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Number of items at this level: 682.

2019

Accominotti, O., Cen, J., Chambers, D. and Marsh, I. W. ORCID: 0000-0002-0483-8658 (2019). Currency regimes and the carry trade. Journal of Financial and Quantitative Analysis, doi: 10.1017/S002210901900019X

Alizadeh-Masoodian, A. ORCID: 0000-0003-1588-6214, Huang, C-Y. and Marsh, I. W. ORCID: 0000-0002-0483-8658 (2019). Modelling the Volatility of TOCOM Energy Futures: A Regime Switching Realised Volatility Approach. Energy Economics, doi: 10.1016/j.eneco.2019.06.019

Ayyagari, M., Beck, T. ORCID: 0000-0001-8382-2066 and Hoseini, M. (2019). Finance, Law and Poverty: Evidence from India. Journal of Corporate Finance,

Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586, Kyriakou, I. ORCID: 0000-0001-9592-596X, Papapostolou, N. C. ORCID: 0000-0003-4529-1182 and Pouliasis, P. K. ORCID: 0000-0002-7389-3722 (2019). Risk management of climate impact for tourism operators: An empirical analysis on ski resorts. Tourism Management, doi: 10.1016/j.tourman.2019.104011

Banti, C. and Phylaktis, K. (2019). Global liquidity, house prices and policy responses. Journal of Financial Stability, 43, pp. 79-96. doi: 10.1016/j.jfs.2019.05.015

Beck, T. ORCID: 0000-0001-8382-2066 and Gambacorta, L. (2019). New evidence on the effectiveness of macroprudential policies. Journal of Financial Intermediation, doi: 10.1016/j.jfi.2019.100834

Bergamelli, M., Bianchi, A., Khalaf, L. and Urga, G. (2019). Combining P-values to Test for Multiple Structural Breaks in Cointegrated Regressions. Journal of Econometrics, 211(2), pp. 461-482. doi: 10.1016/j.jeconom.2019.01.013

Blake, D. (2019). L13: Longevity Risk and Capital Markets: The 2017-18 Update. North American Actuarial Journal,

Blake, D. (2019). Modelling Socio-Economic Differences in Mortality Using a New Affluence Index. ASTIN Bulletin - The Journal of the International Actuarial Association, pp. 555-590. doi: 10.1017/asb.2019.14

Blake, D., Cairns, A. J. G., Dowd, K. and Kessler, A.R. (2019). Still living with mortality: The longevity risk transfer market after one decade. British Actuarial Journal, 24, e1. doi: 10.1017/S1357321718000314

Blake, D. and MacMinn, R. (2019). Longevity Risk and Capital Markets: The 2016-17 Update. North American Actuarial Journal,

Bruyland, E., Lasfer, M. ORCID: 0000-0003-2338-672X, De Maeseneire, W. and Song, W. (2019). The Performance of Acquisitions by High Default Risk Bidders. Journal of Banking and Finance, 101, pp. 37-58. doi: 10.1016/j.jbankfin.2019.01.019

Casu, B. ORCID: 0000-0003-3586-328X (2019). Board Diversity Reforms: Do they Matter for EU Bank Performance?. European Financial Management, doi: 10.1111/eufm.12238

Chen, A., Haberman, S. and Thomas, S. (2019). Cumulative Prospect Theory and Deferred Annuities. Review of Behavioural Finance,

Chen, A., Haberman, S. ORCID: 0000-0003-2269-9759 and Thomas, S. ORCID: 0000-0001-5438-4263 (2019). The implication of the hyperbolic discount model for annuitisation decisions. Journal of Pension Economics and Finance, doi: 10.1017/S1474747218000343

Clare, A. ORCID: 0000-0002-4180-6778 and Clare, M. (2019). An examination of ex ante fund performance: Identifying indicators of future performance. Journal of Asset Management, 20(3), pp. 175-195. doi: 10.1057/s41260-019-00118-4

Colacito, R., Riddiough, S. J. and Sarno, L. ORCID: 0000-0003-1279-9748 (2019). Business Cycles and Currency Returns. Journal of Financial Economics,

Corvino, R. (2019). Essays in asset pricing and corporate finance. (Unpublished Doctoral thesis, City, University of London)

D'Amato, A. and Gallo, A. ORCID: 0000-0002-8355-1689 (2019). Bank institutional setting and risk-taking: The missing role of directors’ education and turnover. Corporate Governance, 19(4), pp. 774-805. doi: 10.1108/CG-01-2019-0013

Dowd, K., Blake, D. ORCID: 0000-0002-2453-2090, Buckner, D. and Fry, J. (2019). The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages. Economics Letters,

Fernandez-Perez, A., Fuertes, A. ORCID: 0000-0001-6468-9845 and Miffre, J. (2019). A Comprehensive Appraisal of Style-Integration Methods. Journal of Banking and Finance, 105, pp. 134-150. doi: 10.1016/j.jbankfin.2019.05.016

Ferreira, M., Keswani, A. ORCID: 0000-0001-9096-7677, Miguel, A. F. and Ramos, S. (2019). What Determines Fund Performance Persistence? International Evidence. Financial Review, doi: 10.1111/fire.12202

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Phylaktis, K. ORCID: 0000-0001-9392-1682 and Yan, C. (2019). Uncovered Equity “Disparity” in Emerging Markets. Journal of International Money and Finance, doi: 10.1016/j.jimonfin.2019.102066

Gambaro, A. M., Casalini, R., Fusai, G. ORCID: 0000-0001-9215-2586 and Ghilarducci, A. (2019). A market-consistent framework for the fair evaluation of insurance contracts under Solvency II. Decisions in Economics and Finance, doi: 10.1007/s10203-019-00242-1

Golubov, A. and Konstantinidi, T. (2019). Where Is the Risk in Value? Evidence From a Market-to-Book Decomposition. The Journal of Finance, doi: 10.1111/jofi.12836

Hanke, B., Keswani, A. ORCID: 0000-0001-9096-7677, Quigley, G., Stolin, D. and Zagonov, M. (2019). The equal-weight tilt in managed portfolios. Economics Letters, 182, pp. 59-63. doi: 10.1016/j.econlet.2019.06.003

Hatgioannides, J., Karanassou, M. and Sala, H. (2019). Should the Rich be Taxed More? The Fiscal Inequality Coefficient. Journal of Economic Issues, 53(3), pp. 879-887. doi: 10.1080/00213624.2019.1646624

Jung, J. H. ORCID: 0000-0002-1993-9419, Kumar, A., Lim, S. S. and Yoo, C-Y. (2019). An Analyst by Any Other Surname: Surname Favorability and Market Reaction to Analyst Forecasts. Journal of Accounting and Economics, doi: 10.1016/j.jacceco.2019.02.002

Lasfer, M. ORCID: 0000-0003-2338-672X, Golubov, A. and Vitkova, V. (2019). Active catering to dividend clienteles: Evidence from takeovers. Journal of Financial Economics,

Lim, K. G., Nomikos, N. ORCID: 0000-0003-1621-2991 and Yap, N. (2019). Understanding the fundamentals of freight markets volatility. Transportation Research Part E: Logistics and Transportation Review, 130, pp. 1-15. doi: 10.1016/j.tre.2019.08.003

Makinen, T., Sarno, L. ORCID: 0000-0003-1279-9748 and Zinna, G. (2019). Risky Bank Guarantees. Journal of Financial Economics,

Mateus, I., Mateus, C. and Todorovic, N. ORCID: 0000-0003-4875-623X (2019). Use of Active Peer Benchmarks in assessing UK mutual fund performance and performance persistence. The European Journal of Finance, doi: 10.1080/1351847X.2019.1581639

Mateus, I. B., Mateus, C. and Todorovic, N. ORCID: 0000-0003-4875-623X (2019). Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks. Journal of Asset Management, doi: 10.1057/s41260-018-0101-z

Mikkelsen, J. G., Hillebrand, E. and Urga, G. (2019). Consistent Estimation of Time-Varying Loadings in High-Dimensional Factor Models. Journal of Econometrics, 208(2), pp. 535-562. doi: 10.1016/j.jeconom.2018.09.020

Moutzouris, I. and Nomikos, N. ORCID: 0000-0003-1621-2991 (2019). Earnings Yield and Predictability in the Dry Bulk Shipping Industry. Transportation Research Part E: Logistics and Transportation Review, 125, pp. 140-159. doi: 10.1016/j.tre.2019.03.009

Pouliasis, P. K. ORCID: 0000-0002-7389-3722, Visvikis, I.D., Papapostolou, N. C. ORCID: 0000-0003-4529-1182 and Kryukov, A. A. (2019). A Novel Risk Management Framework for Natural Gas Markets. Journal of Futures Markets,

Regli, F. and Nomikos, N. ORCID: 0000-0003-1621-2991 (2019). The Eye in the Sky - Freight Rate Effects of Tanker Supply. Transportation Research Part E: Logistics and Transportation Review, 125, pp. 402-424. doi: 10.1016/j.tre.2019.03.015

Tian, S. and Tran, A. ORCID: 0000-0001-7090-8063 (2019). Cross-border Buyout Performance. City, University of London.

Urzúa, F. ORCID: 0000-0003-4681-7684, Buchuk, D., Larrain, B. and Prem, M. (2019). How Do Internal Capital Markets Work? Evidence from the Great Recession. Review of Finance,

Urzúa, F. ORCID: 0000-0003-4681-7684, Gonzalez, F. and Prem, M. (2019). The Privatization Origins of Political Corporations: Evidence from the Pinochet Regime. The Journal of Economic History,

de Menezes, L. M. and Tamvakis, M. ORCID: 0000-0002-5056-0159 (2019). Electricity Market Integration. In: Soytas, U. and Sari, R. (Eds.), Handbook of Energy Economics. . Abingdon, UK: Routledge. ISBN 978-1138208254

2018

Adland, R. and Alizadeh-Masoodian, A. ORCID: 0000-0003-1588-6214 (2018). Explaining price differences between physical and derivative freight contracts. Transportation Research Part E: Logistics and Transportation Review, 118, pp. 20-33. doi: 10.1016/j.tre.2018.07.002

Afonin, A., Bredin, D., Cuthbertson, K. ORCID: 0000-0003-2004-2630, Muckley, C. B. and Nitzsche, D. (2018). Carbon portfolio management. International Journal of Finance and Economics, doi: 10.1002/ijfe.1620

Ahrends, M., Drobetz, W. and Nomikos, N. (2018). Corporate Cash Holdings in the Shipping Industry. Transportation Research Part E: Logistics and Transportation Review, 112, pp. 107-124. doi: 10.1016/j.tre.2017.10.016

Andrew, M. and Larceneux, F. (2018). The role of emotion in a housing purchase: An empirical analysis of the anatomy of satisfaction from off-plan apartment purchases in France. Environment and Planning A: Economy and Space, doi: 10.1177/0308518X18817539

Audzeyeva, A. and Fuertes, A. ORCID: 0000-0001-6468-9845 (2018). On the predictability of emerging market sovereign credit spreads. Journal of International Money and Finance, 88, pp. 140-157. doi: 10.1016/j.jimonfin.2018.07.005

Baeckström, Y. (2018). Wealthy investors and financial advisors perceptual variations, portfolio recommendations and gender differences. (Unpublished Doctoral thesis, City, University of London)

Ballotta, L. ORCID: 0000-0002-2059-6281 and Fusai, G. ORCID: 0000-0001-9215-2586 (2018). Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction (10.2139/ssrn.3183712). SSRN Working Paper Series.

Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 and Marazzina, D. (2018). Integrated Structural Approach to Credit Value Adjustment. European Journal of Operational Research, doi: 10.1016/j.ejor.2018.07.026

Beck, T., Behr, P. and Madestam, A. (2018). Sex and credit: Do gender interactions matter for credit market outcomes?. Journal of Banking and Finance, 87, pp. 380-396. doi: 10.1016/j.jbankfin.2017.10.018

Beck, T., Degryse, H., De Haas, R. and Van Horen, N. (2018). When Arm’s Length Is Too Far. Relationship Banking over the Credit Cycle. Journal of Financial Economics, 127(1), pp. 174-196. doi: 10.1016/j.jfineco.2017.11.007

Beck, T. ORCID: 0000-0001-8382-2066, Homanen, M. and Uras, B. R. (2018). Finance and Demand for Skill: Evidence from Uganda. Journal of Development Studies, doi: 10.1080/00220388.2018.1539477

Beck, T. ORCID: 0000-0001-8382-2066, Ongena, S. and Şendeniz-Yüncü, İ. (2018). Keep walking? Geographical proximity, religion, and relationship banking. Journal of Corporate Finance, doi: 10.1016/j.jcorpfin.2018.07.005

Beck, T., Uras, B. R., Ramrattan, R and Pamuk, H. (2018). Payment instruments, finance and development. Journal of Development Economics, doi: 10.1016/j.jdeveco.2018.01.005

Benos, E., Payne, R. and Vasios, M. (2018). Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act. Journal of Financial and Quantitative Analysis, doi: 10.1017/S0022109018001527

Biagini, S. and Černý, A. ORCID: 0000-0001-5583-6516 (2018). Convex duality and Orlicz spaces in expected utility maximization. Mathematical Finance,

Bilinski, P. ORCID: 0000-0002-0499-6429, Cumming, D, Hass, L., Stathopoulos, K. and Walker, M. (2018). Strategic distortions in analyst forecasts in the presence of short-term institutional investors. Accounting and Business Research, doi: 10.1080/00014788.2018.1510303

Bilinski, P. ORCID: 0000-0002-0499-6429 and Lyssimachou, D. (2018). Dividend Guidance to Manage Analyst Dividend Expectations. International Review of Financial Analysis, doi: 10.1016/j.irfa.2018.08.013

Bilinski, P. ORCID: 0000-0002-0499-6429 and Michael, E. (2018). Analyst Revenue Forecast Reporting and the Quality of Revenues and Expenses. Journal of Business Finance and Accounting, doi: 10.1111/jbfa.12355

Bilinski, P. ORCID: 0000-0002-0499-6429 and Yim, A. ORCID: 0000-0002-8063-6572 (2018). Knowledge Spillover and Accounting Firms’ Competitive Strength in the M&A Advisory Market (10.2139/ssrn.2695819). .

Blake, D. (2018). Brexit and the City. London: City, University of London.

Blake, D. (2018). How bright are the prospects for UK trade and prosperity post-Brexit?. London: City, University of London.

Blake, D. (2018). Longevity: A New Asset Class. Journal of Asset Management, doi: 10.1057/s41260-018-0084-9

Blake, D. (2018). Target2: The silent bailout system that keeps the Euro afloat. London: City, University of London.

Blake, D., El Karoui, N., Loisel, S. and MacMinn, R. (2018). Longevity Risk and Capital Markets: The 2015-16 Update. Insurance: Mathematics and Economics, 78, pp. 157-173. doi: 10.1016/j.insmatheco.2017.10.002

Borghi, R. W. (2018). Essays on liquidity commonality in equity markets. (Unpublished Doctoral thesis, City, University of London)

Brunovsky, P., Černý, A. and Komadel, J. (2018). Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions. European Journal of Operational Research, 264(3), pp. 1159-1171. doi: 10.1016/j.ejor.2017.07.054

Cartea, A., Payne, R., Penalva, J. and Tapia, M. (2018). Ultra-Fast Activity and Intraday Market Quality. Journal of Banking and Finance, doi: 10.1016/j.jbankfin.2018.12.003

Casu, B. ORCID: 0000-0003-3586-328X, Arnaboldi, F., Kalotychou, E. and Sarkisyan, A. (2018). The performance effects of board heterogeneity: What works for EU banks?. European Journal of Finance, doi: 10.1080/1351847X.2018.1479719

Casu, B. ORCID: 0000-0003-3586-328X, di Pietro, F. and Trujillo-Ponce, A. (2018). Liquidity Creation and Bank Capital. Journal of Financial Services Research, doi: 10.1007/s10693-018-0304-y

Clare, A. ORCID: 0000-0002-4180-6778, O’Sullivan, N., Sherman, M. and Zhu, S. (2018). The Performance of US Bond Mutual Funds. International Review of Financial Analysis, doi: 10.1016/j.irfa.2018.12.001

Corvino, R. (2018). Dynamic Ownership, Private Benefits, and Stock Prices. .

