City Research Online

Article

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Conference or Workshop Item

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

Monograph

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

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

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

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

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

Report

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

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

Thesis

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

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

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

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

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

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)

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)

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

Working Paper

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

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

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

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

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