Browse by Schools and Department by Authors
- City, University of London (24855)
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- Bayes Business School (3744)
2025
Halická, M., Trnovská, M. & Černý, A. 
ORCID: 0000-0001-5583-6516 (2025).
On indication, strict monotonicity, and efficiency of projections in a general class of path-based data envelopment models.
European Journal of Operational Research, 320(1),
pp. 175-187.
doi: 10.1016/j.ejor.2024.08.009
2024
Acosta-Smith, J., Ferrara, G. & Rodriguez-Tous, F. ORCID: 0000-0001-8394-2770 (2024).
Bank Capital Regulation and Derivatives Clearing.
International Journal of Finance and Economics,
Akgun, O., Pirotte, A., Urga, G. ORCID: 0000-0002-6742-7370 & Yang, Z. (2024).
Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts.
International Journal of Forecasting, 40(1),
pp. 202-228.
doi: 10.1016/j.ijforecast.2023.02.001
Amici, G., Ballotta, L. ORCID: 0000-0002-2059-6281 & Semeraro, P. (2024).
Multivariate Additive Subordination with Applications in Finance.
European Journal of Operational Research, 321(3),
pp. 1004-1020.
doi: 10.1016/j.ejor.2024.10.010
Andrew, M. ORCID: 0000-0002-5256-4882 & Culley, J. (2024).
Housing Tenure Outcomes of Young Adults in England Since 2000: Reviewing the Evidence.
London, UK: .
Andrew, M. ORCID: 0000-0002-5256-4882 & Culley, J. (2024).
Leasehold Reform Bill: Written evidence submitted by Dr Mark Andrew and Dr James Culley (LFRB23).
UK Parliament.
Andrew, M. ORCID: 0000-0002-5256-4882, Culley, J. & Sleptcovac, M. (2024).
Leasehold extensions: The Relativity conundrum and the time value of housing.
.
Aslam, M.N. (2024). Profit and Loss Sharing Finance – Application, Risk Management and Theories of Capital Structure. (Unpublished Doctoral thesis, City, University of London)
Bailey, W., Muradoglu, G., Onay, C. & Phylaktis, K. ORCID: 0000-0001-9392-1682 (2024).
Foreign investors, firm level productivity, and European economic integration.
Journal of Corporate Finance, 85,
article number 102564.
doi: 10.1016/j.jcorpfin.2024.102564
Ballotta, L. ORCID: 0000-0002-2059-6281 (2024).
Is the VIX Just Volatility? The Devil is in the (De)tails.
Wilmott, 2024(130),
doi: 10.54946/wilm.12022
Ballotta, L. ORCID: 0000-0002-2059-6281 (2024).
The calibration conundrum.
Wilmott, 2024(134),
pp. 18-20.
doi: 10.54946/wilm.12087
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 & Marazzina, D. (2024).
Counting jumps: does the counting process count?.
Quantitative Finance, 24(11),
pp. 1621-1640.
doi: 10.1080/14697688.2024.2357731
Banti, C. & Phylaktis, K. ORCID: 0000-0001-9392-1682 (2024).
Are Institutional Investors the Culprit of Rising Global House Prices?.
Real Estate Economics,
doi: 10.1111/1540-6229.12514
Bhattacharya, U., Kumar, A., Visaria, S. ORCID: 0000-0001-7406-4929 & Zhao, J. (2024).
Do Women Receive Worse Financial Advice?.
The Journal of Finance, 79(5),
pp. 3261-3307.
doi: 10.1111/jofi.13366
Bilinski, P. ORCID: 0000-0002-0499-6429 (2024).
Beyond the street EPS surprise – when ‘other surprises’ matter in explaining earnings announcement returns.
Accounting and Business Research,
doi: 10.1080/00014788.2024.2400875
Blake, D. ORCID: 0000-0002-2453-2090 & Li, J. (2024).
Longevity risk and capital markets: the 2022–2023 update.
The Geneva Papers on Risk and Insurance - Issues and Practice, 49(2),
pp. 229-233.
doi: 10.1057/s41288-024-00314-3
Blake, D. ORCID: 0000-0002-2453-2090 & Pickles, J. (2024).
Mental time travel and the valuation of financial investments: analysing five biases that cause pricing anomalies.
Review of Behavioral Finance,
doi: 10.1108/rbf-11-2023-0303
Cairns, A. J. G. ORCID: 0000-0001-9732-4850, Blake, D. ORCID: 0000-0002-2453-2090, Kessler, A. , Kessler, M. & Mathur, R. (2024).
Covid-19 mortality: the Proportionality Hypothesis.
European Actuarial Journal,
doi: 10.1007/s13385-024-00400-9
Chen, A., Haberman, S. ORCID: 0000-0003-2269-9759 & Thomas, S. ORCID: 0000-0001-5438-4263 (2024).
The Role of the Annuity Price in Decumulation Strategies with Deferred Annuities.
Journal of Retirement,
Cincinelli, P., Pellini, E. & Urga, G. ORCID: 0000-0002-6742-7370 (2024).
Is There an Optimal Level of Leverage? The Case of Banks and Non-Bank Institutions in Europe.
International Review of Financial Analysis, 94,
article number 103323.
doi: 10.1016/j.irfa.2024.103323
Cincinelli, P., Tsolacos, S. & Urga, G. ORCID: 0000-0002-6742-7370 (2024).
Price Exuberance Episodes in Private Real Estate.
Journal of Financial Stability, 74,
article number 101300.
doi: 10.1016/j.jfs.2024.101300
Clare, A. ORCID: 0000-0002-4180-6778, Seaton, J., Smith, P. N. & Thomas, S. ORCID: 0000-0001-5438-4263 (2024).
The Science of Flexible Retirement Choices: Switching Retirement Savings into an Annuity.
Journal of Retirement, 11(4),
pp. 59-75.
doi: 10.3905/jor.2024.1.160
Clare, A. D. ORCID: 0000-0002-4180-6778, Keswani, A. ORCID: 0000-0001-9096-7677 & Motson, N. ORCID: 0000-0003-1418-9927 (2024).
The Case for Integrating ESG into Fixed Income Portfolios.
The Journal of Portfolio Management, 50(9),
pp. 152-163.
doi: 10.3905/jpm.2024.1.620
Coppola, A., Urga, G. ORCID: 0000-0002-6742-7370 & Varaldo, A. (2024).
Asset class liquidity risk indicators. Timing the risk in the European and US equity and bond markets.
Journal of Financial Stability,
Corradi, V., Fosten, J. & Gutknecht, D. (2024). Predictive ability tests with possibly overlapping models. Journal of Econometrics, 241(1), article number 105716. doi: 10.1016/j.jeconom.2024.105716
Delvaux, Joe (2024). Essays on Emerging Market and Frontier Market Bonds. (Unpublished Doctoral thesis, City, University of London)
Fich, E. M., Starks, L. & Tran, A. ORCID: 0000-0001-7090-8063 (2024).
Target Firm Advertising and Firm Value.
Management Science,
doi: 10.1287/mnsc.2022.01534
Forcellini, M. (2024). Essays on supervisory banking activities and financial stability. (Unpublished Doctoral thesis, City, University of London)
Fosten, J., Gutknecht, D. & Pohle, M-O. (2024). Testing Quantile Forecast Optimality. Journal of Business & Economic Statistics, 42(4), pp. 1367-1378. doi: 10.1080/07350015.2024.2316091
Franco, L. (2024). New developments in financial technology and banking regulation. (Unpublished Doctoral thesis, City, University of London)
Franus, T. (2024). Essays on Trading and Manipulation in Financial Markets. (Unpublished Doctoral thesis, City, University of London)
Fridgen, G., Kräussl, R. ORCID: 0000-0001-8933-9278, Papageorgiou, O. & Tugnetti, A. (2024).
Pricing dynamics and herding behaviour of NFTs.
European Financial Management,
doi: 10.1111/eufm.12506
Fusai, G. ORCID: 0000-0001-9215-2586 (2024).
Monotonic transformation and recovering the implied stock price process.
Decisions in Economics and Finance,
doi: 10.1007/s10203-024-00447-z
Fusai, G. ORCID: 0000-0001-9215-2586 & Gambaro, A. M. (2024).
Pricing on Trees Using New Risk-Free Rates.
The Journal of Derivatives, 32(1),
pp. 139-159.
doi: 10.3905/jod.2024.1.214
Fusai, G. ORCID: 0000-0001-9215-2586, Mignacca, D. & Al-Thani, K. (2024).
Converting a covariance matrix from local currencies to a common currency.
The Journal of Risk, 26(6),
pp. 77-85.
doi: 10.21314/jor.2024.009
Gamba, A., Gong, J. Y. & Ma, K. (2024). Nondilutive CoCo Bonds: A Necessary Evil?. The Review of Corporate Finance Studies, doi: 10.1093/rcfs/cfae004
Halická, M., Trnovská, M. & Černý, A. ORCID: 0000-0001-5583-6516 (2024).
A unified approach to radial, hyperbolic, and directional efficiency measurement in Data Envelopment Analysis.
European Journal of Operational Research, 312(1),
pp. 298-314.
doi: 10.1016/j.ejor.2023.06.039
Hilders, B., Marx, S. & Tsolacos, S. (2024). The Effect of Sector Specialisation on Unlisted Real Estate Fund Performance Amid Economic Downturns. Journal of Asset Management, doi: 10.1057/s41260-024-00373-0
Kerssenfischer, M. & Schmeling, M. ORCID: 0000-0002-4488-6750 (2024).
What moves markets?.
Journal of Monetary Economics, 145,
article number 103560.
doi: 10.1016/j.jmoneco.2024.103560
Kladakis, G. & Skouralis, A. ORCID: 0000-0003-0835-1457 (2024).
Credit rating downgrades and systemic risk.
Journal of International Financial Markets, Institutions and Money, 90,
article number 101902.
doi: 10.1016/j.intfin.2023.101902
Kladakis, G. & Skouralis, A. ORCID: 0000-0003-0835-1457 (2024).
Election cycles and systemic risk (WP-CBR-02-2024).
London, UK: Centre for Banking Research, Bayes Business School, City St George's University of London.
Kräussl, R. ORCID: 0000-0001-8933-9278, Kräussl, Z. ORCID: 0000-0001-8718-4874, Pollet, J. & Rinne, K. (2024).
The performance of marketplace lenders.
