgiou, G. Hubner and F. Rouah. Journal of Futures Markets, Vol. 25, No. 8, 2005. pp. 795-815.
"Optimization
of the Largest U.S. Mutual funds Using Data Envelopment Analysis."
Journal of Asset Management, Vol.6, No.6, 2006, pp.445-455.
"Survival of Micro Hedge Funds." Derivatives Use, Trading and Regulation, Vol. 12, No. 3, 2006, pp. 209-218.
"Hedge Funds: A Summary of the Literature." with N. Duffy. Journal of Pensions Management, Vol. 12, No. 1, 2006, pp. 24-32.
"Does Size Erode CTA Performance?" Journal of Wealth Management, Vol. 8, No. 4, 2006, pp. 71-75.
"Trading Efficiency of Commodity Trading Advisors Using Data Envelopment Analysis." Derivatives Use, Trading and Regulation, Vol. 12, No. 1-2, 2006, pp. 102-114.
"Simple and Cross Efficiency of CTAs Using Data Envelopment Analysis." with F. Diz, F. Rouah and S. Satchell. European Journal of Finance, Vol. 11, No. 2, 2005, pp. 54-70.
"The Event Driven and Market Neutral Cemetery." Journal of Wealth Management, Vol. 7, No. 4, 2005, pp. 67-77.
"Lagged Factors Affecting Berkshire Hathaway Returns." with R. Christopherson, Journal of Asset Management. Vol. 5, No. 4, 2004, pp. 272-276.
"Optimal Allocation of Hedge Funds and CTAs in an International Stock and Bond Portfolio." with A. Struga and R. Christopherson. Derivatives Use, Trading and Regulation, Vol. 10, No. 3, 2004, pp. 229-239.
"The Billion Dollar Hedge Fund Fraud." with W. Kelting. Journal of Financial Crime, Vol. 11, No. 4, 2004, pp. 23-28.
"The Global Macro Hedge Fund Graveyard." with M. Asgharian, F. Diz and F. Rouah. Journal of Derivatives Accounting, Vol. 1, No. 2, 2004, pp. 21-27.
"Assessing the Relative Efficiency of Credit Unions Using Data Envelopment Analysis." with J. Messier and K. Sedzro. INFORS, Vol. 42, No. 3, 2004, pp. 281-298.
"Are Managers of Fund of Hedge Funds Good Market Timers?" Journal of Wealth Management, Vol. 7, No. 3, 2004, pp. 61-76.
"Performance of the Largest CTAs in Negative S&P 500 Months and Extreme Market Events." with Fabrice Rouah. Journal of Wealth Management, Vol. 7, No. 1, 2004, pp. 44-47.
"Funds of Hedge Funds: Ethics of this Black Box Strategy." with M. Gaber and W. Kelting, Journal of Pensions Management, Vol. 9, No. 4, 2004, pp. 328-335.
"Short-Sellers A Neglected Breed." Journal of Pensions Management, with R. Christopherson, Vol. 9, No. 4, 2004, pp. 343-347.
"Corporate Governance of Hedge Funds." with R. Christopherson. Derivatives Use, Trading and Regulation, Vol. 10, No. 4, 2004, pp. 331-337.
"Risk Adjusted Performance of Canadian Hedge Funds Using a Modified Sharpe Ratio." Derivatives Use, Trading and Regulation, Vol. 10, No. 2, 2004, pp. 149-155.
"Large versus Small Hedge Funds: Does Size Affect Performance?" with F. Rouah. Journal of Alternative Investments, Vol. 5, No. 5, 2003, pp. 75-77.
"Random Walk Behaviour of CTA Returns." with F. Rouah. Journal of Alternative Investments, Vol. 6, No. 1, 2003, pp. 1-6.
"An Examination of CEO Compensation of US Banks and Thrifts Using Non-Traditional Performance Measures: 1997-2001." with Fabrice Rouah, Journal of Financial Services Marketing Vol. 7, No. 3, 2003, pp. 246-257.
"Market Timing and Selectivity Abilities of Fund of Hedge Fund Managers Using Conditional Alphas and Betas." Derivatives Use, Trading and Regulation, Vol. 8, No. 4, 2003, pp. 324-344.
"Performance Evaluation of Funds of Hedge Funds Using Data Envelopment Analysis." Journal of Wealth Management, Vol. 5, No. 4, 2003, pp. 88-95.
