City Research Online

Article

Aurelio, V. & Xiao, X. ORCID: 0000-0002-0564-9795 (2023). Default risk and option returns. Management Science, 70(4), pp. 2144-2167. doi: 10.1287/mnsc.2023.4796

Ayadi, R., Bongini, P., Casu, B. ORCID: 0000-0003-3586-328X & Cucinelli, D.view all authors (2023). Bank Business Models in MENA and African Countries: The Relevance of Contextual Variables. Review of Corporate Finance, 3(3), pp. 329-359. doi: 10.1561/114.00000043

Bae, J. ORCID: 0000-0003-1580-8718 & Yu, J. (2023). Misstatement verifiability and managers’ earnings warning decisions. Journal of Accounting and Public Policy, 42(6), article number 107152. doi: 10.1016/j.jaccpubpol.2023.107152

Bae, J. ORCID: 0000-0003-1580-8718, Yu Hung, C. & van Lent, L. (2023). Mobilizing Text As Data. European Accounting Review, 32(5), pp. 1085-1106. doi: 10.1080/09638180.2023.2218423

Ballotta, L. ORCID: 0000-0002-2059-6281 (2023). Once upon a time there was a magic formula. Wilmott Magazine, 2023(126), pp. 70-72. doi: 10.54946/wilm.11151

Ballotta, L. ORCID: 0000-0002-2059-6281 (2023). Demystifying generic beliefs on jump models. Wilmott, 2023(124), pp. 70-73. doi: 10.54946/wilm.11110

Bennouri, M., Falconieri, S. ORCID: 0000-0002-7633-562X & Weaver, D. (2023). The Cost of Fragmentation: Lessons from Initial Public Offerings. The European Journal of Finance, 30(2), pp. 205-228. doi: 10.1080/1351847x.2023.2206972

Bilinski, P. ORCID: 0000-0002-0499-6429 (2023). Analyst Research Activity During the COVID-19 Pandemic. Abacus, 59(4), pp. 1041-1073. doi: 10.1111/abac.12291

Blake, D. ORCID: 0000-0002-2453-2090 (2023). Target2: The Silent Bailout System That Keeps the Euro Afloat. Journal of Risk and Financial Management, 16(12), article number 506. doi: 10.3390/jrfm16120506

Blake, D. ORCID: 0000-0002-2453-2090, Cairns, A. J. G., Kallestrup-Lamb, M. & Rangvid, J.view all authors (2023). Longevity risk and capital markets: the 2021–22 update. Journal of Demographic Economics, 89(3), pp. 299-312. doi: 10.1017/dem.2023.2

Cao, J. J., Vasquez, A. A., Xiao, X. ORCID: 0000-0002-0564-9795 & Zhan, X. E.view all authors (2023). Why Does Volatility Uncertainty Predict Equity Option Returns?. The Quarterly Journal of Finance, 13(1), article number 2350005. doi: 10.1142/s2010139223500052

Cao, J., Goyal, A., Xiao, X. ORCID: 0000-0002-0564-9795 & Zhan, X.view all authors (2023). Implied Volatility Changes and Corporate Bond Returns. Management Science, 69(3), pp. 1375-1397. doi: 10.1287/mnsc.2022.4379

Casu, B. ORCID: 0000-0003-3586-328X, Gallo, A., Kalotychou, E. & Sarkisyan, A.view all authors (2023). Bank Misconduct, Board Diversity and CEO Turnover. Review of Corporate Finance, 3(1–2), pp. 149-174. doi: 10.1561/114.00000038

Cestone, G. ORCID: 0000-0002-3667-7895, Fumagalli, C., Kramarz, F. & Pica, G.view all authors (2023). Exploiting Growth Opportunities: The Role of Internal Labor Markets. The Review of Economic Studies, 91(5), pp. 2676-2716. doi: 10.1093/restud/rdad094