Corvino, R. and Francesco, R. (2018). The Relative Pricing of Sovereign Credit Risk After the Eurozone Crisis. .

Corvino, R. and Fusai, G. (2018). Default risk premium in credit and equity markets. .

Cucinelli, D., Di Battista, M. L., Marchese, M. and Nieri, L. (2018). Credit risk in European banks: The bright side of the internal ratings based approach. Journal of Banking & Finance, 93, pp. 213-229. doi: 10.1016/j.jbankfin.2018.06.014

Cuthbertson, K. and Beckmann, J. (2018). Special issue of applied economics on ‘Finance and the real economy’. Applied Economics, doi: 10.1080/00036846.2018.1436143

Dowd, K., Cairns, A. J. G. and Blake, D. (2018). Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model. North American Actuarial Journal,

Falconieri, S. and Tastan, M. (2018). The Role of Admission Documents on the Pricing of UK Fixed Priced IPOs. Economics Letters, doi: 10.1016/j.econlet.2018.09.007

Fernandez-Perez, A., Frijns, B., Fuertes, A. and Miffre, J. (2018). The Skewness of Commodity Futures Returns. Journal of Banking and Finance, 86, pp. 143-158. doi: 10.1016/j.jbankfin.2017.06.015

Ferrari, C., Marchese, M. and Tei, A. (2018). Shipbuilding and economic cycles: a non-linear econometric approach. Maritime Business Review, 3(2), pp. 112-127. doi: 10.1108/mabr-01-2018-0002

Ferreira, D., Ferreira, M. and Mariano, B. (2018). Creditor Control Rights and Board Independence. Journal of Finance, doi: 10.1111/jofi.12692

Filip, A., Huang, Z. ORCID: 0000-0003-2280-3149 and Lui, D. (2018). Cross-listing and Corporate Malfeasance: Evidence from P-chip Firms. Journal of Corporate Finance, doi: 10.1016/j.jcorpfin.2017.07.003

Fratzscher, M., Gloede, O., Menkhoff, L., Sarno, L. and Stoehr, T. (2018). When is Foreign Exchange Intervention Effective? Evidence from 33 Countries. American Economic Journal: Macroeconomics,

Gietzmann, M., Isidro, H. and Raonic, I. (2018). Vulture Funds and the Fresh Start Accounting Value of Firms Emerging from Bankruptcy. Journal of Business Finance and Accounting, doi: 10.1111/jbfa.12303

Hatgioannides, J., Karanassou, M and Sala, H (2018). The Legacy of a Fractured Eurozone: The Greek Dra(ch)ma. Geoforum, 93, pp. 11-21. doi: 10.1016/j.geoforum.2018.04.019

Hunt, A. and Blake, D. (2018). A Bayesian approach to modelling and projecting cohort effects. North American Actuarial Journal,

Hunt, A. and Blake, D. (2018). On the Structure and Classification of Mortality Models. North American Actuarial Journal,

Kao, C., Trapani, L. and Urga, G. (2018). Testing for instability in covariance structures. Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 24(1), pp. 740-771. doi: 10.3150/16-BEJ894

Kim, K-M., Kim, G. and Tsolacos, S. (2018). How does liquidity in the financial market affect the real estate market yields?. Journal of Property Investment & Finance, doi: 10.1108/JPIF-03-2018-0020

Larrain, B., Sertsios, G. and Urzúa, F. ORCID: 0000-0003-4681-7684 (2018). The Effects of Losing a Business Group Affiliation. The Review of Financial Studies, doi: 10.1093/rfs/hhy120

Lasfer, M. ORCID: 0000-0003-2338-672X and Kashefi Pour, E. (2018). Taxes, Governance, and Debt Maturity Structure: International Evidence. Journal of International Financial Markets, Institutions and Money, doi: 10.1016/j.intfin.2018.09.011

Loregian, A., Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 and Perez, M. F. (2018). Estimation of Multivariate Asset Models with Jumps. Journal of Financial and Quantitative Analysis, doi: 10.1017/S0022109018001321

Mateus, I. B., Mateus, C. and Todorovic, N. ORCID: 0000-0003-4875-623X (2018). Review of new trends in the literature on factor models and mutual fund performance. International Review of Financial Analysis, doi: 10.1016/j.irfa.2018.12.012

Maxim, Z., Garrett, Q., Bernd, H. and Keswani, A. ORCID: 0000-0001-9096-7677 (2018). Survivorship bias and comparability of UK open-ended fund databases. Economics Letters, 172, pp. 110-114. doi: 10.1016/j.econlet.2018.08.027

Nomikos, N. ORCID: 0000-0003-1621-2991 and Moutzouris, I. (2018). The Formation of FFA Rates in Dry Bulk Shipping: Spot Rates, Risk Premia and Heterogeneous Expectations. Journal of Futures Markets, doi: 10.1002/fut.21980

Novak, J. and Bilinski, P. ORCID: 0000-0002-0499-6429 (2018). Social stigma and executive compensation. Journal of Banking and Finance, 96, pp. 169-184. doi: 10.1016/j.jbankfin.2018.09.003

Pellegrini, C. B., Meoli, M., Pellegrini, L. and Urga, G. (2018). Systemic risk determinants in the European banking industry during financial crises, 2006-2012. Rivista Internazionale di Scienze Sociali, 2018(2), pp. 109-122. doi: 10.26350/000518_000009

Phelan, C. E., Marazzina, D., Fusai, G. ORCID: 0000-0001-9215-2586 and Germano, G. (2018). Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. European Journal of Operational Research, 271(1), pp. 210-223. doi: 10.1016/j.ejor.2018.04.016

Phelan, C. E., Marazzina, D., Fusai, G. ORCID: 0000-0001-9215-2586 and Germano, G. (2018). Hilbert transform, spectral filters and option pricing. Annals of Operations Research, doi: 10.1007/s10479-018-2881-4

Pouliasis, P. K. ORCID: 0000-0002-7389-3722 and Papapostolou, N. C. ORCID: 0000-0003-4529-1182 (2018). Volatility and Correlation Timing: The Role of Commodities. Journal of Futures Markets, doi: 10.1002/fut.21939

Pouliasis, P. K. ORCID: 0000-0002-7389-3722, Papapostolou, N. C. ORCID: 0000-0003-4529-1182, Kyriakou, I. ORCID: 0000-0001-9592-596X and Visvikis, I.D. (2018). Shipping equity risk behavior and portfolio management. Transportation Research Part A: Policy and Practice, 116, pp. 178-200.

Rossi, A. G., Blake, D., Timmermann, A., Tonks, I. and Wermers, R. (2018). Network Centrality and Delegated Investment Performance. Journal of Financial Economics, 128(1), pp. 183-206. doi: 10.1016/j.jfineco.2018.02.003

Sarwar, G., Mateus, C. and Todorovic, N. ORCID: 0000-0003-4875-623X (2018). A guide to survival of momentum in UK style portfolios. International Journal of Banking, Accounting and Finance, 9(2), pp. 192-224. doi: 10.1504/IJBAAF.2018.092134

Silva, A. F. (2018). Essays on Financial Intermediation. (Unpublished Doctoral thesis, City, University of London)

Tamvakis, M. (2018). From Chicago to Shanghai and Dalian: Apprehending the Future of Chinese Commodity Derivative Markets. In: Jégourel, Y. (Ed.), The Financialization of Commodity Markets: A Short-lived Phenomenon? (pp. 125-147). Rabat, Morocco: OCP Policy Centre. ISBN 9789954971789

Tian, Siyang (2018). Essays in empirical corporate finance. (Unpublished Doctoral thesis, City, University of London)

Tran, A. and Chbihi, R. (2018). Cross-Fertilising in Cross-sector Deals: The Value of Industry Experience of Target Firms’ CEOs. (MARC Working Paper Series 2018).

Urga, G. and Mogliani, M. (2018). On the instability of long-run money demand and the welfare cost of inflation in the U.S.. Journal of Money, Credit and Banking, doi: 10.1111/jmcb.12480

Vitkova, V., Golubov, A. and Lasfer, M. (2018). Are they Listening? An M&A Approach to Dividend Catering. (MARC Working Paper Series 2018).

Vitkova, V. and Rosenberg, M. (2018). Playing the long game: Do certain financial advisors in the UK bring longer term value to the M&A table?. (MARC Working Paper Series 2018).

Vitkova, V. and Tian, S. (2018). How, and when, to catch a falling knife: The Benefits, Risks, and Timing Issues Around Distressed M&A. (MARC Working Paper Series 2018).

Vitkova, V., Tian, S. and Sudarsanam, S. (2018). Allocative Efficiency of Internal Capital Markets: Evidence from Equity Carve-outs by Diversified Firms. .

Wu, Y. and Li, Y. (2018). Impact of government intervention in the housing market: evidence from the housing purchase restriction policy in China. Applied Economics, 50(6), pp. 691-705. doi: 10.1080/00036846.2017.1340569

Wu, Y. and Lux, N. (2018). U.K. House Prices: Bubbles or Market Efficiency? Evidence from Regional Analysis. Journal of Risk and Financial Management, 11(3), doi: 10.3390/jrfm11030054

Yin, C., Ward, C. and Tsolacos, S. (2018). Motivated monitoring: The importance of the institutional investment horizon. International Review of Financial Analysis, 60, pp. 197-212. doi: 10.1016/j.irfa.2018.08.011

2017

Abouarghoub, W., Nomikos, N. and Petropoulos, F. (2017). On reconciling macro and micro energy transport forecasts for strategic decision making in the tanker industry. Transportation Research Part E: Logistics and Transportation Review, doi: 10.1016/j.tre.2017.10.012

Alizadeh-Masoodian, A. and Adland, R. (2017). What determines the differential between timecharter rates and FFAs?. Transportation Research Part E,

Alizadeh-Masoodian, A., Thanopoulou, H. and Strandenes, S.P. (2017). Capacity adjustment decisions in the service industry under stochastic revenue: the case of the shipping industry.

Alizadeh-Masoodian, A., Thanopoulou, H. and Yip, T.L. (2017). Investors' behaviour and dynamics of ship prices: a heterogeneous agent model. Transportation Research Part E Logistics and Transportation Review, 106, pp. 98-114. doi: 10.1016/j.tre.2017.07.012

Ballotta, L., Deelstra, G. and Rayée, G. (2017). Multivariate FX models with jumps: triangles, Quantos and implied correlation. European Journal of Operational Research, 260(3), pp. 1181-1199. doi: 10.1016/j.ejor.2017.02.018

Ballotta, L. ORCID: 0000-0002-2059-6281 and Fusai, G. ORCID: 0000-0001-9215-2586 (2017). A Gentle Introduction to Value at Risk (10.2139/ssrn.2942138). SSRN Working Paper Series.

Ballotta, L., Gerrard, R. J. G. and Kyriakou, I. (2017). Hedging of Asian options under exponential Lévy models: computation and performance. The European Journal of Finance, 23(4), pp. 297-323. doi: 10.1080/1351847X.2015.1066694

Baltagi, B. H., Kao, C. and Wang, F. (2017). Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model. Econometric Reviews, 36(6-9), pp. 853-882. doi: 10.1080/07474938.2017.1307580

Baltagi, B. H., Kao, C. and Wang, F. (2017). Identification and estimation of a large factor model with structural instability. Journal of Econometrics, 197(1), pp. 87-100. doi: 10.1016/j.jeconom.2016.10.007

Battaglia, F. and Gallo, A. (2017). Strong boards, ownership concentration and EU banks' systemic risk-taking: Evidence from the financial crisis. Journal of International Financial Markets, Institutions and Money, 46, pp. 128-146. doi: 10.1016/j.intfin.2016.08.002

Baudot, L., Demek, K. and Huang, Z. (2017). The Accounting Profession’s Engagement with Accounting Standards: Conceptualizing Accounting Complexity through Big 4 Comment Letters. Auditing: A Journal of Practice and Theory, doi: 10.2308/ajpt-51898

Beck, T. and Behr, P. (2017). Individual versus Village Lending: Evidence from Montenegro. Review of Development Economics, doi: 10.1111/rode.12308

Beck, T., Ioannidou, V. and Schaefer, L. (2017). Foreigners vs. Natives: Bank Lending Technologies and Loan Pricing. Management Science, doi: 10.1287/mnsc.2016.2706

Beck, T., Pamuk, H. and Uras, B.R. (2017). Entrepreneurial Saving Practices and Reinvestment: Theory and Evidence. Review of Development Economics, doi: 10.1111/rode.12300

Bessler, W., Blake, D., Lückoff, P. and Tonks, I. (2017). Fund Flows, Manager Changes, and Performance Persistence*. Review of Finance, doi: 10.1093/rof/rfx017

Blake, D., Caulfield, T., Ioannidis, C. and Tonks, I. (2017). New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods (PI - 1404). London, UK: Pension Institute, ISSN 1367 - 580X.

Blake, D., Caulfield, T., Ioannidis, C. and Tonks, I. (2017). New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods. Journal of Financial and Quantitative Analysis, pp. 1-21. doi: 10.1017/S0022109017000229

Blake, D. and Morales, M. (2017). Longevity Risk and Capital Markets: The 2014-15 Update. Journal Of Risk And Insurance, 84, pp. 279-297. doi: 10.1111/jori.12213

Bruche, M. and Segura, A. (2017). Debt Maturity and the Liquidity of Secondary Debt Markets. Journal of Financial Economics, 124(3), pp. 599-613. doi: 10.1016/j.jfineco.2017.04.002

Brunovsky, P., Černý, A. and Winkler, M. (2017). Erratum to: A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics. Applied Mathematics and Optimization, 75(1), p. 149. doi: 10.1007/s00245-016-9398-5

Cho, C. H., Jung, J. H., Kwak, B., Lee, J. and Yoo, C-Y. (2017). Professors on the Board: Do They Contribute to Society Outside the Classroom?. Journal of Business Ethics, 141(2), pp. 393-409. doi: 10.1007/s10551-015-2718-x

Clare, A. (2017). The performance of long-serving fund managers. International Review of Financial Analysis, 52(2017), pp. 152-159. doi: 10.1016/j.irfa.2017.07.001

Clare, A. ORCID: 0000-0002-4180-6778, Seaton, J., Smith, P. N. and Thomas, S. ORCID: 0000-0001-5438-4263 (2017). Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios. Journal of Investing, 26(3), pp. 53-64. doi: 10.3905/joi.2017.26.3.053

Clare, A., Thomas, S., Smith, P. N. and Seaton, J. (2017). Reducing sequence risk using trend following and the CAPE ratio. Financial Analysts Journal, doi: 10.2469/faj.v73.n4.5

Corte-Real, M. (2017). The risk management within European equity asset managers. (Unpublished Doctoral thesis, City, University of London)

Curcio, D., De Simone, A. and Gallo, A. (2017). Financial crisis and international supervision: New evidence on the discretionary use of loan loss provisions at Euro Area commercial banks. The British Accounting Review, 49(2), pp. 181-193. doi: 10.1016/j.bar.2016.09.001

D'Amato, A. and Gallo, A. (2017). Does Bank Institutional Setting Affect Board Effectiveness? Evidence from Cooperative and Joint-Stock Banks. Corporate Governance, 25(2), pp. 78-99. doi: 10.1111/corg.12185

Dessaint, O., Golubov, A. and Volpin, P. (2017). Employment Protection and Takeovers. Journal of Financial Economics, 125(2), pp. 369-388.

