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Items where Schools and Departments is "Finance" and Year is 2016

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Number of items: 91.

Abbassi, P., Iyer, R., Peydró, J.L. & 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. & 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-M. ORCID: 0000-0001-6468-9845 & 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. & 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. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (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. & 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. & 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. & 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. & 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 & 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. & 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. & 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. & Wagner, W. (2016). Supranational Supervision - How Much and for Whom?. International Journal of Central Banking, 12(2), pp. 221-268.

Belvisi, M, Pianeti, R & 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. & 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)

Berger, A. N., Frame, W. S. & Ioannidou, V. ORCID: 0000-0002-7996-2346 (2016). Reexamining the empirical relation between loan risk and collateral: The roles of collateral liquidity and types. Journal of Financial Intermediation, 26, pp. 28-46. doi: 10.1016/j.jfi.2015.11.002

Blake, D. ORCID: 0000-0002-2453-2090 (2016). Chapter 1: Introduction from “We Need a National Narrative: Building a Consensus around Retirement Income”, the Report of the Independent Review of Retirement Income. In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.), We Need a National Narrative: Building a Consensus around Retirement Income. (pp. 29-60). London, UK: Independent Review of Retirement Income.

Blake, D. ORCID: 0000-0002-2453-2090 (2016). Chapter 2: How to ensure that savers can get the best products in retirement. In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.), We Need a National Narrative: Building a Consensus around Retirement Income. (pp. 61-198). London, UK: Independent Review of Retirement Income.

Blake, D. ORCID: 0000-0002-2453-2090 (2016). Chapter 3: Supporting savers to make the right choice at retirement for them and their family and how to build on the lessons of auto-enrolment. In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.), We Need a National Narrative: Building a Consensus around Retirement Income. (pp. 199-436). London, UK: Independent Review of Retirement Income.

Blake, D. ORCID: 0000-0002-2453-2090 (2016). Chapter 4: Helping savers to manage longevity risk. In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.), We Need a National Narrative: Building a Consensus around Retirement Income. (pp. 437-468). London, UK: Independent Review of Retirement Income.

Blake, D. ORCID: 0000-0002-2453-2090 (2016). Chapter 5: The role of the National Employment Savings Trust in helping savers to access good quality retirement products. In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.), We Need a National Narrative: Building a Consensus around Retirement Income. (pp. 469-490). London, UK: Independent Review of Retirement Income.

Blake, D. ORCID: 0000-0002-2453-2090 (2016). Chapter 6: The role of collective pension schemes and how these could be introduced in the UK. In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.), We Need a National Narrative: Building a Consensus around Retirement Income. (pp. 491-538). London, UK: Independent Review of Retirement Income.

Blake, D. ORCID: 0000-0002-2453-2090 (2016). Chapter 7: Conclusion: Developing a National Narrative. In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.), We Need a National Narrative: Building a Consensus around Retirement Income. (pp. 539-595). London, UK: Independent Review of Retirement Income.

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

Boffelli, S., Skintzi, V. D. & 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-M. ORCID: 0000-0001-6468-9845 & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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

Degryse, H., Ioannidou, V. ORCID: 0000-0002-7996-2346 & Von Schedvin, E. (2016). On the nonexclusivity of loan contracts: An empirical investigation. Management Science, 62(12), doi: 10.1287/mnsc.2015.2277

Della Corte, P., Ramadorai, T. & 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. & 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. & 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. & 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. & 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. & 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. ORCID: 0000-0001-6468-9845 & 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-M. ORCID: 0000-0001-6468-9845 & Miffre, J. (2016). Commodity Markets, Long-Run Predictability and Intertemporal Pricing. Review of Finance, doi: 10.1093/rof/rfw034

Fuertes, A-M. ORCID: 0000-0001-6468-9845 & 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. & 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. (2016). Reforming UK Venture Capital Trusts. SSRN.

Hayley, S. & 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. & 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. & 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

Hunt, A. & Blake, D. ORCID: 0000-0002-2453-2090 (2016). Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies (PI-1602). London, UK: Pensions Institute.

Hunt, A. & Blake, D. ORCID: 0000-0002-2453-2090 (2016). The Good, the Bad and the Healthy: The Medical Underwriting Revolution in the Defined Benefit De-Risking Market. London, UK: Pensions Institute; Cass Business School, ISSN 1367-580X.

Keswani, A., Stolin, D. & Tran, A. (2016). Frenemies: how do financial firms vote on their own kind?. Management Science, 63(3), pp. 587-900. doi: 10.1287/mnsc.2015.2314

Konstantinidi, T. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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. & 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-M. ORCID: 0000-0001-6468-9845 & 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. & 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. & 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. & 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., Schneider, P. & 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. & 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. & 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. & Corley, A. (2016). Base Metals Inventories and their Influence on Futures Markets. SRIC Foundation.

Tamvakis, M. & 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. & 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. & 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. & 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. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (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. & 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. & 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 & Papapantoleon, A (Eds.), UNSPECIFIED (pp. 257-275). Springer. ISBN 3319458736 doi: 10.1007/978-3-319-45875-5_12

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