City Research Online

Article

Adland, R. & Alizadeh-Masoodian, A. ORCID: 0000-0003-1588-6214 (2018). Explaining price differences between physical and derivative freight contracts. Transportation Research Part E: Logistics and Transportation Review, 118, pp. 20-33. doi: 10.1016/j.tre.2018.07.002

Afonin, A., Bredin, D., Cuthbertson, K. ORCID: 0000-0003-2004-2630 , Muckley, C. B. & Nitzsche, D.view all authors (2018). Carbon portfolio management. International Journal of Finance and Economics, 23(4), pp. 349-361. doi: 10.1002/ijfe.1620

Ahrends, M., Drobetz, W. & Nomikos, N. ORCID: 0000-0003-1621-2991 (2018). Corporate Cash Holdings in the Shipping Industry. Transportation Research Part E: Logistics and Transportation Review, 112, pp. 107-124. doi: 10.1016/j.tre.2017.10.016

Audzeyeva, A. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2018). On the predictability of emerging market sovereign credit spreads. Journal of International Money and Finance, 88, pp. 140-157. doi: 10.1016/j.jimonfin.2018.07.005

Beck, T., Behr, P. & Madestam, A. (2018). Sex and credit: Do gender interactions matter for credit market outcomes?. Journal of Banking and Finance, 87, pp. 380-396. doi: 10.1016/j.jbankfin.2017.10.018

Beck, T., Degryse, H., De Haas, R. & Van Horen, N.view all authors (2018). When Arm’s Length Is Too Far. Relationship Banking over the Credit Cycle. Journal of Financial Economics, 127(1), pp. 174-196. doi: 10.1016/j.jfineco.2017.11.007

Beck, T. ORCID: 0000-0001-8382-2066, Homanen, M. & Uras, B. R. (2018). Finance and Demand for Skill: Evidence from Uganda. Journal of Development Studies, 55(12), pp. 2495-2512. doi: 10.1080/00220388.2018.1539477

Beck, T., Ioannidou, V. & Schaefer, L. (2018). Foreigners vs. Natives: Bank Lending Technologies and Loan Pricing. Management Science, 64(8), pp. 3792-3820. doi: 10.1287/mnsc.2016.2706

Beck, T. ORCID: 0000-0001-8382-2066, Ongena, S. & Şendeniz-Yüncü, İ. (2018). Keep walking? Geographical proximity, religion, and relationship banking. Journal of Corporate Finance, 55, pp. 49-68. doi: 10.1016/j.jcorpfin.2018.07.005

Beck, T., Uras, B. R., Ramrattan, R & Pamuk, H.view all authors (2018). Payment instruments, finance and development. Journal of Development Economics, 133, pp. 162-186. doi: 10.1016/j.jdeveco.2018.01.005

Bessler, W., Blake, D., Lückoff, P. & Tonks, I.view all authors (2018). Fund Flows, Manager Changes, and Performance Persistence. Review of Finance, 22(5), pp. 1911-1947. doi: 10.1093/rof/rfx017

Bilinski, P. ORCID: 0000-0002-0499-6429, Cumming, D, Hass, L. , Stathopoulos, K. & Walker, M.view all authors (2018). Strategic distortions in analyst forecasts in the presence of short-term institutional investors. Accounting and Business Research, 49(3), pp. 305-341. doi: 10.1080/00014788.2018.1510303

Bilinski, P. ORCID: 0000-0002-0499-6429 & Lyssimachou, D. (2018). Dividend Guidance to Manage Analyst Dividend Expectations. International Review of Financial Analysis, 60, pp. 53-68. doi: 10.1016/j.irfa.2018.08.013

Bilinski, P. ORCID: 0000-0002-0499-6429 & Michael, E. (2018). Analyst Revenue Forecast Reporting and the Quality of Revenues and Expenses. Journal of Business Finance and Accounting, 46(1-2), pp. 136-158. doi: 10.1111/jbfa.12355

