City Research Online

Items where Schools and Departments is "Finance" and Year is 2019

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Number of items: 55.

Accominotti, O., Cen, J., Chambers, D. & Marsh, I. W. ORCID: 0000-0002-0483-8658 (2019). Currency regimes and the carry trade. Journal of Financial and Quantitative Analysis, 54(5), pp. 2233-2260. doi: 10.1017/S002210901900019X

Alexeev, V., Urga, G. & Yao, W. (2019). Asymmetric jump beta estimation with implications for portfolio risk management. International Review of Economics and Finance, 62, doi: 10.1016/j.iref.2019.02.014

Alizadeh-Masoodian, A. ORCID: 0000-0003-1588-6214, Huang, C-Y. & Marsh, I. W. ORCID: 0000-0002-0483-8658 (2019). Modelling the Volatility of TOCOM Energy Futures: A Regime Switching Realised Volatility Approach. Energy Economics, doi: 10.1016/j.eneco.2019.06.019

Andrew, M. & Larceneux, F. (2019). The role of emotion in a housing purchase: An empirical analysis of the anatomy of satisfaction from off-plan apartment purchases in France. Environment and Planning A: Economy and Space, 51(6), pp. 1370-1388. doi: 10.1177/0308518X18817539

Ayyagari, M., Beck, T. ORCID: 0000-0001-8382-2066 & Hoseini, M. (2019). Finance, Law and Poverty: Evidence from India. Journal of Corporate Finance, 101515.. doi: 10.1016/j.jcorpfin.2019.101515

Ballotta, L. ORCID: 0000-0002-2059-6281, Eberlein, E., Schmidt, T. & Zeineddine, R. (2019). Variable annuities in a Lévy-based hybrid model with surrender risk. Quantitative Finance, doi: 10.1080/14697688.2019.1687929

Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586, Loregian, A. & Perez, M. F. (2019). Estimation of Multivariate Asset Models with Jumps. Journal of Financial and Quantitative Analysis, 54(5), pp. 2053-2083. doi: 10.1017/S0022109018001321

Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 & Marazzina, D. (2019). Integrated Structural Approach to Credit Value Adjustment. European Journal of Operational Research, 272(3), pp. 1143-1157. doi: 10.1016/j.ejor.2018.07.026

Banti, C. & Phylaktis, K. (2019). Global liquidity, house prices and policy responses. Journal of Financial Stability, 43, pp. 79-96. doi: 10.1016/j.jfs.2019.05.015

Beck, T. ORCID: 0000-0001-8382-2066 & Gambacorta, L. (2019). New evidence on the effectiveness of macroprudential policies. Journal of Financial Intermediation, doi: 10.1016/j.jfi.2019.100834

Bergamelli, M., Bianchi, A., Khalaf, L. & Urga, G. (2019). Combining P-values to Test for Multiple Structural Breaks in Cointegrated Regressions. Journal of Econometrics, 211(2), pp. 461-482. doi: 10.1016/j.jeconom.2019.01.013

Biagini, S. & Černý, A. ORCID: 0000-0001-5583-6516 (2019). Convex duality and Orlicz spaces in expected utility maximization. Mathematical Finance, 30(1), pp. 85-127. doi: 10.1111/mafi.12209

Blake, D. (2019). Modelling Socio-Economic Differences in Mortality Using a New Affluence Index. ASTIN Bulletin - The Journal of the International Actuarial Association, pp. 555-590. doi: 10.1017/asb.2019.14

Blake, D., Cairns, A. J. G., Dowd, K. & Kessler, A.R. (2019). Still living with mortality: The longevity risk transfer market after one decade. British Actuarial Journal, 24, e1. doi: 10.1017/S1357321718000314

Blake, D. ORCID: 0000-0002-2453-2090, Cannon, E. & Wright, I. D. (2019). Quantifying Loss Aversion: Evidence from a UK Population Survey (PI-1912). London, UK: Pensions Institute.