Fei, F., Fuertes, A. and Kalotychou, E. (2017). Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov Switching. International Journal of Forecasting, 33(3), pp. 662-678. doi: 10.1016/j.ijforecast.2017.01.006

Fusai, G., Caldana, R. and Roncoroni, A. (2017). Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market. European Journal of Operational Research, doi: 10.1016/j.ejor.2017.02.016

Fusai, G., Gambaro, A. and Casalini, R. (2017). Approximate Pricing of Swaptions in Affine and Quadratic Models. Quantitative Finance, doi: 10.1080/14697688.2017.1292043

Gambaro, A. M., Casalini, R., Fusai, G. and Ghilarducci, A. (2017). Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. Insurance: Mathematics and Economics, doi: 10.1016/j.insmatheco.2017.10.005

Giamouzi, M. (2017). Essays on the empirical analysis of ship chartering strategies. (Unpublished Doctoral thesis, City, University of London)

Hatgioannides, J. and Karanassou, M. (2017). Warrant Economics, Call-Put Policy Options and the Great Recession. Review of Political Economy,

Hearn, B., Phylaktis, K. and Piesse, J. (2017). Expropriation risk by block holders, institutional quality and expected stock returns. Journal of Corporate Finance, 45, pp. 122-149. doi: 10.1016/j.jcorpfin.2017.04.016

Hobson, D.E. and Neuberger, A. (2017). Model uncertainty and the pricing of American options. Finance and Stochastics, 21(1), pp. 285-329. doi: 10.1007/s00780-016-0314-2

Hoesli, M., Milcheva, S. and Moss, A. (2017). Is Financial Regulation Good or Bad for Real Estate Companies? – An Event Study. Journal of Real Estate Finance and Economics, doi: 10.1007/s11146-017-9634-z

Hoque, K., Wass, V., Bacon, N. and Jones, M. (2017). Are High Performance Work Practices (HPWPs) enabling or disabling? Exploring the relationship between selected HPWPs and work-related disability disadvantage. Human Resource Management, doi: 10.1002/hrm.21881

Hunt, A. and Blake, D. (2017). Identifiability, cointegration and the gravity model. Insurance: Mathematics and Economics, doi: 10.1016/j.insmatheco.2017.09.014

Hunt, A. and Blake, D. (2017). Modelling Mortality for Pension Schemes. ASTIN Bulletin, doi: 10.1017/asb.2016.40

Jensen, T., Lando, D. and Medhat, M. (2017). Cyclicality and Firm-size in Private Firm Defaults. International Journal of Central Banking(Dec),

Jung, J. H., Lim, S.S., Pae, J. and Yoo, C.Y. (2017). Do Analysts Who Understand Accounting Conservatism Exhibit Better Forecasting Performance?. Journal of Business Finance and Accounting, 44(7-8), pp. 953-985. doi: 10.1111/jbfa.12254

Karimalis, E. and Nomikos, N. (2017). Measuring Systemic Risk in the European Banking Sector: A copula CoVar approach. European Journal of Finance, doi: 10.1080/1351847X.2017.1366350

Karouzakis, N., Hatgioannides, J. and Andriosopoulos, C. (2017). Convexity Adjustment for Constant maturity Swaps in a Multi-Curve Framework. Annals of Operations Research, doi: 10.1007/s10479-017-2430-6

Kraft, A., Vashishtha, R. and Venkatachalam, M. (2017). Frequent Financial Reporting and Managerial Myopia. Accounting Review, doi: 10.2308/accr-51838

Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. and Andriosopoulos, K. (2017). Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps. Transportation Research Part E: Logistics and Transportation Review, 108, pp. 80-96. doi: 10.1016/j.tre.2017.09.002

Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. and Nomikos, N. (2017). Income Uncertainty and the Decision to Invest in Bulk Shipping. European Financial Management, doi: 10.1111/eufm.12132

Larrain, B., Tapia, M. and Urzúa, F. ORCID: 0000-0003-4681-7684 (2017). Investor protection and corporate control. Journal of Corporate Finance, 47, pp. 174-190. doi: 10.1016/j.jcorpfin.2017.09.002

Lee, S. (2017). Convergence in the UK Direct Real Estate Market. Journal of Property Investment & Finance, 35(4), pp. 382-396. doi: 10.1108/JPIF-06-2016-0043

Lee, S. and Jadevicius, A. (2017). UK REITs don’t like Mondays. Journal of Property Investment & Finance, 35(1), pp. 58-74. doi: 10.1108/JPIF-03-2016-0021

Marsh, I. W., Rincon-Aznar, A., Vecchione, M. and Venturini, F. (2017). We see ICT spillovers everywhere but in the econometric evidence: a reassessment. Industrial and Corporate Change, doi: 10.1093/icc/dtx008

Moeller, S. and Appadu, N. (2017). M&A Attractiveness Index 2016. London, UK: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.

Moeller, S. ORCID: 0000-0001-5136-0004 and Appadu, N. (2017). M&A Attractiveness Index 2017. MARC Working Paper Series 2017.

Moeller, S., Appadu, N. and Sudarsanam, S. (2017). Pensions: Now something more to worry about (for dealmakers). London: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.

Moeller, S. ORCID: 0000-0001-5136-0004 and Skourikhine, S. (2017). M&A Attractiveness Index 2017: Russia: Count the Roubles Not the Politics. MARC Working Paper Series 2017.

Moeller, S., Vitkova, V. and Sudarsanam, S. (2017). 'Hedge Funds: Stock Pickers or Managers?. London, UK: M&A Research Centre, Cass Business School, City, University of London.

Moeller, S. ORCID: 0000-0001-5136-0004, Vitkova, V., Xie, F., Tian, S. and Abou Meri, A. (2017). Megatrends: New and Emerging Drivers of Deal Activity. (MARC Working Paper Series 2017).

Moss, A. (2017). REIT Research Compendium. London UK: Consilia Capital.

Moss, A., Clare, A., Thomas, S. and Seaton, J. (2017). Can sector specific REIT strategies outperform a diversified benchmark?. Journal of European Real Estate Research, doi: 10.1108/JERER-11-2016-0042

Novotny, J. and Urga, G. (2017). Testing for co-jumps in financial markets. Journal of Financial Econometrics, doi: 10.1093/jjfinec/nbx028

Otto, C.A. and Volpin, P. (2017). Marking to Market and Inefficient Investment Decisions. Management Science, doi: 10.1287/mnsc.2016.2696

Papapostolou, N. C., Pouliasis, P. K. and Kyriakou, I. (2017). Herd behavior in the drybulk market: An empirical analysis of the decision to invest in new and retire existing fleet capacity. Transportation Research Part E: Logistics and Transportation Review, 104, pp. 36-51. doi: 10.1016/j.tre.2017.05.007

Pappas, V., Ongena, S., Izzeldin, M. and Fuertes, A. (2017). A Survival Analysis of Islamic and Conventional Banks. Journal of Financial Services Research, 51(2), pp. 221-256. doi: 10.1007/s10693-016-0239-0

Piana, J. (2017). Expectations, fundamentals, and asset returns: evidence from the commodity markets. (Unpublished Doctoral thesis, Cass Business School)

Pouliasis, P. K., Kyriakou, I. and Papapostolou, N. C. (2017). On equity risk prediction and tail spillovers. International Journal of Finance and Economics, 22(4), pp. 379-393. doi: 10.1002/ijfe.1594

Russo, M. (2017). Essays in the evolving European natural gas markets. (Unpublished Doctoral thesis, City, University of London)

Saka, O. (2017). Essays on Sovereign Risk and Banking. (Unpublished Doctoral thesis, City, University of London)

Sanderson, D. C. and Devaney, S. (2017). Occupier Satisfaction and Investment Returns from UK Commercial Real Estate. Journal of Property Investment and Finance, 35(2), pp. 135-159. doi: 10.1108/JPIF-10-2016-0077

Sarno, L., Blake, D. and Zinna, G. (2017). The market for lemmings: The herding behavior of pension funds. Journal of Financial Markets, doi: 10.1016/j.finmar.2017.03.001

Sarwar, G., Mateus, C. and Todorovic, N. (2017). US sector rotation with five-factor Fama–French alphas. Journal of Asset Management, doi: 10.1057/s41260-017-0067-2

Sarwar, G., Mateus, C. and Todorovic, N. (2017). A tale of two states: asymmetries in the UK small, value and momentum premiums. Applied Economics, 49(5), pp. 456-476. doi: 10.1080/00036846.2016.1200184

Schröder, D. and Yim, A. (2017). Industry Effects on Firm and Segment Profitability Forecasting. Contemporary Accounting Research, doi: 10.1111/1911-3846.12361

Spilda, J. (2017). On sources of risk in quadratic hedging and incomplete markets. (Unpublished Doctoral thesis, City, University of London)

Tian, S. and Moeller, S. (2017). You can make the jump, but can you stick the landing? Private equity goes international. (MARC Working Paper Series 2017).

Trapani, L. (2017). A randomised sequential procedure to determine the number of factors. Journal of the American Statistical Association, doi: 10.1080/01621459.2017.1328359

Urga, G., Bellavite Pellegrini, C. and Meoli, M. (2017). Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom. Finance Research Letters, doi: 10.1016/j.frl.2017.02.002

Vitkova, V. and Krsticevic, Z-L. (2017). The Goldilocks Effect: Industry-relatedness and M&A. (MARC Working Paper Series 2017).

Vitkova, V., Tian, S. and Sudarsanam, S. (2017). Let's Stay in Touch: The Carve-out Option for Conglomerates. (MARC Working Paper Series 2017).

2016

Abbassi, P., Iyer, R., Peydró, J.L. and Tous, F.R. (2016). Securities trading by banks and credit supply: Micro-evidence from the crisis. Journal of Financial Economics, 121(3), pp. 569-594. doi: 10.1016/j.jfineco.2016.05.005

Acharya, V., Pagano, M. and Volpin, P. (2016). Seeking Alpha: Excess risk taking and competition for managerial talent. The Review of Financial Studies, 29(10), pp. 2565-2599. doi: 10.1093/rfs/hhw036

Ahoniemi, K., Fuertes, A. and Olmo, J. (2016). Overnight News and Daily Equity Trading Risk Limits. Journal of Financial Econometrics, 14(3), pp. 525-551. doi: 10.1093/jjfinec/nbu032

Alizadeh-Masoodian, A., Strandenes, S.P. and Thanopoulou, H. (2016). Capacity retirement in the dry bulk market: A vessel based logit model. Transportation Research Part E: Logistics and Transportation Review, 92, pp. 28-42. doi: 10.1016/j.tre.2016.03.005

Andrada-Felix, J., Fernandez-Rodriguez, F. and Fuertes, A. (2016). Combining Nearest Neighbor Predictions and Model-Based Predictions of Realized Variance: Does it Pay?. International Journal of Forecasting, 32(3), pp. 695-715. doi: 10.1016/j.ijforecast.2015.10.004

Andriosopoulos, K., Chan, Ka Kei, Dontis-Charitos, P. and Staikouras, S. (2016). Wealth and risk implications of the Dodd-Frank Act on the U.S. financial intermediaries. Journal of Financial Stability, doi: 10.1016/j.jfs.2016.09.006

Ayadi, R., Naceur, S., Casu, B. and Quinn, B. (2016). Does Basel compliance matter for bank performance?. Journal of Financial Stability, 23, pp. 15-32. doi: 10.1016/j.jfs.2015.12.007

Ballester, L., Casu, B. and González-Urteaga, A. (2016). Bank fragility and contagion: Evidence from the bank CDS market. Journal of Empirical Finance, 38(A), pp. 394-416. doi: 10.1016/j.jempfin.2016.01.011

Ballotta, L. and Bonfiglioli, E. (2016). Multivariate Asset Models Using Levy Processes and Applications. The European Journal of Finance, 22(13), doi: 10.1080/1351847X.2013.870917

Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 and Marena, M. (2016). A Gentle Introduction to Default Risk and Counterparty Credit Modelling (10.2139/ssrn.2816355). SSRN Working Paper Series.

Bathia, D., Bredin, D. and Nitzsche, D. (2016). International Sentiment Spillovers in Equity Returns. International Journal of Finance and Economics, 21(4), pp. 332-359. doi: 10.1002/ijfe.1549

Beck, T. (2016). Regulatory Cooperation on Cross-Border Banking – Progress and Challenges After the Crisis. National Institute Economic Review, 235(1), R40-R49. doi: 10.1177/002795011623500114

Beck, T., Chen, T., Lin, C. and Song, F. M. (2016). Financial innovation: The bright and the dark sides. Journal of Banking and Finance, 72, pp. 28-51. doi: 10.1016/j.jbankfin.2016.06.012

Beck, T. and Wagner, W. (2016). Supranational Supervision - How Much and for Whom?. International Journal of Central Banking, 12(2), pp. 221-268.

Belvisi, M, Pianeti, R and Urga, G. (2016). Modelling financial markets comovements during crises: A dynamic multi-factor approach. Advances in Econometrics, 35, pp. 317-360. doi: 10.1108/S0731-905320150000035008

Benos, E., Payne, R. and Vasios, M. (2016). Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act. UK: Bank of England, ISSN 1749-9135.

Beqiri, Z. (2016). Essays on banking in developing countries. (Unpublished Doctoral thesis, City, University of London)

Blake, D. and Hunt, A. (2016). Basis Risk and Pension Schemes: A Relative Modelling Approach (PI-1601). London, UK: Pensions Institute.

Boffelli, S., Skintzi, V. D. and Urga, G. (2016). High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers. Journal of Financial Econometrics, 15(1), pp. 62-105. doi: 10.1093/jjfinec/nbv023

Brun-Aguerre, R., Fuertes, A. and Greenwood-Nimmo, M. (2016). Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through into Import Prices. Journal of the Royal Statistical Society Series A: Statistics in Society, doi: 10.1111/rssa.12213

Bussiere, M. and Phylaktis, K. (2016). Emerging markets finance: Issues of international capital flows - Overview of the special issue. Journal of International Money and Finance, 60, pp. 1-7. doi: 10.1016/j.jimonfin.2015.09.007

Cairns, A.J.G., Blake, D., Dowd, K. and Kessler, A.R. (2016). Phantoms never die: Living with unreliable population data. Journal of the Royal Statistical Society. Series A: Statistics in Society, 179(4), pp. 975-1005. doi: 10.1111/rssa.12159

Caldana, R., Fusai, G., Gnoatto, A. and Grasselli, M. (2016). General closed-form basket option pricing bounds. Quantitative Finance, 16(4), pp. 535-554. doi: 10.1080/14697688.2015.1073854

Casu, B., Deng, B. and Ferrari, A. (2016). Post-crisis regulatory reforms and bank performance: lessons from Asia. European Journal of Finance, doi: 10.1080/1351847X.2016.1177566

Casu, B., Dontis-Charitos, P., Staikouras, S. and Williams, J. (2016). Diversification, Size and Risk: the Case of Bank Acquisitions of Nonbank Financial Firms. European Financial Management, 22(2), pp. 235-275. doi: 10.1111/eufm.12061

Casu, B., Ferrari, A., Girardone, C. and Wilson, J. O. S. (2016). Integration, productivity and technological spillovers: Evidence for eurozone banking industries. European Journal of Operational Research, 255(3), pp. 971-983. doi: 10.1016/j.ejor.2016.06.007

Cenedese, G., Payne, R., Sarno, L. and Valente, G. (2016). What Do Stock Markets Tell Us about Exchange Rates?. Review of Finance, 20(3), pp. 1045-1080. doi: 10.1093/rof/rfv032

Chari, S., Balabanis, G., Robson, M.J. and Slater, S. (2016). Alignments and misalignments of realized marketing strategies with administrative systems: Performance implications. Industrial Marketing Management, doi: 10.1016/j.indmarman.2016.11.002

Chiaramonte, L. and Casu, B. (2016). Capital and liquidity ratios and financial distress. Evidence from the European banking industry. British Accounting Review, doi: 10.1016/j.bar.2016.04.001

Clare, A., Duygun, M., Gulamhussen, M. and Pozzolo, A. (2016). Bank business models, regulation, and the role of financial market participants in the global financial crisis. Journal of Banking and Finance, 72, S1-S5. doi: 10.1016/j.jbankfin.2016.10.007