Journal of Banking & Finance, 162,
article number 107124.
doi: 10.1016/j.jbankfin.2024.107124
Larrain, B., Phillips, G., Sertsios, G. & Urzua, F. ORCID: 0000-0003-4681-7684 (2024).
The Effects of Going Public on Firm Profitability and Strategy.
The Review of financial studies,
Lasfer, M. ORCID: 0000-0003-2338-672X & Ye, X. (2024).
Executive Equity-Based Compensation and Tournament Incentives.
European Financial Management,
doi: 10.1111/eufm.12533
Li, G., Spence, C. & Chen, Z. (2024). Sell-Side Analysts as Social Intermediaries. Contemporary Accounting Research, 41(3), pp. 1925-1951. doi: 10.1111/1911-3846.12968
Li, J. (2024). Essays on Corporate Finance and Corporate Governance. (Unpublished Doctoral thesis, City, University of London)
Luo, M. ORCID: 0009-0008-2356-1536, Manconi, A. & Schumacher, D. (2024).
Returns to Scale from Labor Specialization: Evidence from Asset Management Mergers.
The Review of Corporate Finance Studies, 13(2),
pp. 384-427.
doi: 10.1093/rcfs/cfad024
Maitra, P., Mitra, S., Mookherjee, D. & Visaria, S. ORCID: 0000-0001-7406-4929 (2024).
Decentralized Targeting of Agricultural Credit Programs: Private versus Political Intermediaries.
Journal of the European Economic Association, 22(6),
pp. 2648-2699.
doi: 10.1093/jeea/jvae018
Maitra, P., Mitra, S., Mookherjee, D. & Visaria, S. ORCID: 0000-0001-7406-4929 (2024).
Declining Clientelism of Welfare Benefits? Targeting and Political Competition based Evidence from an Indian State.
.
Marinoff, E. A. (2024). Behavioural Finance and Cryptocurrencies: Studies of Behavioural Finance in Cryptocurrency Markets. (Unpublished Doctoral thesis, City, University of London)
Mateus, C., Mateus, I. B. & Todorovic, N. ORCID: 0000-0003-4875-623X (2024).
Mutual fund performance: The model for selecting persistent winners.
European Journal of Finance, The,
pp. 1-23.
doi: 10.1080/1351847x.2024.2425401
Menkveld, A. J., Dreber, A., Holzmeister, F. , Huber, J., Johanneson, M., Kirchler, M., Neusüss, S., Razen, M., Weitzel, U., Franus, T. ORCID: 0000-0003-0230-1387 & et al. (2024).
Nonstandard Errors.
The Journal of Finance, 79(3),
pp. 2339-2390.
doi: 10.1111/jofi.13337
Moutzouris, I. C. ORCID: 0000-0002-6954-9961, Papapostolou, N. C. ORCID: 0000-0003-4529-1182, Marchese, M. ORCID: 0000-0001-6801-911X & Tamvakis, M. ORCID: 0000-0002-5056-0159 (2024).
Determinants of the price premium for Eco vessels.
Commodity Insights Digest, 2(1),
doi: 10.1016/j.trd.2024.104414
Moutzouris, I. C. ORCID: 0000-0002-6954-9961, Papapostolou, N. C. ORCID: 0000-0003-4529-1182, Marchese, M. ORCID: 0000-0001-6801-911X , Tamvakis, M. N. ORCID: 0000-0002-5056-0159 & Shi, Y. ORCID: 0000-0002-3226-7944 (2024).
Determinants of the price premium for eco vessels.
Transportation Research Part D: Transport and Environment, 136,
article number 104414.
doi: 10.1016/j.trd.2024.104414
Mudarisov, T., State, R. V., Kraussl, Z. ORCID: 0000-0001-8718-4874 , Yakubov, A. & Petrova, T. (2024).
Cross-Sector Market Regime Forecasting with LLM-Augmented News Analysis.
In:
Proceedings of the 5th ACM International Conference on AI in Finance.
ICAIF '24: 5th ACM International Conference on AI in Finance, 14-17 Nov 2024, Brooklyn, NY, USA.
doi: 10.1145/3677052.3698642
Odumodu, R. J. (2024). Macro-financial and geopolitical analysis of African equity capital markets. (Unpublished Doctoral thesis, City, University of London)
Park, G. ORCID: 0000-0002-1009-7462 (2024).
The Impact of Performance Reporting on Investment Behavior: Evidence from Disclosure Reform in the U.K.
The Accounting Review, 99(4),
pp. 427-453.
doi: 10.2308/tar-2021-0863
Protopsalti, D. & Skouralis, A. ORCID: 0000-0003-0835-1457 (2024).
Can toll prices changes affect the housing market? The case of the Severn crossing toll removal.
Journal of European Real Estate Research, 17(1),
pp. 87-101.
doi: 10.1108/jerer-09-2023-0034
Schmeling, M. ORCID: 0000-0002-4488-6750 & Wagner, C. (2024).
Does Central Bank Tone Move Asset Prices?.
Journal of Financial and Quantitative Analysis,
pp. 1-32.
doi: 10.1017/s0022109024000073
Skouralis, A. ORCID: 0000-0003-0835-1457 & Lux, N. (2024).
Measuring the interconnectedness and systemic risk in the European listed real estate sector.
Brussels, Belgium: EPRA.
Skouralis, A. ORCID: 0000-0003-0835-1457, Lux, N. ORCID: 0000-0001-6097-8498 & Andrew, M. ORCID: 0000-0002-5256-4882 (2024).
Does flood risk affect property prices? Evidence from a property-level flood score.
Journal of Housing Economics, 66,
article number 102027.
doi: 10.1016/j.jhe.2024.102027
Snyder, D. C. (2024). Essays on Credit Scoring and Credit Risk Data for Small and Medium Enterprise (SME) Lending. (Unpublished Doctoral thesis, City, University of London)
Sun, C. ORCID: 0000-0003-4081-2815 (2024).
Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach.
Journal of Empirical Finance, 77,
article number 101497.
doi: 10.1016/j.jempfin.2024.101497
Tao, J. (2024). Essays on Empirical Corporate Finance. (Unpublished Doctoral thesis, City, University of London)
Urga, G. ORCID: 0000-0002-6742-7370 & Wang, F. (2024).
Estimation and Inference for High Dimensional Factor Model with Regime Switching.
Journal of Econometrics, 241(2),
article number 105752.
doi: 10.1016/j.jeconom.2024.105752
Wang, L. (2024). Bayesian Markov-Switching Models with Economic and Financial Applications. (Unpublished Doctoral thesis, City, University of London)
Černý, A. ORCID: 0000-0001-5583-6516 & Czichowsky, C. (2024).
The law of one price in quadratic hedging and mean-variance portfolio selection.
Finance and Stochastics,
2023
Al-Sarraf, J.A. (2023). Essays on Diversity and Firm Performance. (Unpublished Doctoral thesis, City, University of London)
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.
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.
.
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. (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. (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
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.
Cao, J. J., Vasquez, A. A., Xiao, X. ORCID: 0000-0002-0564-9795 & Zhan, X. E. (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. (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. (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. (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
Ciampini, A. (2023). Essays on Factor Models in Asset Pricing. (Unpublished Doctoral thesis, City, University of London)
Clare, A. D., Seaton, J., Smith, P. N. & Thomas, S. ORCID: 0000-0001-5438-4263 (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
Degryse, H., De Winne, R., Gresse, C. & Payne, R. ORCID: 0000-0003-3123-5243 (2023).
Duplicated Orders, Swift Cancellations, and Fast Market Making in Fragmented Markets (10.2139/ssrn.3356695).
SSRN.
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
Findlater, A. (2023). The Annuity Puzzle: Insights from Recent UK Pension Developments. (Unpublished Doctoral thesis, City, University of London)
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. (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
Gao, D. (2023). Essays in Financial Intermediation. (Unpublished Doctoral thesis, City, University of London)
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: 0000-0002-6742-7370 (2023).
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Hunt, A. & Blake, D. (2017). Modelling Mortality for Pension Schemes. ASTIN Bulletin, 47(2), pp. 601-629. doi: 10.1017/asb.2016.40
Jensen, T., Lando, D. & Medhat, M. (2017). Cyclicality and Firm-size in Private Firm Defaults. International Journal of Central Banking(Dec),
Jung, J. H., Lim, S.S., Pae, J. & Yoo, C.Y. (2017). Do Analysts Who Understand Accounting Conservatism Exhibit Better Forecasting Performance?. Journal of Business Finance and Accounting, 44(7-8), pp. 953-985. doi: 10.1111/jbfa.12254
Karanasos, M., Koutroumpis, P., Hatgioannides, J. , Karanassou, M. & Sala, H. (2017). Seven Years of Austerity and the Greek Dra(ch)ma: Three Economists’ Views and a Comment. In: Bournakis, I., Tsoukis, C., Christopoulos, D. K. & Palivos, T. (Eds.), Political Economy Perspectives on the Greek Crisis: Debt, Austerity and Unemployment. (pp. 117-154). Cham, Switzerland: Palgrave Macmillan.
Karimalis, E. & Nomikos, N. ORCID: 0000-0003-1621-2991 (2017).
Measuring Systemic Risk in the European Banking Sector: A copula CoVar approach.
European Journal of Finance, 24(11),
pp. 944-975.
doi: 10.1080/1351847x.2017.1366350
Karouzakis, N., Hatgioannides, J. & Andriosopoulos, C. (2017). Convexity Adjustment for Constant maturity Swaps in a Multi-Curve Framework. Annals of Operations Research, 266(1-2), pp. 159-181. doi: 10.1007/s10479-017-2430-6
Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. & Andriosopoulos, K. (2017). Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps. Transportation Research Part E: Logistics and Transportation Review, 108, pp. 80-96. doi: 10.1016/j.tre.2017.09.002
Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. & Nomikos, N. ORCID: 0000-0003-1621-2991 (2017).
Income Uncertainty and the Decision to Invest in Bulk Shipping.
European Financial Management, 24(3),
pp. 387-417.
doi: 10.1111/eufm.12132
Larrain, B., Tapia, M. & Urzúa, F. ORCID: 0000-0003-4681-7684 (2017).
Investor protection and corporate control.
Journal of Corporate Finance, 47,
pp. 174-190.
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Lee, S. (2017). Convergence in the UK Direct Real Estate Market. Journal of Property Investment & Finance, 35(4), pp. 382-396. doi: 10.1108/jpif-06-2016-0043
Lee, S. & Jadevicius, A. (2017). UK REITs don’t like Mondays. Journal of Property Investment & Finance, 35(1), pp. 58-74. doi: 10.1108/jpif-03-2016-0021
Maitra, P., Mitra, S., Mookherjee, D. , Motta, A. & Visaria, S. ORCID: 0000-0001-7406-4929 (2017).
