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

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Number of items: 80.


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/

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

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.


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, 63(3), pp. 587-900. 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). Currency Value. The Review of Financial Studies, 30(2), pp. 416-441. doi: 10.1093/rfs/hhw067

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., 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


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

This list was generated on Fri Jan 24 04:24:26 2020 UTC.