Clare, A., O'Sullivan, N., Sherman, M. and Thomas, S. (2016). Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada. Research in International Business and Finance, 36, pp. 212-221. doi: 10.1016/j.ribaf.2015.09.011

Clare, A., Seaton, J., Smith, P. N. and Thomas, S. (2016). The trend is our friend: Risk parity, momentum and trend following in global asset allocation. Journal of Behavioral and Experimental Finance, 9, pp. 63-80. doi: 10.1016/j.jbef.2016.01.002

Cuthbertson, K., Hayley, S., Motson, N. and Nitzsche, D. (2016). What Does Rebalancing Really Achieve?. International Journal of Finance & Economics, 21(3), pp. 224-240. doi: 10.1002/ijfe.1545

Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2016). A review of behavioural and management effects in mutual fund performance. International Review of Financial Analysis, 44, pp. 162-176. doi: 10.1016/j.irfa.2016.01.016

Della Corte, P., Ramadorai, T. and Sarno, L. (2016). Volatility Risk Premia and Exchange Rate Predictability. Journal of Financial Economics, 120(1), pp. 21-40. doi: 10.1016/j.jfineco.2016.02.015

Dowd, K., Blake, D. and Cairns, A. J. G. (2016). The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts. Risks, 4(3), 21.. doi: 10.3390/risks4030021

Elyasiani, E., Staikouras, S. and Dontis-Charitos, P. (2016). Cross-Industry Product Diversification and Contagion in Risk and Return: The case of Bank-Insurance and Insurance-Bank Takeovers. Journal Of Risk And Insurance, 83(3), pp. 681-718. doi: 10.1111/jori.12066

Fabbri, D. and Klapper, L.F. (2016). Bargaining power and trade credit. Journal of Corporate Finance, 41, pp. 66-80. doi: 10.1016/j.jcorpfin.2016.07.001

Fabbri, D. and Menichini, A.M.C. (2016). The commitment problem of secured lending. Journal of Financial Economics, 120(3), pp. 561-584. doi: 10.1016/j.jfineco.2016.02.009

Favara, G., Morellec, E., Schroth, E. and Valta, P. (2016). Debt Enforcement, Investment, and Risk Taking Across Countries. Journal of Financial Economics, doi: 10.1016/j.jfineco.2016.09.002

Fernandez-Perez, A, Fuertes, A-M and Miffre, J (2016). Is idiosyncratic volatility priced in commodity futures markets?. International Review of Financial Analysis, 46, pp. 219-226. doi: 10.1016/j.irfa.2016.06.002

Fernandez-Perez, A., Fuertes, A. and Miffre, J. (2016). Commodity Markets, Long-Run Predictability and Intertemporal Pricing. Review of Finance, doi: 10.1093/rof/rfw034

Fuertes, A. and Olmo, J. (2016). On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?. Journal of Risk and Financial Management, 9(3), 10.. doi: 10.3390/jrfm9030010

Fusai, G., Germano, G. and Marazzina, D. (2016). Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research, 251(1), pp. 124-134. doi: 10.1016/j.ejor.2015.11.027

Hayley, S. and Marsh, I. W. (2016). What do retail FX traders learn?. Journal of International Money and Finance, 64, pp. 16-38. doi: 10.1016/j.jimonfin.2016.02.001

Hayley, S., Nitzsche, D. and Cuthbertson, K. (2016). Market and Style Timing: German Equity and Bond Funds. European Financial Management, 22(4), pp. 667-696. doi: 10.1111/eufm.12080

Horváth, L. and Trapani, L. (2016). Statistical inference in a random coefficient panel model. Journal of Econometrics, 193(1), pp. 54-75. doi: 10.1016/j.jeconom.2016.01.006

Keswani, A., Stolin, D. and Tran, A. (2016). Frenemies: how do financial firms vote on their own kind?. Management Science, doi: 10.1287/mnsc.2015.2314

Konstantinidi, T. and Pope, P. (2016). Forecasting risk in earnings. Contemporary Accounting Research, 33(2), pp. 487-525. doi: 10.1111/1911-3846.12158

Kyriakou, I., Nomikos, N., Pouliasis, P. K. and Papapostolou, N. C. (2016). Affine-Structure Models and the Pricing of Energy Commodity Derivatives. European Financial Management, 22(5), pp. 853-881. doi: 10.1111/eufm.12071

Kyriakou, I., Pouliasis, P. K. and Papapostolou, N. C. (2016). Jumps and stochastic volatility in crude oil prices and advances in average option pricing. Quantitative Finance, doi: 10.1080/14697688.2016.1211798

Lee, S. (2016). Distance and diversification. Journal of European Real Estate Research, 9(2), pp. 183-192. doi: 10.1108/JERER-02-2016-0010

Lee, S. (2016). REITs and the Taper Tantrum. Journal of Property Investment and Finance, 34(5), pp. 457-464. doi: 10.1108/JPIF-03-2016-0020

Lux, N. and Moss, A. (2016). Liquidity in global real estate securities markets. Journal of Property Investment & Finance, 34(4), pp. 321-346. doi: 10.1108/JPIF-11-2015-0078

Mateus, I. B., Mateus, C. and Todorovic, N. (2016). UK equity mutual fund alphas make a comeback. International Review of Financial Analysis, 44, pp. 98-110. doi: 10.1016/j.irfa.2016.01.004

Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2016). Information flows in foreign exchange markets: Dissecting customer currency trades. Journal of Finance, 71(2), pp. 601-634. doi: 10.1111/jofi.12378

Moeller, S. and Appadu, N. (2016). M&A Attractiveness Index 2015. London: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.

Moeller, S., Appadu, N. and Kallum, M. (2016). Deal closure is the starting point not the end point. London, UK: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.

Moeller, S., King, D. and Ahmed El-Kady, A.H.A. (2016). Let's Keep this Private: The Growing Weight of Evidence Behind Improving M&A Returns. London, UK: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.

Moeller, S. and Lawson, J.T. (2016). For the Buck or for the Future. London: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.

Moss, A., Clare, A., Thomas, S. and Seaton, J. (2016). The Blended Approach to Real Estate Allocations: Performance Implications of Combining an Exposure to German Spezialfonds with Global Listed Real Estate Securities. Alternative Investment Analysts' Review, 4(4), pp. 17-23.

Osborne, M., Fuertes, A. and Milne, A. (2016). In Good Times and in Bad: Bank Capital Ratios and Lending Rates. International Review of Financial Analysis, doi: 10.1016/j.irfa.2016.02.005

Papapostolou, N. C., Pouliasis, P. K., Nomikos, N. and Kyriakou, I. (2016). Shipping Investor Sentiment and International Stock Return Predictability. Transportation Research Part E: Logistics and Transportation Review, 96, pp. 81-94. doi: 10.1016/j.tre.2016.10.006

Pellet, C. and Tamvakis, M. (2016). Investing in Copper Futures: Evaluation of Absolute Return Strategies Within a Discrete-State Hidden Markov Model. SRIC Foundation.

Rangvid, J., Santa-Clara, P. and Schmeling, M. (2016). Capital market integration and consumption risk sharing over the long run. Journal of International Economics, 103, pp. 27-43. doi: 10.1016/j.jinteco.2016.08.001

Sahin, Ali (2016). Three essays in accounting. (Unpublished Doctoral thesis, City, University of London)

Sarno, L., Menkhoff, L., Schmeling, M. and Schrimpf, A. (2016). Currency Value. The Review of Financial Studies, doi: 10.1093/rfs/hhw067

Sarno, L., Schneider, P. and Wagner, C. (2016). The Economic Value of Predicting Bond Risk Premia. Journal of Empirical Finance, 37, pp. 247-267. doi: 10.1016/j.jempfin.2016.02.001

Sarno, L., Tsiakas, I. and Ulloa, B. (2016). What drives international portfolio flows?. Journal of International Money and Finance, 60, pp. 53-72. doi: 10.1016/j.jimonfin.2015.03.006

Tamvakis, M. and Alizadeh-Masoodian, A. (2016). Market conditions, trader types and price–volume relation in energy futures markets. Energy Economics, 56, pp. 134-149. doi: 10.1016/j.eneco.2016.03.001

Tamvakis, M. and Corley, A. (2016). Base Metals Inventories and their Influence on Futures Markets. SRIC Foundation.

Tamvakis, M. and Wu, Z. (2016). Export Restrictions in Minerals and Metals Trade and Prediction of Policy Change. SRIC Foundation.

Trapani, L. (2016). Testing for (in)finite moments. JOURNAL OF ECONOMETRICS, 191(1), pp. 57-68. doi: 10.1016/j.jeconom.2015.08.006

Vitkova, V. and Koh, K. Y. Q. (2016). Does the Early Bird Always get the Worm?. London, UK: M&A Research Centre, Cass Business School, City, University of London.

Wu, E., Erdem, M., Kalotychou, E. and Remolona, E. (2016). The anatomy of sovereign risk contagion. Journal of International Money and Finance, 69, pp. 264-286. doi: 10.1016/j.jimonfin.2016.07.002

Wu, Y., Sah, V. and Tidwell, A. (2016). Housing Preferences of Asian and Hispanic/Latino Immigrants in the United States: A Melting Pot or Salad Bowl. Real Estate Economics, doi: 10.1111/1540-6229.12178

Yan, C., Phylaktis, K. and Fuertes, A. (2016). On Cross-Border Bank Credit and the U.S. Financial Crisis Transmission to Equity Markets. Journal of International Money and Finance, 69, pp. 108-134. doi: 10.1016/j.jimonfin.2016.06.014

de Menezes, L. M., Houllier, M. and Tamvakis, M. (2016). Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices. Energy Policy, 88, pp. 613-627. doi: 10.1016/j.enpol.2015.09.008

de Menezes, L. M., Russo, M. and Urga, G. (2016). Identifying Drivers of Liquidity in the NBP Month-ahead Market. Paper presented at the EcoMod2016, 06 Jul 2016 - 08 Jul 2016, Lisbon, Portugal.

Černý, A. (2016). Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model. In: Kallsen, J and Papapantoleon, A (Eds.), UNSPECIFIED (pp. 257-275). Springer. ISBN 3319458736

2015

Agyei-Ampomah, S., Clare, A., Mason, A. and Thomas, S. (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. and 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. and 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. and Murphy, A. (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

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

Ballotta, L. ORCID: 0000-0002-2059-6281 and 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, 36(1), pp. 39-74.

Ballotta, L., Loregian, A. and 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(Sup 1), 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. and 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. and 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. and Urga, G. (2015). MAXIMUM NON-EXTENSIVE ENTROPY BLOCK BOOTSTRAP FOR NON-STATIONARY PROCESSES. L'Actualité Economique, 91(1-2), pp. 115-139.

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

Bilinski, P. and 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., Rossi, A., Timmermann, T., Tonks, I. and Wermers, R. (2015). Decentralization in Pension Fund Management. Journal of Investment Management, 13(3),

Boffelli, S. and 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. and 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

Caldana, R., Cheang, G.H.L., Chiarella, C. and Fusai, G. (2015). Correction: Exchange Option under Jump-diffusion Dynamics. Applied Mathematical Finance, 22(1), doi: 10.1080/1350486X.2014.937564

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

Dimitrova, D. S., Kaishev, V. K. and 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

Elyasiani, E., Kalotychou, E., Staikouras, S. and Zhao, G. (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

Falconieri, S. and Bennouri, M. (2015). Single versus multiple banking: lessons from initial public offerings. The European Journal of Finance, doi: 10.1080/1351847X.2015.1053149

Fich, E. M., Harford, J. and 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. and Zinna, G. (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. and 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., Kalotychou, E. and Saka, O. (2015). How did the ECB save the Eurozone without spending a single euro?. VOX, CEPR’s Policy Portal,

Fuertes, A., Kalotychou, E. and 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., Miffre, J. and 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

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. and 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

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

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

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

Lasfer, M. and 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 and 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. and 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. and 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

Mariano, B. and 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. and Chinthalapati, R. (2015). Alphas in Disguise: A New Approach to Uncovering Them. Paper presented at the European Financial Management Association 2015 Annual Meetings, June 24-27, 2015, Amsterdam, NETHERLANDS.

Moeller, S., Vitkova, V., Markey, D. and Novikova, A. (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. and Seaton, J. (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. and 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

Novotny, J., Petrov, D. and 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

Ohlson, J. and 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

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

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

Saka, O., Fuertes, A. and 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. and Wagner, C. (2015). Does Central Bank Tone Move Asset Prices?. SSRN.

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

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

Tan, K.S., Blake, D. and 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

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

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)

Wu, Y. and 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

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

2014

Andriosopoulos, D. and Lasfer, M. (2014). The Market Valuation of Share Repurchases in Europe. Journal of Banking and Finance, 55, pp. 327-339. doi: 10.1016/j.jbankfin.2014.04.017

Appadu, N., Faelten, A., Moeller, S. and Vitkova, V. (2014). Assessing market attractiveness for mergers and acquisitions: the M&A Attractiveness Index Score. European Journal of Finance, 22(8-9), pp. 732-755. doi: 10.1080/1351847X.2014.888362

Ballotta, L. and Kyriakou, I. (2014). Convertible bond valuation in a jump diffusion setting with stochastic interest rates. Quantitative Finance, doi: 10.1080/14697688.2014.935464

Ballotta, L. and Kyriakou, I. (2014). Monte carlo simulation of the CGMY process and option pricing. Journal of Futures Markets, doi: 10.1002/fut.21647

Beck, T (2014). Finance and growth: Too much of a good thing?: Comments on "financial development and economic growth: Known knowns, known unknowns, and unknown unknowns". Revue d'Economie du Developpement, 22(2HS), pp. 67-72. doi: 10.3917/edd.hs02.0067

Beck, T. (2014). Finance, growth, and stability: Lessons from the crisis. Journal of Financial Stability, 10, pp. 1-6. doi: 10.1016/j.jfs.2013.12.006

Beck, T. (2014). Ireland's banking system - Looking forward. Economic and Social Review, 45(1), pp. 113-134.

Beck, T., Colciago, A. and Pfajfar, D. (2014). The role of financial intermediaries in monetary policy transmission. Journal of Economic Dynamics and Control, 43, pp. 1-11. doi: 10.1016/j.jedc.2014.04.010

Beck, T. and Cull, R. (2014). SME Finance in Africa. Journal of African Economies, 23(5), pp. 583-613. doi: 10.1093/jae/eju016

Beck, T., Degryse, H. and Kneer, C. (2014). Is more finance better? Disentangling intermediation and size effects of financial systems. Journal of Financial Stability, 10, pp. 50-64. doi: 10.1016/j.jfs.2013.03.005

Beck, T., Lin, C. and Ma, Y. (2014). Why Do Firms Evade Taxes? The Role of Information Sharing and Financial Sector Outreach. The Journal Of Finance, 69(2), pp. 763-817. doi: 10.1111/jofi.12123

Beck, T., Senbet, L. and Simbanegavi, W. (2014). Financial Inclusion and Innovation in Africa: An Overview. Journal of African Economies, 24(suppl1), i3-i11. doi: 10.1093/jae/eju031

Beck, T., Todorov, R. and Wagner, W. (2014). Supervising cross-border banks: theory, evidence and policy. Economic Policy, 28(73), pp. 5-44. doi: 10.1111/1468-0327.12001

Beck, T., de Haan, J. and DeYoung, R. (2014). A Conference on Postcrisis Banking. Journal of Money, Credit and Banking, 46(1), pp. 1-11. doi: 10.1111/jmcb.12075

Bessler, W., Blake, D., Lückoff, P. and Tonks, I. (2014). Why Does Mutual Fund Performance Not Persist? The impact and interaction of fund flows and manager changes (PI-1009). London, UK: Pensions Institute.

Biffis, E. and Blake, D. (2014). Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers (PI - 1207). London, UK: Pensions Institute, ISSN 1367-580X.