Cho, H., Choi, G-Y. ORCID: 0000-0001-5285-2617 & Lee, J. (2023). The impact of internet articles on investor trading decisions by investor types: Evidence from Korean stock market. Finance Research Letters, 56, article number 104110. doi: 10.1016/j.frl.2023.104110

Clare, A. D., Seaton, J., Smith, P. N. & Thomas, S. ORCID: 0000-0001-5438-4263view all authors (2023). The Minimum Acceptable Annual Withdrawal with the Perfect Withdrawal Rate Rule. Journal of Retirement, 11(1), pp. 34-55. doi: 10.3905/jor.2023.1.131

Corradi, V., Fosten, J. & Gutknecht, D. (2023). Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. Journal of Econometrics, 236(2), article number 105490. doi: 10.1016/j.jeconom.2023.105490

Cuthbertson, K. ORCID: 0000-0003-2004-2630, Nitzsche, D. ORCID: 0000-0003-2441-1288 & O'Sullivan, N. (2023). UK mutual funds: performance persistence and portfolio size. Journal of Asset Management, 24(4), pp. 284-298. doi: 10.1057/s41260-023-00310-7

Falconieri, S. ORCID: 0000-0002-7633-562X & Akter, M. (2023). Gender diversity and beyond in corporate finance: where do we stand?. Review of Corporate Finance, 3(1-2), pp. 1-33. doi: 10.1561/114.00000034

Falconieri, S. ORCID: 0000-0002-7633-562X & De Amicis, C. (2023). Managerial diversity and corporate communication in periods of crisis. Review of Corporate Finance, 3(1–2), pp. 213-244. doi: 10.1561/114.00000040

Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J. (2023). The Negative Pricing of the May 2020 WTI Contract. The Energy Journal, 44(1), pp. 119-142. doi: 10.5547/01956574.44.1.afer

Fich, E. M., Parrino, R. & Tran, A. ORCID: 0000-0001-7090-8063 (2023). When and How Are Rule 10b5-1 Plans Used for Insider Stock Sales?. Journal of Financial Economics, 149(1), pp. 1-26. doi: 10.1016/j.jfineco.2023.04.009

Fosten, J. ORCID: 0000-0001-5123-8500 & Nandi, S. (2023). Nowcasting U.S. state-level CO2 emissions and energy consumption. International Journal of Forecasting, 41(1), pp. 20-30. doi: 10.1016/j.ijforecast.2023.10.002

Fosten, J. & Nandi, S. (2023). Nowcasting from cross‐sectionally dependent panels. Journal of Applied Econometrics, 38(6), pp. 898-919. doi: 10.1002/jae.2980

Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Zhao, N. (2023). A Bayesian perspective on commodity style integration. Journal of Commodity Markets, 30, article number 100328. doi: 10.1016/j.jcomm.2023.100328

Gambaro, A. M., Fusai, G. ORCID: 0000-0001-9215-2586, Sodhi, M. ORCID: 0000-0002-2031-4387 , May, C. & Morelli, C.view all authors (2023). ICU Capacity Expansion Under Uncertainty in the Early Stages of a Pandemic. Production and Operations Management, 32(8), pp. 2455-2474. doi: 10.1111/poms.13985

Gemayel, R., Franus, T. & Bowden, J. (2023). Price discovery between Bitcoin spot markets and exchange traded products. Economics Letters, 228, article number 111152. doi: 10.1016/j.econlet.2023.111152

Goncharov, I., Ioannidou, V. ORCID: 0000-0002-7996-2346 & Schmalz, M. (2023). (Why) do central banks care about their profits?. The Journal of Finance, 78(5), pp. 2991-3045. doi: 10.1111/jofi.13257

Hillebrand, E., Mikkelsen, J., Spreng, L. & Urga, G. ORCID: 0000-0002-6742-7370view all authors (2023). Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. Journal of Applied Econometrics, 38(6), pp. 857-877. doi: 10.1002/jae.2984

Hwan Ahn, J., Zulfiqar Ali Shah, S. & Park, G. ORCID: 0000-0002-1009-7462 (2023). A concave relation between equity-based incentives and misreporting. Journal of Accounting and Public Policy, 42(5), article number 107134. doi: 10.1016/j.jaccpubpol.2023.107134