"The Mortality of Funds of Hedge Funds." Journal of Wealth Management, Vol. 6, No. 1, 2003, pp. 42-53.
"L'analyse par des Enveloppement de Données : Une Nouvelle Approche dans la Sélection des Fonds de Couverture." Revue Canadienne d'Investissement, Été 2003 pp. 12-13.
"Selecting Funds of Hedge Funds: A Survey of the Twenty Largest Funds." with F. Rouah, Journal of Pensions Management, Vol. 8, No. 3, 2003, pp. 217-221.
"Hedge Funds: The Steel Wave." Journal of Pensions Management, Vol. 9, No. 1, 2003, pp. 22-33.
"Risk Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio." with J.P. Gueyie Journal of Wealth Management, Vol. 6, No. 3, 2003, pp. 77-83.
"Is Size a Factor in Hedge Fund Performance?" with F. Rouah. Derivatives Use, Trading and Regulation, Vol. 7, No. 4, 2002. pp. 301-305.
"Market Timing and Security Selection: The Case of Hedge Funds." with F. Rouah and K. Sedzro. Derivatives Use, Trading and Regulation, Vol. 8, No. 2, 2002. pp. 140-158.
"The Role of Hedge Funds in Pension Fund Portfolios: Buying Protection in Bear Markets." with F. Rouah. Journal of Pensions Management, Vol. 7, No. 3, 2002, pp. 237-245.
"Nonstationarity of Managed Futures." with F. Rouah and K. Sedzro. Journal of Wealth Management, Fall 2002, Vol. 5, No. 2, pp. 54-58.
"Pitfalls to Avoid When Constructing a Fund of Hedge Funds." with F. Rouah. Derivatives Use, Trading and Regulation, Vol. 8, No. 1, 2002, pp. 59-65.
"On the Market Timing of Hedge Fund Managers." with F. Rouah and K. Sedzro. Journal of Wealth Management, Vol. 5, No. 1, 2002, pp. 26-38.
"Hedge Fund Survival Lifetimes." Journal of Asset Management, Vol. 3, No. 3, 2002, pp. 237-252.
"Do Stock Market Indices Move the Ten Largest Hedge Funds? A Cointegration Approach." with F. Rouah. Journal of Alternative Investments, Fall 2001, pp. 61-66.
"Do Hedge Fund Returns Follow Random Walks?" with F. Rouah and K. Sedzro. Derivatives Use, Trading and Regulation, Vol. 7, No. 3, 2001, pp. 241-250.
"Last Year’s Winning Hedge Fund as This Year’s Selection: A Simple Trading Strategy." with F. Rouah. Derivatives Use, Trading and Regulation, Vol. 7, No. 3, 2001, pp. 269-274.
"Multi-Manager Hedge Funds: How Many Managers Are Enough?" Canadian Investment Review, Spring 2000, pp.13-15.
"Fund of Funds: When More Definitely Means Less?" Canadian Business Economics Journal, Vol. 8, No. 2, August, 2000, pp. 82-85.
Gregoriou, G.N. and C. Hoppe.
"Supervisory Formula – Tranching a Securitization without an External
Rating Agency. In Model Risk, Gregoriou, G.N., Hoppe, C. and C. Wehn,
forthcoming, 2009.
Gregoriou, G.N. and F. D. Rouah. "A Risk of Ruin Approach for Evaluating
Commodity Trading Advisors. In "Operational Risk Towards Basel III"
Gregoriou, G.N. (ed.) John Wiley and Sons, forthcoming 2009.
Gregoriou, G.N. and P.U. Ali. "Introduction to the Global Market for Credit Derivatives.: In The Credit Derivatives Handbook, Gregoriou, G.N. and P.U. Ali (eds.) McGraw-Hill, 2008.
Gregoriou, G.N. and C. Hoppe. "Classification and Characterization of CDS-Indices" In Handbook of Credit Asset Management, Gregoriou, G.N. and C. Hoppe (eds.) McGraw-Hill, 2008.
Gregoriou, G.N., P.U. Ali, and W. Kelting. "Hedge Fund Fraud and Insider Trading." In Insider Trading, Gregoriou, G.N. and P.U. Ali (eds.) Chapman-Hall/Routledge Francis.