Biffis, E. and Blake, D. (2014). Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers. North American Actuarial Journal, 18(1), pp. 14-21. doi: 10.1080/10920277.2013.872552

Bilinski, P. (2014). Do analysts disclose cash flow forecasts with earnings estimates when earnings quality is low?. Journal of Business Finance and Accounting, 41(3/4), pp. 401-434. doi: 10.1111/jbfa.12056

Bilinski, P. and Lyssimachou, D. (2014). Risk Interpretation of the CAPM's Beta: Evidence from a New Research Method. Abacus, 50(2), pp. 203-226. doi: 10.1111/abac.12028

Blake, D. (2014). On the Disclosure of the Cost of Investment Management (PI-1407). London, UK: Pensions Institute.

Blake, D. (2014). The consequences of not having to buy an annuity (PI-1409). London, UK: Pensions Institute.

Blake, D., Boardman, T. and Cairns, A. J. G. (2014). Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds. North American Actuarial Journal, 18(1), pp. 258-277. doi: 10.1080/10920277.2014.883229

Blake, D., Caulfield, T., Ioannidis, C. and Tonks, I. (2014). Improved inference in the evaluation of mutual fund performance using panel bootstrap methods. Journal of Econometrics, 183(2), pp. 202-210. doi: 10.1016/j.jeconom.2014.05.010

Blake, D. and Haig, A. (2014). How do savers think about and respond to risk? Evidence from a population survey and lessons for the investment industry. London: Cass Business School, ISSN 1367-580X.

Blake, D. and Turner, J.A. (2014). Longevity Insurance Annuities. Benefits Quarterly, 30(1), pp. 39-47.

Blake, D., Wright, I. D. and Zhang, Y. (2014). Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners. Journal of Economic Dynamics and Control, 38(1), pp. 105-124. doi: 10.1016/j.jedc.2013.11.001

Bredin, D., Cuthbertson, K., Nitzsche, D. and Thomas, D. C. (2014). Performance and performance persistence of UK closed-end equity funds. International Review of Financial Analysis, 34, pp. 189-199. doi: 10.1016/j.irfa.2014.05.011

Cairns, A. J. G., Dowd, K., Blake, D. and Coughlan, G. D. (2014). Longevity hedge effectiveness: A decomposition. Quantitative Finance, 14(2), pp. 217-235. doi: 10.1080/14697688.2012.748986

Calcagno, R. and Falconieri, S. (2014). Competition and the Dynamics of Takeover Contests. Journal of Corporate Finance, 26, pp. 36-56. doi: 10.1016/j.jcorpfin.2014.02.003

Casu, B., Fabbri, D. and Wilson, J. O. S. (2014). Emerging issues in financial institutions and markets. The European Journal of Finance, 20(10), pp. 847-849. doi: 10.1080/1351847X.2013.833531

Cenedese, G., Sarno, L. and Tsiakas, I. (2014). Foreign exchange risk and the predictability of carry trade returns. Journal of Banking & Finance, 42, pp. 302-313. doi: 10.1016/j.jbankfin.2014.01.040

Cespa, G. and Foucault, T. (2014). Illiquidity Contagion and Liquidity Crashes. Review of Financial Studies, 27(6), pp. 1615-1660. doi: 10.1093/rfs/hhu016

Cespa, G. and Foucault, T. (2014). Sale of price information by exchanges: Does it promote price discovery?. Management Science, 60(1), pp. 148-165. doi: 10.1287/mnsc.2013.1735

Cestone, G. (2014). Venture Capital Meets Contract Theory: Risky Claims or Formal Control?. Review of Finance, 18(3), pp. 1097-1137. doi: 10.1093/rof/rft021

Clare, A., Motson, N., Payne, R. and Thomas, S. (2014). Heads We Win, Tails You Lose. Why Don't More Fund Managers Offer Symmetric Performance Fees?. London: Cass Business School, City University, London.

Clare, A., Motson, N., Sapuric, S. and Todorovic, N. (2014). What impact does a change of fund manager have on mutual fund performance?. International Review of Financial Analysis, 35, pp. 167-177. doi: 10.1016/j.irfa.2014.08.005

Clare, A., O'Sullivan, N. and Sherman, M. (2014). Family status and mutual fund performance. Journal of Asset Management, 15(3), pp. 163-175. doi: 10.1057/jam.2014.19

Clare, A., Seaton, J., Smith, P. N. and Thomas, S. (2014). Trend following, risk parity and momentum in commodity futures. International Review of Financial Analysis, 31, pp. 1-12. doi: 10.1016/j.irfa.2013.10.001

Faelten, A., Gietzmann, M. and Vitkova, V. (2014). Naked M&A Transactions: How the Lack of Local Expertise in Cross-Border Deals Can Negatively Affect Acquirer Performance - and How Informed Institutional Investors can Mitigate This Effect. Journal of Business Finance and Accounting, 41(3-4), pp. 469-506. doi: 10.1111/jbfa.12049

Friederich, S. and Payne, R. (2014). Trading anonymity and order anticipation. Journal of Financial Markets, 21, pp. 1-24. doi: 10.1016/j.finmar.2014.07.002

Fuertes, A. (2014). Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality?. Investment and Pensions Europe, 2014(Summer), pp. 14-17.

Fuertes, A., Muradoglu, G. and Ozturkkal, B. (2014). A behavioral analysis of investor diversification. The European Journal of Finance, 20(6), pp. 499-523. doi: 10.1080/1351847X.2012.719829

Fuertes, A., Phylaktis, K. and Yan, C. (2014). Hot money in bank credit flows to emerging markets during the banking globalization era. Journal of International Money and Finance, 60, pp. 29-52. doi: 10.1016/j.jimonfin.2014.10.002

Harrison, D. and Blake, D. (2014). The Future of Retirement Income. London: Cass Business School.

Harrison, D., Blake, D. and Dowd, K. (2014). VfM: Assessing value for money in defined contribution default funds. London: Cass Business School, ISSN 1367-580X.

Hayley, S. (2014). Hindsight Effects in Dollar-Weighted Returns. Journal of Financial and Quantitative Analysis, 49(1), pp. 249-269. doi: 10.1017/S0022109014000155

Hunt, A. and Blake, D. (2014). A General Procedure for Constructing Mortality Models. North American Actuarial Journal, 18(1), pp. 116-138. doi: 10.1080/10920277.2013.852963

Ipatova, Ekaterina (2014). Essays on Factor Models, Application to the Energy Markets. (Unpublished Doctoral thesis, City University London)

Iwatsubo, K. and Marsh, I. W. (2014). Order flows, fundamentals and exchange rates. International Journal of Finance and Economics, 19(4), pp. 251-266. doi: 10.1002/ijfe.1490

Kalotychou, E., Staikouras, S. and Zhao, G. (2014). The role of correlation dynamics in sector allocation. Journal of Banking & Finance, 48, pp. 1-12. doi: 10.1016/j.jbankfin.2014.06.025

Khalaf, L. and Urga, G. (2014). Identification robust inference in cointegrating regressions. Journal of Econometrics, 182(2), pp. 385-396. doi: 10.1016/j.jeconom.2014.06.001

Leccadito, A., Boffelli, S. and Urga, G. (2014). Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests. International Journal of Forecasting, 30(2), pp. 206-216. doi: 10.1016/j.ijforecast.2013.07.014

Lee, S. (2014). The Contribution Risk of REITs in the Blended Public and Private Real Estate Portfolio. Real Estate Finance, 30(5), pp. 50-55.

Moss, A. and Farrelly, K. (2014). Blending public and private real estate allocations for defined contribution pension funds: A U.K. Case study. Journal of Real Estate Literature, 20(3), pp. 137-150.

Moss, A. and Lux, N. (2014). The impact of liquidity on the valuation of European real estate securities. Journal of European Real Estate Research, 7(2), pp. 139-157. doi: 10.1108/JERER-12-2013-0026

Moss, A. and Prima, A. D. (2014). Asia Pacific Listed Real Estate: A Contextual Performance Analysis. Singapore: APREA.

Muradoglu, Y.G., Onay, C. and Phylaktis, K. (2014). European integration and corporate financing. International Review of Financial Analysis, 33, pp. 138-157. doi: 10.1016/j.irfa.2014.02.002

Papapostolou, N. C., Nomikos, N., Pouliasis, P. K. and Kyriakou, I. (2014). Investor Sentiment for Real Assets: The Case of Dry Bulk Shipping Market*. Review of Finance, 18(4), pp. 1507-1539. doi: 10.1093/rof/rft037

Phylaktis, K. and Banti, C. (2014). FX market liquidity, funding constraints and capital. Journal of International Money and Finance: theoretical and empirical research in international economics and finance, 56, pp. 114-134. doi: 10.1016/j.jimonfin.2014.11.002

Rangvid, J., Schmeling, M. and Schrimpf, A. (2014). Dividend predictability around the world. Journal of Financial and Quantitative Analysis, 49(5-6), pp. 1255-1277. doi: 10.1017/S0022109014000477

Sarno, L. and Schmeling, M. (2014). Which fundamentals drive exchange rates? A cross-sectional perspective. Journal of Money, Credit and Banking, 46(2-3), pp. 267-292. doi: 10.1111/jmcb.12106

Schroth, E. and Albuquerque, R. (2014). The Marketability Discount of Controlling Blocks of Shares. KPMG International.

Schroth, E., Suarez, G. A. and Taylor, L. A. (2014). Dynamic debt runs and financial fragility: Evidence from the 2007 ABCP crisis. Journal of Financial Economics, 112(2), pp. 164-189. doi: 10.1016/j.jfineco.2014.01.002

Sesana, D., Marazzina, D. and Fusai, G. (2014). Pricing exotic derivatives exploiting structure. European Journal of Operational Research, 236(1), pp. 369-381. doi: 10.1016/j.ejor.2013.12.009

Tastan, M. (2014). Essays on initial public offerings. (Unpublished Doctoral thesis, City University London)

Trapani, L. (2014). Chover-type laws of the k-iterated logarithm for weighted sums of strongly mixing sequences. Journal of Mathematical Analysis and Applications, 420(2), pp. 908-916. doi: 10.1016/j.jmaa.2014.06.042

Trapani, L. (2014). Comments on: Extensions of some classical methods in change point analysis. TEST, 23(2), pp. 283-286. doi: 10.1007/s11749-014-0367-5

Yim, A. (2014). Mixture and Continuous 'Discontinuity' Hypotheses: An Earnings Management Model with Auditor-Required Adjustment. SSRN: SSRN Working Paper.

2013

Andriosopoulos, K., Doumpos, M., Papapostolou, N. C. and Pouliasis, P. K. (2013). Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms. Transportation Research Part E: Logistics and Transportation Review, 52, pp. 16-34. doi: 10.1016/j.tre.2012.11.006

Aterido, R., Beck, T. and Iacovone, L. (2013). Access to Finance in Sub-Saharan Africa: Is There a Gender Gap?. World Development, 47, pp. 102-120. doi: 10.1016/j.worlddev.2013.02.013

Banti, Chiara (2013). Essays in FX market microstructure. (Unpublished Doctoral thesis, City University London)

Beck, T. (2013). Bank Financing for SMEs – Lessons from the Literature. National Institute Economic Review, 225(1), R23-R38. doi: 10.1177/002795011322500105

Beck, T. (2013). Finance, growth and fragility: The role of government. International Journal of Banking, Accounting and Finance, 5(1-2), pp. 49-77. doi: 10.1504/IJBAAF.2013.058088

Beck, T., Behr, P. and Guettler, A. (2013). Gender and Banking: Are Women Better Loan Officers?. Review of Finance, 17(4), pp. 1279-1321. doi: 10.1093/rof/rfs028

Beck, T., De Jonghe, O. and Schepens, G. (2013). Bank competition and stability: Cross-country heterogeneity. Journal of Financial Intermediation, 22(2), pp. 218-244. doi: 10.1016/j.jfi.2012.07.001

Beck, T., Demirguc-Kunt, A. and Merrouche, O. (2013). Islamic vs. conventional banking: Business model, efficiency and stability. Journal of Banking & Finance, 37(2), pp. 433-447. doi: 10.1016/j.jbankfin.2012.09.016

Beck, T., Demirguc-Kunt, A. and Singer, D. (2013). Is Small Beautiful? Financial Structure, Size and Access to Finance. World Development, 52, pp. 19-33. doi: 10.1016/j.worlddev.2013.05.014

Bezerianos, George (2013). 2-Factor Models in Credit and Energy Markets. (Unpublished Doctoral thesis, City University London)

Biffis, E. and Blake, D. (2013). Informed intermediation of longevity exposures. Journal of Risk and Insurance, 80(3), pp. 559-584. doi: 10.1111/j.1539-6975.2013.01524.x

Bilinski, P. and Strong, N. (2013). Managers' private information, investor underreaction and long-run SEO performance. European Financial Management, 19(5), pp. 956-990. doi: 10.1111/j.1468-036X.2011.00616.x

Blake, D. and Boardman, T. (2013). Spend more today safely: Using behavioral economics to improve retirement expenditure decisions with SPEEDOMETER plans. Risk Management and Insurance Review, 17(1), pp. 83-112. doi: 10.1111/rmir.12007

Blake, D., Cairns, A.J.G., Coughlan, G. D., Dowd, K. and MacMinn, R. (2013). The New Life Market. Journal of Risk and Insurance, 80(3), pp. 501-558. doi: 10.1111/j.1539-6975.2012.01514.x

Blake, D., Rossi, A.G., Timmermann, A., Tonks, I. and Wermers, R. (2013). Decentralized Investment Management: Evidence from the Pension Fund Industry. Journal of Finance, 68(3), pp. 1133-1178. doi: 10.1111/jofi.12024

Blake, D., Wright, I. D. and Zhang, Y. (2013). Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion. Journal of Economic Dynamics and Control, 37(1), pp. 195-209. doi: 10.1016/j.jedc.2012.08.001

Boutin, X., Cestone, G., Fumagalli, C., Pica, G. and Serrano-Velarde, N. (2013). The deep-pocket effect of internal capital markets. Journal of Financial Economics, 109(1), pp. 122-145. doi: 10.1016/j.jfineco.2013.02.003

Bruche, M. and Llobet, G (2013). Preventing Zombie Lending. The Review of Financial Studies, doi: 10.1093/rfs/hht064

Byrne, P., Jackson, C. and Lee, S. (2013). Bias or rationality? The case of UK commercial real estate investment. Journal of European Real Estate Research, 6(1), pp. 6-33. doi: 10.1108/17539261311312960

Caldana, R. and Fusai, G. (2013). A general closed-form spread option pricing formula. Journal of Banking & Finance, 37(12), pp. 4893-4906. doi: 10.1016/j.jbankfin.2013.08.016

Casu, B., Clare, A., Sarkisyan, A. and Thomas, S. (2013). Securitization and Bank Performance. Securitization and Bank Performance, 45(8), pp. 1617-1658. doi: 10.1111/jmcb.12064

Casu, B., Ferrari, A. and Zhao, T. (2013). Regulatory Reform and Productivity Change in Indian Banking. The Review of Economics and Statistics, 95(3), pp. 1066-1077. doi: 10.1162/REST_a_00298

Casu, B. and Sarkisyan, A. (2013). Retained Interests in Securitisations and Implications for Bank Solvency (ECB Working Paper No. 1538). European Central Bank, ISSN 1725-2806.

Clare, A., Gulamhussen, M. and Pinheiro, C. (2013). What factors cause foreign banks to stay in London?. Journal of International Money and Finance, 32, pp. 739-761. doi: 10.1016/j.jimonfin.2012.06.007

Clare, A., Motson, N. and Thomas, S. (2013). An Evaluation of Alternative Equity Indices - Part 1: Heuristic and Optimised Weighting Schemes. London: SSRN.

