City Research Online

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Agyei-Ampomah, S., Clare, A., Mason, A. & Thomas, S.view all authors (2015). On luck versus skill when performance benchmarks are style-consistent. Journal of Banking & Finance, 59, pp. 127-145. doi: 10.1016/j.jbankfin.2015.05.013

Albuquerque, R. & Schroth, E. (2015). The Value of Control and the Costs of Illiquidity. Journal of Finance, 70(4), pp. 1405-1455. doi: 10.1111/jofi.12207

Alizadeh-Masoodian, A., Thanopoulou, H. & Strandenes, S.P. (2015). Capacity retirement in the dry bulk market: A vessel based logit model. Paper presented at the IAME Annual Conference 2015, 24-26 Aug 2015, Kuala Lumpur, Malaysia.

Arezki, R., Beck, T., DeYoung, R. , Duca, J. V., Loungani, P. & Murphy, A.view all authors (2015). Conference on Housing, Stability, and the Macroeconomy: International Perspectives. Journal of Money, Credit and Banking, 47(S1), pp. 1-11. doi: 10.1111/jmcb.12185

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Ballotta, L., Deelstra, G. & Rayée, G. (2015). Quanto Implied Correlation in a Multi-Lévy Framework. London: SSRN.

Ballotta, L. ORCID: 0000-0002-2059-6281 & Fusai, G. ORCID: 0000-0001-9215-2586 (2015). Counterparty credit risk in a multivariate structural model with jumps. Finance, Revue de l'Association Française de Finance, Vol. 3(1), pp. 39-74. doi: 10.3917/fina.361.0039

Ballotta, L., Loregian, A. & Fusai, G. (2015). Multivariate Lévy Models by Linear Combination: Estimation. London: SSRN.

Beck, T. (2015). Cross-border banking and financial deepening: The African experience. Journal of African Economies, 24(suppl ), i32-i45. doi: 10.1093/jae/eju028

Beck, T. (2015). Macroprudential Policies and Housing Prices: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe Discussion of Vandenbussche, Vogel, and Detragiache. Journal of Money, Credit and Banking, 47(S1), pp. 379-381. doi: 10.1111/jmcb.12207

Beck, T. & Brown, M. (2015). Foreign bank ownership and household credit. Journal of Financial Intermediation, 24(4), pp. 466-486. doi: 10.1016/j.jfi.2013.10.002

Beck, T., Liping, L. & Yang, R. (2015). Finance and Growth for Microenterprises: Evidence from Rural China. World Development, 67, pp. 38-56. doi: 10.1016/j.worlddev.2014.10.008

Bergamelli, M., Novotny, J. & Urga, G. (2015). MAXIMUM NON-EXTENSIVE ENTROPY BLOCK BOOTSTRAP FOR NON-STATIONARY PROCESSES. L'Actualité Economique, 91(1-2), pp. 115-139. doi: 10.7202/1036916ar

Bergamelli, Michele (2015). Structural breaks and outliers detection in time-series econometrics: Methods and applications. (Unpublished Doctoral thesis, City University London)

Bilinski, P. & Mohamed, A. (2015). The Signaling Effect of Durations between Equity and Debt Issues. Financial Markets, Institutions, & Instruments, 24(2-3), pp. 159-190. doi: 10.1111/fmii.12027

Blake, D. ORCID: 0000-0002-2453-2090 & MacMinn, R. (2015). Longevity Risk and Capital Markets: The 2016-17 Update (PI-1806). London, UK: Pensions Institute.

Blake, D., Rossi, A., Timmermann, T. , Tonks, I. & Wermers, R.view all authors (2015). Decentralization in Pension Fund Management. Journal of Investment Management, 13(3),

Boffelli, S. & Urga, G. (2015). Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads. Journal of International Money and Finance, 53, pp. 148-173. doi: 10.1016/j.jimonfin.2015.01.004

Boubaker, S., Derouiche, I. & Lasfer, M. (2015). Geographic Location, Excess Control Rights, and Cash Holdings. International Review of Financial Analysis, 42, pp. 24-37. doi: 10.1016/j.irfa.2014.07.008

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Caldana, R., Cheang, G.H.L., Chiarella, C. & Fusai, G.view all authors (2015). Correction: Exchange Option under Jump-diffusion Dynamics. Applied Mathematical Finance, 22(1), pp. 99-103. doi: 10.1080/1350486x.2014.937564

Castagnetti, C., Rossi, E. & Trapani, L. (2015). Inference on factor structures in heterogeneous panels. Journal of Econometrics, 184(1), pp. 145-157. doi: 10.1016/j.jeconom.2014.08.004

Cen, Jiaming (2015). Essays on international finance. (Unpublished Doctoral thesis, City University London)