Blake, D. (2018). Longevity: A New Asset Class. Journal of Asset Management, 19(5), pp. 278-300. doi: 10.1057/s41260-018-0084-9

Blake, D., El Karoui, N., Loisel, S. & MacMinn, R.view all authors (2018). Longevity Risk and Capital Markets: The 2015-16 Update. Insurance: Mathematics and Economics, 78, pp. 157-173. doi: 10.1016/j.insmatheco.2017.10.002

Bragoli, D. & Fosten, J. (2018). Nowcasting Indian GDP. Oxford Bulletin of Economics and Statistics, 80(2), pp. 259-282. doi: 10.1111/obes.12219

Brunovsky, P., Černý, A. & Komadel, J. (2018). Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions. European Journal of Operational Research, 264(3), pp. 1159-1171. doi: 10.1016/j.ejor.2017.07.054

Cartea, A., Payne, R., Penalva, J. & Tapia, M.view all authors (2018). Ultra-Fast Activity and Intraday Market Quality. Journal of Banking and Finance, 99, pp. 157-181. doi: 10.1016/j.jbankfin.2018.12.003

Casu, B. ORCID: 0000-0003-3586-328X, Arnaboldi, F., Kalotychou, E. & Sarkisyan, A.view all authors (2018). The performance effects of board heterogeneity: What works for EU banks?. European Journal of Finance, 26(10), pp. 897-924. doi: 10.1080/1351847x.2018.1479719

Casu, B. ORCID: 0000-0003-3586-328X, di Pietro, F. & Trujillo-Ponce, A. (2018). Liquidity Creation and Bank Capital. Journal of Financial Services Research, 56(3), pp. 307-340. doi: 10.1007/s10693-018-0304-y

Clare, A. ORCID: 0000-0002-4180-6778, O’Sullivan, N., Sherman, M. & Zhu, S.view all authors (2018). The Performance of US Bond Mutual Funds. International Review of Financial Analysis, 61, pp. 1-8. doi: 10.1016/j.irfa.2018.12.001

Cucinelli, D., Di Battista, M. L., Marchese, M. & Nieri, L.view all authors (2018). Credit risk in European banks: The bright side of the internal ratings based approach. Journal of Banking & Finance, 93, pp. 213-229. doi: 10.1016/j.jbankfin.2018.06.014

Cuthbertson, K. & Beckmann, J. (2018). Special issue of applied economics on ‘Finance and the real economy’. Applied Economics, 50(34-35), pp. 3645-3646. doi: 10.1080/00036846.2018.1436143

Falconieri, S. & Tastan, M. (2018). The Role of Admission Documents on the Pricing of UK Fixed Priced IPOs. Economics Letters, 173, pp. 44-46. doi: 10.1016/j.econlet.2018.09.007

Fernandez-Perez, A., Frijns, B., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J.view all authors (2018). The Skewness of Commodity Futures Returns. Journal of Banking and Finance, 86, pp. 143-158. doi: 10.1016/j.jbankfin.2017.06.015

Ferrari, C., Marchese, M. & Tei, A. (2018). Shipbuilding and economic cycles: a non-linear econometric approach. Maritime Business Review, 3(2), pp. 112-127. doi: 10.1108/mabr-01-2018-0002

Ferreira, D., Ferreira, M. & Mariano, B. (2018). Creditor Control Rights and Board Independence. Journal of Finance, 73(5), pp. 2385-2423. doi: 10.1111/jofi.12692

Fratzscher, M., Gloede, O., Menkhoff, L. , Sarno, L. & Stoehr, T.view all authors (2018). When is Foreign Exchange Intervention Effective? Evidence from 33 Countries. American Economic Journal: Macroeconomics, 11(1), pp. 132-156. doi: 10.1257/mac.20150317