Clare, A., Nitzsche, D. and Sherman, M. (2013). Mutual fund performance and management location. Journal of Asset Management, 14(6), pp. 336-353. doi: 10.1057/jam.2013.23

Clare, A., Seaton, J., Smith, P. N. and Thomas, S. (2013). Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500. Journal of Asset Management, 14(3), pp. 182-194. doi: 10.1057/jam.2013.11

Cocco, J. F. and Volpin, P. (2013). Corporate pension plans as takeover deterrents. Journal of Financial and Quantitative Analysis, 48(4), pp. 1119-1144. doi: 10.1017/S0022109013000355

Cuthbertson, K. and Nitzsche, D. (2013). Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry. Journal of Empirical Finance, 21, pp. 86-101. doi: 10.1016/j.jempfin.2012.12.002

Cuthbertson, K. and Nitzsche, D. (2013). Winners and losers: German equity mutual funds. European Journal of Finance, 19(10), pp. 951-968. doi: 10.1080/1351847X.2012.684098

Della Corte, P., Sarno, L., Schmeling, M. and Wagner, C. (2013). Exchange Rates and Sovereign Risk. SSRN.

Dowd, K. and Blake, D. (2013). Good Practice Principles in Modelling Defined Contribution Pension Plans (PI-1302). UK: Pensions Institute.

Driver, C., Trapani, L. and Urga, G. (2013). On the use of cross-sectional measures of forecast uncertainty. International Journal of Forecasting, 29(3), pp. 367-377. doi: 10.1016/j.ijforecast.2012.11.005

Faelten, A., Gietzmann, M. and Vitkova, V. (2013). Learning from your investors: can the geographical composition of institutional investors affect the chance of success in international M&A deals?. Journal of Management and Governance, 19(1), pp. 47-69. doi: 10.1007/s10997-013-9268-3

Fei, Fei (2013). Essays on Quantitative Risk Management. (Unpublished Doctoral thesis, City University London)

Ferreira, M., Keswani, A., Ramos, S. and Miguel, A. F. (2013). The Determinants of Mutual Fund Performance: A Cross-Country Study. Review of Finance, 17(2), pp. 483-525. doi: 10.1093/rof/rfs013

Fich, E. M., Tran, A. and Walkling, R. A. (2013). On the importance of golden parachutes. Journal of Financial and Quantitative Analysis, 48(6), pp. 1717-1753. doi: 10.1017/S002210901300063X

Fuertes, A. and Olmo, J. (2013). Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction. International Journal of Forecasting, 29(1), pp. 28-42. doi: 10.1016/j.ijforecast.2012.05.005

Gietzmann, M. and Raonic, I. (2013). Thinly Traded Growth Stocks: A Joint Examination of Transparency in Communication and the Trading Platform. European Accounting Review, 23(2), pp. 257-289. doi: 10.1080/09638180.2013.768802

Gounopoulos, D., Molyneux, P., Staikouras, S., Wilson, J. O. S. and Zhao, G. (2013). Exchange rate risk and the equity performance of financial intermediaries. International Review of Financial Analysis, 29, pp. 271-282. doi: 10.1016/j.irfa.2012.04.001

Harrison, D, Blake, D. and Key, T. (2013). Returning to the Core - Rediscovering a Role for Real Estate in Defined Contribution Pension Schemes. London, UK: Investment Property Forum, ISSN 1367-580X.

Ipatova, E. and Trapani, L. (2013). First-differenced inference for panel factor series. Economics Letters, 118(2), pp. 364-366. doi: 10.1016/j.econlet.2012.11.026

Jin, XiaoYe (2013). Essays on the empirical analysis of volatility transmission in petroleum markets. (Unpublished Doctoral thesis, City University London)

Kashefi-Pour, E. and Lasfer, M. (2013). Why Do Companies Delist Voluntarily from the Stock Market?. Journal of Banking and Finance, 37(12), pp. 4850-4860. doi: 10.1016/j.jbankfin.2013.08.022

Kozhan, R., Neuberger, A. and Schneider, P. (2013). The Skew Risk Premium in the Equity Index Market. The Review of Financial Studies, 26(9), pp. 2174-2203. doi: 10.1093/rfs/hht039

Lando, D., Medhat, M., Nielsen, M. S. and Nielsen, S. F. (2013). Additive Intensity Regression Models in Corporate Default Analysis. Journal of Financial Econometrics, 11(3), pp. 443-485. doi: 10.1093/jjfinec/nbs018

Lins, K. V., Volpin, P. and Wagner, H. F. (2013). Does family control matter? International evidence from the 2008-2009 financial crisis. Review of Financial Studies, 26(10), pp. 2583-2619. doi: 10.1093/rfs/hht044

Marena, M., Roncoroni, A. and Fusai, G. (2013). Asian options with jumps: A closed form formula. Argo Newsletter: New Frontiers in Practical Risk Management,, 1(1), pp. 47-56.

Moss, A. and Baum, A. (2013). Are listed real estate stocks managed as part of the real estate allocation?. UK: EPRA.

Moss, A. and Baum, A. (2013). The use of listed real estate securities in asset management. UK: EPRA.

Nomikos, N. and Doctor, K. (2013). Economic significance of market timing rules in the Forward Freight Agreement markets. Transportation Research Part E: Logistics and Transportation Review, 52, pp. 77-93. doi: 10.1016/j.tre.2012.11.009

Osborne, Matthew (2013). Essays on bank capital and balance sheet adjustment in the UK and US, and implications for regulatory policy. (Unpublished Doctoral thesis, City University London)

Passari, Evgenia (2013). Essays in international finance. (Unpublished Doctoral thesis, City University London)

Phylaktis, K. and Aristidou, A. (2013). Margin Changes and Futures Trading Activity: a New Approach. European Financial Management, 19(1), pp. 45-71. doi: 10.1111/j.1468-036X.2010.00565.x

Phylaktis, K. and Manalis, G. (2013). Futures trading and market microstructure of the underlying security: A high frequency experiment at the single stock future level. Borsa Istanbul Review, 13(4), pp. 79-92. doi: 10.1016/j.bir.2013.10.012

Potgeiter, L. and Fusai, G. (2013). Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: Methodology. Journal of Financial Transformation, 37, pp. 99-209.

Potgieter, L. and Fusai, G. (2013). Cutting EdgE Sovereign Credit Risk in a Hidden Markov Regime- Switching Framework. Part 2. Journal of Financial Transformation, 38, pp. 67-81.

Rallis, G., Miffre, J. and Fuertes, A. (2013). Strategic and Tactical Roles of Enhanced Commodity Indices. Journal of Futures Markets, 33(10), doi: 10.1002/fut.21571

Roschkow, Slawa (2013). Empirical analysis of microstructural dynamics across cross-listed stocks on the London and Moscow exchanges. (Unpublished Doctoral thesis, City University London)

Thomas, P. and Chrystal, A. (2013). Explaining the “Buy One Get One Free” Promotion: The Golden Ratio as a Marketing Tool. American Journal of Industrial and Business Management, 3(8), pp. 655-673. doi: 10.4236/ajibm.2013.38075

Thomas, P. and Chrystal, A. (2013). Generalized Demand Densities for Retail Price Investigation. American Journal of Industrial and Business Management, 3(3), pp. 279-294. doi: 10.4236/ajibm.2013.33034

Thomas, P. and Chrystal, A. (2013). Using Relative Utility Pricing to Explain Multibuy Prices in Supermarkets and on the Internet. American Journal of Industrial and Business Management, 03(08), pp. 687-699. doi: 10.4236/ajibm.2013.38078

Thomas, P.J. and Chrystal, A. (2013). Retail price optimisation from sparse demand data. American Journal of Industrial and Business Management, 3(3), pp. 295-306. doi: 10.4236/ajibm.2013.33035

Thomas, S., Clare, A. and Motson, N. (2013). An Evaluation of Alternative Equity Indices - Part 2: Fundamental Weighting Schemes. London: SSRN.

Trapani, L. (2013). On bootstrapping panel factor series. Journal of Econometrics, 172(1), pp. 127-141. doi: 10.1016/j.jeconom.2012.09.001

Ulloa, Barbara (2013). Essays on international finance. (Unpublished Doctoral thesis, City University London)

Zhao, Gang (2013). The risk-related behaviour of financial intermediaries. (Unpublished Doctoral thesis, City University London)

2012

Argimón, I., Arque, G. and Rodriguez Tous, F. (2012). Does the Intensity of Prudential Regulation Affect Banks? Evidence from the 2007-2009 Crises. Journal of Governance and Regulation, 1(3), pp. 14-26. doi: 10.22495/jgr_v1_i3_p2

Banti, C., Phylaktis, K. and Sarno, L. (2012). Global liquidity risk in the foreign exchange market. Journal of International Money and Finance, 31(2), pp. 267-291. doi: 10.1016/j.jimonfin.2011.11.010

Bas, Tugba (2012). Capital structure and debt maturity choices of firms in developing countries. (Unpublished Doctoral thesis, City University London)

Bilinski, P., Liu, W. and Strong, N. (2012). Does liquidity risk explain low firm performance following seasoned equity offerings?. Journal of Banking and Finance, 36(10), pp. 2770-2785. doi: 10.1016/j.jbankfin.2012.07.009

Brun-Aguerre, R., Fuertes, A. and Phylaktis, K. (2012). Exchange rate pass-through into import prices revisited: What drives it?. Journal of International Money and Finance, 31(4), pp. 818-844. doi: 10.1016/j.jimonfin.2012.01.009

Cavezzali, Elisa (2012). Essays on sell-side analyst industry. (Unpublished Doctoral thesis, City University London)

Cespa, G. and Vives, X. (2012). Dynamic trading and asset prices: Keynes vs. Hayek. Review of Economic Studies, 79(2), pp. 539-580. doi: 10.1093/restud/rdr040

Chan, Ka Kei (2012). Theoretical essays on bank risk-taking and financial stability. (Unpublished Doctoral thesis, City University London)

Chiaramonte, L. and Casu, B. (2012). The determinants of bank CDS spreads: Evidence from the financial crisis. The European Journal of Finance, 19(9), pp. 861-887. doi: 10.1080/1351847X.2011.636832

Chrystal, A. (2012). Debt and monetary policy: comments on Jagjit S Chadha, Luisa Corrado and Jack Meaning's paper "Reserves, liquidity and money: an assessment of balance sheet policies", and further thoughts. In: Are central bank balance sheets in Asia too large? BIS Papers No 66. . Bank for International Settlements.

Corte, P. D., Sarno, L. and Sestieri, G. (2012). The predictive information content of external imbalances for exchange rate returns: How much is it worth?. Review of Economics and Statistics, 94(1), pp. 100-115. doi: 10.1162/REST_a_00157

Della Corte, P., Sarno, L. and Tsiakas, I. (2012). Volatility and Correlation Timing in Active Currency Management. In: James, J., Marsh, I. W. and Sarno, L. (Eds.), Handbook of Exchange Rates. (pp. 421-447). New Jersey, USA: Wiley. ISBN 9780470768839

Duffuor, K., Marsh, I. W. and Phylaktis, K. (2012). Order flow and exchange rate dynamics: an application to emerging markets. International Journal of Finance and Economics, 17(3), pp. 290-304. doi: 10.1002/ijfe.451

Dumitru, A-M. and Urga, G. (2012). Identifying jumps in financial assets: A comparison between nonparametric jump tests. Journal of Business and Economic Statistics, 30(2), pp. 242-255. doi: 10.1080/07350015.2012.663250

Eichengreen, B., Mody, A., Nedeljkovic, M. and Sarno, L. (2012). How the Subprime Crisis went global: Evidence from bank credit default swap spreads. Journal of International Money and Finance, 31(5), pp. 1299-1318. doi: 10.1016/j.jimonfin.2012.02.002

Favara, G., Schroth, E. and Valta, P. (2012). Strategic Default and Equity Risk Across Countries. The Journal of Finance, 67(6), pp. 2051-2095. doi: 10.1111/j.1540-6261.2012.01781.x

Ferreira, M. A., Keswani, A., Miguel, A. F. and Ramos, S. (2012). The flow-performance relationship around the world. Journal of Banking & Finance, 36(6), pp. 1759-1780. doi: 10.1016/j.jbankfin.2012.01.019

Franks, J., Mayer, C., Volpin, P. and Wagner, H. F. (2012). The life cycle of family ownership: International evidence. Review of Financial Studies, 25(6), pp. 1675-1712. doi: 10.1093/rfs/hhr135

Fuertes, A. (2012). Country and Time Variation in Exchange Rate Pass Through: What Drives it?. Journal of International Money and Finance, 31(4), pp. 818-844. doi: 10.1016/j.jimonfin.2012.01.009

Ghalanos, Alexios (2012). Higher moment models for risk and portfolio management. (Unpublished Doctoral thesis, City University London)

Hobson, D.E. and Neuberger, A. (2012). Robust bounds for forward start options. Mathematical Finance, 22(1), pp. 31-56. doi: 10.1111/j.1467-9965.2010.00473.x

Kao, C., Trapani, L. and Urga, G. (2012). Asymptotics for Panel Models with Common Shocks. Econometric Reviews, 31(4), pp. 390-439. doi: 10.1080/07474938.2011.607991

Kashefi Pour, Eilnaz (2012). Leverage and Debt Maturity: The Implication of Size and Market Quotation. (Unpublished Doctoral thesis, City University London)

Keswani, A. and Stolin, D. (2012). Investor reaction to Mutual fund performance: Evidence from UK distribution channels. Journal of Financial Research, 35(3), pp. 425-450. doi: 10.1111/j.1475-6803.2012.01323.x

Liu, W. (2012). Essays on economic value of intraday covariation estimators for risk prediction. (Unpublished Doctoral thesis, City University London)

Liu, Wei (2012). Essays on the economic value of intraday covariation estimators for risk prediction. (Unpublished Doctoral thesis, City University London)

Maini, Vincenzo (2012). Price and liquidity discovery, jumps and co-jumps using high frequency data from the foreign exchange markets. (Unpublished Doctoral thesis, City University London)

Mariano, B. (2012). Market power and reputational concerns in the ratings industry. Journal of Banking & Finance, 36(6), pp. 1616-1626. doi: 10.1016/j.jbankfin.2012.01.012

Marsh, I. W. and Miao, T. (2012). High-frequency information content in end-user foreign exchange order flows. The European Journal of Finance, 18(9), pp. 865-884. doi: 10.1080/1351847X.2011.601652

Marsh, I. W. and Payne, R. (2012). Banning short sales and market quality: The UK's experience. Journal of Banking and Finance, 36(7), pp. 1975-1986. doi: 10.1016/j.jbankfin.2012.03.005

Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012). Carry trades and global foreign exchange volatility. The Journal Of Finance, 67(2), pp. 681-718. doi: 10.1111/j.1540-6261.2012.01728.x

Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), pp. 660-684. doi: 10.1016/j.jfineco.2012.06.009

Neuberger, A. (2012). Realized Skewness. The Review of Financial Studies, 25(11), pp. 3423-3455. doi: 10.1093/rfs/hhs101

Nomikos, N. and Andriosopoulos, K. (2012). Modelling energy spot prices: Empirical evidence from NYMEX. Energy Economics, 34(4), pp. 1153-1169. doi: 10.1016/j.eneco.2011.10.001

Pagano, M. and Volpin, P. (2012). Securitization, transparency, and liquidity. Review of Financial Studies, 25(8), pp. 2417-2453. doi: 10.1093/rfs/hhs074

Payne, R. and Friederich, S. (2012). Computer-based trading and market abuse. Foresight - Government Office for Science.

Phylaktis, K. (2012). Guest editorial, emerging markets finance: Overview of the special issue. Journal of International Money and Finance, 31(4), pp. 673-679. doi: 10.1016/j.jimonfin.2012.01.004

Raonic, I. and Isidro, H. (2012). Firm Incentives, Institutional Complexity and the Quality of "Harmonized" Accounting Numbers. The International Journal of Accounting, 47(4), pp. 407-436. doi: 10.1016/j.intacc.2012.10.007

Saleh, Nashwa (2012). Towards a New Model for Early Warning Signals for Systemic Financial Fragility and Near Crises: An Application to OECD Countries. (Unpublished Doctoral thesis, City University London)

Sarno, L., Schneider, P. and Wagner, C. (2012). Properties of foreign exchange risk premiums. Journal of Financial Economics, 105(2), pp. 279-310. doi: 10.1016/j.jfineco.2012.01.005

Sherman, Meadhbh (2012). An examination of the factors influencing mutual fund performance. (Unpublished Doctoral thesis, City Univeristy London)

Tamvakis, M. ORCID: 0000-0002-5056-0159 (2012). The Future of Biofuels in Asia. London: Czarnikow Group.