Gregoriou, G.N. and F.S. Lhabitant. "Illiquidity of Hedge Fund Returns." In Stock Market Liquidity, Gregoriou, G.N. and F.S. Lhabitant (eds.) John Wiley and Sons 2007.
Gregoriou, G.N. and L. Renneboog. "Introduction to Understanding Mergers and Acquisitions." In Mergers and Acquisitions Activity Since 1990: Recent Research and Quantitative Analysis, Elsevier, 2007.
Gregoriou, G.N. and L. Renneboog. "Understanding Mergers and Acquisitions: Corporate Governance and Regulatory Issues." In Corporate Governance and Regulatory Impact on Mergers and Acquisitions: Research and Activity Worldwide Since 1990, Gregoriou, G.N. and L. Renneboog (eds.), Elsevier, 2007.
Gregoriou, G.N. and F.S. Lhabitant. "Merger Arbitrage: An Introduction." In Mergers and Acquistions: Current Issues, Gregoriou, G.N. and K.L. Neuhauser (eds.), Palgrave-MacMillan, 2007.
Gregoriou, G.M. and G. Vita. "Money laundering: every financial transaction leaves a paper trail." In International Taxation Handbook, Gregoriou, G.N. and C. Read (eds.), Elsevier, 2007.
Gregoriou, G.N. "Trading Efficiency of Largest 25 CTAs using a Basic Data Envelopment Analysis Model and Returns-to-Scale Estimation." In Hedge Funds for the Institutional Investor, Gregoriou, G.N. and D. Kaiser (eds.), Risk Books, 2007.
Gregoriou, G.N. "Selecting Last Year’s Top Performing CTA as This Year’s Choice: A Simple Trading Strategy." In Hedge Funds for the Institutional Investor, Gregoriou, G.N. and D. Kaiser (eds.) Euromoney Books, 2007.
Gregoriou, G.N. M. Kooli, P. Krohmer, and R. Lauterbach, "Simple and
Cross Efficiency of Venture Capital Firms Using Data Envelopment
Analysis." In Venture Capital in Europe, Elsevier, 2006.
Gregoriou, G.N., G. Hubner, N. Papageorgiou and F. Rouah. "Dominating Funds of Funds with Simple Hedge Fund Strategies." In Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, Gregoriou, G.N. (ed.), Elsevier, 2006.
Gregoriou, G.N. and M. Kooli. "Efficiency of Internet IPO’s after the Nasdaq Bubble." In Initial Public Offerings: An International Perspective, Gregoriou, G.N. (ed.), Elsevier, 2006.
Gregoriou, G.N., M. Gaber and W. Kelting. "Corporate Governance of Hedge Funds Revisited." In Corporate Governance: An International Perspective on Corporate and Officer Accountability after Sarbanes-Oxley, Gregoriou, G.N., and P. Ali (eds.) John Wiley and Sons, 2006.
Gregoriou, G.N., M. Gaber and W. Kelting. "Hedge Funds and the Stale Pricing Issue." In International Accounting, Gregoriou, G.N., and M. Gaber (eds.), Elsevier, 2006.
Gregoriou, G.N. "Efficiency of U.S. Mutual Funds Using Data Envelopment Analysis." In Mutual Funds: An International Perspective, Gregoriou, G.N. (ed.) Palgrave-MacMillan, 2006.
Gregoriou, G.N. "Modified Sharpe Ratio Applied to Canadian Hedge Funds." In Asset Allocation and International Investments, Gregoriou, G.N. (ed.) Palgrave-MacMillan, 2006.
Gregoriou, G.N., M. Gaber and W. Kelting. "Hedge Funds and the Stale
Pricing Issue." In Hedge Funds: Insights in Performance, Risk Analysis
and Portfolio Allocation, G.N. Gregoriou, Hubner, G., Papageorgiou,
N., and F. Rouah (eds.), John Wiley and Sons, 2005.
Gregoriou, G.N. and K. McCarthy. "Efficiency of Offshore and Onshore Fund of Hedge Funds." In Hedge Funds: Insights in Performance, Risk Analysis and Portfolio Allocation, G.N. Gregoriou, Hubner, G., Papageorgiou, N., and F. Rouah (eds.), John Wiley and Sons, 2005.