Gietzmann, M., Isidro, H. & Raonic, I. (2018). Vulture Funds and the Fresh Start Accounting Value of Firms Emerging from Bankruptcy. Journal of Business Finance and Accounting, 45(3-4), pp. 410-436. doi: 10.1111/jbfa.12303

Hatgioannides, J., Karanassou, M, Sala, H , Karanasos, M. G. & Koutroumpis, P.view all authors (2018). The Legacy of a Fractured Eurozone: The Greek Dra(ch)ma. Geoforum, 93, pp. 11-21. doi: 10.1016/j.geoforum.2018.04.019

Hoque, K., Wass, V., Bacon, N. & Jones, M.view all authors (2018). Are High Performance Work Practices (HPWPs) enabling or disabling? Exploring the relationship between selected HPWPs and work-related disability disadvantage. Human Resource Management, 57(2), pp. 499-513. doi: 10.1002/hrm.21881

Kao, C., Trapani, L. & Urga, G. (2018). Testing for instability in covariance structures. Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, 24(1), pp. 740-771. doi: 10.3150/16-bej894

Kim, K-M., Kim, G. & Tsolacos, S. (2018). How does liquidity in the financial market affect the real estate market yields?. Journal of Property Investment & Finance, 37(1), pp. 2-19. doi: 10.1108/jpif-03-2018-0020

Kraft, A., Vashishtha, R. & Venkatachalam, M. (2018). Frequent Financial Reporting and Managerial Myopia. Accounting Review, 93(2), pp. 249-275. doi: 10.2308/accr-51838

Larrain, B., Sertsios, G. & Urzúa, F. ORCID: 0000-0003-4681-7684 (2018). The Effects of Losing a Business Group Affiliation. The Review of Financial Studies, 32(8), pp. 3036-3074. doi: 10.1093/rfs/hhy120

Lasfer, M. ORCID: 0000-0003-2338-672X & Kashefi Pour, E. (2018). Taxes, Governance, and Debt Maturity Structure: International Evidence. Journal of International Financial Markets, Institutions and Money, 58, pp. 136-161. doi: 10.1016/j.intfin.2018.09.011

Mateus, I. B., Mateus, C. & Todorovic, N. ORCID: 0000-0003-4875-623X (2018). Review of new trends in the literature on factor models and mutual fund performance. International Review of Financial Analysis, 63, pp. 344-354. doi: 10.1016/j.irfa.2018.12.012

Maxim, Z., Garrett, Q., Bernd, H. & Keswani, A. ORCID: 0000-0001-9096-7677view all authors (2018). Survivorship bias and comparability of UK open-ended fund databases. Economics Letters, 172, pp. 110-114. doi: 10.1016/j.econlet.2018.08.027

Mikkelsen, J. G., Hillebrand, E. & Urga, G. (2018). Consistent Estimation of Time-Varying Loadings in High-Dimensional Factor Models. Journal of Econometrics, 208(2), pp. 535-562. doi: 10.1016/j.jeconom.2018.09.020

Mitra, S., Mookherjee, D., Torero, M. & Visaria, S. ORCID: 0000-0001-7406-4929view all authors (2018). Asymmetric Information and Middleman Margins: An Experiment with Indian Potato Farmers. The Review of Economics and Statistics, 100(1), pp. 1-13. doi: 10.1162/rest_a_00699

Moutzouris, I. C. ORCID: 0000-0002-6954-9961 & Nomikos, N. ORCID: 0000-0003-1621-2991 (2018). The Formation of FFA Rates in Dry Bulk Shipping: Spot Rates, Risk Premia and Heterogeneous Expectations. Journal of Futures Markets, 39(8), pp. 1008-1031. doi: 10.1002/fut.21980

Novak, J. & Bilinski, P. ORCID: 0000-0002-0499-6429 (2018). Social stigma and executive compensation. Journal of Banking and Finance, 96, pp. 169-184. doi: 10.1016/j.jbankfin.2018.09.003