Bruyland, E., Lasfer, M. ORCID: 0000-0003-2338-672X, De Maeseneire, W. & Song, W. (2019). The Performance of Acquisitions by High Default Risk Bidders. Journal of Banking and Finance, 101, pp. 37-58. doi: 10.1016/j.jbankfin.2019.01.019

Buchuk, D., Larrain, B., Prem, M. & Urzúa, F. ORCID: 0000-0003-4681-7684 (2019). How Do Internal Capital Markets Work? Evidence from the Great Recession. Review of Finance, doi: 10.1093/rof/rfz022

Casu, B. ORCID: 0000-0003-3586-328X (2019). Board Diversity Reforms: Do they Matter for EU Bank Performance?. European Financial Management, doi: 10.1111/eufm.12238

Chen, A., Haberman, S. & Thomas, S. (2019). Cumulative Prospect Theory and Deferred Annuities. Review of Behavioural Finance,

Chen, A., Haberman, S. ORCID: 0000-0003-2269-9759 & Thomas, S. ORCID: 0000-0001-5438-4263 (2019). The implication of the hyperbolic discount model for annuitisation decisions. Journal of Pension Economics and Finance, doi: 10.1017/S1474747218000343

Clare, A. ORCID: 0000-0002-4180-6778 & Clare, M. (2019). An examination of ex ante fund performance: Identifying indicators of future performance. Journal of Asset Management, 20(3), pp. 175-195. doi: 10.1057/s41260-019-00118-4

Clare, A. ORCID: 0000-0002-4180-6778, Seaton, J., Smith, P. N. & Thomas, S. H. (2019). Can Sustainable Withdrawal Rates Be Enhanced by Trend Following?. International Journal of Finance and Economics, doi: 10.1002/ijfe.1774

Corvino, R. (2019). Essays in asset pricing and corporate finance. (Unpublished Doctoral thesis, City, University of London)

Crook, J., Bellotti, T., Mues, C. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2019). Preface to the papers on 'Credit risk modelling'. Journal of the Royal Statistical Society Series A, 182(4), pp. 1139-1142. doi: 10.1111/rssa.12525

D'Amato, A. & Gallo, A. ORCID: 0000-0002-8355-1689 (2019). Bank institutional setting and risk-taking: The missing role of directors’ education and turnover. Corporate Governance, 19(4), pp. 774-805. doi: 10.1108/CG-01-2019-0013

Dowd, K. & Blake, D. ORCID: 0000-0002-2453-2090 (2019). On the Projection of Mortality Rates to Extreme Old Age (PI-1909). London, UK: Pensions Institute.

Dowd, K., Blake, D. ORCID: 0000-0002-2453-2090, Buckner, D. & Fry, J. (2019). The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages. Economics Letters, 184, 108669.. doi: 10.1016/j.econlet.2019.108669

Dowd, K., Blake, D. ORCID: 0000-0002-2453-2090, Buckner, D. & Fry, J. (2019). The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages (PI-1911). London, UK: Pensions Institute.

Dowd, K., Cairns, A. J. G. & Blake, D. (2019). Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model. North American Actuarial Journal, 25(1), S170-S181. doi: 10.1080/10920277.2019.1652102

Dowd, K., Cairns, J. G. & Blake, D. ORCID: 0000-0002-2453-2090 (2019). A Simple Approach to Project Extreme Old Age Mortality Rates and Value Mortality-Related Financial Instruments (PI-1907). London, UK: Pensions Institute.

Fan, J. H., Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J. (2019). Speculative Pressure. Journal of Futures Markets, doi: 10.1002/fut.22085

Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J. (2019). A Comprehensive Appraisal of Style-Integration Methods. Journal of Banking and Finance, 105, pp. 134-150. doi: 10.1016/j.jbankfin.2019.05.016

Ferreira, M., Keswani, A. ORCID: 0000-0001-9096-7677, Miguel, A. F. & Ramos, S. (2019). What Determines Fund Performance Persistence? International Evidence. Financial Review, doi: 10.1111/fire.12202

Fuertes, A-M. ORCID: 0000-0001-6468-9845, Phylaktis, K. ORCID: 0000-0001-9392-1682 & Yan, C. (2019). Uncovered Equity “Disparity” in Emerging Markets. Journal of International Money and Finance, doi: 10.1016/j.jimonfin.2019.102066

Gambaro, A. M., Casalini, R., Fusai, G. ORCID: 0000-0001-9215-2586 & Ghilarducci, A. (2019). A market-consistent framework for the fair evaluation of insurance contracts under Solvency II. Decisions in Economics and Finance, doi: 10.1007/s10203-019-00242-1

Golubov, A. & Konstantinidi, T. (2019). Where Is the Risk in Value? Evidence From a Market-to-Book Decomposition. The Journal of Finance, 74(6), pp. 3135-3186. doi: 10.1111/jofi.12836

Hanke, B., Keswani, A. ORCID: 0000-0001-9096-7677, Quigley, G. , Stolin, D. & Zagonov, M. (2019). The equal-weight tilt in managed portfolios. Economics Letters, 182, pp. 59-63. doi: 10.1016/j.econlet.2019.06.003