Trapani, L. (2012). On the asymptotic t-test for large nonstationary panel models. Computational Statistics & Data Analysis, 56(11), pp. 3286-3306. doi: 10.1016/j.csda.2011.03.004

Yim, A. (2012). Are Positive Reactions to Bad News Plausible? The Consideration of Fraud Detection in Audit and Reporting Delays. SSRN: SSRN Working Paper.

2011

Beber, A., Brandt, M. W. and Kavajecz, K. A. (2011). What Does Equity Sector Orderflow Tell Us About the Economy?. The Review of Financial Studies, 24(11), pp. 3688-3730. doi: 10.1093/rfs/hhr067

Bertolini, Lorenzo (2011). Trading foreign exchange carry portfolios. (Unpublished Doctoral thesis, City University London)

Besar, Dwityapoetra Soeyasa (2011). Essays on Indonesian Banking: Competition, Efficiency, and its Role in Monetary Policy Transmission. (Unpublished Doctoral thesis, City University London)

Biagini, S. and Černý, A. (2011). Admissible strategies in semimartingale portfolio selection. SIAM Journal on Control and Optimization, 49(1), pp. 42-72. doi: 10.1137/090774458

Blake, D., Courbage, C., MacMinn, R. and Sherris, M. (2011). Longevity Risk and Capital Markets: The 2010-2011 Update. The Geneva Papers On Risk And Insurance: Issues And Practice, 36(4), doi: 10.1057/gpp.2011.27

Britten-Jones, M., Neuberger, A. and Nolte, I. (2011). Improved Inference in Regression with Overlapping Observations. Journal of Business Finance & Accounting, 38(5-6), pp. 657-683. doi: 10.1111/j.1468-5957.2011.02244.x

Bruche, M. (2011). Creditor coordination, liquidation timing, and debt valuation. Journal of Financial and Quantitative Analysis, 46(5), pp. 1407-1436. doi: 10.1017/S0022109011000330

Brutting, Milena (2011). Goodwill impairment: causes and impact. (Unpublished Doctoral thesis, City University London)

Carapeto, M., Moeller, S., Faelten, A., Vitkova, V. and Bortolotto, L. (2011). Distress classification measures in the banking sector. Risk governance and control: financial markets & institutions, 1(4), pp. 19-30.

Dargenidou, C., McLeay, S. and Raonic, I. (2011). Accruals, Disclosure and the Pricing of Future Earnings in the European Market. Journal of Business Finance & Accounting, 38(5-6), pp. 473-504. doi: 10.1111/j.1468-5957.2011.02245.x

Della Corte, P., Sarno, L. and Tsiakas, I. (2011). Spot and forward volatility in foreign exchange. Journal of Financial Economics, 100(3), pp. 496-513. doi: 10.1016/j.jfineco.2011.01.007

Denuit, M., Haberman, S. and Renshaw, A. E. (2011). Longevity-indexed annuities. North American Actuarial Journal, 15(1), pp. 97-111. doi: 10.1080/10920277.2011.10597611

Dontis-Charitos, Panagiotis (2011). Bank-insurance M&A Deals: An Empirical Investigation of the Risk-return Effects on Acquiring Firms and On the Financial Industry. (Unpublished Doctoral thesis, City University London)

Fusai, G., Marazzina, D. and Marena, M. (2011). Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM Journal on Financial Mathematics, 2(1), pp. 383-403. doi: 10.1137/09076115X

Georgievska, A., Georgievska, L., Stojanovic, A. and Todorovic, N. (2011). Country Debt Default Probabilities in Emerging Markets: Were Credit Rating Agencies Wrong? In: Kolb, R. W. (Ed.), Sovereign Debt: From Safety to Default. (pp. 353-360). Wiley. ISBN 978-0-470-92239-2

Hatzopoulos, P. and Haberman, S. (2011). A dynamic parameterization modeling for age-period-cohort mortality. Insurance: Mathematics and Economics, 49(2), pp. 155-174. doi: 10.1016/j.insmatheco.2011.02.007

Herrera, H. and Schroth, E. (2011). Advantageous Innovation in the Underwriting Market for Corporate Securities. Journal of Banking and Finance, 35(5), pp. 1097-1113. doi: 10.1016/j.jbankfin.2010.09.019

Laušev, J., Stojanovic, A. and Todorovic, N. (2011). Determinants of debt rescheduling in Eastern European countries. Economic Annals, 56(188), pp. 7-31. doi: 10.2298/EKA1188007L

Marsh, I. W. (2011). Order flow and central bank intervention: An empirical analysis of recent Bank of Japan actions in the foreign exchange market. Journal of International Money and Finance, 30(2), pp. 377-392. doi: 10.1016/j.jimonfin.2010.10.001

O'Neill, Mark (2011). Museums and social justice: A theory of pratice. (Unpublished Doctoral thesis, City University London)

Owadally, I., Haberman, S. and Gomez, D. (2011). A Savings Plan with Targeted Contributions. Journal of Risk and Insurance, 80(4), pp. 975-1000. doi: 10.1111/j.1539-6975.2012.01485.x

Payne, R. and Friederich, S. (2011). Computer based trading, liquidity and trading costs. Foresight - Government Office for Science.

Pettinicchio, A.K. (2011). Auditing and Regulations. (Unpublished Doctoral thesis, City University London)

Pouliasis, P. K., Nomikos, N. and Papapostolou, N. C. (2011). Analysis of Volatility and Correlation for CME Steel Products. London: Cass Business School, City University London.

Pouliasis, Panagiotis (2011). Essays on the empirical analysis of energy risk. (Unpublished Doctoral thesis, City University London)

Sarkisyan, Anna (2011). Three essays on securitisation. (Unpublished Doctoral thesis, City University London)

Tan, F. and Yim, A. (2011). Can Strategic Uncertainty Help Deter Tax Evasion? – An Experiment on Auditing Rules (2011-21). SSRN: SSRN Working Paper.

Tran, A. and Jeon, B. (2011). The dynamic impact of macroeconomic factors on initial public offerings: evidence from time-series analysis. Applied Economics, 43(23), pp. 3187-3201. doi: 10.1080/00036840903493267

Vasileva, Kristina (2011). Foreign direct investment – a behavioural finance approach. (Unpublished Doctoral thesis, City University London)

Zagonov, Maxim (2011). Financial intermediation and interest rate risk. (Unpublished Doctoral thesis, City University London)

2010

Acharya, V. V. and Volpin, P. (2010). Corporate Governance Externalities. Review of Finance, 14(1), pp. 1-33. doi: 10.1093/rof/rfp002

Alizadeh-Masoodian, A. and Talley, W.K. (2010). Dynamics of the Forward Curve and Volatility of Energy Futures Prices. London: SSRN.

Arping, S. and Falconieri, S. (2010). Strategic versus financial investors: the role of strategic objectives in financial contracting. Oxford Economic Papers, 62(4), pp. 691-714. doi: 10.1093/oep/gpp038

Ballotta, L. (2010). Efficient pricing of ratchet equity-indexed annuities in a variance-gamma economy. North American Actuarial Journal, 14(3), pp. 355-368. doi: 10.1080/10920277.2010.10597639

Batchelor, R. (2010). Worst-Case Scenarios in Forecasting: How Bad Can Things Get?. Foresight: The International Journal of Applied Forecasting, 18, pp. 27-32.

Beck, T., Levine, R. and Levkov, A. (2010). Big Bad Banks? The Winners and Losers from Bank Deregulation in the United States. The Journal of Finance, 65(5), pp. 1637-1667. doi: 10.1111/j.1540-6261.2010.01589.x

Biais, B., Mariotti, T., Rochet, J.C. and Villeneuve, S. (2010). Large risks, limited liability, and dynamic moral hazard. Econometrica, 78(1), pp. 73-118. doi: 10.3982/ECTA7261

Blake, D., Byrne, A. and Mannion, G. (2010). Pension Plan Decisions. Review of Behavioural Finance, 2(1), pp. 19-36. doi: 10.1108/19405979201000002

Bruche, M. and Gonzalez-Aguado, C. (2010). Recovery rates, default probabilities, and the credit cycle. Journal of Banking & Finance, 34(4), pp. 754-764. doi: 10.1016/j.jbankfin.2009.04.009

Bruche, M. and Naqvi, H. (2010). A structural model of debt pricing with creditor-determined liquidation. Journal of Economic Dynamics and Control, 34(5), pp. 951-967. doi: 10.1016/j.jedc.2010.01.005

Bruche, M. and Suarez, J. (2010). Deposit insurance and money market freezes. Journal of Monetary Economics, 57(1), pp. 45-61. doi: 10.1016/j.jmoneco.2009.11.007

Carapeto, M., Moeller, S., Faelten, A., Vitkova, V. and Bortolotto, L. (2010). Distress resolution strategies in the banking sector: Implications for global financial crises. International Finance Review, 11, pp. 335-360. doi: 10.1108/S1569-3767(2010)0000011015

Casu, B. and Girardone, C. (2010). Integration and efficiency convergence in EU banking markets. Omega, 38(5), pp. 260-267. doi: 10.1016/j.omega.2009.08.004

Clare, A. and Motson, N. (2010). Do UK Retail Investors Buy at the Top and Sell at the Bottom?. London: Cass Business School, City University London.

Clare, A., Sapuric, S. and Todorovic, N. (2010). Quantitative or momentum-based multi-style rotation? UK experience. Journal of Asset Management, 10(6), pp. 370-381. doi: 10.1057/jam.2009.19

Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2010). Mutual fund performance: Measurement and evidence. Financial Markets, Institutions and Instruments, 19(2), pp. 95-187. doi: 10.1111/j.1468-0416.2010.00156.x

Dawson, P., Dowd, K., Cairns, A.J.G. and Blake, D. (2010). Survivor Derivatives: A Consistent Pricing Framework. Journal Of Risk And Insurance, 77(3), pp. 579-596. doi: 10.1111/j.1539-6975.2010.01356.x

Denuit, M., Haberman, S. and Renshaw, A. E. (2010). Comonotonic approximations to quantiles of life annuity conditional expected present values: extensions to general arima models and comparison with the bootstrap. ASTIN Bulletin, 40(1), pp. 331-349. doi: 10.2143/AST.40.1.2049232

Duffuor, K. (2010). Order flow and exchange rate dynamics in emerging economies: The case of Ghana. (Unpublished Doctoral thesis, City University London)

Fabbri, D. (2010). Law Enforcement and Firm Financing: Theory and Evidence. Journal of the European Economic Association, 8(4), pp. 776-816. doi: 10.1111/j.1542-4774.2010.tb00540.x

Fich, E. M., Cai, J. and Tran, A. (2010). Stock option grants to target CEOs during private merger negotiations. Journal of Financial Economics, 101(2), pp. 413-430. doi: 10.1016/j.jfineco.2011.03.010

Fratzscher, M., Juvenal, L. and Sarno, L. (2010). Asset prices, exchange rates and the current account. European Economic Review, 54(5), pp. 643-658. doi: 10.1016/j.euroecorev.2009.12.005

Fuertes, A., Miffre, J. and Rallis, G. (2010). Tactical allocation in commodity futures markets: Combining momentum and term structure signals. Journal of Banking & Finance, 34(10), pp. 2530-2548. doi: 10.1016/j.jbankfin.2010.04.009

Gabrielsen, Alexandros (2010). Modelling the Dynamics of Credit Spreads of European Corporate Bond Indices. (Unpublished Doctoral thesis, City University London)

Green, R., Fusai, G. and Abrahams, I. D. (2010). The wiener-hopf technique and discretely monitored path-dependent option pricing. Mathematical Finance, 20(2), pp. 259-288. doi: 10.1111/j.1467-9965.2010.00397.x

Harland, Z. (2010). Forecasting financial markets using linear, nonlinear & model combination methods. (Unpublished Doctoral thesis, Cass Business School)

Hayley, S. (2010). Dollar Cost Averaging - The Role of Cognitive Error. .

Hayley, S. (2010). Value Averaging and the Automated Bias of Performance Measures. .

Nomikos, N. and Soldatos, O. A. (2010). Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market. Energy Economics, 32(2), pp. 302-312. doi: 10.1016/j.eneco.2009.10.011

Pagano, M. and Volpin, P. (2010). Credit ratings failures and policy options. Economic Policy, 25(62), pp. 401-431. doi: 10.1111/j.1468-0327.2010.00245.x

Rallis, Georgios (2010). On commodity trading strategies: momentum, term structure, maturity, indexation. (Unpublished Doctoral thesis, City, University of London)

Sapuric, S. (2010). Three essays in asset management. (Unpublished Doctoral thesis, City University London)

Schroth, E. and Szalay, D. (2010). Cash Breeds Success: The Role of Financing Constraints in Patent Races. Review of Finance, 14(1), pp. 73-118. doi: 10.1093/rof/rfp020

Trapani, L. and Urga, G. (2010). Micro versus macro cointegration in heterogeneous panels. Journal of Econometrics, 155(1), pp. 1-18. doi: 10.1016/j.jeconom.2009.07.005

Zhao, T., Casu, B. and Ferrari, A. (2010). The impact of regulatory reforms on cost structure, ownership and competition in Indian banking. Journal of Banking & Finance, 34(1), pp. 246-254. doi: 10.1016/j.jbankfin.2009.07.022

Černý, A. and Kyriakou, I. (2010). An improved convolution algorithm for discretely sampled Asian options. Quantitative Finance, 11(3), pp. 381-389. doi: 10.1080/14697680903397667

2009

Ballotta, L. and Haberman, S. (2009). Investment Strategies and Risk Management for Participating Life Insurance Contracts. London: SSRN.

Beber, A., Brandt, M. W. and Kavajecz, K. A. (2009). Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market. Review of Financial Studies, 22(3), pp. 925-957. doi: 10.1093/rfs/hhm088

Chen, Y. (2009). Essays on the Role of Informed Trading in Stock Markets. (Unpublished Doctoral thesis, City University London)

Clare, A., ap Gwilym, O., Seaton, J. and Thomas, S. (2009). Price and Momentum as Robust Tactical Approaches to Global Equity Investing. London: Cass Business School.