Financing smallholder agriculture: An experiment with agent-intermediated microloans in India.
Journal of Development Economics, 127,
pp. 306-337.
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Marsh, I. W., Rincon-Aznar, A., Vecchione, M. & Venturini, F. (2017). We see ICT spillovers everywhere but in the econometric evidence: a reassessment. Industrial and Corporate Change, 26(6), pp. 1067-1088. doi: 10.1093/icc/dtx008
Menkhoff, L., Sarno, L., Schmeling, M. & Schrimpf, A. (2017). Currency Value. The Review of Financial Studies, 30(2), pp. 416-441. doi: 10.1093/rfs/hhw067
Moeller, S. & Appadu, N. (2017). M&A Attractiveness Index 2016. London, UK: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S. ORCID: 0000-0001-5136-0004 & Appadu, N. (2017).
M&A Attractiveness Index 2017.
MARC Working Paper Series 2017.
Moeller, S., Appadu, N. & Sudarsanam, S. (2017). Pensions: Now something more to worry about (for dealmakers). London: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S. ORCID: 0000-0001-5136-0004 & Skourikhine, S. (2017).
M&A Attractiveness Index 2017: Russia: Count the Roubles Not the Politics.
MARC Working Paper Series 2017.
Moeller, S., Vitkova, V. & Sudarsanam, S. (2017). 'Hedge Funds: Stock Pickers or Managers?. London, UK: M&A Research Centre, Cass Business School, City, University of London.
Moeller, S. ORCID: 0000-0001-5136-0004, Vitkova, V., Xie, F. , Tian, S. & Abou Meri, A. (2017).
Megatrends: New and Emerging Drivers of Deal Activity.
(MARC Working Paper Series 2017).
Moss, A. (2017). REIT Research Compendium. London UK: Consilia Capital.
Moss, A., Clare, A., Thomas, S. & Seaton, J. (2017). Can sector specific REIT strategies outperform a diversified benchmark?. Journal of European Real Estate Research, 10(3), pp. 366-383. doi: 10.1108/jerer-11-2016-0042
Novotny, J. & Urga, G. (2017). Testing for co-jumps in financial markets. Journal of Financial Econometrics, 16(1), pp. 118-128. doi: 10.1093/jjfinec/nbx028
Papapostolou, N. C., Pouliasis, P. K. & Kyriakou, I. (2017). Herd behavior in the drybulk market: An empirical analysis of the decision to invest in new and retire existing fleet capacity. Transportation Research Part E: Logistics and Transportation Review, 104, pp. 36-51. doi: 10.1016/j.tre.2017.05.007
Pappas, V., Ongena, S., Izzeldin, M. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2017).
A Survival Analysis of Islamic and Conventional Banks.
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Piana, J. (2017). Expectations, fundamentals, and asset returns: evidence from the commodity markets. (Unpublished Doctoral thesis, Cass Business School)
Pouliasis, P. K., Kyriakou, I. & Papapostolou, N. C. (2017). On equity risk prediction and tail spillovers. International Journal of Finance and Economics, 22(4), pp. 379-393. doi: 10.1002/ijfe.1594
Russo, M. (2017). Essays in the evolving European natural gas markets. (Unpublished Doctoral thesis, City, University of London)
Saka, O. (2017). Essays on Sovereign Risk and Banking. (Unpublished Doctoral thesis, City, University of London)
Sanderson, D. C. & Devaney, S. (2017). Occupier Satisfaction and Investment Returns from UK Commercial Real Estate. Journal of Property Investment and Finance, 35(2), pp. 135-159. doi: 10.1108/jpif-10-2016-0077
Sarno, L., Blake, D. & Zinna, G. (2017). The market for lemmings: The herding behavior of pension funds. Journal of Financial Markets, 36, pp. 17-39. doi: 10.1016/j.finmar.2017.03.001
Sarwar, G., Mateus, C. & Todorovic, N. (2017). US sector rotation with five-factor Fama–French alphas. Journal of Asset Management, 19(2), pp. 116-132. doi: 10.1057/s41260-017-0067-2
Sarwar, G., Mateus, C. & Todorovic, N. (2017). A tale of two states: asymmetries in the UK small, value and momentum premiums. Applied Economics, 49(5), pp. 456-476. doi: 10.1080/00036846.2016.1200184
Spilda, J. (2017). On sources of risk in quadratic hedging and incomplete markets. (Unpublished Doctoral thesis, City, University of London)
Tian, S. & Moeller, S. (2017). You can make the jump, but can you stick the landing? Private equity goes international. (MARC Working Paper Series 2017).
Urga, G., Bellavite Pellegrini, C. & Meoli, M. (2017). Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom. Finance Research Letters, 21, pp. 163-171. doi: 10.1016/j.frl.2017.02.002
Vitkova, V. & Krsticevic, Z-L. (2017). The Goldilocks Effect: Industry-relatedness and M&A. (MARC Working Paper Series 2017).
Vitkova, V., Tian, S. & Sudarsanam, S. (2017). Let's Stay in Touch: The Carve-out Option for Conglomerates. (MARC Working Paper Series 2017).
2016
Abbassi, P., Iyer, R., Peydró, J.L. & Tous, F.R. (2016). Securities trading by banks and credit supply: Micro-evidence from the crisis. Journal of Financial Economics, 121(3), pp. 569-594. doi: 10.1016/j.jfineco.2016.05.005
Acharya, V., Pagano, M. & Volpin, P. (2016). Seeking Alpha: Excess risk taking and competition for managerial talent. The Review of Financial Studies, 29(10), pp. 2565-2599. doi: 10.1093/rfs/hhw036
Ahoniemi, K., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Olmo, J. (2016).
Overnight News and Daily Equity Trading Risk Limits.
Journal of Financial Econometrics, 14(3),
pp. 525-551.
doi: 10.1093/jjfinec/nbu032
Alizadeh-Masoodian, A., Strandenes, S.P. & Thanopoulou, H. (2016). Capacity retirement in the dry bulk market: A vessel based logit model. Transportation Research Part E: Logistics and Transportation Review, 92, pp. 28-42. doi: 10.1016/j.tre.2016.03.005
Andrada-Felix, J., Fernandez-Rodriguez, F. & Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2016).
Combining Nearest Neighbor Predictions and Model-Based Predictions of Realized Variance: Does it Pay?.
International Journal of Forecasting, 32(3),
pp. 695-715.
doi: 10.1016/j.ijforecast.2015.10.004
Andriosopoulos, K., Chan, Ka Kei, Dontis-Charitos, P. & Staikouras, S. (2016). Wealth and risk implications of the Dodd-Frank Act on the U.S. financial intermediaries. Journal of Financial Stability, 33, pp. 366-379. doi: 10.1016/j.jfs.2016.09.006
Ayadi, R., Naceur, S., Casu, B. & Quinn, B. (2016). Does Basel compliance matter for bank performance?. Journal of Financial Stability, 23, pp. 15-32. doi: 10.1016/j.jfs.2015.12.007
Ballester, L., Casu, B. & González-Urteaga, A. (2016). Bank fragility and contagion: Evidence from the bank CDS market. Journal of Empirical Finance, 38(A), pp. 394-416. doi: 10.1016/j.jempfin.2016.01.011
Ballotta, L. & Bonfiglioli, E. (2016). Multivariate Asset Models Using Levy Processes and Applications. The European Journal of Finance, 22(13), pp. 1320-1350. doi: 10.1080/1351847x.2013.870917
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G. ORCID: 0000-0001-9215-2586 & Marena, M. (2016).
A Gentle Introduction to Default Risk and Counterparty Credit Modelling (10.2139/ssrn.2816355).
SSRN Working Paper Series.
Bathia, D., Bredin, D. & Nitzsche, D. (2016). International Sentiment Spillovers in Equity Returns. International Journal of Finance and Economics, 21(4), pp. 332-359. doi: 10.1002/ijfe.1549
Beck, T. (2016). Regulatory Cooperation on Cross-Border Banking – Progress and Challenges After the Crisis. National Institute Economic Review, 235(1), R40-R49. doi: 10.1177/002795011623500114
Beck, T., Chen, T., Lin, C. & Song, F. M. (2016). Financial innovation: The bright and the dark sides. Journal of Banking and Finance, 72, pp. 28-51. doi: 10.1016/j.jbankfin.2016.06.012
Beck, T. & Wagner, W. (2016). Supranational Supervision - How Much and for Whom?. International Journal of Central Banking, 12(2), pp. 221-268.
Belvisi, M, Pianeti, R & Urga, G. (2016). Modelling financial markets comovements during crises: A dynamic multi-factor approach. Advances in Econometrics, 35, pp. 317-360. doi: 10.1108/S0731-905320150000035008
Benos, E., Payne, R. & Vasios, M. (2016). Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act. UK: Bank of England, ISSN 1749-9135.
Beqiri, Z. (2016). Essays on banking in developing countries. (Unpublished Doctoral thesis, City, University of London)
Berger, A. N., Frame, W. S. & Ioannidou, V. ORCID: 0000-0002-7996-2346 (2016).
Reexamining the empirical relation between loan risk and collateral: The roles of collateral liquidity and types.
Journal of Financial Intermediation, 26,
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Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 1: Introduction from “We Need a National Narrative: Building a Consensus around Retirement Income”, the Report of the Independent Review of Retirement Income.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 29-60). London, UK: Independent Review of Retirement Income.
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 2: How to ensure that savers can get the best products in retirement.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 61-198). London, UK: Independent Review of Retirement Income.
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 3: Supporting savers to make the right choice at retirement for them and their family and how to build on the lessons of auto-enrolment.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 199-436). London, UK: Independent Review of Retirement Income.
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 4: Helping savers to manage longevity risk.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 437-468). London, UK: Independent Review of Retirement Income.
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 5: The role of the National Employment Savings Trust in helping savers to access good quality retirement products.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 469-490). London, UK: Independent Review of Retirement Income.
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 6: The role of collective pension schemes and how these could be introduced in the UK.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 491-538). London, UK: Independent Review of Retirement Income.
Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Chapter 7: Conclusion: Developing a National Narrative.
In: Blake, D. ORCID: 0000-0002-2453-2090 (Ed.),
We Need a National Narrative: Building a Consensus around Retirement Income.
