City Research Online

Article

Aftab, M., Ahmad, R., Ismail, I. & Phylaktis, K. ORCID: 0000-0001-9392-1682view all authors (2020). Economic Integration and the Currency and Equity Markets Nexus. International Journal of Finance and Economics, 26(4), pp. 5278-5301. doi: 10.1002/ijfe.2065

Aldunate, F., González, F., Prem, M. & Urzúa, F. ORCID: 0000-0003-4681-7684view all authors (2020). Privatization and business groups: Evidence from the Chicago Boys in Chile. Explorations in Economic History, 78, article number 101355. doi: 10.1016/j.eeh.2020.101355

Ayadi, R., Bongini, P., Casu, B. ORCID: 0000-0003-3586-328X & Cucinelli, D.view all authors (2020). Bank Business Model Migrations in Europe: Determinants and Effects. British Journal of Management, 32(4), pp. 1007-1026. doi: 10.1111/1467-8551.12437

Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586, Kyriakou, I. ORCID: 0000-0001-9592-596X , Papapostolou, N. C. ORCID: 0000-0003-4529-1182 & Pouliasis, P. K. ORCID: 0000-0002-7389-3722view all authors (2020). Risk management of climate impact for tourism operators: An empirical analysis on ski resorts. Tourism Management, 77, article number 104011. doi: 10.1016/j.tourman.2019.104011

Baltagi, B. H., Wang, F. & Kao, C. (2020). Estimating and Testing High Dimensional Factor Models With Multiple Structural Changes. Journal of Econometrics, 220(2), pp. 349-365. doi: 10.1016/j.jeconom.2020.04.005

Beber, A., Driessen, J., Neuberger, A. ORCID: 0000-0002-5344-1083 & Tuijp, P.view all authors (2020). Pricing Liquidity Risk with Heterogeneous Investment Horizons. Journal of Financial and Quantitative Analysis, pp. 1-67. doi: 10.1017/S0022109020000137

Beck, T. ORCID: 0000-0001-8382-2066, Hoseini, M. & Uras, B. R. (2020). Trade Credit and Access to Finance: Evidence from Ethiopian Retailers. Journal of African Economies, 29(2), pp. 146-172. doi: 10.1093/jae/ejz018

Bennouri, M., De Amicis, C. & Falconieri, S. (2020). Welcome on board: A note on gender quotas regulation in Europe. Economic Letters, 190, article number 109055. doi: 10.1016/j.econlet.2020.109055

Benos, E., Payne, R. & Vasios, M. (2020). Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd-Frank Act. Journal of Financial and Quantitative Analysis, 55(1), pp. 159-192. doi: 10.1017/s0022109018001527

Blake, D. ORCID: 0000-0002-2453-2090 (2020). How bright are the prospects for UK trade and prosperity post-Brexit?. Journal of Self-Governance and Management Economics, 8(1), pp. 7-99. doi: 10.22381/JSME8120201

Blake, D. ORCID: 0000-0002-2453-2090 (2020). Longevity Risk and Capital Markets: The 2018-19 Update. Annals of Actuarial Science, 14(2), pp. 219-261. doi: 10.1017/s1748499520000202

Boffelli, S., Novotny, J. & Urga, G. (2020). A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets. Journal of Financial Econometrics, 20(4), pp. 681-715. doi: 10.1093/jjfinec/nbaa039

Clare, A. ORCID: 0000-0002-4180-6778, Glover, S., Seaton, J. , Smith, P. N. & Thomas, S. ORCID: 0000-0001-5438-4263view all authors (2020). Measuring sequence of returns risk. Journal of Retirement, 8(1), pp. 65-79. doi: 10.3905/jor.2020.1.066

Colacito, R., Riddiough, S. J. & Sarno, L. ORCID: 0000-0003-1279-9748 (2020). Business Cycles and Currency Returns. Journal of Financial Economics, 137(3), pp. 659-678. doi: 10.1016/j.jfineco.2020.04.005

Cotugno, M., D'Amato, A., Gallo, A. ORCID: 0000-0002-8355-1689 & Stefanelli, V.view all authors (2020). DO SUPERVISORY ENFORCEMENT ACTIONS AFFECT board composition?. Corporate Governance: An International Review, 29(1), pp. 22-44. doi: 10.1111/corg.12336

