City Research Online

Items where Schools and Departments is "Finance" and Year is 2015

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Number of items: 63.

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

Blake, D., Rossi, A., Timmermann, T., Tonks, I. 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.

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)

This list was generated on Sat Sep 19 04:25:05 2020 UTC.