(pp. 539-595). London, UK: Independent Review of Retirement Income.
Blake, D. & Hunt, A. (2016). Basis Risk and Pension Schemes: A Relative Modelling Approach (PI-1601). London, UK: Pensions Institute.
Boffelli, S., Skintzi, V. D. & Urga, G. (2016). High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers. Journal of Financial Econometrics, 15(1), pp. 62-105. doi: 10.1093/jjfinec/nbv023
Brun-Aguerre, R., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Greenwood-Nimmo, M. (2016).
Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through into Import Prices.
Journal of the Royal Statistical Society Series A: Statistics in Society, 180(2),
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Bussiere, M. & Phylaktis, K. (2016). Emerging markets finance: Issues of international capital flows - Overview of the special issue. Journal of International Money and Finance, 60, pp. 1-7. doi: 10.1016/j.jimonfin.2015.09.007
Cairns, A.J.G., Blake, D., Dowd, K. & Kessler, A.R. (2016). Phantoms never die: Living with unreliable population data. Journal of the Royal Statistical Society. Series A: Statistics in Society, 179(4), pp. 975-1005. doi: 10.1111/rssa.12159
Caldana, R., Fusai, G., Gnoatto, A. & Grasselli, M. (2016). General closed-form basket option pricing bounds. Quantitative Finance, 16(4), pp. 535-554. doi: 10.1080/14697688.2015.1073854
Casu, B., Deng, B. & Ferrari, A. (2016). Post-crisis regulatory reforms and bank performance: lessons from Asia. European Journal of Finance, 23(15), pp. 1544-1571. doi: 10.1080/1351847x.2016.1177566
Casu, B., Dontis-Charitos, P., Staikouras, S. & Williams, J. (2016). Diversification, Size and Risk: the Case of Bank Acquisitions of Nonbank Financial Firms. European Financial Management, 22(2), pp. 235-275. doi: 10.1111/eufm.12061
Casu, B., Ferrari, A., Girardone, C. & Wilson, J. O. S. (2016). Integration, productivity and technological spillovers: Evidence for eurozone banking industries. European Journal of Operational Research, 255(3), pp. 971-983. doi: 10.1016/j.ejor.2016.06.007
Cenedese, G., Payne, R., Sarno, L. & Valente, G. (2016). What Do Stock Markets Tell Us about Exchange Rates?. Review of Finance, 20(3), pp. 1045-1080. doi: 10.1093/rof/rfv032
Chari, S., Balabanis, G., Robson, M.J. & Slater, S. (2016). Alignments and misalignments of realized marketing strategies with administrative systems: Performance implications. Industrial Marketing Management, 63(May 20), pp. 129-144. doi: 10.1016/j.indmarman.2016.11.002
Chiaramonte, L. & Casu, B. (2016). Capital and liquidity ratios and financial distress. Evidence from the European banking industry. British Accounting Review, 49(2), pp. 138-161. doi: 10.1016/j.bar.2016.04.001
Clare, A., Duygun, M., Gulamhussen, M. & Pozzolo, A. (2016). Bank business models, regulation, and the role of financial market participants in the global financial crisis. Journal of Banking and Finance, 72(Supple), S1-S5. doi: 10.1016/j.jbankfin.2016.10.007
Clare, A., O'Sullivan, N., Sherman, M. & Thomas, S. (2016). Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada. Research in International Business and Finance, 36, pp. 212-221. doi: 10.1016/j.ribaf.2015.09.011
Clare, A., Seaton, J., Smith, P. N. & Thomas, S. (2016). The trend is our friend: Risk parity, momentum and trend following in global asset allocation. Journal of Behavioral and Experimental Finance, 9, pp. 63-80. doi: 10.1016/j.jbef.2016.01.002
Cuthbertson, K., Hayley, S., Motson, N. & Nitzsche, D. (2016). What Does Rebalancing Really Achieve?. International Journal of Finance & Economics, 21(3), pp. 224-240. doi: 10.1002/ijfe.1545
Cuthbertson, K., Nitzsche, D. & O'Sullivan, N. (2016). A review of behavioural and management effects in mutual fund performance. International Review of Financial Analysis, 44, pp. 162-176. doi: 10.1016/j.irfa.2016.01.016
Degryse, H., Ioannidou, V. ORCID: 0000-0002-7996-2346 & Von Schedvin, E. (2016).
On the nonexclusivity of loan contracts: An empirical investigation.
Management Science, 62(12),
pp. 3510-3533.
doi: 10.1287/mnsc.2015.2277
Della Corte, P., Ramadorai, T. & Sarno, L. (2016). Volatility Risk Premia and Exchange Rate Predictability. Journal of Financial Economics, 120(1), pp. 21-40. doi: 10.1016/j.jfineco.2016.02.015
Dowd, K., Blake, D. & Cairns, A. J. G. (2016). The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts. Risks, 4(3), article number 21. doi: 10.3390/risks4030021
Elyasiani, E., Staikouras, S. & Dontis-Charitos, P. (2016). Cross-Industry Product Diversification and Contagion in Risk and Return: The case of Bank-Insurance and Insurance-Bank Takeovers. Journal Of Risk And Insurance, 83(3), pp. 681-718. doi: 10.1111/jori.12066
Fabbri, D. & Klapper, L.F. (2016). Bargaining power and trade credit. Journal of Corporate Finance, 41, pp. 66-80. doi: 10.1016/j.jcorpfin.2016.07.001
Fabbri, D. & Menichini, A.M.C. (2016). The commitment problem of secured lending. Journal of Financial Economics, 120(3), pp. 561-584. doi: 10.1016/j.jfineco.2016.02.009
Favara, G., Morellec, E., Schroth, E. & Valta, P. (2016). Debt Enforcement, Investment, and Risk Taking Across Countries. Journal of Financial Economics, 123(1), pp. 22-41. doi: 10.1016/j.jfineco.2016.09.002
Fernandez-Perez, A, Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J (2016).
Is idiosyncratic volatility priced in commodity futures markets?.
International Review of Financial Analysis, 46,
pp. 219-226.
doi: 10.1016/j.irfa.2016.06.002
Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Miffre, J. (2016).
Commodity Markets, Long-Run Predictability and Intertemporal Pricing.
Review of Finance, 21(3),
doi: 10.1093/rof/rfw034
Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Olmo, J. (2016).
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?.
Journal of Risk and Financial Management, 9(3),
article number 10.
doi: 10.3390/jrfm9030010
Fusai, G., Germano, G. & Marazzina, D. (2016). Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research, 251(1), pp. 124-134. doi: 10.1016/j.ejor.2015.11.027
Hayley, S. (2016). Reforming UK Venture Capital Trusts. SSRN.
Hayley, S. & Marsh, I. W. (2016). What do retail FX traders learn?. Journal of International Money and Finance, 64, pp. 16-38. doi: 10.1016/j.jimonfin.2016.02.001
Hayley, S., Nitzsche, D. & Cuthbertson, K. (2016). Market and Style Timing: German Equity and Bond Funds. European Financial Management, 22(4), pp. 667-696. doi: 10.1111/eufm.12080
Horváth, L. & Trapani, L. (2016). Statistical inference in a random coefficient panel model. Journal of Econometrics, 193(1), pp. 54-75. doi: 10.1016/j.jeconom.2016.01.006
Hunt, A. & Blake, D. ORCID: 0000-0002-2453-2090 (2016).
Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies (PI-1602).
London, UK: Pensions Institute.
Hunt, A. & Blake, D. ORCID: 0000-0002-2453-2090 (2016).
The Good, the Bad and the Healthy: The Medical Underwriting Revolution in the Defined Benefit De-Risking Market.
London, UK: Pensions Institute; Cass Business School, ISSN 1367-580X.
Keswani, A., Stolin, D. & Tran, A. (2016). Frenemies: how do financial firms vote on their own kind?. Management Science, 63(3), pp. 631-654. doi: 10.1287/mnsc.2015.2314
Konstantinidi, T. & Pope, P. (2016). Forecasting risk in earnings. Contemporary Accounting Research, 33(2), pp. 487-525. doi: 10.1111/1911-3846.12158
Kyriakou, I., Nomikos, N. ORCID: 0000-0003-1621-2991, Pouliasis, P. K. & Papapostolou, N. C. (2016).
Affine-Structure Models and the Pricing of Energy Commodity Derivatives.
European Financial Management, 22(5),
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Kyriakou, I., Pouliasis, P. K. & Papapostolou, N. C. (2016). Jumps and stochastic volatility in crude oil prices and advances in average option pricing. Quantitative Finance, 16(12), pp. 1859-1873. doi: 10.1080/14697688.2016.1211798
Lee, S. (2016). Distance and diversification. Journal of European Real Estate Research, 9(2), pp. 183-192. doi: 10.1108/jerer-02-2016-0010
Lee, S. (2016). REITs and the Taper Tantrum. Journal of Property Investment and Finance, 34(5), pp. 457-464. doi: 10.1108/jpif-03-2016-0020
Lux, N. & Moss, A. (2016). Liquidity in global real estate securities markets. Journal of Property Investment & Finance, 34(4), pp. 321-346. doi: 10.1108/jpif-11-2015-0078
Mateus, I. B., Mateus, C. & Todorovic, N. (2016). UK equity mutual fund alphas make a comeback. International Review of Financial Analysis, 44, pp. 98-110. doi: 10.1016/j.irfa.2016.01.004
Menkhoff, L., Sarno, L., Schmeling, M. & Schrimpf, A. (2016). Information flows in foreign exchange markets: Dissecting customer currency trades. Journal of Finance, 71(2), pp. 601-634. doi: 10.1111/jofi.12378
Moeller, S. & Appadu, N. (2016). M&A Attractiveness Index 2015. London: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S., Appadu, N. & Kallum, M. (2016). Deal closure is the starting point not the end point. London, UK: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S., King, D. & Ahmed El-Kady, A.H.A. (2016). Let's Keep this Private: The Growing Weight of Evidence Behind Improving M&A Returns. London, UK: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moeller, S. & Lawson, J.T. (2016). For the Buck or for the Future. London: Mergers & Acquisitions Research Centre (MARC), Cass Business School, City, University of London.
Moss, A., Clare, A., Thomas, S. & Seaton, J. (2016). The Blended Approach to Real Estate Allocations: Performance Implications of Combining an Exposure to German Spezialfonds with Global Listed Real Estate Securities. Alternative Investment Analysts' Review, 4(4), pp. 17-23.