De Amicis, C., Falconieri, S. & Tastan, M. (2020). Sentiment Analysis and Gender Differences in Earnings Conference Calls. Journal of Corporate Finance, 71, article number 101809. doi: 10.1016/j.jcorpfin.2020.101809

Degryse, H., Ioannidou, V. ORCID: 0000-0002-7996-2346, Liberti, J. M. & Sturgess, J.view all authors (2020). How Do Laws and Institutions Affect Recovery Rates for Collateral?. Review of Corporate Finance Studies, 9(1), pp. 1-43. doi: 10.1093/rcfs/cfz011

Della Corte, P., Kozhan, R. & Neuberger, A. ORCID: 0000-0002-5344-1083 (2020). The Cross-Section of Currency Volatility Premia. Journal of Financial Economics, 139(3), pp. 950-970. doi: 10.1016/j.jfineco.2020.08.010

Dowd, K., Cairns, J. G. & Blake, D. ORCID: 0000-0002-2453-2090 (2020). CBDX: A Workhorse Mortality Model from the Cairns-Blake-Dowd Family. Annals of Actuarial Science, 14(2), pp. 445-460. doi: 10.1017/s1748499520000159

Dupuy, P., James, J. & Marsh, I. W. ORCID: 0000-0002-0483-8658 (2020). Attractive and non-attractive currencies. Journal of International Money and Finance, 110, article number 102253. doi: 10.1016/j.jimonfin.2020.102253

Elyasiani, E., Hasan, I., Kalotychou, E. , Pouliasis, P. K. ORCID: 0000-0002-7389-3722 & Staikouras, S.view all authors (2020). Banks’ equity performance and the term structure of interest rates. Financial Markets, Institutions And Instruments, 29(2), pp. 43-64. doi: 10.1111/fmii.12125

Fang, B., Hope, O-K., Huang, Z. ORCID: 0000-0003-2280-3149 & Moldovan, R.view all authors (2020). The Effects of MiFID II on Sell-Side Analysts, Buy-Side Analysts, and Firms. Review of Accounting Studies, 25(3), pp. 855-902. doi: 10.1007/s11142-020-09545-w

Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845, Gonzalez-Fernandez, M. & Miffre, J.view all authors (2020). Fear of hazards in commodity futures markets. Journal of Banking and Finance, 119, article number 105902. doi: 10.1016/j.jbankfin.2020.105902

Filip, A., Huang, Z. ORCID: 0000-0003-2280-3149 & Lui, D. (2020). Cross-listing and Corporate Malfeasance: Evidence from P-chip Firms. Journal of Corporate Finance, 63, article number 101232. doi: 10.1016/j.jcorpfin.2017.07.003

Fosten, J. & Gutknecht, D. (2020). Testing Nowcast Monotonicity with Estimated Factors. Journal of Business & Economic Statistics, 38(1), pp. 107-123. doi: 10.1080/07350015.2018.1458623

Fu, R., Kraft, A. ORCID: 0000-0003-1641-1982, Tian, X. , Zhang, H. & Zuo, L.view all authors (2020). Financial Reporting Frequency and Corporate Innovation. The Journal of Law and Economics, 63(3), pp. 501-530. doi: 10.1086/708706

Fusai, G. ORCID: 0000-0001-9215-2586, Mignacca, D., Human, B. & Nardon, A.view all authors (2020). Equally Diversified or Equally Weighted?. Risk Magazine,

Giamouzi, M. & Nomikos, N. ORCID: 0000-0003-1621-2991 (2020). Identifying shipowners’ risk attitudes over gains and losses: Evidence from the dry bulk freight market. Transportation Research Part E: Logistics and Transportation Review, 145, article number 102129. doi: 10.1016/j.tre.2020.102129

Henig, S., Tsolacos, S. & Nanda, A. (2020). Which sentiment indicators matter? An analysis of the European commercial real estate market. Journal of Real Estate Research, 42(4), pp. 499-530. doi: 10.1080/08965803.2020.1845562

Hunt, A. & Blake, D. (2020). A Bayesian approach to modeling and projecting cohort effects. North American Actuarial Journal, 25(sup1), S235-S254. doi: 10.1080/10920277.2019.1649157

Hunt, A. & Blake, D. ORCID: 0000-0002-2453-2090 (2020). Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing. North American Actuarial Journal, 25(sup1), S482-S507. doi: 10.1080/10920277.2019.1649159