Gregoriou, G.N., F. Diz, F. Rouah and S. Satchell. "Simple and Cross-Efficiency of CTAs Using Data Envelopment Analysis." In Commodity Trading Advisors, Gregoriou, G.N., V.N. Karavas, F.S. Lhabitant and F. Rouah (eds.), John Wiley and Sons Inc. 2005.
Gregoriou, G.N., and F. Rouah. "Predictability of Funds of Hedge Fund Returns Using Dynaporte." In Linear Factor Models in Finance, S. E. Satchell and J. Knight (eds.), Butterworth and Heinemann, London, 2004.
"Further Evidence on CTA Performance: A Calendar Time Approach." Commodities Finance Centre Conference on Commodities Futures and Energy." with G. Hubner and M. Kooli. London, UK, January 2007.
"Dominating Funds of Funds with Simple Hedge Fund Strategies." with G. Hubner, N. Papageorgiou and F. Rouah. Northern Finance Association annual meeting, Vancouver, October 2-3, 2005.
"Data Envelopment Analysis Applied to Hedge Funds and CTAs" with J. Zhu. North American Productivity Workshop 2004, Toronto, Canada, June 22-25, 2004.
"Hedge Fund Performance Using Data Envelopment Analysis." with J. Zhu and K. Sedzro. Institute for Operations Research and the Management Sciences, INFORMS, Banff, Alberta, May 16-19, 2004.
"Do Certain Macroeconomic Variables and Market Indexes Move Hedge Fund Classes? A Cointegration Approach?" with F. Rouah and R. Auger. Award for best finance paper at The Administrative Sciences Association of Canada Conference (ASAC) in London, Ontario. May, 2001.
Gregoriou, G.N. Hedge Masters. Journal of Derivatives and Hedge Funds, 2008.
Gregoriou, G.N. Guide to Investment Strategy: How to Understand Markets, Risk, Rewards and Behaviour. Journal of Asset Management, December 2006.
Gregoriou, G.N. Hedge Fund and Investment Management. Derivatives Use, Trading and Regulation, Vol. 12, No. 2 (2006), pp. 180-181.
Gregoriou, G.N. Hedge Fund Course. Derivatives Use, Trading and Regulation, Vol. 11, No. 3 (2005), pp. 297-300.
Gregoriou, G.N. Fixed-Income Securities and Derivatives Handbook. Derivatives Use, Trading and Regulation, Winter 2006.
Gregoriou, G.N. How to Invest in Hedge Funds: An Investment Professional’s Guide. Derivatives Use, Trading and Regulation, Vol. 11, No. 1 (2005), pp. 94-95.
Gregoriou, G.N. Hedge Funds in Emerging Markets. Journal of Alternative Investments, Vol. 4, No. 3 (2002), pp. 75-76.
Gregoriou, G.N. Hedge Funds: Myths and Limits. Journal of Alternative Investments, Vol. 5, No. 2 (2002), pp. 97-98.
Gregoriou, G.N. How to Create and Manage a Hedge Fund. Journal of Alternative Investments, Vol. 5, No. 3 (2002), pp. 89-90.
Gregoriou, G.N. Hedge Fund Transparency. Risk Magazine, April 2003.
Gregoriou, G.N. Absolute Returns: The Risk and Opportunities of Hedge Fund Investing. Journal of Alternative Investments, Fall 2003.
Gregoriou, G.N. Integrated Wealth Management. Journal of Asset Management, Winter 2004.
Gregoriou, G.N. Starting a Hedge Fund. Derivatives Use, Trading and Regulation, Spring 2004.
Evitare Nuovi Madoff in Sette Mosse by Marco Mairate in Hedge, March 2009, p.48-51.
Red flags for Investors to Heed. By Andrew Wood, Financial Times of London, February 15, 2009.
IPO Recovery Continues in 2006. Market Watch, February 24, 2006, by Steve Gelsi.
Hedge Funds Work for Yale but Will They Work for you? New York Times, November 27, 2005 by Geraldine Fabrikant.
Bountiful Harvest. Investment Advisor, Commodity Trading Advisor Programs are Making a Big Showing. Are They Right for Your Clients? by Eric Uhlfelder.
Companies Try to Catch Alternative Investment Wave." in SNL Financial Services Newsletter (USA), December 10, 2001, pp. 2-3.