Hatgioannides, J., Karanassou, M. & Sala, H. (2019). Should the Rich be Taxed More? The Fiscal Inequality Coefficient. Journal of Economic Issues, 53(3), pp. 879-887. doi: 10.1080/00213624.2019.1646624

Homanen, M. (2019). Conscious Capital. (Unpublished Doctoral thesis, City, University of London)

Jung, J. H. ORCID: 0000-0002-1993-9419, Kumar, A., Lim, S. S. & Yoo, C-Y. (2019). An Analyst by Any Other Surname: Surname Favorability and Market Reaction to Analyst Forecasts. Journal of Accounting and Economics, 67(2-3), pp. 306-335. doi: 10.1016/j.jacceco.2019.02.002

Keswani, A. ORCID: 0000-0001-9096-7677, Tran, A. ORCID: 0000-0001-7090-8063 & Volpin, P. ORCID: 0000-0002-9287-0972 (2019). Institutional Debt Holdings and Governance (613/2019). ECGI.

Lausberg, C., Lee, S. ORCID: 0000-0003-1606-0625, Müller, M. , Oertel, C. & Schultheiß, T. (2019). Risk measures for direct real estate investments with non-normal or unknown return distributions. Zeitschrift für Immobilienökonomie, doi: 10.1365/s41056-019-00028-x

Lim, K. G., Nomikos, N. ORCID: 0000-0003-1621-2991 & Yap, N. (2019). Understanding the fundamentals of freight markets volatility. Transportation Research Part E: Logistics and Transportation Review, 130, pp. 1-15. doi: 10.1016/j.tre.2019.08.003

Mateus, I., Mateus, C. & Todorovic, N. ORCID: 0000-0003-4875-623X (2019). Use of Active Peer Benchmarks in assessing UK mutual fund performance and performance persistence. The European Journal of Finance, 25(12), pp. 1077-1098. doi: 10.1080/1351847X.2019.1581639

Mateus, I. B., Mateus, C. & Todorovic, N. ORCID: 0000-0003-4875-623X (2019). Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks. Journal of Asset Management, doi: 10.1057/s41260-018-0101-z

Moutzouris, I. & Nomikos, N. ORCID: 0000-0003-1621-2991 (2019). Asset Pricing with Mean reversion: The Case of Ships. Journal of Banking and Finance, 111, 105708.. doi: 10.1016/j.jbankfin.2019.105708

Moutzouris, I. & Nomikos, N. ORCID: 0000-0003-1621-2991 (2019). Earnings Yield and Predictability in the Dry Bulk Shipping Industry. Transportation Research Part E: Logistics and Transportation Review, 125, pp. 140-159. doi: 10.1016/j.tre.2019.03.009

Pouliasis, P. K. ORCID: 0000-0002-7389-3722, Visvikis, I.D., Papapostolou, N. C. ORCID: 0000-0003-4529-1182 & Kryukov, A. A. (2019). A Novel Risk Management Framework for Natural Gas Markets. Journal of Futures Markets, doi: 10.1002/fut.22067

Raonic, I. ORCID: 0000-0003-2982-8445 & Sahin, A. (2019). Do analysts understand accruals’ persistence? Evidence revisited. Journal of Applied Accounting Research, doi: 10.1108/JAAR-07-2018-0103

Regli, F. & Nomikos, N. ORCID: 0000-0003-1621-2991 (2019). The Eye in the Sky - Freight Rate Effects of Tanker Supply. Transportation Research Part E: Logistics and Transportation Review, 125, pp. 402-424. doi: 10.1016/j.tre.2019.03.015

Wandhofer, Ruth (2019). Technology Innovation in Financial Markets: Implications for Money, Payments and Settlement Finality. (Unpublished Doctoral thesis, City, University of London)

Zhu, Xingchen (2019). Essays on information and corporate finance. (Unpublished Doctoral thesis, City, University of London)

de Menezes, L. M. & Tamvakis, M. ORCID: 0000-0002-5056-0159 (2019). Electricity Market Integration. In: Soytas, U. & Sari, R. (Eds.), Handbook of Energy Economics. . Abingdon, UK: Routledge.

Černý, A. & Melicherčík, I. (2019). Simple Explicit Formula for Near-Optimal Stochastic Lifestyling. City, University of London.

Černý, A. & Ruf, J. (2019). Pure-jump semimartingales. City, University of London.

This list was generated on Wed Jul 6 04:29:49 2022 UTC.