City Research Online

Items where Schools and Departments is "Finance" and Year is 2017

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Number of items: 76.

Abouarghoub, W., Nomikos, N. and Petropoulos, F. (2017). On reconciling macro and micro energy transport forecasts for strategic decision making in the tanker industry. Transportation Research Part E: Logistics and Transportation Review, doi: 10.1016/j.tre.2017.10.012

Alizadeh-Masoodian, A., Thanopoulou, H. and 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. and 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., Deelstra, G. and 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 and Fusai, G. ORCID: 0000-0001-9215-2586 (2017). A Gentle Introduction to Value at Risk (10.2139/ssrn.2942138). SSRN Working Paper Series.

Ballotta, L., Gerrard, R. J. G. and 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

Baltagi, B. H., Kao, C. and 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. and 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. and 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

Baudot, L., Demek, K. and Huang, Z. (2017). The Accounting Profession’s Engagement with Accounting Standards: Conceptualizing Accounting Complexity through Big 4 Comment Letters. Auditing: A Journal of Practice and Theory, doi: 10.2308/ajpt-51898

Beck, T. and Behr, P. (2017). Individual versus Village Lending: Evidence from Montenegro. Review of Development Economics, doi: 10.1111/rode.12308

Beck, T., Ioannidou, V. and Schaefer, L. (2017). Foreigners vs. Natives: Bank Lending Technologies and Loan Pricing. Management Science, doi: 10.1287/mnsc.2016.2706

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

Bessler, W., Blake, D., Lückoff, P. and Tonks, I. (2017). Fund Flows, Manager Changes, and Performance Persistence*. Review of Finance, doi: 10.1093/rof/rfx017

Blake, D., Caulfield, T., Ioannidis, C. and Tonks, I. (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. and Tonks, I. (2017). New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods. Journal of Financial and Quantitative Analysis, pp. 1-21. doi: 10.1017/S0022109017000229

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

Bruche, M. and 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

Brunovsky, P., Černý, A. and 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

Cho, C. H., Jung, J. H., Kwak, B., Lee, J. and Yoo, C-Y. (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. ORCID: 0000-0002-4180-6778, Seaton, J., Smith, P. N. and Thomas, S. ORCID: 0000-0001-5438-4263 (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

Clare, A., Thomas, S., Smith, P. N. and Seaton, J. (2017). Reducing sequence risk using trend following and the CAPE ratio. Financial Analysts Journal, doi: 10.2469/faj.v73.n4.5

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

Curcio, D., De Simone, A. and 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/

D'Amato, A. and 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. and Volpin, P. (2017). Employment Protection and Takeovers. Journal of Financial Economics, 125(2), pp. 369-388.

Fei, F., Fuertes, A. and 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

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

Fusai, G., Gambaro, A. and Casalini, R. (2017). Approximate Pricing of Swaptions in Affine and Quadratic Models. Quantitative Finance, doi: 10.1080/14697688.2017.1292043

Gambaro, A. M., Casalini, R., Fusai, G. and Ghilarducci, A. (2017). Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. Insurance: Mathematics and Economics, doi: 10.1016/j.insmatheco.2017.10.005

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

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

Hearn, B., Phylaktis, K. and 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. and 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

Hoesli, M., Milcheva, S. and Moss, A. (2017). Is Financial Regulation Good or Bad for Real Estate Companies? – An Event Study. Journal of Real Estate Finance and Economics, doi: 10.1007/s11146-017-9634-z

Hoque, K., Wass, V., Bacon, N. and Jones, M. (2017). Are High Performance Work Practices (HPWPs) enabling or disabling? Exploring the relationship between selected HPWPs and work-related disability disadvantage. Human Resource Management, doi: 10.1002/hrm.21881

Hunt, A. and Blake, D. (2017). Identifiability, cointegration and the gravity model. Insurance: Mathematics and Economics, doi: 10.1016/j.insmatheco.2017.09.014

Hunt, A. and Blake, D. (2017). Modelling Mortality for Pension Schemes. ASTIN Bulletin, doi: 10.1017/asb.2016.40

Jensen, T., Lando, D. and 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. and Yoo, C.Y. (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

Karimalis, E. and Nomikos, N. (2017). Measuring Systemic Risk in the European Banking Sector: A copula CoVar approach. European Journal of Finance, doi: 10.1080/1351847X.2017.1366350

Karouzakis, N., Hatgioannides, J. and Andriosopoulos, C. (2017). Convexity Adjustment for Constant maturity Swaps in a Multi-Curve Framework. Annals of Operations Research, doi: 10.1007/s10479-017-2430-6

Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. and Andriosopoulos, K. (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

Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. and Nomikos, N. (2017). Income Uncertainty and the Decision to Invest in Bulk Shipping. European Financial Management, doi: 10.1111/eufm.12132

Larrain, B., Tapia, M. and 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. and 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

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

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

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

Moeller, S., Vitkova, V. and 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., Xie, F., Tian, S. and Abou Meri, A. (2017). Megatrends: New and Emerging Drivers of Deal Activity. (MARC Working Paper Series 2017).

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

Moss, A., Clare, A., Thomas, S. and Seaton, J. (2017). Can sector specific REIT strategies outperform a diversified benchmark?. Journal of European Real Estate Research, doi: 10.1108/JERER-11-2016-0042

Novotny, J. and Urga, G. (2017). Testing for co-jumps in financial markets. Journal of Financial Econometrics, doi: 10.1093/jjfinec/nbx028

Otto, C.A. and Volpin, P. (2017). Marking to Market and Inefficient Investment Decisions. Management Science, doi: 10.1287/mnsc.2016.2696

Papapostolou, N. C., Pouliasis, P. K. and 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. and Fuertes, A. (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. and 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. and 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. and Zinna, G. (2017). The market for lemmings: The herding behavior of pension funds. Journal of Financial Markets, doi: 10.1016/j.finmar.2017.03.001

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

Sarwar, G., Mateus, C. and 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

Schröder, D. and Yim, A. (2017). Industry Effects on Firm and Segment Profitability Forecasting. Contemporary Accounting Research, doi: 10.1111/1911-3846.12361

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

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

Trapani, L. (2017). A randomised sequential procedure to determine the number of factors. Journal of the American Statistical Association, doi: 10.1080/01621459.2017.1328359

Urga, G., Bellavite Pellegrini, C. and Meoli, M. (2017). Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom. Finance Research Letters, doi: 10.1016/

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

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

This list was generated on Sat Sep 19 04:25:08 2020 UTC.