Jung, J. H. ORCID: 0000-0002-1993-9419, Lim, S. S. & Park, J. (2023). Is your surname remunerative? Surname favorability and CEO compensation. Journal of Corporate Finance, 83, article number 102474. doi: 10.1016/j.jcorpfin.2023.102474

Junzi, Z. ORCID: 0000-0002-4960-8741, Bilinski, P. ORCID: 0000-0002-0499-6429, Ivana, R. ORCID: 0000-0003-2982-8445 & James, R.view all authors (2023). Enforcing Disclosure Compliance in Mergers and Acquisitions: Evidence from China. The European Accounting Review, pp. 1-34. doi: 10.1080/09638180.2023.2273380

Kempf, E., Luo, M. ORCID: 0009-0008-2356-1536, Schäfer, L. & Tsoutsoura, M.view all authors (2023). Political ideology and international capital allocation. Journal of Financial Economics, 148(2), pp. 150-173. doi: 10.1016/j.jfineco.2023.02.005

Kilian, L., Nomikos, N. ORCID: 0000-0003-1621-2991 & Zhou, X. (2023). Container Trade and the U.S. Recovery. International Journal of Central Banking, 19(1), pp. 417-450.

Kladakis, G., Bellos, S. K. & Skouralis, A. ORCID: 0000-0003-0835-1457 (2023). Societal trust and bank opacity. Journal of Financial Regulation and Compliance, 31(5), pp. 770-783. doi: 10.1108/jfrc-05-2023-0073

Kraussl, R., Oladiran, T. & Stefanova, D. (2023). A review on ESG investing: Investors' expectations, beliefs and perceptions. Journal of Economic Surveys, 38(2), pp. 476-502. doi: 10.1111/joes.12599

Kumar, A., Motahari, M. ORCID: 0000-0003-3245-8545 & Taffler, R. J. (2023). Skewness Sentiment and Market Anomalies. Management Science, 70(7), pp. 4328-4356. doi: 10.1287/mnsc.2023.4898

Kyriakou, I. ORCID: 0000-0001-9592-596X, Brignone, R. & Fusai, G. ORCID: 0000-0001-9215-2586 (2023). Unified moment-based modelling of integrated stochastic processes. Operations Research, 72(4), pp. 1630-1653. doi: 10.1287/opre.2022.2422

Larrain, B., Sertsios, G. & Urzúa, F. ORCID: 0000-0003-4681-7684 (2023). Funding Contagion through Common Owners. The Review of Corporate Finance Studies, article number cfad019. doi: 10.1093/rcfs/cfad019

Larrain, B., Roosenboom, P., Sertsios, G. & Urzúa, F. ORCID: 0000-0003-4681-7684view all authors (2023). Ownership Concentration and Firm Value: New Evidence from Owner Stakes in IPOs. Management Science, 70(7), pp. 4441-4464. doi: 10.1287/mnsc.2021.01039

Lasfer, M. ORCID: 0000-0003-2338-672X & Ye, X. (2023). Corporate insiders’ exploitation of investors’ anchoring bias at the 52-week high and low. The Financial Review, 59(2), pp. 391-432. doi: 10.1111/fire.12371

Lee, T. ORCID: 0000-0002-4989-619X, Moutzouris, I. C. ORCID: 0000-0002-6954-9961, Papapostolou, N. C. ORCID: 0000-0003-4529-1182 & Fatouh, M.view all authors (2023). Foreign exchange hedging using regime‐switching models: The case of pound sterling. International Journal of Finance and Economics, 29(4), pp. 4813-4835. doi: 10.1002/ijfe.2893

Leong, S. H. & Urga, G. ORCID: 0000-0002-6742-7370 (2023). A practical multivariate approach to testing volatility spillover. Journal of Economic Dynamics and Control, 153, article number 104694. doi: 10.1016/j.jedc.2023.104694