Cespa, G. & Vives, X. (2015). The Beauty Contest and Short-Term Trading. The Journal of Finance, 70(5), pp. 2099-2154. doi: 10.1111/jofi.12279

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Dimitrova, D. S., Kaishev, V. K. & Zhao, S. (2015). On finite-time ruin probabilities in a generalized dual risk model with dependence. European Journal of Operational Research, 242(1), pp. 134-148. doi: 10.1016/j.ejor.2014.10.007

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Elyasiani, E., Kalotychou, E., Staikouras, S. & Zhao, G.view all authors (2015). Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods. Journal of Financial Services Research, 48(1), pp. 21-52. doi: 10.1007/s10693-014-0200-z

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Falconieri, S. & Bennouri, M. (2015). Single versus multiple banking: lessons from initial public offerings. The European Journal of Finance, 23(10), pp. 841-858. doi: 10.1080/1351847x.2015.1053149

Fich, E. M., Harford, J. & Tran, A. (2015). Motivated monitors: the importance of institutional investors’ portfolio weights. Journal of Financial Economics, 118(1), pp. 21-48. doi: 10.1016/j.jfineco.2015.06.014

Fratzscher, M., Rime, D., Sarno, L. & Zinna, G.view all authors (2015). The scapegoat theory of exchange rates: the first tests. Journal of Monetary Economics, 70, pp. 1-21. doi: 10.1016/j.jmoneco.2014.09.001

Friederich, S. & Payne, R. (2015). Order-to-trade ratios and market liquidity. Journal of Banking & Finance, 50, pp. 214-223. doi: 10.1016/j.jbankfin.2014.10.005

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Kalotychou, E. & Saka, O. (2015). How did the ECB save the Eurozone without spending a single euro?. VOX, CEPR’s Policy Portal,

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Kalotychou, E. & Todorovic, N. (2015). Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?. Review of Quantitative Finance and Accounting, 45(2), pp. 251-278. doi: 10.1007/s11156-014-0436-6

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Miffre, J. & Fernandez-Perez, A. (2015). Commodity strategies based on momentum, term structure, and idiosyncratic volatility. Journal of Futures Markets, 35(3), pp. 274-297. doi: 10.1002/fut.21656

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Harrison, D & Blake, D. ORCID: 0000-0002-2453-2090 (2015). The meaning of life: An uncertain future for the traditional life company business model in the UK’s private sector pensions market. London, UK: The Pensions Institute; Cass Business School, ISSN 1367-580X.

Harrison, D. & Blake, D. ORCID: 0000-0002-2453-2090 (2015). Supporting Materials for The Greatest Good for the Greatest Number: An examination of early intervention strategies for trustees and sponsoring employers of stressed defined benefit schemes. London, UK: Pensions Institute.

Harrison, D. & Blake, D. ORCID: 0000-0002-2453-2090 (2015). The greatest good for the greatest number: An examination of early intervention strategies for trustees and sponsoring employers of stressed defined benefit schemes. London, UK: Pensions Institute.

Hayley, S. (2015). Cognitive error in the measurement of investment returns. (Unpublished Doctoral thesis, City University London)

Hayley, S. (2015). Diversification returns, rebalancing returns and volatility pumping. .

Hunt, A. & Blake, D. ORCID: 0000-0002-2453-2090 (2015). Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing (PI-1511). Pensions Institute.

Hunt, A. & Blake, D. (2015). Modelling longevity bonds: Analysing the Swiss Re Kortis bond. Insurance: Mathematics and Economics, 63, pp. 12-29. doi: 10.1016/j.insmatheco.2015.03.017

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Inkmann, J., Blake, D. & Shi, Z. (2015). Managing Financially Distressed Pension Plans in the Interest of Beneficiaries. Journal of Risk and Insurance, 84(2), pp. 539-565. doi: 10.1111/jori.12090

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Karimalis, Emmanouil (2015). Essays in Multivariate Modelling in Finance. (Unpublished Doctoral thesis, City University London)

Kroencke, T.M., Schmeling, M. & Schrimpf, A. (2015). Global Asset Allocation Shifts (BIS Working Papers No 497). Bank for International Settlements.