Osborne, M., Fuertes, A-M. ORCID: 0000-0001-6468-9845 & Milne, A. (2016).
In Good Times and in Bad: Bank Capital Ratios and Lending Rates.
International Review of Financial Analysis, 51,
pp. 102-112.
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Saleh, Nashwa (2012). Towards a New Model for Early Warning Signals for Systemic Financial Fragility and Near Crises: An Application to OECD Countries. (Unpublished Doctoral thesis, City University London)
Sarno, L., Schneider, P. & Wagner, C. (2012). Properties of foreign exchange risk premiums. Journal of Financial Economics, 105(2), pp. 279-310. doi: 10.1016/j.jfineco.2012.01.005
Sherman, Meadhbh (2012). An examination of the factors influencing mutual fund performance. (Unpublished Doctoral thesis, City Univeristy London)
Tamvakis, M. ORCID: 0000-0002-5056-0159 (2012).
The Future of Biofuels in Asia.
London: Czarnikow Group.
Trapani, L. (2012). On the asymptotic t-test for large nonstationary panel models. Computational Statistics & Data Analysis, 56(11), pp. 3286-3306. doi: 10.1016/j.csda.2011.03.004
Yim, A. (2012). Are Positive Reactions to Bad News Plausible? The Consideration of Fraud Detection in Audit and Reporting Delays. SSRN: SSRN Working Paper.
2011
Beber, A., Brandt, M. W. & Kavajecz, K. A. (2011). What Does Equity Sector Orderflow Tell Us About the Economy?. The Review of Financial Studies, 24(11), pp. 3688-3730. doi: 10.1093/rfs/hhr067
Bertolini, Lorenzo (2011). Trading foreign exchange carry portfolios. (Unpublished Doctoral thesis, City University London)
Besar, Dwityapoetra Soeyasa (2011). Essays on Indonesian Banking: Competition, Efficiency, and its Role in Monetary Policy Transmission. (Unpublished Doctoral thesis, City University London)
Biagini, S. & Černý, A. (2011). Admissible strategies in semimartingale portfolio selection. SIAM Journal on Control and Optimization, 49(1), pp. 42-72. doi: 10.1137/090774458
Blake, D., Courbage, C., MacMinn, R. & Sherris, M. (2011). Longevity Risk and Capital Markets: The 2010-2011 Update. The Geneva Papers On Risk And Insurance: Issues And Practice, 36(4), pp. 489-500. doi: 10.1057/gpp.2011.27
Britten-Jones, M., Neuberger, A. & Nolte, I. (2011). Improved Inference in Regression with Overlapping Observations. Journal of Business Finance & Accounting, 38(5-6), pp. 657-683. doi: 10.1111/j.1468-5957.2011.02244.x
Bruche, M. (2011). Creditor coordination, liquidation timing, and debt valuation. Journal of Financial and Quantitative Analysis, 46(5), pp. 1407-1436. doi: 10.1017/s0022109011000330
Brutting, Milena (2011). Goodwill impairment: causes and impact. (Unpublished Doctoral thesis, City University London)
Carapeto, M., Moeller, S., Faelten, A. , Vitkova, V. & Bortolotto, L. (2011). Distress classification measures in the banking sector. Risk governance and control: financial markets & institutions, 1(4), pp. 19-30. doi: 10.22495/rgcv1i4art2
Dargenidou, C., McLeay, S. & Raonic, I. (2011). Accruals, Disclosure and the Pricing of Future Earnings in the European Market. Journal of Business Finance & Accounting, 38(5-6), pp. 473-504. doi: 10.1111/j.1468-5957.2011.02245.x
Della Corte, P., Sarno, L. & Tsiakas, I. (2011). Spot and forward volatility in foreign exchange. Journal of Financial Economics, 100(3), pp. 496-513. doi: 10.1016/j.jfineco.2011.01.007
Denuit, M., Haberman, S. & Renshaw, A. E. (2011). Longevity-indexed annuities. North American Actuarial Journal, 15(1), pp. 97-111. doi: 10.1080/10920277.2011.10597611
Dontis-Charitos, Panagiotis (2011). Bank-insurance M&A Deals: An Empirical Investigation of the Risk-return Effects on Acquiring Firms and On the Financial Industry. (Unpublished Doctoral thesis, City University London)
Fusai, G., Marazzina, D. & Marena, M. (2011). Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM Journal on Financial Mathematics, 2(1), pp. 383-403. doi: 10.1137/09076115x
Georgievska, A., Georgievska, L., Stojanovic, A. & Todorovic, N. (2011). Country Debt Default Probabilities in Emerging Markets: Were Credit Rating Agencies Wrong? In: Kolb, R. W. (Ed.), Sovereign Debt: From Safety to Default. (pp. 353-360). Wiley. doi: 10.1002/9781118267073.ch39
Hatzopoulos, P. & Haberman, S. (2011). A dynamic parameterization modeling for age-period-cohort mortality. Insurance: Mathematics and Economics, 49(2), pp. 155-174. doi: 10.1016/j.insmatheco.2011.02.007
Herrera, H. & Schroth, E. (2011). Advantageous Innovation in the Underwriting Market for Corporate Securities. Journal of Banking and Finance, 35(5), pp. 1097-1113. doi: 10.1016/j.jbankfin.2010.09.019
Laušev, J., Stojanovic, A. & Todorovic, N. (2011). Determinants of debt rescheduling in Eastern European countries. Economic Annals, 56(188), pp. 7-31. doi: 10.2298/eka1188007l
Marsh, I. W. (2011). Order flow and central bank intervention: An empirical analysis of recent Bank of Japan actions in the foreign exchange market. Journal of International Money and Finance, 30(2), pp. 377-392. doi: 10.1016/j.jimonfin.2010.10.001
O'Neill, Mark (2011). Museums and social justice: A theory of pratice. (Unpublished Doctoral thesis, City University London)
Owadally, I., Haberman, S. & Gomez, D. (2011). A Savings Plan with Targeted Contributions. Journal of Risk and Insurance, 80(4), pp. 975-1000. doi: 10.1111/j.1539-6975.2012.01485.x
Payne, R. & Friederich, S. (2011). Computer based trading, liquidity and trading costs. Foresight - Government Office for Science.
Pettinicchio, A.K. (2011). Auditing and Regulations. (Unpublished Doctoral thesis, City University London)
Pouliasis, P. K., Nomikos, N. ORCID: 0000-0003-1621-2991 & Papapostolou, N. C. (2011).
Analysis of Volatility and Correlation for CME Steel Products.
London: Cass Business School, City University London.
Pouliasis, Panagiotis (2011). Essays on the empirical analysis of energy risk. (Unpublished Doctoral thesis, City University London)
Sarkisyan, Anna (2011). Three essays on securitisation. (Unpublished Doctoral thesis, City University London)
Tan, F. & Yim, A. (2011). Can Strategic Uncertainty Help Deter Tax Evasion? – An Experiment on Auditing Rules (2011-21). SSRN: SSRN Working Paper.
Tran, A. & Jeon, B. (2011). The dynamic impact of macroeconomic factors on initial public offerings: evidence from time-series analysis. Applied Economics, 43(23), pp. 3187-3201. doi: 10.1080/00036840903493267
Vasileva, Kristina (2011). Foreign direct investment – a behavioural finance approach. (Unpublished Doctoral thesis, City University London)
Zagonov, Maxim (2011). Financial intermediation and interest rate risk. (Unpublished Doctoral thesis, City University London)
2010
Acharya, V. V. & Volpin, P. (2010). Corporate Governance Externalities. Review of Finance, 14(1), pp. 1-33. doi: 10.1093/rof/rfp002
Alizadeh-Masoodian, A. & Talley, W.K. (2010). Dynamics of the Forward Curve and Volatility of Energy Futures Prices. London: SSRN.
Arping, S. & Falconieri, S. (2010). Strategic versus financial investors: the role of strategic objectives in financial contracting. Oxford Economic Papers, 62(4), pp. 691-714. doi: 10.1093/oep/gpp038
Ballotta, L. (2010). Efficient pricing of ratchet equity-indexed annuities in a variance-gamma economy. North American Actuarial Journal, 14(3), pp. 355-368. doi: 10.1080/10920277.2010.10597639
Batchelor, R. (2010). Worst-Case Scenarios in Forecasting: How Bad Can Things Get?. Foresight: The International Journal of Applied Forecasting, 18, pp. 27-32.
Beck, T., Levine, R. & Levkov, A. (2010). Big Bad Banks? The Winners and Losers from Bank Deregulation in the United States. The Journal of Finance, 65(5), pp. 1637-1667. doi: 10.1111/j.1540-6261.2010.01589.x
Biais, B., Mariotti, T., Rochet, J.C. & Villeneuve, S. (2010). Large risks, limited liability, and dynamic moral hazard. Econometrica, 78(1), pp. 73-118. doi: 10.3982/ecta7261
Blake, D. ORCID: 0000-0002-2453-2090, Blond, P., Cummings, C. , Hurman, N., McGee, F., Reeve, J., Schoenborn, A., Stockwell, M., Taylor, K. & Williams, P. (2010).
Saving Britain: A White Paper on Rebuilding Britain’s Savings Culture.
London, UK: Pensions Institute: Cass Business School.
Blake, D., Byrne, A. & Mannion, G. (2010). Pension Plan Decisions. Review of Behavioural Finance, 2(1), pp. 19-36. doi: 10.1108/19405979201000002
Blake, D. ORCID: 0000-0002-2453-2090, Cannon, E. & Tonks, I. (2010).
Ending Compulsory Annuitisation: Quantifying the Consequences.
London, UK: Pensions Institute; Cass Business School, ISSN 1367-580X.
Blake, D. ORCID: 0000-0002-2453-2090, Cannon, E. & Tonks, I. (2010).
Ending Compulsory Annuitisation: What are the Consequences?.
London, UK: Pensions Institute; Cass Business School, ISSN 1367-580X.