Marchese, M. ORCID: 0000-0001-6801-911X, Kyriakou, I. ORCID: 0000-0001-9592-596X, Di Iorio, F. & Tamvakis, M. ORCID: 0000-0002-5056-0159view all authors (2023). Asset Correlations and Macroeconomic Fundamentals. Commodity Insights Digest, 1(2),

Mateus, C., Mateus, I. & Todorovic, N. ORCID: 0000-0003-4875-623X (2023). Searching for mutual fund winners? the strategy is to outbid both, the benchmark and the peer group. Applied Economics, 56(11), pp. 1268-1282. doi: 10.1080/00036846.2023.2175778

Mignacca, D. & Fusai, G. ORCID: 0000-0001-9215-2586 (2023). Incremental Volatility and Related Portfolio Analytics. The Journal of Portfolio Management: the journal for investment professionals, 49(5), pp. 131-147. doi: 10.3905/jpm.2023.1.476

Muganda, B., Kyriakou, I. ORCID: 0000-0001-9592-596X & Shibwabo Kasamani, B. (2023). Modelling asymmetric dependence in stochastic volatility and option pricing: A conditional copula approach. Scientific African, 21, article number e01765. doi: 10.1016/j.sciaf.2023.e01765

Müller, M., Peter, C. D. & Urzúa, F. ORCID: 0000-0003-4681-7684 (2023). Owner Exposure Through Firm Disclosure. Accounting Review, 98(6), doi: 10.2308/TAR-2020-0270

Müller, M. A., Peter, C. D. & Urzúa, F. ORCID: 0000-0003-4681-7684 (2023). Owner Exposure Through Firm Disclosure. Accounting Review, 98(6), pp. 381-405. doi: 10.2308/tar-2020-0270

Neuberger, A. ORCID: 0000-0002-5344-1083 (2023). The Black–Scholes paper: a personal perspective. Decisions in Economics and Finance, 46(2), pp. 713-730. doi: 10.1007/s10203-023-00415-z

Newell, G., Nanda, A. & Moss, A. ORCID: 0000-0002-4320-1764 (2023). Improving the benchmarking of ESG in real estate investment. Journal of Property Investment and Finance, 41(4), pp. 380-405. doi: 10.1108/jpif-10-2021-0084

Ortiz, M., Peter, C. D., Urzúa, F. ORCID: 0000-0003-4681-7684 & Volpin, P. ORCID: 0000-0002-9287-0972view all authors (2023). Mandatory Financial Disclosure and M&A Activity. The Review of Financial Studies, 36(12), pp. 4788-4823. doi: 10.1093/rfs/hhad052

Peydró, J-L., Rodriguez Tous, F. ORCID: 0000-0001-8394-2770, Tripathy, J. & Uluc, A.view all authors (2023). Macroprudential Policy, Mortgage Cycles and Distributional Effects: Evidence from the United Kingdom. The Review of Financial Studies, 37(3), pp. 727-760. doi: 10.1093/rfs/hhad070

Pezier, E. & Volpin, P. ORCID: 0000-0002-9287-0972 (2023). Shareholder Activism in Small-Cap Newly Public Firms. Financial Analysts Journal, 80(2), pp. 52-73. doi: 10.1080/0015198X.2023.2283445

Pouliasis, P. K. ORCID: 0000-0002-7389-3722, Papapostolou, N. C. ORCID: 0000-0003-4529-1182, Tamvakis, M. ORCID: 0000-0002-5056-0159 & Moutzouris, I. C. ORCID: 0000-0002-6954-9961view all authors (2023). Carbon Emissions in the US: Factor Decomposition and Cross-State Inequality Dynamics. Energy Journal, 44(6), pp. 135-162. doi: 10.5547/01956574.44.6.ppou

Pouliasis, P. K. ORCID: 0000-0002-7389-3722 (2023). Oil price uncertainty and the relation to tanker shipping. International Journal of Finance and Economics, 29(2), pp. 2472-2494. doi: 10.1002/ijfe.2792

