City Research Online

Alizadeh-Masoodian, A., Thanopoulou, H. & 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. & 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., Gerrard, R. J. G. & 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

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

Baltagi, B. H., Kao, C. & 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. & 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. & 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

Beck, T. & Behr, P. (2017). Individual versus Village Lending: Evidence from Montenegro. Review of Development Economics, 21(4), e67-e87. doi: 10.1111/rode.12308

Beck, T., Pamuk, H. & Uras, B.R. (2017). Entrepreneurial Saving Practices and Reinvestment: Theory and Evidence. Review of Development Economics, 21(4), pp. 1205-1228. doi: 10.1111/rode.12300

Blake, D., Caulfield, T., Ioannidis, C. & Tonks, I.view all authors (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. & Tonks, I.view all authors (2017). New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods. Journal of Financial and Quantitative Analysis, 52(3), pp. 1279-1299. doi: 10.1017/s0022109017000229

Blake, D. & Morales, M. (2017). Longevity Risk and Capital Markets: The 2014-15 Update. Journal Of Risk And Insurance, 84(S1), pp. 279-297. doi: 10.1111/jori.12213

Blake, D. ORCID: 0000-0002-2453-2090 & Roy, M. (2017). Greatest Good 2: Response to the Department for Work& Pensions Green Paper, Security and Sustainabilityin Defined Benefit Pension Scheme. London, UK: Pensions Institute, Cass Business School.

Bruche, M. & 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

Brun-Aguerre, R., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Greenwood-Nimmo, M. (2017). 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, 180(2), pp. 587-612. doi: 10.1111/rssa.12213

Brunovsky, P., Černý, A. & 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

Casu, B., Deng, B. & Ferrari, A. (2017). Post-crisis regulatory reforms and bank performance: lessons from Asia. European Journal of Finance, 23(15), pp. 1544-1571. doi: 10.1080/1351847x.2016.1177566

Chari, S., Balabanis, G., Robson, M.J. & Slater, S.view all authors (2017). Alignments and misalignments of realized marketing strategies with administrative systems: Performance implications. Industrial Marketing Management, 63(May 20), pp. 129-144. doi: 10.1016/j.indmarman.2016.11.002

Cho, C. H., Jung, J. H., Kwak, B. , Lee, J. & Yoo, C-Y.view all authors (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., Seaton, J., Smith, P. N. & Thomas, S.view all authors (2017). Reducing sequence risk using trend following and the CAPE ratio. Financial Analysts Journal, 73(4), pp. 91-103. doi: 10.2469/faj.v73.n4.5

Clare, A. ORCID: 0000-0002-4180-6778, Seaton, J., Smith, P. N. & Thomas, S. ORCID: 0000-0001-5438-4263view all authors (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

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

Curcio, D., De Simone, A. & 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. & 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. & Volpin, P. (2017). Employment Protection and Takeovers. Journal of Financial Economics, 125(2), pp. 369-388. doi: 10.1016/j.jfineco.2017.05.005

Falconieri, S. & Bennouri, M. (2017). 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

Favara, G., Morellec, E., Schroth, E. & Valta, P.view all authors (2017). Debt Enforcement, Investment, and Risk Taking Across Countries. Journal of Financial Economics, 123(1), pp. 22-41. doi: 10.1016/j.jfineco.2016.09.002

Fei, F., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & 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

Fosten, J. (2017). Confidence intervals in regressions with estimated factors and idiosyncratic components. Economics Letters, 157, pp. 71-74. doi: 10.1016/j.econlet.2017.05.034

Fosten, J. (2017). Model selection with estimated factors and idiosyncratic components. Journal of Applied Econometrics, 32(6), pp. 1087-1106. doi: 10.1002/jae.2567

Fosten, J. (2017). Revisiting Targeted Factors. Journal of Forecasting, 36(2), pp. 207-216. doi: 10.1002/for.2429

Fusai, G., Gambaro, A. & Casalini, R. (2017). Approximate Pricing of Swaptions in Affine and Quadratic Models. Quantitative Finance, 17(9), pp. 1325-1345. doi: 10.1080/14697688.2017.1292043

Fusai, G., Caldana, R. & Roncoroni, A. (2017). Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market. European Journal of Operational Research, 261(2), pp. 715-734. doi: 10.1016/j.ejor.2017.02.016

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

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

Hearn, B., Phylaktis, K. & 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. & 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

Hunt, A. & Blake, D. (2017). Modelling Mortality for Pension Schemes. ASTIN Bulletin, 47(2), pp. 601-629. doi: 10.1017/asb.2016.40

Inkmann, J., Blake, D. & Shi, Z. (2017). 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

Jensen, T., Lando, D. & 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. & Yoo, C.Y.view all authors (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

Karanasos, M., Koutroumpis, P., Hatgioannides, J. , Karanassou, M. & Sala, H.view all authors (2017). Seven Years of Austerity and the Greek Dra(ch)ma: Three Economists’ Views and a Comment. In: Bournakis, I., Tsoukis, C., Christopoulos, D. K. & Palivos, T.view all authors (Eds.), Political Economy Perspectives on the Greek Crisis: Debt, Austerity and Unemployment. (pp. 117-154). Cham, Switzerland: Palgrave Macmillan.