Hunt, A. & Blake, D. ORCID: 0000-0002-2453-2090 (2020). Identifiability in Age/Period/Cohort Mortality Models. Annals of Actuarial Science, 14(2), pp. 500-536. doi: 10.1017/s1748499520000123

Hunt, A. & Blake, D. ORCID: 0000-0002-2453-2090 (2020). Identifiability in age/period mortality models. Annals of Actuarial Science, 14(2), pp. 461-499. doi: 10.1017/S1748499520000111

Hunt, A. & Blake, D. (2020). On the Structure and Classification of Mortality Models. North American Actuarial Journal, 25(sup1), S215-S234. doi: 10.1080/10920277.2019.1649156

Keswani, A. ORCID: 0000-0001-9096-7677, Medhat, M., Miguel, A. F. & Ramos, S.view all authors (2020). Uncertainty Avoidance and Mutual Funds. Journal of Corporate Finance, 65, article number 101748. doi: 10.1016/j.jcorpfin.2020.101748

Lasfer, M. ORCID: 0000-0003-2338-672X, Golubov, A. & Vitkova, V. (2020). Active catering to dividend clienteles: Evidence from takeovers. Journal of Financial Economics, 137(3), pp. 815-836. doi: 10.1016/j.jfineco.2020.04.002

Leong, S. H., Bellavite Pellegrini, C. & Urga, G. ORCID: 0000-0002-6742-7370 (2020). The Contribution of Shadow Insurance to Systemic Risk. Journal of Financial Stability, 51, article number 100778. doi: 10.1016/j.jfs.2020.100778

Li, J., Li, J., Zhu, X. , Yao, Y. & Casu, B. ORCID: 0000-0003-3586-328Xview all authors (2020). Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S.. International Review of Financial Analysis, 71, article number 101544. doi: 10.1016/j.irfa.2020.101544

Lim, W. & Visaria, S. ORCID: 0000-0001-7406-4929 (2020). The Borrowing Puzzle: Why Do Filipino Domestic Workers in Hong Kong, China Borrow Rather than Dissave?. Asian Development Review, 37(2), pp. 77-99. doi: 10.1162/adev_a_00150

Liu, Y., Huang, Z. ORCID: 0000-0003-2280-3149, Jiang, L. & Williamson, M.view all authors (2020). Are Investors Warned by Disclosure of Conflicts of Interest? The Moderating Effect of Investment Horizon. The Accounting Review, 95(6), pp. 291-310. doi: 10.2308/tar-2017-0284

Lucchini, L., Alessandretti, L., Lepri, B. , Gallo, A. ORCID: 0000-0002-8355-1689 & Baronchelli, A. ORCID: 0000-0002-0255-0829view all authors (2020). From code to market: Network of developers and correlated returns of cryptocurrencies. Science Advances, 6(51), article number eabd2204. doi: 10.1126/sciadv.abd2204

Makinen, T., Sarno, L. ORCID: 0000-0003-1279-9748 & Zinna, G. (2020). Risky Bank Guarantees. Journal of Financial Economics, 136(2), pp. 490-522. doi: 10.1016/j.jfineco.2019.10.005

Marchese, M., Kyriakou, I. ORCID: 0000-0001-9592-596X, Tamvakis, M. ORCID: 0000-0002-5056-0159 & Di Iorio, F.view all authors (2020). Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. Energy Economics, 88, article number 104757. doi: 10.1016/j.eneco.2020.104757

Tamvakis, M. ORCID: 0000-0002-5056-0159, Marchese, M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Di Iorio, F.view all authors (2020). Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. Energy Economics, 88, article number 104757. doi: 10.1016/j.eneco.2020.104757

Urga, G., Akgun, O. & Pirotte, A. (2020). Forecasting Using Heterogeneous Panels with Cross-Sectional Dependence. International Journal of Forecasting, 36(4), pp. 1211-1227. doi: 10.1016/j.ijforecast.2019.11.007

Urzúa, F. ORCID: 0000-0003-4681-7684, Gonzalez, F. & Prem, M. (2020). The Privatization Origins of Political Corporations: Evidence from the Pinochet Regime. The Journal of Economic History, 80(2), pp. 417-456. doi: 10.1017/s0022050719000780