Shi, Y. ORCID: 0000-0002-3226-7944, Sorrell, S. & Foxon, T. (2023). The impact of teleworking on domestic energy use and carbon emissions: An assessment for England. Energy and Buildings, 287, article number 112996. doi: 10.1016/j.enbuild.2023.112996

Skouralis, A. ORCID: 0000-0003-0835-1457 (2023). The Role of Systemic Risk Spillovers in the Transmission of Euro Area Monetary Policy. Open Economies Review, 34(5), pp. 1079-1106. doi: 10.1007/s11079-022-09707-0

Tsolacos, S., Lee, S. & Tse, H. (2023). ‘Space-As-A-Service’: A Premium to Office Rents?. Journal of European Real Estate Research, 16(1), pp. 64-77. doi: 10.1108/jerer-10-2021-0049

Vitkova, V. ORCID: 0000-0003-3137-6564, Tian, S. & Sudarsanam, S. (2023). Allocative efficiency of internal capital markets: Evidence from equity carve-outs by diversified firms. International Review of Financial Analysis, 86, article number 102500. doi: 10.1016/j.irfa.2023.102500

Černý, A. ORCID: 0000-0001-5583-6516 & Ruf, J. (2023). Simplified calculus for semimartingales: Multiplicative compensators and changes of measure. Stochastic Processes and their Applications, 161, pp. 572-602. doi: 10.1016/j.spa.2023.04.010

Černý, A. ORCID: 0000-0001-5583-6516, Czichowsky, C. & Kallsen, J. (2023). Numeraire-invariant quadratic hedging and mean-variance portfolio allocation. Mathematics of Operations Research, 49(2), pp. 752-781. doi: 10.1287/moor.2023.1374

Conference or Workshop Item

Kräussl, Z. ORCID: 0000-0001-8718-4874, Baida, Z., Post, S. , Rukanova, B. & Tan, Y. H.view all authors (2023). Digital Infrastructures for Monitoring Circular Economy Investments by Financial Institutions and Government: A Research Agenda. In: Proceedings of Ongoing Research, Practitioners, Posters, Workshops, and Projects. International Conference EGOV-CeDEM-ePart 2022, 6-8 Sep 2022, Linköping, Sweden.

Report

Andrew, M. ORCID: 0000-0002-5256-4882 & Culley, J. (2023). Leasehold Reform Proposals in England and Wales: The unconsidered financial implications of reducing the premium in lease extensions. UK Centre for Collaborative Housing Evidence.

Blake, D. ORCID: 0000-0002-2453-2090 (2023). Productivity and exports – how SMART planning can resolve the UK’s two most serious economic crises. London, UK: City, Univeristy of London.

Thesis

Al-Sarraf, J.A. (2023). Essays on Diversity and Firm Performance. (Unpublished Doctoral thesis, City, University of London)

Ciampini, A. (2023). Essays on Factor Models in Asset Pricing. (Unpublished Doctoral thesis, City, University of London)

Findlater, A. (2023). The Annuity Puzzle: Insights from Recent UK Pension Developments. (Unpublished Doctoral thesis, City, University of London)

Gao, D. (2023). Essays in Financial Intermediation. (Unpublished Doctoral thesis, City, University of London)

Spreng, L. (2023). Essays on Econometric Forecasting. (Unpublished Doctoral thesis, City, University of London)

Wang, L. (2023). Essays on Rational Expectation Equilibrium and Mutual Fund Disclosure. (Unpublished Doctoral thesis, City, University of London)

Working Paper

Andrew, M. ORCID: 0000-0002-5256-4882 & Culley, J. (2023). Leasehold Reform Proposals in England and Wales: The unintended consequences of proposals to reduce the premium in short leasehold extensions. .

Degryse, H., De Winne, R., Gresse, C. & Payne, R. ORCID: 0000-0003-3123-5243view all authors (2023). Duplicated Orders, Swift Cancellations, and Fast Market Making in Fragmented Markets (10.2139/ssrn.3356695). SSRN.