Emms, P. and Haberman, S. (2009). Optimal management of an insurer's exposure in a competitive general insurance market. North American Actuarial Journal, 13(1), pp. 77-105. doi: 10.1080/10920277.2009.10597541

Falconieri, S., Murphy, A. and Weaver, D. (2009). Underpricing and Ex Post Value Uncertainty. Financial Management, 38(2), pp. 285-300. doi: 10.1111/j.1755-053X.2009.01036.x

Fuertes, A., Izzeldin, M. and Kalotychou, E. (2009). On forecasting daily stock volatility: The role of intraday information and market conditions. International Journal of Forecasting, 25(2), pp. 259-281. doi: 10.1016/j.ijforecast.2009.01.006

Haenschel, C., Bittner, R. A., Waltz, J., Haertling, F., Wibral, M., Singer, W., Linden, D. E. J. and Rodriguez, E. (2009). Cortical oscillatory activity is critical for working memory as revealed by deficits in early-onset schizophrenia. Journal of Neuroscience, 29(30), pp. 9481-9489. doi: 10.1523/JNEUROSCI.1428-09.2009

Hatzopoulos, P. and Haberman, S. (2009). A parameterized approach to modeling and forecasting mortality. Insurance: Mathematics and Economics, 44(1), pp. 103-123. doi: 10.1016/j.insmatheco.2008.10.008

Jokipii, T.K. (2009). Bank Capital Management. (Unpublished Doctoral thesis, City University London)

Kyriacou, M. (2009). Foreign Exchange Market Microstructure and Forecasting. (Unpublished Doctoral thesis, City University London)

Lu, C. (2009). Essays on Cross-Sectional Asset Pricing. (Unpublished Doctoral thesis, Cass Business School)

Motson, N. (2009). Essays on hedge fund risk, return and incentives. (Unpublished Doctoral thesis, City University London)

Munira, S. (2009). Momentum return: is it a compensation for risk?. (Unpublished Doctoral thesis, City, University of London)

Phylaktis, K. and Xia, L. (2009). Equity Market Comovement and Contagion: A Sectoral Perspective. Financial Management, 38(2), pp. 381-409. doi: 10.1111/j.1755-053X.2009.01040.x

Rubesam, A. (2009). ESSAYS ON EMPIRICAL ASSET PRICING USING BAYESIAN METHODS. (Unpublished Doctoral thesis, City University London)

Sarno, L., Della Corte, P. and Tsiakas, I. (2009). An Economic Evaluation of Empirical Exchange Rate Models. Review of Financial Studies, 22(9), pp. 3491-3530. doi: 10.1093/rfs/hhn058

Schmeling, M., Melvin, M. M. and Menkhoff, L. (2009). Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book. Journal of International Economics, 79(1), pp. 54-63. doi: 10.1016/j.jinteco.2009.06.008

Schroth, E. and Albuquerque, R. (2009). Quantifying Private Benefits of Control from a Structural Model of Block Trades (202/2008). ECGI.

Trapani, L. and Urga, G. (2009). Optimal forecasting with heterogeneous panels: A Monte Carlo study. International Journal of Forecasting, 25(3), pp. 567-586. doi: 10.1016/j.ijforecast.2009.02.001

Yim, A. (2009). Efficient Committed Budget for Implementing Target Audit Probability for Many Inspectees. Management Science, 55(12), pp. 2000-2018. doi: 10.1287/mnsc.1090.1083

Černý, A. and Kallsen, J. (2009). Hedging by sequential regressions revisited. Mathematical Finance, 19(4), pp. 591-617. doi: 10.1111/j.1467-9965.2009.00381.x

2008

Andrew, Mark, Meen, G., Kasparova, D., Wood, G., Ball, M., Goody, J., Whitehead, C. and Pyrce, G. (2008). Recent Developments in the Communities and Local Government Affordability Model. Communities and Local Government Publications.

Anim-Odame, W.K. (2008). Residential Real Estate Investment in Emerging Economies: The Case of Ghana. (Unpublished Doctoral thesis, City University London)

Beck, T., Demirguc-Kunt, A., Laeven, L. and Levine, R. (2008). Finance, Firm Size, and Growth. Journal of Money, Credit and Banking, 40(7), pp. 1379-1405. doi: 10.1111/j.1538-4616.2008.00164.x

Beck, T., Demirguc-Kunt, A. and Maksimovic, V. (2008). Financing patterns around the world: Are small firms different?. Journal of Financial Economics, 89(3), pp. 467-487. doi: 10.1016/j.jfineco.2007.10.005

Bennouri, M. and Falconieri, S. (2008). The Optimality of Uniform Pricing in IPOs: An Optimal Auction Approach. Review of Finance, 12(4), pp. 673-700. doi: 10.1093/rof/rfn006

Clare, A. and Motson, N. (2008). How Many Alternative Eggs Should You Put in Your Investment Basket?. London: Cass Business School, City University London.

Corte, P. D., Sarno, L. and Thornton, D. (2008). The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value. Journal of Financial Economics, 89(1), pp. 158-174. doi: 10.1016/j.jfineco.2007.08.002

Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2008). False Discoveries: Winners and Losers in Mutual Fund Performance. London: SSRN.

Dimitrova, D. S., Kaishev, V. K. and Penev, S. (2008). GeD spline estimation of multivariate Archimedean copulas. Computational Statistics & Data Analysis, 52(7), pp. 3570-3582. doi: 10.1016/j.csda.2007.11.010

Driver, C., Temple, P. and Urga, G. (2008). Real options - delay vs. pre-emption: Do industrial characteristics matter?. International Journal of Industrial Organization, 26(2), pp. 532-545. doi: 10.1016/j.ijindorg.2007.03.003

Fuertes, A. (2008). Sieve bootstrap t-tests on long-run average parameters. Computational Statistics & Data Analysis, 52(7), pp. 3354-3370. doi: 10.1016/j.csda.2007.11.014

Fusai, G., Marena, M. and Roncoroni, A. (2008). Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets. Journal of Banking & Finance, 32(10), pp. 2033-2045. doi: 10.1016/j.jbankfin.2007.12.024

Fusai, G. and Meucci, A. (2008). Pricing discretely monitored Asian options under Levy processes. Journal of Banking & Finance, 32(10), pp. 2076-2088. doi: 10.1016/j.jbankfin.2007.12.027

Georgievska, A., Georgievska, L., Stojanovic, A. and Todorovic, N. (2008). Sovereign rescheduling probabilities in emerging markets: A comparison with credit rating agencies' ratings. Journal of Applied Statistics, 35(9), pp. 1031-1051. doi: 10.1080/02664760802193112

Kos, H. and Todorovic, N. (2008). S&P Global Sector survivals: Momentum effects in sector indices underlying iShares. Quarterly Review of Economics and Finance, 48(3), pp. 520-540. doi: 10.1016/j.qref.2007.12.001

Li, X. (2008). The impact of time-varying idiosyncratic risk and trading costs on momentum and value strategies. (Unpublished Doctoral thesis, City University London)

Philip, D. (2008). Estimation and testing of latent factors in term structure of interest rates. (Unpublished Doctoral thesis, Cass Business School, City University)

Černý, A. and Kallsen, J. (2008). Mean-variance hedging and optimal investment in Heston's model with correlation. Mathematical Finance, 18(3), pp. 473-492. doi: 10.1111/j.1467-9965.2008.00342.x

Černý, A. and Kallsen, J. (2008). A counterexample concerning the variance-optimal martingalle measure. Mathematical Finance, 18(2), pp. 305-316. doi: 10.1111/j.1467-9965.2007.00334.x

2007

Aristidou, A. (2007). Market microstructure issues related to the Greek capital market. (Unpublished Doctoral thesis, City University London)

Cajigas, J.P. (2007). A multivariate GARCH model for the non-normal behaviour of financial assets. (Unpublished Doctoral thesis, City University London)

Chen, L. (2007). Price discovery in the foreign exchange market. (Unpublished Doctoral thesis, City University London)

Cuthbertson, K., O'Sullivan, N. and Nitzsche, D. (2007). The Market Timing Ability of UK Equity Mutual Funds. SSRN.

Della Corte, P., Sarno, L. and Thornton, D. L. (2007). The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value (6445). Centre for Economic Policy Research.

Dimou, P. (2007). Models of Corporate and Bank Default and Credit Migration. (Unpublished Doctoral thesis, City University London)

Kaishev, V. K., Dimitrova, D. S. and Haberman, S. (2007). Modelling the joint distribution of competing risks survival times using copula functions. Insurance: Mathematics and Economics, 41(3), pp. 339-361. doi: 10.1016/j.insmatheco.2006.11.006

Kam, A. (2007). Corporate distress in an emerging market : the case of China. (Unpublished Doctoral thesis, City University London)

Lazarova, S., Trapani, L. and Urga, G. (2007). Common stochastic trends and aggregation in heterogeneous panels. Econometric Theory, 23(1), pp. 89-105. doi: 10.1017/S0266466607070041

Palaro, H.P. (2007). Essays in hedge fund replication, evaluation and synthetic funds. (Unpublished Doctoral thesis, City University London)

Sivaprasad, S. (2007). The value effects of capital structure : essays on leverage and its impact on stock returns</. (Unpublished Doctoral thesis, City University London)

Soldatos, O. (2007). Modelling electricity price risk for the valuation of power contingent claims : the case of Nord Pool. (Unpublished Doctoral thesis, City University London)

Černý, A. (2007). Optimal continuous-time hedging with leptokurtic returns. Mathematical Finance, 17(2), pp. 175-203. doi: 10.1111/j.1467-9965.2007.00299.x

Černý, A. and Kallsen, J. (2007). On the structure of general mean-variance hedging strategies. Annals of Probability, 35(4), pp. 1479-1531. doi: 10.1214/009117906000000872

2006

Anastassopoulou, N. (2006). Credit risk measurement and modelling. (Unpublished Doctoral thesis, City University London)

Ballotta, L., Haberman, S. and Wang, N. (2006). Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option. Journal of Risk and Insurance, 73(1), pp. 97-121. doi: 10.1111/j.1539-6975.2006.00167.x

Batchelor, R.A. and Ramyar, R. (2006). Magic numbers in the Dow. London: Cass Business School, City of London.

Jia, H. (2006). Market Conditions and the Functioning of Metal Futures Markets. (Unpublished Doctoral thesis, City University London)

Kaishev, V. K. and Dimitrova, D. S. (2006). Excess of loss reinsurance under joint survival optimality. Insurance: Mathematics and Economics, 39(3), pp. 376-389. doi: 10.1016/j.insmatheco.2006.05.005

Krishnan, Ormala (2006). Value versus growth in the Asian equity markets. (Unpublished Doctoral thesis, City University London)

O' Sullivan, N.M. (2006). UK mutual fund performance. (Unpublished Doctoral thesis, City University London)

Ramyar, Richard (2006). Essays on technical analysis in financial markets. (Unpublished Doctoral thesis, City University, London)

Schroth, E. (2006). Innovation, Differentiation and the Choice of an Underwriter. The Review of Financial Studies, 19(3),

2005

Alizadeh-Masoodian, A. and Nomikos, N. (2005). Agricultural Reforms and Use of Market Mechanisms for Risk Management. Cass Business School, City University London.

Andrew, Mark, Allmendinger, P., Ball, M., Cameron, G., Evans, A., Gibb, K., Goody, J., Holmans, A., Kasparova, D., Meen, G., Monk, S., Muellbauer, J., Murphy, A., Whitehead, C. and Wilson, A. (2005). Affordability targets: Implications for Housing Supply. London: The Office of the Deputy Prime Minister.

Ballotta, L. (2005). A Levy process-based framework for the fair valuation of participating life insurance contracts. Insurance: Mathematics and Economics, 37(2), pp. 173-196. doi: 10.1016/j.insmatheco.2004.10.001

Bozcuk, A. and Lasfer, M. (2005). The information content of institutional trades on the London Stock Exchange. Journal of Financial and Quantitative Analysis, 40(3), pp. 621-644. doi: 10.1017/S0022109000001897

Jarkasy, Samer (2005). Valuation bias in the stock market. (Unpublished Doctoral thesis, City University, London)

Marcato, G. (2005). Real estate performance measurement in markets with thin information. (Unpublished Doctoral thesis, City University London)

Onorato, M. (2005). Essays on credit risk, risk adjusted performance and economic capital in financial institutions. (Unpublished Doctoral thesis, City University London)

2004

Jarzabkowski, P. (2004). Strategy as practice: Recursiveness, adaptation, and practices-in-use. Organization Studies, 25(4), pp. 529-560. doi: 10.1177/0170840604040675

Kalotychou, E. (2004). Modeling and forecasting international credit risk : the case of sovereign loans. (Unpublished Doctoral thesis, City University London)

Lam, K. H. (2004). Essays on the Modelling of S&P 500 Volatility. (Unpublished Doctoral thesis, City University London)

Markovska, Anna (2004). Economic crime and its impact on the development of financial markets: the case study of Ukraine.. (Unpublished Doctoral thesis, City University, London)

Mesomeris, S. (2004). Three essays on stock returns predictability and trading strategies to exploit it. (Unpublished Doctoral thesis, City University London)

Černý, A. (2004). Dynamic Programming and Mean-Variance Hedging in Discrete Time. Applied Mathematical Finance, 11(1), pp. 1-25. doi: 10.1080/1350486042000196164

Černý, A. (2004). Introduction to Fast Fourier Transform in Finance. Journal of Derivatives, 12(1), pp. 73-88.

2003

Ballotta, L. and Haberman, S. (2003). Pricing of guaranteed annuity conversion options.. INSURANCE MATHEMATICS & ECONOMICS, 33(1), pp. 87-108.

Bouye, E. (2003). Some applications of copulae to finance. (Unpublished Doctoral thesis, City University London)

Gkinis, S. (2003). Modelling energy markets and pricing energy derivatives. (Unpublished Doctoral thesis, City University London)

Torero, M., Schroth, E. and Pasco-Font, A. (2003). The Impact of the Privatization of Telecommunications in Peru and the Welfare of Urban Consumers. Economia: Journal of the Latin American and Caribbean Economic Association, 4(1), pp. 99-128.

Zenonos, M. (2003). The dividend policy in Europe : the cases of the UK, Germany, France and Italy. (Unpublished Doctoral thesis, City University London)

Černý, A. (2003). Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets. Review of Finance, 7(2), pp. 191-233. doi: 10.1023/A:1024568429527

2002

Lin, S.X. (2002). Information transmission in energy futures markets. (Unpublished Doctoral thesis, City University London)

Marsh, I. W. (2002). What central banks can learn about default risk from credit markets. In: Market functioning and central bank policy (BIS Papers No 12). . Basel, Switzerland: Bank for International Settlements. ISBN 92-9131-636-9

Visvikis, I.D. (2002). An econometric analysis of the forward freight market. (Unpublished Doctoral thesis, City University London)

2001

Arkoulis, Angelos George (2001). Important factors for shipping companies in raising funds in the equity and high yield bond public capital markets. (Submitted Doctoral thesis, City University Business School)

Ballotta, L. and Kyprianou, A.E. (2001). A note on the alpha-quantile option. Applied Mathematical Finance, 8(3), pp. 137-144. doi: 10.1080/13504860210122375

Parsons, C. (2001). An essay on liability insurance and accident compensation and five papers on liability insurance. (Unpublished Doctoral thesis, City University London)

Sérgio, Anabela (2001). Portuguese financial regulatory reform : an assessment. (Unpublished Doctoral thesis, City University Business School)

Tamvakis, M. ORCID: 0000-0002-5056-0159 (2001). Hedging tanker freight rates with forward inter-crude spreads. Cass Business School, City, University of London.

Todorovic, N. (2001). Equity investment styles. (Unpublished Doctoral thesis, City University London)

Yim, A. (2001). Renegotiation and Relative Performance Evaluation: Why an Informative Signal may be Useless. Review of Accounting Studies, 6(1), pp. 77-108. doi: 10.1023/A:1011386104784

2000

Batchelor, R. and Zarkesh, F. (2000). Variance rationality: a direct test. In: Gardes, F. and Prat, G. (Eds.), Price Expectations in Goods and Financial Markets. (pp. 156-271). London and New York: Edward Elgar. ISBN 978 1 84064 322 0

Fusai, G. (2000). Corridor options and arc-sine law. ANNALS OF APPLIED PROBABILITY, 10(2), pp. 634-663.

Staikouras, Christos (2000). European Banking Industry: Sources of Income and Profitability. (Unpublished Doctoral thesis, City, University of London)

1999

Cestone, G. (1999). Corporate Financing and Product Market Competition: An Overview (CSEF Working Paper no. 18). CSEF.

1993

Adekanye, F.A.Z. (1993). Commercial bank performance in a developing country : a case study of Nigeria. (Unpublished Doctoral thesis, City University London)

1990

Allen, H.L. (1990). Chartism in the foreign exchange market. (Unpublished Doctoral thesis, City University London)

1989

Fraser, Patricia (1989). Essays on international parity conditions. (Unpublished Doctoral thesis, City University)

1988

Ogden, E.M. (1988). The development of the role of the Bank of England as a Lender of Last Resort, 1870-1914. (Unpublished Doctoral thesis, City University London)

This list was generated on Sat Oct 19 04:28:49 2019 UTC.