Bruche, M. & Gonzalez-Aguado, C. (2010). Recovery rates, default probabilities, and the credit cycle. Journal of Banking & Finance, 34(4), pp. 754-764. doi: 10.1016/j.jbankfin.2009.04.009
Bruche, M. & Naqvi, H. (2010). A structural model of debt pricing with creditor-determined liquidation. Journal of Economic Dynamics and Control, 34(5), pp. 951-967. doi: 10.1016/j.jedc.2010.01.005
Bruche, M. & Suarez, J. (2010). Deposit insurance and money market freezes. Journal of Monetary Economics, 57(1), pp. 45-61. doi: 10.1016/j.jmoneco.2009.11.007
Carapeto, M., Moeller, S., Faelten, A. , Vitkova, V. & Bortolotto, L. (2010). Distress resolution strategies in the banking sector: Implications for global financial crises. International Finance Review, 11, pp. 335-360. doi: 10.1108/S1569-3767(2010)0000011015
Casu, B. & Girardone, C. (2010). Integration and efficiency convergence in EU banking markets. Omega, 38(5), pp. 260-267. doi: 10.1016/j.omega.2009.08.004
Clare, A. & Motson, N. (2010). Do UK Retail Investors Buy at the Top and Sell at the Bottom?. London: Cass Business School, City University London.
Clare, A., Sapuric, S. & Todorovic, N. (2010). Quantitative or momentum-based multi-style rotation? UK experience. Journal of Asset Management, 10(6), pp. 370-381. doi: 10.1057/jam.2009.19
Cuthbertson, K., Nitzsche, D. & O'Sullivan, N. (2010). Mutual fund performance: Measurement and evidence. Financial Markets, Institutions and Instruments, 19(2), pp. 95-187. doi: 10.1111/j.1468-0416.2010.00156.x
Dawson, P., Dowd, K., Cairns, A.J.G. & Blake, D. (2010). Survivor Derivatives: A Consistent Pricing Framework. Journal Of Risk And Insurance, 77(3), pp. 579-596. doi: 10.1111/j.1539-6975.2010.01356.x
Denuit, M., Haberman, S. & Renshaw, A. E. (2010). Comonotonic approximations to quantiles of life annuity conditional expected present values: extensions to general arima models and comparison with the bootstrap. ASTIN Bulletin, 40(1), pp. 331-349. doi: 10.2143/ast.40.1.2049232
Duffuor, K. (2010). Order flow and exchange rate dynamics in emerging economies: The case of Ghana. (Unpublished Doctoral thesis, City University London)
Fabbri, D. (2010). Law Enforcement and Firm Financing: Theory and Evidence. Journal of the European Economic Association, 8(4), pp. 776-816. doi: 10.1111/j.1542-4774.2010.tb00540.x
Fich, E. M., Cai, J. & Tran, A. (2010). Stock option grants to target CEOs during private merger negotiations. Journal of Financial Economics, 101(2), pp. 413-430. doi: 10.1016/j.jfineco.2011.03.010
Fratzscher, M., Juvenal, L. & Sarno, L. (2010). Asset prices, exchange rates and the current account. European Economic Review, 54(5), pp. 643-658. doi: 10.1016/j.euroecorev.2009.12.005
Fuertes, A-M. ORCID: 0000-0001-6468-9845, Miffre, J. & Rallis, G. (2010).
Tactical allocation in commodity futures markets: Combining momentum and term structure signals.
Journal of Banking & Finance, 34(10),
pp. 2530-2548.
doi: 10.1016/j.jbankfin.2010.04.009
Gabrielsen, Alexandros (2010). Modelling the Dynamics of Credit Spreads of European Corporate Bond Indices. (Unpublished Doctoral thesis, City University London)
Green, R., Fusai, G. & Abrahams, I. D. (2010). The wiener-hopf technique and discretely monitored path-dependent option pricing. Mathematical Finance, 20(2), pp. 259-288. doi: 10.1111/j.1467-9965.2010.00397.x
Harland, Z. (2010). Forecasting financial markets using linear, nonlinear & model combination methods. (Unpublished Doctoral thesis, Cass Business School)
Hayley, S. (2010). Dollar Cost Averaging - The Role of Cognitive Error. .
Hayley, S. (2010). Value Averaging and the Automated Bias of Performance Measures. .
Nomikos, N. ORCID: 0000-0003-1621-2991 & Soldatos, O. A. (2010).
Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market.
Energy Economics, 32(2),
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Pagano, M. & Volpin, P. (2010). Credit ratings failures and policy options. Economic Policy, 25(62), pp. 401-431. doi: 10.1111/j.1468-0327.2010.00245.x
Rallis, Georgios (2010). On commodity trading strategies: momentum, term structure, maturity, indexation. (Unpublished Doctoral thesis, City, University of London)
Sapuric, S. (2010). Three essays in asset management. (Unpublished Doctoral thesis, City University London)
Schroth, E. & Szalay, D. (2010). Cash Breeds Success: The Role of Financing Constraints in Patent Races. Review of Finance, 14(1), pp. 73-118. doi: 10.1093/rof/rfp020
Trapani, L. & Urga, G. (2010). Micro versus macro cointegration in heterogeneous panels. Journal of Econometrics, 155(1), pp. 1-18. doi: 10.1016/j.jeconom.2009.07.005
Zhao, T., Casu, B. & Ferrari, A. (2010). The impact of regulatory reforms on cost structure, ownership and competition in Indian banking. Journal of Banking & Finance, 34(1), pp. 246-254. doi: 10.1016/j.jbankfin.2009.07.022
Černý, A. & Kyriakou, I. (2010). An improved convolution algorithm for discretely sampled Asian options. Quantitative Finance, 11(3), pp. 381-389. doi: 10.1080/14697680903397667
2009
Ballotta, L. & Haberman, S. (2009). Investment Strategies and Risk Management for Participating Life Insurance Contracts. London: SSRN.
Beber, A., Brandt, M. W. & Kavajecz, K. A. (2009). Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market. Review of Financial Studies, 22(3), pp. 925-957. doi: 10.1093/rfs/hhm088
Chen, Y. (2009). Essays on the Role of Informed Trading in Stock Markets. (Unpublished Doctoral thesis, City University London)
Clare, A., ap Gwilym, O., Seaton, J. & Thomas, S. (2009). Price and Momentum as Robust Tactical Approaches to Global Equity Investing. London: Cass Business School.
Emms, P. & Haberman, S. (2009). Optimal management of an insurer's exposure in a competitive general insurance market. North American Actuarial Journal, 13(1), pp. 77-105. doi: 10.1080/10920277.2009.10597541
Falconieri, S., Murphy, A. & Weaver, D. (2009). Underpricing and Ex Post Value Uncertainty. Financial Management, 38(2), pp. 285-300. doi: 10.1111/j.1755-053x.2009.01036.x
Fuertes, A-M. ORCID: 0000-0001-6468-9845, Izzeldin, M. & Kalotychou, E. (2009).
On forecasting daily stock volatility: The role of intraday information and market conditions.
International Journal of Forecasting, 25(2),
pp. 259-281.
doi: 10.1016/j.ijforecast.2009.01.006
Haenschel, C., Bittner, R. A., Waltz, J. , Haertling, F., Wibral, M., Singer, W., Linden, D. E. J. & Rodriguez, E. (2009). Cortical oscillatory activity is critical for working memory as revealed by deficits in early-onset schizophrenia. Journal of Neuroscience, 29(30), pp. 9481-9489. doi: 10.1523/jneurosci.1428-09.2009
Hatzopoulos, P. & Haberman, S. (2009). A parameterized approach to modeling and forecasting mortality. Insurance: Mathematics and Economics, 44(1), pp. 103-123. doi: 10.1016/j.insmatheco.2008.10.008
Jokipii, T.K. (2009). Bank Capital Management. (Unpublished Doctoral thesis, City University London)
Kyriacou, M. (2009). Foreign Exchange Market Microstructure and Forecasting. (Unpublished Doctoral thesis, City University London)
Lu, C. (2009). Essays on Cross-Sectional Asset Pricing. (Unpublished Doctoral thesis, Cass Business School)
Motson, N. (2009). Essays on hedge fund risk, return and incentives. (Unpublished Doctoral thesis, City University London)
Munira, S. (2009). Momentum return: is it a compensation for risk?. (Unpublished Doctoral thesis, City, University of London)
Phylaktis, K. & Xia, L. (2009). Equity Market Comovement and Contagion: A Sectoral Perspective. Financial Management, 38(2), pp. 381-409. doi: 10.1111/j.1755-053x.2009.01040.x
Rubesam, A. (2009). ESSAYS ON EMPIRICAL ASSET PRICING USING BAYESIAN METHODS. (Unpublished Doctoral thesis, City University London)
Sarno, L., Della Corte, P. & Tsiakas, I. (2009). An Economic Evaluation of Empirical Exchange Rate Models. Review of Financial Studies, 22(9), pp. 3491-3530. doi: 10.1093/rfs/hhn058
Schmeling, M., Melvin, M. M. & Menkhoff, L. (2009). Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book. Journal of International Economics, 79(1), pp. 54-63. doi: 10.1016/j.jinteco.2009.06.008
Schroth, E. & Albuquerque, R. (2009). Quantifying Private Benefits of Control from a Structural Model of Block Trades (202/2008). ECGI.
Trapani, L. & Urga, G. (2009). Optimal forecasting with heterogeneous panels: A Monte Carlo study. International Journal of Forecasting, 25(3), pp. 567-586. doi: 10.1016/j.ijforecast.2009.02.001
Yim, A. (2009). Efficient Committed Budget for Implementing Target Audit Probability for Many Inspectees. Management Science, 55(12), pp. 2000-2018. doi: 10.1287/mnsc.1090.1083
Černý, A. & Kallsen, J. (2009). Hedging by sequential regressions revisited. Mathematical Finance, 19(4), pp. 591-617. doi: 10.1111/j.1467-9965.2009.00381.x
2008
Andrew, Mark, Meen, G., Kasparova, D. , Wood, G., Ball, M., Goody, J., Whitehead, C. & Pyrce, G. (2008). Recent Developments in the Communities and Local Government Affordability Model. Communities and Local Government Publications.
Anim-Odame, W.K. (2008). Residential Real Estate Investment in Emerging Economies: The Case of Ghana. (Unpublished Doctoral thesis, City University London)
Beck, T., Demirguc-Kunt, A., Laeven, L. & Levine, R. (2008). Finance, Firm Size, and Growth. Journal of Money, Credit and Banking, 40(7), pp. 1379-1405. doi: 10.1111/j.1538-4616.2008.00164.x
Beck, T., Demirguc-Kunt, A. & Maksimovic, V. (2008). Financing patterns around the world: Are small firms different?. Journal of Financial Economics, 89(3), pp. 467-487. doi: 10.1016/j.jfineco.2007.10.005
Bennouri, M. & Falconieri, S. (2008). The Optimality of Uniform Pricing in IPOs: An Optimal Auction Approach. Review of Finance, 12(4), pp. 673-700. doi: 10.1093/rof/rfn006
Blake, D. ORCID: 0000-0002-2453-2090, Khorasanee, Z., Pickles, J. & Tyrrall, D. (2008).