Otto, C.A. & Volpin, P. (2018). Marking to Market and Inefficient Investment Decisions. Management Science, 64(8), pp. 3756-3771. doi: 10.1287/mnsc.2016.2696

Pellegrini, C. B., Meoli, M., Pellegrini, L. & Urga, G.view all authors (2018). Systemic risk determinants in the European banking industry during financial crises, 2006-2012. Rivista Internazionale di Scienze Sociali, 2018(2), pp. 109-122. doi: 10.26350/000518-000009

Phelan, C. E., Marazzina, D., Fusai, G. ORCID: 0000-0001-9215-2586 & Germano, G.view all authors (2018). Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. European Journal of Operational Research, 271(1), pp. 210-223. doi: 10.1016/j.ejor.2018.04.016

Phelan, C. E., Marazzina, D., Fusai, G. ORCID: 0000-0001-9215-2586 & Germano, G.view all authors (2018). Hilbert transform, spectral filters and option pricing. Annals of Operations Research, 282(1-2), pp. 273-298. doi: 10.1007/s10479-018-2881-4

Pouliasis, P. K. ORCID: 0000-0002-7389-3722 & Papapostolou, N. C. ORCID: 0000-0003-4529-1182 (2018). Volatility and Correlation Timing: The Role of Commodities. Journal of Futures Markets, 38(11), pp. 1407-1439. doi: 10.1002/fut.21939

Pouliasis, P. K. ORCID: 0000-0002-7389-3722, Papapostolou, N. C. ORCID: 0000-0003-4529-1182, Kyriakou, I. ORCID: 0000-0001-9592-596X & Visvikis, I.D.view all authors (2018). Shipping equity risk behavior and portfolio management. Transportation Research Part A: Policy and Practice, 116, pp. 178-200. doi: 10.1016/j.tra.2018.06.016

Rabinovich, J. ORCID: 0000-0002-9175-0848 (2018). Grupos locales y acumulación de capital en el sector de electrónica de consumo en Argentina (2003-2014). Apuntes del Cenes, 37(65), pp. 247-286. doi: 10.19053/01203053.v37.n65.2018.5899

Rossi, A. G., Blake, D., Timmermann, A. , Tonks, I. & Wermers, R.view all authors (2018). Network Centrality and Delegated Investment Performance. Journal of Financial Economics, 128(1), pp. 183-206. doi: 10.1016/j.jfineco.2018.02.003

Sarwar, G., Mateus, C. & Todorovic, N. ORCID: 0000-0003-4875-623X (2018). A guide to survival of momentum in UK style portfolios. International Journal of Banking, Accounting and Finance, 9(2), pp. 192-224. doi: 10.1504/ijbaaf.2018.092134

Schröder, D. & Yim, A. (2018). Industry Effects on Firm and Segment Profitability Forecasting. Contemporary Accounting Research, 35(4), pp. 2106-2130. doi: 10.1111/1911-3846.12361

Trapani, L. (2018). A randomised sequential procedure to determine the number of factors. Journal of the American Statistical Association, 113(523), pp. 1341-1349. doi: 10.1080/01621459.2017.1328359

Urga, G. & Mogliani, M. (2018). On the instability of long-run money demand and the welfare cost of inflation in the U.S.. Journal of Money, Credit and Banking, 50(7), pp. 1645-1660. doi: 10.1111/jmcb.12480

Wu, Y. & Li, Y. (2018). Impact of government intervention in the housing market: evidence from the housing purchase restriction policy in China. Applied Economics, 50(6), pp. 691-705. doi: 10.1080/00036846.2017.1340569

Wu, Y. & Lux, N. (2018). U.K. House Prices: Bubbles or Market Efficiency? Evidence from Regional Analysis. Journal of Risk and Financial Management, 11(3), article number 54. doi: 10.3390/jrfm11030054

Xiao, X. ORCID: 0000-0002-0564-9795 & Zhou, C. (2018). The decomposition of jump risks in individual stock returns. Journal of Empirical Finance, 47, pp. 207-228. doi: 10.1016/j.jempfin.2018.04.002

