City Research Online

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Accominotti, O., Cen, J., Chambers, D. & Marsh, I. W. ORCID: 0000-0002-0483-8658view all authors (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, pp. 20-40. 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, article number 104434. 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

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Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586, Loregian, A. & Perez, M. F.view all authors (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, Homanen, M. & Uras, B. R. (2019). 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. ORCID: 0000-0001-8382-2066, Ongena, S. & Şendeniz-Yüncü, İ. (2019). 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. ORCID: 0000-0001-8382-2066 & Gambacorta, L. (2019). New evidence on the effectiveness of macroprudential policies. Journal of Financial Intermediation, 42, article number 100834. doi: 10.1016/j.jfi.2019.100834

Bergamelli, M., Bianchi, A., Khalaf, L. & Urga, G.view all authors (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

Bilinski, P. ORCID: 0000-0002-0499-6429, Cumming, D, Hass, L. , Stathopoulos, K. & Walker, M.view all authors (2019). 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 & Michael, E. (2019). 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. (2019). Modelling Socio-Economic Differences in Mortality Using a New Affluence Index. ASTIN Bulletin - The Journal of the International Actuarial Association, 49(3), pp. 555-590. doi: 10.1017/asb.2019.14

Blake, D., Cairns, A. J. G., Dowd, K. & Kessler, A.R.view all authors (2019). Still living with mortality: The longevity risk transfer market after one decade. British Actuarial Journal, 24, article number 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.view all authors (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

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Cartea, A., Payne, R., Penalva, J. & Tapia, M.view all authors (2019). 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, di Pietro, F. & Trujillo-Ponce, A. (2019). Liquidity Creation and Bank Capital. Journal of Financial Services Research, 56(3), pp. 307-340. doi: 10.1007/s10693-018-0304-y

Chen, A., Haberman, S. & Thomas, S. (2019). Cumulative Prospect Theory and Deferred Annuities. Review of Behavioural Finance, 11(3), pp. 277-293. doi: 10.1108/rbf-10-2017-0102

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, O’Sullivan, N., Sherman, M. & Zhu, S.view all authors (2019). The Performance of US Bond Mutual Funds. International Review of Financial Analysis, 61, pp. 1-8. doi: 10.1016/j.irfa.2018.12.001

Cook, S. & Fosten, J. (2019). Replicating rockets and feathers. Energy Economics, 82, pp. 139-151. doi: 10.1016/j.eneco.2017.12.021

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: 0000-0001-6468-9845view all authors (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

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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.view all authors (2019). The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages. Economics Letters, 184, article number 108669. doi: 10.1016/j.econlet.2019.108669

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

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.

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.

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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.view all authors (2019). What Determines Fund Performance Persistence? International Evidence. Financial Review, 54(4), pp. 679-708. doi: 10.1111/fire.12202

Fosten, J. (2019). CO2 emissions and economic activity: A short-to-medium run perspective. Energy Economics, 83, pp. 415-429. doi: 10.1016/j.eneco.2019.07.015

Fratzscher, M., Gloede, O., Menkhoff, L. , Sarno, L. & Stoehr, T.view all authors (2019). When is Foreign Exchange Intervention Effective? Evidence from 33 Countries. American Economic Journal: Macroeconomics, 11(1), pp. 132-156. doi: 10.1257/mac.20150317

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, 98, article number 102066. doi: 10.1016/j.jimonfin.2019.102066

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Gambaro, A. M., Casalini, R., Fusai, G. ORCID: 0000-0001-9215-2586 & Ghilarducci, A.view all authors (2019). A market-consistent framework for the fair evaluation of insurance contracts under Solvency II. Decisions in Economics and Finance, 42(1), pp. 157-187. 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

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Hanke, B., Keswani, A. ORCID: 0000-0001-9096-7677, Quigley, G. , Stolin, D. & Zagonov, M.view all authors (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)

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Jung, J. H. ORCID: 0000-0002-1993-9419, Kumar, A., Lim, S. S. & Yoo, C-Y.view all authors (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

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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.

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Larrain, B., Sertsios, G. & Urzúa, F. ORCID: 0000-0003-4681-7684 (2019). 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. (2019). 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

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

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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, 20(1), pp. 15-30. doi: 10.1057/s41260-018-0101-z

Mateus, I. B., Mateus, C. & Todorovic, N. ORCID: 0000-0003-4875-623X (2019). 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

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

Moeller, S. ORCID: 0000-0001-5136-0004 (2019). SS&C Intralinks - 2019 M&A Leaks Report. Intralinks.

Moeller, S. ORCID: 0000-0001-5136-0004 (2019). Shareholder Activism: an evolving challenge. Credit Suisse.

Moutzouris, I. C. ORCID: 0000-0002-6954-9961 & 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

Moutzouris, I. C. ORCID: 0000-0002-6954-9961 & Nomikos, N. ORCID: 0000-0003-1621-2991 (2019). 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

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Phelan, C. E., Marazzina, D., Fusai, G. ORCID: 0000-0001-9215-2586 & Germano, G.view all authors (2019). Hilbert transform, spectral filters and option pricing. Annals of Operations Research, 282(1-2), pp. 273-298. doi: 10.1007/s10479-018-2881-4

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Raonic, I. ORCID: 0000-0003-2982-8445 & Sahin, A. (2019). Do analysts understand accruals’ persistence? Evidence revisited. Journal of Applied Accounting Research, 21(1), pp. 38-59. 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

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

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

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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.