An unreal number: how company pension accounting fosters an illusion of certainty.
London, UK: Pensions Institute; Cass Business School, ISSN 1367-580X.
Blake, D. ORCID: 0000-0002-2453-2090 & Pickles, J. (2008).
Apocalyptic Demography? Putting Longevity Risk in Perspective.
CIMA; Pensions Institute.
Clare, A. & Motson, N. (2008). How Many Alternative Eggs Should You Put in Your Investment Basket?. London: Cass Business School, City University London.
Corte, P. D., Sarno, L. & Thornton, D. (2008). The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value. Journal of Financial Economics, 89(1), pp. 158-174. doi: 10.1016/j.jfineco.2007.08.002
Cuthbertson, K., Nitzsche, D. & O'Sullivan, N. (2008). False Discoveries: Winners and Losers in Mutual Fund Performance. London: SSRN.
Dimitrova, D. S., Kaishev, V. K. & Penev, S. (2008). GeD spline estimation of multivariate Archimedean copulas. Computational Statistics & Data Analysis, 52(7), pp. 3570-3582. doi: 10.1016/j.csda.2007.11.010
Driver, C., Temple, P. & Urga, G. (2008). Real options - delay vs. pre-emption: Do industrial characteristics matter?. International Journal of Industrial Organization, 26(2), pp. 532-545. doi: 10.1016/j.ijindorg.2007.03.003
Fuertes, A-M. ORCID: 0000-0001-6468-9845 (2008).
Sieve bootstrap t-tests on long-run average parameters.
Computational Statistics & Data Analysis, 52(7),
pp. 3354-3370.
doi: 10.1016/j.csda.2007.11.014
Fusai, G., Marena, M. & Roncoroni, A. (2008). Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets. Journal of Banking & Finance, 32(10), pp. 2033-2045. doi: 10.1016/j.jbankfin.2007.12.024
Fusai, G. & Meucci, A. (2008). Pricing discretely monitored Asian options under Levy processes. Journal of Banking & Finance, 32(10), pp. 2076-2088. doi: 10.1016/j.jbankfin.2007.12.027
Georgievska, A., Georgievska, L., Stojanovic, A. & Todorovic, N. (2008). Sovereign rescheduling probabilities in emerging markets: A comparison with credit rating agencies' ratings. Journal of Applied Statistics, 35(9), pp. 1031-1051. doi: 10.1080/02664760802193112
Kos, H. & Todorovic, N. (2008). S&P Global Sector survivals: Momentum effects in sector indices underlying iShares. Quarterly Review of Economics and Finance, 48(3), pp. 520-540. doi: 10.1016/j.qref.2007.12.001
Li, X. (2008). The impact of time-varying idiosyncratic risk and trading costs on momentum and value strategies. (Unpublished Doctoral thesis, City University London)
Philip, D. (2008). Estimation and testing of latent factors in term structure of interest rates. (Unpublished Doctoral thesis, Cass Business School, City University)
Černý, A. & Kallsen, J. (2008). Mean-variance hedging and optimal investment in Heston's model with correlation. Mathematical Finance, 18(3), pp. 473-492. doi: 10.1111/j.1467-9965.2008.00342.x
Černý, A. & Kallsen, J. (2008). A counterexample concerning the variance-optimal martingalle measure. Mathematical Finance, 18(2), pp. 305-316. doi: 10.1111/j.1467-9965.2007.00334.x
2007
Aristidou, A. (2007). Market microstructure issues related to the Greek capital market. (Unpublished Doctoral thesis, City University London)
Byrne, A., Harrison, D. & Blake, D. ORCID: 0000-0002-2453-2090 (2007).
Dealing With the Reluctant Investor: Innovation and governance in DC pension investment.
London, UK: The Pensions Institute; Cass Business School, ISSN 1367-580X.
Cajigas, J.P. (2007). A multivariate GARCH model for the non-normal behaviour of financial assets. (Unpublished Doctoral thesis, City University London)
Chen, L. (2007). Price discovery in the foreign exchange market. (Unpublished Doctoral thesis, City University London)
Cuthbertson, K., O'Sullivan, N. & Nitzsche, D. (2007). The Market Timing Ability of UK Equity Mutual Funds. SSRN.
Della Corte, P., Sarno, L. & Thornton, D. L. (2007). The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value (6445). Centre for Economic Policy Research.
Dimou, P. (2007). Models of Corporate and Bank Default and Credit Migration. (Unpublished Doctoral thesis, City University London)
Kaishev, V. K., Dimitrova, D. S. & Haberman, S. (2007). Modelling the joint distribution of competing risks survival times using copula functions. Insurance: Mathematics and Economics, 41(3), pp. 339-361. doi: 10.1016/j.insmatheco.2006.11.006
Kam, A. (2007). Corporate distress in an emerging market : the case of China. (Unpublished Doctoral thesis, City University London)
Lazarova, S., Trapani, L. & Urga, G. (2007). Common stochastic trends and aggregation in heterogeneous panels. Econometric Theory, 23(01), pp. 89-105. doi: 10.1017/s0266466607070041
Palaro, H.P. (2007). Essays in hedge fund replication, evaluation and synthetic funds. (Unpublished Doctoral thesis, City University London)
Sivaprasad, S. (2007). The value effects of capital structure : essays on leverage and its impact on stock returns</. (Unpublished Doctoral thesis, City University London)
Soldatos, O. (2007). Modelling electricity price risk for the valuation of power contingent claims : the case of Nord Pool. (Unpublished Doctoral thesis, City University London)
Černý, A. (2007). Optimal continuous-time hedging with leptokurtic returns. Mathematical Finance, 17(2), pp. 175-203. doi: 10.1111/j.1467-9965.2007.00299.x
Černý, A. & Kallsen, J. (2007). On the structure of general mean-variance hedging strategies. Annals of Probability, 35(4), pp. 1479-1531. doi: 10.1214/009117906000000872
2006
Anastassopoulou, N. (2006). Credit risk measurement and modelling. (Unpublished Doctoral thesis, City University London)
Ballotta, L., Haberman, S. & Wang, N. (2006). Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option. Journal of Risk and Insurance, 73(1), pp. 97-121. doi: 10.1111/j.1539-6975.2006.00167.x
Batchelor, R.A. & Ramyar, R. (2006). Magic numbers in the Dow. London: Cass Business School, City of London.
Harrison, D., Byrne, A. & Blake, D. ORCID: 0000-0002-2453-2090 (2006).
Annuities and Accessibility – How the industry can empower consumers to make rational choices.
London, UK: The Pensions Institute; Cass Business School, ISSN 1367-580X.
Jia, H. (2006). Market Conditions and the Functioning of Metal Futures Markets. (Unpublished Doctoral thesis, City University London)
Kaishev, V. K. & Dimitrova, D. S. (2006). Excess of loss reinsurance under joint survival optimality. Insurance: Mathematics and Economics, 39(3), pp. 376-389. doi: 10.1016/j.insmatheco.2006.05.005
Krishnan, Ormala (2006). Value versus growth in the Asian equity markets. (Unpublished Doctoral thesis, City University London)
O' Sullivan, N.M. (2006). UK mutual fund performance. (Unpublished Doctoral thesis, City University London)
Ramyar, Richard (2006). Essays on technical analysis in financial markets. (Unpublished Doctoral thesis, City University, London)
Schroth, E. (2006). Innovation, Differentiation and the Choice of an Underwriter. The Review of Financial Studies, 19(3), pp. 1041-1080. doi: 10.1093/rfs/hhj023
2005
Alizadeh-Masoodian, A. & Nomikos, N. ORCID: 0000-0003-1621-2991 (2005).
Agricultural Reforms and Use of Market Mechanisms for Risk Management.
Cass Business School, City University London.
Andrew, Mark, Allmendinger, P., Ball, M. , Cameron, G., Evans, A., Gibb, K., Goody, J., Holmans, A., Kasparova, D., Meen, G., Monk, S., Muellbauer, J., Murphy, A., Whitehead, C. & Wilson, A. (2005). Affordability targets: Implications for Housing Supply. London: The Office of the Deputy Prime Minister.
Ballotta, L. (2005). A Levy process-based framework for the fair valuation of participating life insurance contracts. Insurance: Mathematics and Economics, 37(2), pp. 173-196. doi: 10.1016/j.insmatheco.2004.10.001
Bozcuk, A. & Lasfer, M. (2005). The information content of institutional trades on the London Stock Exchange. Journal of Financial and Quantitative Analysis, 40(3), pp. 621-644. doi: 10.1017/s0022109000001897
Harrison, D., Byrne, A., Rhodes, W. & Blake, D. ORCID: 0000-0002-2453-2090 (2005).
Pyrrhic Victory? The unintended consequences of the Pensions Act 2004.
London, UK: The Pensions Institute; Cass Business School, ISSN 1367-580X.
Jarkasy, Samer (2005). Valuation bias in the stock market. (Unpublished Doctoral thesis, City University, London)
Marcato, G. (2005). Real estate performance measurement in markets with thin information. (Unpublished Doctoral thesis, City University London)
Onorato, M. (2005). Essays on credit risk, risk adjusted performance and economic capital in financial institutions. (Unpublished Doctoral thesis, City University London)
Picone, D. (2005). Copulae and correlation products. (Unpublished Doctoral thesis, City, University of London)
Xia, L. (2005). Industry effects, contagion and equity market comovement: Implications for international diversification. (Unpublished Doctoral thesis, City, University of London)
2004
Bermudez, A. (2004). Valuation of convertible bonds modelling and implementation. (Unpublished Doctoral thesis, City, University of London)
Blake, D. ORCID: 0000-0002-2453-2090, Cairns, A. & Dowd, K. (2004).
Long-term Value at Risk.
Journal of Risk Finance, 5(2),
pp. 52-57.
doi: 10.1108/eb022986
Gerard, X. (2004). The French Initial Public Offering market and the role of venture capitalists. (Unpublished Doctoral thesis, City, University of London)
Harrison, D, Byrne, A & Blake, D. ORCID: 0000-0002-2453-2090 (2004).
Delivering DC? Barriers to participation in the company-sponsored pensions market.
London, UK: The Pensions Institute; Cass Business School, ISSN 1367-580X.