Yin, C., Ward, C. & Tsolacos, S. (2018). Motivated monitoring: The importance of the institutional investment horizon. International Review of Financial Analysis, 60, pp. 197-212. doi: 10.1016/j.irfa.2018.08.011

Book Section

Tamvakis, M. (2018). From Chicago to Shanghai and Dalian: Apprehending the Future of Chinese Commodity Derivative Markets. In: Jégourel, Y. (Ed.), The Financialization of Commodity Markets: A Short-lived Phenomenon? (pp. 125-147). Rabat, Morocco: OCP Policy Centre.

Monograph

Blake, D. ORCID: 0000-0002-2453-2090 (2018). Longevity: A New Asset Class (PI-1805). London, UK: Pensions Institute.

Blake, D. ORCID: 0000-0002-2453-2090, Cairns, A., Dowd, K. & Kessler, A.R.view all authors (2018). Still Living with Mortality: The Longevity Risk Transfer Market after One Decade (PI-1804). London, UK: Pensions Institute.

Report

Blake, D. (2018). Brexit and the City. London: City, University of London.

Blake, D. ORCID: 0000-0002-2453-2090 & Roy, M. (2018). Bringing Black Box Thinking to the Pensions Industry. London, UK: Pensions Institute; Cass Business School, ISSN 1367-580X.

Thesis

Baeckström, Y. (2018). Wealthy investors and financial advisors perceptual variations, portfolio recommendations and gender differences. (Unpublished Doctoral thesis, City, University of London)

Borghi, R. W. (2018). Essays on liquidity commonality in equity markets. (Unpublished Doctoral thesis, City, University of London)

Silva, A. F. (2018). Essays on Financial Intermediation. (Unpublished Doctoral thesis, City, University of London)

Tian, Siyang (2018). Essays in empirical corporate finance. (Unpublished Doctoral thesis, City, University of London)

Working Paper

Ballotta, L. ORCID: 0000-0002-2059-6281 & Fusai, G. ORCID: 0000-0001-9215-2586 (2018). Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction (10.2139/ssrn.3183712). SSRN Working Paper Series.

Bilinski, P. ORCID: 0000-0002-0499-6429 & Yim, A. ORCID: 0000-0002-8063-6572 (2018). Knowledge Spillover and Accounting Firms’ Competitive Strength in the M&A Advisory Market (10.2139/ssrn.2695819). .

Blake, D. (2018). Target2: The silent bailout system that keeps the Euro afloat. London: City, University of London.

Corvino, R. (2018). Dynamic Ownership, Private Benefits, and Stock Prices. .

Corvino, R. & Francesco, R. (2018). The Relative Pricing of Sovereign Credit Risk After the Eurozone Crisis. .

Corvino, R. & Fusai, G. (2018). Default risk premium in credit and equity markets. .

Hayley, S. (2018). Further Biases in Using Dollar-Weighted Returns to Infer Investment Timing Effects. SSRN.

Tran, A. & Chbihi, R. (2018). Cross-Fertilising in Cross-sector Deals: The Value of Industry Experience of Target Firms’ CEOs. (MARC Working Paper Series 2018).

Vitkova, V., Golubov, A. & Lasfer, M. (2018). Are they Listening? An M&A Approach to Dividend Catering. (MARC Working Paper Series 2018).

Vitkova, V. & Rosenberg, M. (2018). Playing the long game: Do certain financial advisors in the UK bring longer term value to the M&A table?. (MARC Working Paper Series 2018).

Vitkova, V. & Tian, S. (2018). How, and when, to catch a falling knife: The Benefits, Risks, and Timing Issues Around Distressed M&A. (MARC Working Paper Series 2018).

Vitkova, V., Tian, S. & Sudarsanam, S. (2018). Allocative Efficiency of Internal Capital Markets: Evidence from Equity Carve-outs by Diversified Firms. .