Urzúa, F. ORCID: 0000-0003-4681-7684, Sertsios, G. & Larrain, B. (2020). The Going Public Decision of Business Group Firms. Journal of Corporate Finance, 66, article number 101819. doi: 10.1016/j.jcorpfin.2020.101819

Vakratsas, D., Keswani, A. ORCID: 0000-0001-9096-7677 & Stolin, D. (2020). Advertising persuasion in dual markets. Managerial and Decision Economics, 42(1), pp. 239-245. doi: 10.1002/mde.3229

Černý, A. ORCID: 0000-0001-5583-6516 (2020). Semimartingale theory of monotone mean--variance portfolio allocation. Mathematical Finance, 30(3), pp. 1168-1178. doi: 10.1111/mafi.12241

Černý, A. ORCID: 0000-0001-5583-6516 & Melicherčík, I. (2020). 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

Černý, A. ORCID: 0000-0001-5583-6516 & Ruf, J. (2020). Simplified stochastics calculus with applications in Economics and Finance. European Journal of Operational Research, 293(2), pp. 547-560. doi: 10.1016/j.ejor.2020.12.037

Book

Bartram, S. M., Branke, J. & Motahari, M. ORCID: 0000-0003-3245-8545 (2020). Artificial Intelligence in Asset Management. Charlottesville, USA: CFA Institute Research Foundation.

Reynolds, B., Blake, D. ORCID: 0000-0002-2453-2090 & Lyddon, R. (2020). Managing Euro Risk: Saving Investors from Systemic Risk. London, UK: Politeia.

Monograph

Blake, D. ORCID: 0000-0002-2453-2090, Duffield, M., Tonks, I. , Haig, A., Blower, D. & MacPhee, L.view all authors (2020). Grouping Individual Investment Preferences in Retirement Savings: A Cluster Analysis of a USS Members Risk Attitude Survey (PI-2003). London, UK: Pensions Institute.

Blake, D. ORCID: 0000-0002-2453-2090, Kallestrup-Lamb, M., Kjaergaard, S. & Rosenkjold, C.view all authors (2020). Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups (PI-2001). London, UK: Pensions Institute.

Cairns, A. J. G., Blake, D. ORCID: 0000-0002-2453-2090, Kessler, A.R. & Kessler, M.view all authors (2020). The Impact of Covid-19 on Future Higher-Age Mortality. London, UK: Pensions Institute.

Carletti, E., De Marco, F., Ioannidou, V. ORCID: 0000-0002-7996-2346 & Sette, E.view all authors (2020). Banks As Patient Lenders: Evidence from a Tax Reform (2019-110). BAFFI CAREFIN Centre.

Report

Tamvakis, M. ORCID: 0000-0002-5056-0159, Marchese, M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Di Iorio, F.view all authors (2020). Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. Denver, Colorado: J.P. Morgan Center for Commodities, University of Colorado at Denver.

Thesis

Maglione, F. (2020). The use of compound options for credit risk modelling. (Unpublished Doctoral thesis, City, University of London)

Pazaj, E. (2020). Corporate policies and asset prices. (Unpublished Doctoral thesis, City, University of London)

Pezier, Emmanuel (2020). The impact of intermediaries in activism and IPOs. (Unpublished Doctoral thesis, City, University of London)

li, Q. (2020). Entrepreneurial strategizing Three studies in the financial technology (Fintech) space. (Unpublished Doctoral thesis, City, University of London)

Working Paper

Blake, D. ORCID: 0000-0002-2453-2090 (2020). Nudges and Networks: How to use behavioural economics to improve the life cycle savings-consumption balance (PI-2009). London, UK: Pensions Institute.

Blake, D. ORCID: 0000-0002-2453-2090 (2020). Striking similarities: The origins of the European Economic Community. City, University of London.

Blake, D. ORCID: 0000-0002-2453-2090 (2020). The UK is the Eurozone's Dumping Ground. City, University of London.

Blake, D. ORCID: 0000-0002-2453-2090, Duffield, M., Tonks, I. , Haig, A., Blower, D. & MacPhee, L.view all authors (2020). One size fits all: How many default funds does a pension scheme need?. London, UK: Pensions Institute.

Cestone, G., Fumagalli, C., Kramaz, F. & Pica, G.view all authors (2020). Insurance Between Firms: The Role of Internal Labor Markets (CSEF Working Paper 386). Naples, Italy: Centre for Studies in Economics and Finance (CSEF).