Keswani, A., Stolin, D. & Tran, A. (2017). Frenemies: how do financial firms vote on their own kind?. Management Science, 63(3), pp. 631-654. doi: 10.1287/mnsc.2015.2314

Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. & Andriosopoulos, K.view all authors (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

Larrain, B., Tapia, M. & 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. & 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

Maitra, P., Mitra, S., Mookherjee, D. , Motta, A. & Visaria, S. ORCID: 0000-0001-7406-4929view all authors (2017). Financing smallholder agriculture: An experiment with agent-intermediated microloans in India. Journal of Development Economics, 127, pp. 306-337. doi: 10.1016/j.jdeveco.2017.03.001

Marsh, I. W., Rincon-Aznar, A., Vecchione, M. & Venturini, F.view all authors (2017). We see ICT spillovers everywhere but in the econometric evidence: a reassessment. Industrial and Corporate Change, 26(6), pp. 1067-1088. doi: 10.1093/icc/dtx008

Menkhoff, L., Sarno, L., Schmeling, M. & Schrimpf, A.view all authors (2017). Currency Value. The Review of Financial Studies, 30(2), pp. 416-441. doi: 10.1093/rfs/hhw067

Moeller, S. & 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 & Appadu, N. (2017). M&A Attractiveness Index 2017. MARC Working Paper Series 2017.

Moeller, S., Appadu, N. & 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 & Skourikhine, S. (2017). M&A Attractiveness Index 2017: Russia: Count the Roubles Not the Politics. MARC Working Paper Series 2017.

Moeller, S., Vitkova, V. ORCID: 0000-0003-3137-6564 & 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. ORCID: 0000-0003-3137-6564, Xie, F. , Tian, S. & Abou Meri, A.view all authors (2017). Megatrends: New and Emerging Drivers of Deal Activity. (MARC Working Paper Series 2017).

Moss, A., Clare, A., Thomas, S. & Seaton, J.view all authors (2017). Can sector specific REIT strategies outperform a diversified benchmark?. Journal of European Real Estate Research, 10(3), pp. 366-383. doi: 10.1108/jerer-11-2016-0042

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

Novotny, J. & Urga, G. (2017). Testing for co-jumps in financial markets. Journal of Financial Econometrics, 16(1), pp. 118-128. doi: 10.1093/jjfinec/nbx028

Osborne, M., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Milne, A. (2017). In Good Times and in Bad: Bank Capital Ratios and Lending Rates. International Review of Financial Analysis, 51, pp. 102-112. doi: 10.1016/j.irfa.2016.02.005

Papapostolou, N. C., Pouliasis, P. K. & 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. & Fuertes, A-M. ORCID: 0000-0001-6468-9845view all authors (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. & 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. & 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. & Zinna, G. (2017). The market for lemmings: The herding behavior of pension funds. Journal of Financial Markets, 36, pp. 17-39. doi: 10.1016/j.finmar.2017.03.001

Sarwar, G., Mateus, C. & 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

Sarwar, G., Mateus, C. & Todorovic, N. (2017). US sector rotation with five-factor Fama–French alphas. Journal of Asset Management, 19(2), pp. 116-132. doi: 10.1057/s41260-017-0067-2

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

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

Urga, G., Bellavite Pellegrini, C. & Meoli, M. (2017). Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom. Finance Research Letters, 21, pp. 163-171. doi: 10.1016/j.frl.2017.02.002

Vitkova, V. ORCID: 0000-0003-3137-6564 & Moeller, S. ORCID: 0000-0001-5136-0004 (2017). 2017 Intralinks Annual M&A Leaks Report. Intralinks.

Vitkova, V. ORCID: 0000-0003-3137-6564 & Krsticevic, Z-L. (2017). The Goldilocks Effect: Industry-relatedness and M&A. (MARC Working Paper Series 2017).

Vitkova, V. ORCID: 0000-0003-3137-6564, Tian, S. & Sudarsanam, S. (2017). Let's Stay in Touch: The Carve-out Option for Conglomerates. (MARC Working Paper Series 2017).