Article

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

Alexeev, V., Urga, G. and 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. and 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

Ayyagari, M., Beck, T. ORCID: 0000-0001-8382-2066 and 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. and Zeineddine, R. (2019). Variable annuities in a Lévy-based hybrid model with surrender risk. Quantitative Finance, doi: 10.1080/14697688.2019.1687929

Banti, C. and 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 and 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. and 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

Blake, D. (2019). L13: Longevity Risk and Capital Markets: The 2017-18 Update. North American Actuarial Journal,

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. and 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. and MacMinn, R. (2019). Longevity Risk and Capital Markets: The 2016-17 Update. North American Actuarial Journal,

Bruyland, E., Lasfer, M. ORCID: 0000-0003-2338-672X, De Maeseneire, W. and 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. and 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. and Thomas, S. (2019). Cumulative Prospect Theory and Deferred Annuities. Review of Behavioural Finance,

Chen, A., Haberman, S. ORCID: 0000-0003-2269-9759 and 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 and 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. and Thomas, S. H. (2019). Can Sustainable Withdrawal Rates Be Enhanced by Trend Following?. International Journal of Finance and Economics, doi: 10.1002/ijfe.1774

D'Amato, A. and 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, Buckner, D. and 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., Cairns, A. J. G. and Blake, D. (2019). Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model. North American Actuarial Journal, doi: 10.1080/10920277.2019.1652102

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

Fernandez-Perez, A., Fuertes, A. ORCID: 0000-0001-6468-9845 and 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. and 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 and 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 and 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. and Konstantinidi, T. (2019). Where Is the Risk in Value? Evidence From a Market-to-Book Decomposition. The Journal of Finance, doi: 10.1111/jofi.12836

Hanke, B., Keswani, A. ORCID: 0000-0001-9096-7677, Quigley, G., Stolin, D. and 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. and 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

Henig, S., Tsolacos, S. and Nanda, A. (2019). Which sentiment indicators matter? An analysis of the European commercial real estate market. Journal of Real Estate Research,

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

Lausberg, C., Lee, S. ORCID: 0000-0003-1606-0625, Müller, M., Oertel, C. and 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 and 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

Liu, Y., Huang, Z. ORCID: 0000-0003-2280-3149, Jiang, L. and Williamson, M. (2019). Are Investors Warned by Disclosure of Conflicts of Interest? The Moderating Effect of Investment Horizon. The Accounting Review, doi: 10.2308/tar-2017-0284

Makinen, T., Sarno, L. ORCID: 0000-0003-1279-9748 and Zinna, G. (2019). Risky Bank Guarantees. Journal of Financial Economics, doi: 10.1016/j.jfineco.2019.10.005

Mateus, I., Mateus, C. and 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, doi: 10.1080/1351847X.2019.1581639

Mateus, I. B., Mateus, C. and 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

Mikkelsen, J. G., Hillebrand, E. and Urga, G. (2019). 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

Moutzouris, I. and 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. and 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 and 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 and Sahin, A. (2019). Do analysts understand accruals’ persistence? Evidence revisited. Journal of Applied Accounting Research,

Regli, F. and 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

Černý, A. ORCID: 0000-0001-5583-6516 and Melicherčík, I. (2019). Simple Explicit Formula for Near-Optimal Stochastic Lifestyling. European Journal of Operational Research, 284(2), pp. 769-778. doi: 10.1016/j.ejor.2019.12.032

Book Section

de Menezes, L. M. and Tamvakis, M. ORCID: 0000-0002-5056-0159 (2019). Electricity Market Integration. In: Soytas, U. and Sari, R. (Eds.), Handbook of Energy Economics. . Abingdon, UK: Routledge. ISBN 978-1138208254

Monograph

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

Dowd, K. and 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. and Fry, J. (2019). The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages (PI-1911). London, UK: Pensions Institute.

Dowd, K., Cairns, J. G. and 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.

Thesis

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

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

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)

Working Paper

Tian, S. and Tran, A. ORCID: 0000-0001-7090-8063 (2019). Cross-border Buyout Performance. City, University of London.

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

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