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Lasfer, M. & Hoque, H. (2015). Directors' Dealing and Post-IPO Performance. European Financial Management, 21(1), pp. 178-204. doi: 10.1111/j.1468-036x.2013.12013.x

Leccadito, A, Tunaru, RS & Urga, G. (2015). Trading strategies with implied forward credit default swap spreads. Journal of Banking &Finance, 58, pp. 361-375. doi: 10.1016/j.jbankfin.2015.04.018

Leccadito, A., Rachedi, O. & Urga, G. (2015). True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison. Econometric Reviews, 34(4), pp. 452-479. doi: 10.1080/07474938.2013.808462

Lee, S. & Morri, G. (2015). Real estate fund active management. Journal of Property Investment and Finance, 33(6), pp. 494-516. doi: 10.1108/jpif-06-2014-0043

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Mariano, B. & Tribó Giné, J.A. (2015). Creditor Intervention, Investment, and Growth Opportunities. Journal of Financial Services Research, 47(2), pp. 203-228. doi: 10.1007/s10693-013-0188-9

Matanova, N. (2015). Private Equity and Venture Capital Investors' Involvement in Firms Post Initial Public Offering. (Unpublished Doctoral thesis, City University London)

Mateus, C., Todorovic, N. & Chinthalapati, R. (2015). Alphas in Disguise: A New Approach to Uncovering Them. pp. 234-243. doi: 10.1002/ijfe.1581

Moeller, S., Vitkova, V., Markey, D. & Novikova, A.view all authors (2015). The New Normal: The Resurgence of Activist Investing Since the End of the Financial Crisis. London, UK: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.

Moss, A., Clare, A., Thomas, S. & Seaton, J.view all authors (2015). Trend Following and Momentum Strategies for Global REITs. Journal of Real Estate Portfolio Management, 21(1), pp. 21-31. doi: 10.5555/1083-5547-21.1.21

Moss, A. & Farrelly, K. (2015). The performance of a blended real estate portfolio for UK DC investors. Journal of Property Investment & Finance, 33(2), pp. 156-168. doi: 10.1108/jpif-10-2014-0064

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Novotny, J., Petrov, D. & Urga, G. (2015). Trading Price Jump Clusters in Foreign Exchange Markets. Journal of Financial Markets, 24, pp. 66-92. doi: 10.1016/j.finmar.2015.03.002

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Ohlson, J. & Bilinski, P. (2015). Risk versus Anomaly: A New Methodology Applied to Accruals. The Accounting Review, 90(5), pp. 2057-2077. doi: 10.2308/accr-50984

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Patience, H. A. (2015). Development and Calibration of Relative Value Trading Models. (Unpublished Doctoral thesis, City, University of London)

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Richard Maria Kos, Hartwig (2015). Momentum Effects: Essays on Trading Rule Returns in G10 Currency Pairs. (Unpublished Doctoral thesis, City University London)

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Saka, O. ORCID: 0000-0002-1822-1309, Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Kalotychou, E. (2015). ECB policy and Eurozone fragility: Was De Grauwe right?. Journal of International Money and Finance, 54, pp. 168-185. doi: 10.1016/j.jimonfin.2015.03.002

Schmeling, M. & Wagner, C. (2015). Does Central Bank Tone Move Asset Prices?. SSRN.

Seng Tang, K., Blake, D. & MacMinn, R. (2015). Longevity Risk and Capital Markets: The 2013-14 Update (PI-1502). London, UK: Pensions Institute.

Silva, A. & Bilinski, P. (2015). Intended Use of Proceeds, Underwriter Quality and the Long-run Performance of SEOs in the UK. Journal Of Business Finance & Accounting, 42(9-10), pp. 1282-1309. doi: 10.1111/jbfa.12171

Simintzi, E., Vig, V. & Volpin, P. (2015). Labor Protection and Leverage. The Review of Financial Studies, 28(2), pp. 561-591. doi: 10.1093/rfs/hhu053

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Tan, K.S., Blake, D. & MacMinn, R. (2015). Longevity Risk and Capital Markets: The 2013-14 Update. Insurance: Mathematics and Economics, 63, pp. 1-11. doi: 10.1016/j.insmatheco.2015.03.015

Trapani, L. (2015). Testing for Exogeneity in Cointegrated Panels. Oxford Bulletin of Economics and Statistics, 77(4), pp. 475-494. doi: 10.1111/obes.12072

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Urga, G., Ghalanos, A. & Rossi, E. (2015). Independent Factor Autoregressive Conditional Density Model. Econometric Reviews, 34(5), pp. 594-616. doi: 10.1080/07474938.2013.808561

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Vamvakas, Orestis Georgios (2015). Fixed income portfolio construction: a Bayesian approach for the allocation of risk factors. (Unpublished Doctoral thesis, City University London)

Vitkova, V. (2015). Essays on Mergers and Acquisitions. (Unpublished Doctoral thesis, City, University of London)

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Wu, Y. & Tidwell, A. (2015). Inflation-hedging properties of regional Chinese real estate market: evidence from 35 cities in China. Applied Economics, 47(60), pp. 6580-6598. doi: 10.1080/00036846.2015.1080811

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Yan, Cheng (2015). Essays in International Finance: International Capital Flows, Equity and FX markets. (Unpublished Doctoral thesis, City University London)