Jarzabkowski, P. (2004). Strategy as practice: Recursiveness, adaptation, and practices-in-use. Organization Studies, 25(4), pp. 529-560. doi: 10.1177/0170840604040675
Kalotychou, E. (2004). Modeling and forecasting international credit risk : the case of sovereign loans. (Unpublished Doctoral thesis, City University London)
Kwan Tai Yeong, E. (2004). The performance of technical analysts and technical forecasting. (Unpublished Doctoral thesis, City, University of London)
Lam, K. H. (2004). Essays on the Modelling of S&P 500 Volatility. (Unpublished Doctoral thesis, City University London)
Markovska, Anna (2004). Economic crime and its impact on the development of financial markets: the case study of Ukraine.. (Unpublished Doctoral thesis, City University, London)
Mesomeris, S. (2004). Three essays on stock returns predictability and trading strategies to exploit it. (Unpublished Doctoral thesis, City University London)
Priniotakis, T. (2004). Risk factors in Greek companies: An empirical analysis. (Unpublished Doctoral thesis, City, University of London)
Sibanda, W. (2004). Modelling pension fund asset allocation in the UK: An empirical analysis - Volume 1. (Unpublished Doctoral thesis, City, University of London)
Sibanda, W. (2004). Modelling pension fund asset allocation in the UK: An empirical analysis - Volume 2. (Unpublished Doctoral thesis, City, University of London)
Černý, A. (2004). Dynamic Programming and Mean-Variance Hedging in Discrete Time. Applied Mathematical Finance, 11(1), pp. 1-25. doi: 10.1080/1350486042000196164
Černý, A. (2004). Introduction to Fast Fourier Transform in Finance. Journal of Derivatives, 12(1), pp. 73-88. doi: 10.3905/jod.2004.434538
2003
Assi, J. A. (2003). Applications of Fuzzy Set Theory, Fuzzy Measure Theory and Fuzzy Differential Calculus. (Unpublished Doctoral thesis, City, University of London)
Ballotta, L. & Haberman, S. (2003). Pricing of guaranteed annuity conversion options.. INSURANCE MATHEMATICS & ECONOMICS, 32(1), pp. 87-108.
Blake, D. ORCID: 0000-0002-2453-2090 (2003).
Financial System Requirements for Successful Pension Reform.
Pensions, 9(1),
pp. 59-87.
doi: 10.1057/palgrave.pm.5940250
Bouye, E. (2003). Some applications of copulae to finance. (Unpublished Doctoral thesis, City University London)
Gkinis, S. (2003). Modelling energy markets and pricing energy derivatives. (Unpublished Doctoral thesis, City University London)
Ledezma, R. (2003). Three Studies in Credit Risk Modelling. (Unpublished Doctoral thesis, City, University of London)
Saito, E. (2003). A comparative analysis of the prevention and control of electronic crime in the financial sector - Volume 1. (Unpublished Doctoral thesis, City, University of London)
Saito, E. (2003). A comparative analysis of the prevention and control of electronic crime in the financial sector - Volume 2. (Unpublished Doctoral thesis, City, University of London)
Torero, M., Schroth, E. & Pasco-Font, A. (2003). The Impact of the Privatization of Telecommunications in Peru and the Welfare of Urban Consumers. Economia: Journal of the Latin American and Caribbean Economic Association, 4(1), pp. 99-128.
Zenonos, M. (2003). The dividend policy in Europe : the cases of the UK, Germany, France and Italy. (Unpublished Doctoral thesis, City University London)
Černý, A. (2003). Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets. Review of Finance, 7(2), pp. 191-233. doi: 10.1023/a:1024568429527
2002
Blake, D. ORCID: 0000-0002-2453-2090 (2002).
Out of the GAR Frying Pan into the GIR Fire: An Independent Evaluation of the Current State of the With-Profits Fund of the Equitable Life Assurance Society.
London, UK: Pensions Institute.
Budd, C. H. (2002). The Emergence of 'Auditorial Central Banking' : An Enquiry into the Relation Between Central Banking and the Financial Markets Since the End of Bretton Woods, With Particular Reference to the Bank Of England. (Unpublished Doctoral thesis, City, University of London)
Ersoy-Bozcuk, A. (2002). The Impact of Different Types of Shareholder Groups on the Financing and Performance of UK Corporations: An Empirical Analysis. (Unpublished Doctoral thesis, City, University of London)
Lin, S.X. (2002). Information transmission in energy futures markets. (Unpublished Doctoral thesis, City University London)
Marsh, I. W. (2002). What central banks can learn about default risk from credit markets. In: Market functioning and central bank policy (BIS Papers No 12). . Basel, Switzerland: Bank for International Settlements.
Visvikis, I.D. (2002). An econometric analysis of the forward freight market. (Unpublished Doctoral thesis, City University London)
2001
Arkoulis, Angelos George (2001). Important factors for shipping companies in raising funds in the equity and high yield bond public capital markets. (Submitted Doctoral thesis, City University Business School)
Ballotta, L. & Kyprianou, A.E. (2001). A note on the alpha-quantile option. Applied Mathematical Finance, 8(3), pp. 137-144. doi: 10.1080/13504860210122375
Blake, D. ORCID: 0000-0002-2453-2090 (2001).
An Assessment of the Adequacy and Objectivity of the Information Provided by the Board of the Equitable Life Assurance Society in Connection with the Compromise Scheme Proposal of 6 December 2001.
London, UK: Pensions Institute.
Parsons, C. (2001). An essay on liability insurance and accident compensation and five papers on liability insurance. (Unpublished Doctoral thesis, City University London)
Sérgio, Anabela (2001). Portuguese financial regulatory reform : an assessment. (Unpublished Doctoral thesis, City University Business School)
Tamvakis, M. ORCID: 0000-0002-5056-0159 (2001).
Hedging tanker freight rates with forward inter-crude spreads.
Cass Business School, City, University of London.
Todorovic, N. (2001). Equity investment styles. (Unpublished Doctoral thesis, City University London)
Yim, A. (2001). Renegotiation and Relative Performance Evaluation: Why an Informative Signal may be Useless. Review of Accounting Studies, 6(1), pp. 77-108. doi: 10.1023/a:1011386104784
2000
Batchelor, R. & Zarkesh, F. (2000). Variance rationality: a direct test. In: Gardes, F. & Prat, G. (Eds.), Price Expectations in Goods and Financial Markets. (pp. 156-271). London and New York: Edward Elgar.
Blake, D. ORCID: 0000-0002-2453-2090 & Hudson, R. (2000).
Improving Security and Flexibility in Retirement: Full Technical Report.
London, UK: Retirement Income Working Party.
Fusai, G. (2000). Corridor options and arc-sine law. ANNALS OF APPLIED PROBABILITY, 10(2), pp. 634-663. doi: 10.1214/aoap/1019487359
Sorwar, G. (2000). Valuation of Single-Factor Interest Rate Derivatives.. (Unpublished Doctoral thesis, City, University of London)
Staikouras, Christos (2000). European Banking Industry: Sources of Income and Profitability. (Unpublished Doctoral thesis, City, University of London)
Timmermann, A. & Blake, D. ORCID: 0000-0002-2453-2090 (2000).
International Investment Performance: Evidence from Institutional Investors’ Foreign Equity Holdings (PI-0008).
London, UK: Pensions Institute.
1999
Blake, D. ORCID: 0000-0002-2453-2090 (1999).
Financial System Requirements for Successful Pension Reform (PI-9906).
Lodnon, UK: Pensions Institute.
Cestone, G. (1999). Corporate Financing and Product Market Competition: An Overview (CSEF Working Paper no. 18). CSEF.
Liodakis, M. G. (1999). A Re-examination of the Size and Value Effects in the UK: Evidence, Explanations and Implications for Style Rotation Strategies. (Unpublished Doctoral thesis, City, University of London)
1998
Blake, D. ORCID: 0000-0002-2453-2090 & Orszag, J. M. (1998).
The Simple Economics of Funded and Unfunded Pension Systems (PI-9802).
London, UK: Pensions Institute.
Golden, J. (1998). Dynamics of the Irish Government Securities Market. (Unpublished Doctoral thesis, City, University of London)
Kamiyama, N. (1998). The Behaviour of Volatility and Options Pricing. (Unpublished Doctoral thesis, City, University of London)
Phung, T. K. F. (1998). Foreign currency options: An empirical analysis. (Unpublished Doctoral thesis, City, University of London)
1997
Blake, D. ORCID: 0000-0002-2453-2090 & Orszag, JM (1997).
Portability and Preservation of Pension Rights in the UK.
London, UK: UK Office of Fair Trading.
Golder, P. (1997). Exploitation and Exploration of Advanced Technology in Financial Institutions. (Unpublished Doctoral thesis, City, University of London)
Pye, R. B. K. (1997). Foreign direct investment in Central Europe (the Czech Republic, Hungary, Poland, Romania, and Slovakia): A study of major Western investors - Volume 1. (Unpublished Doctoral thesis, City, University of London)
Pye, R. B. K. (1997). Foreign direct investment in Central Europe (the Czech Republic, Hungary, Poland, Romania, and Slovakia): A study of major Western investors - Volume 2. (Unpublished Doctoral thesis, City, University of London)
1995
Heron, T. (1995). Managing marketing information in financial services product development - Volume 1. (Unpublished Doctoral thesis, City, University of London)
Heron, T. (1995). Managing marketing information in financial services product development - Volume 2. (Unpublished Doctoral thesis, City, University of London)
1993
Adekanye, F.A.Z. (1993). Commercial bank performance in a developing country : a case study of Nigeria. (Unpublished Doctoral thesis, City University London)
Li, K. W. (1993). Financial repression in China and economic reform: 1978-1989. (Unpublished Doctoral thesis, City, University of London)
1991
Brown, D. L. (1991). The evaluation of new business development projects in commercial banks. (Unpublished Doctoral thesis, City, University of London)
1990
Allen, H.L. (1990). Chartism in the foreign exchange market. (Unpublished Doctoral thesis, City University London)
Carolides, E. (1990). The effect of credit controls on the allocation of resources: the case of Greece. (Unpublished Doctoral thesis, City, University of London)
1989
Fraser, Patricia (1989). Essays on international parity conditions. (Unpublished Doctoral thesis, City University)
1988
Ogden, E.M. (1988). The development of the role of the Bank of England as a Lender of Last Resort, 1870-1914. (Unpublished Doctoral thesis, City University London)