Research Outputs
- 1 - 25 out of 61 results
Search results
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Bitcoin replication using machine learning
Harris, R. D. F., Mazibas, M. & Rambaccussing, D., 1 May 2024, In: International Review of Financial Analysis. 93, 9 p., 103207.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open Access1 Citation (Scopus) -
COAALA: A Novel Approach to Understanding Extreme Stock-Bond Comovement
Allard, A.-F., Hanbali, H. & Smedts, K., 24 Apr 2024, (E-pub ahead of print) In: Journal of Financial Econometrics. 22, 5, p. 1532-1557 26 p., nbae006 .Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile26 Downloads (Pure) -
Cross-cryptocurrency return predictability
Guo, L., Sang, B., Tu, J. & Wang, Y., 21 May 2024, In: Journal of Economic Dynamics and Control. 163, 33 p., 104863.Research output: Contribution to journal › Article (Academic Journal) › peer-review
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Investor behavior around targeted liquidity announcements
Cardillo, G., Onali, E. & Perdichizzi, S., 26 Sept 2024, In: British Accounting Review. 56, 6, 101275.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open Access -
Market reaction to the expected loss model in banks
Onali, E., Ginesti, G., Cardillo, G. & Torluccio, G., 1 Oct 2024, In: Journal of Financial Stability. 74, 100884.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile3 Citations (Scopus)1 Downloads (Pure) -
On the Other Side of Hedge Fund Equity Trades
Cui, X., Kolokolova, O. & Wang, G., 1 Jun 2024, In: Management Science. 70, 6, p. 3684-3710 27 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile1 Citation (Scopus)72 Downloads (Pure) -
Average Tail Risk and Aggregate Stock Returns
Dai, Y. & Harris, R. D. F., 1 Jan 2023, In: Journal of International Financial Markets, Institutions and Money. 82, 15 p., 101699.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile4 Citations (Scopus)157 Downloads (Pure) -
Can Real Options Explain the Skewness of Stock Returns?
Ho, T. Q., Kim, K. D., Li, Y. & Xu, F., 1 Mar 2023, In: Journal of Banking and Finance. 148, p. 1-12 106751.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile1 Citation (Scopus)147 Downloads (Pure) -
Short-Selling Activities in the Time of COVID-19
Luu, E., Xu, F. & Zheng, L., 1 Jul 2023, In: British Accounting Review. 55, 4, 56 p., 101216.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open Access3 Citations (Scopus) -
Asset trade, Real investment and a tilting Financial transaction tax
Dieler, T., Biswas, S., Calzolari, G. & Castiglionesi, F., 18 May 2022, (E-pub ahead of print) In: Management Science.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile1 Citation (Scopus)173 Downloads (Pure) -
Blockholder Disclosure Thresholds and Hedge Fund Activism
Ordonez-Calafi, G. & Bernhardt, D., 31 Jan 2022, (E-pub ahead of print) In: Journal of Financial and Quantitative Analysis. 57, 7, p. 2834-2859 26 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile1 Citation (Scopus)52 Downloads (Pure) -
Corporate diversification and stock risk: Evidence from a global shock
Onali, E. & Mascia, D. V., Feb 2022, In: Journal of Corporate Finance. 72, 102150.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open Access17 Citations (Scopus) -
Free Cash Flows and Price Momentum
Fu, J., Xu, F., Zeng, C. & Zheng, L., 25 Apr 2022, (E-pub ahead of print) In: Journal of Accounting, Auditing and Finance. 40 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile2 Citations (Scopus)344 Downloads (Pure) -
Fundamental analysis and the use of financial statement information to separate winners and losers in frontier markets: Evidence from Vietnam
Ho, T. Q., Nguyen, Y., Tran, H. & Vo, D.-T., 7 Jan 2022, In: International Journal of Emerging Markets.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile1 Citation (Scopus)308 Downloads (Pure) -
Investment momentum: A two-dimensional behavioural strategy
Xu, F., Zhao, H. & Zheng, L., 18 Jan 2022, In: International Journal of Finance and Economics . 27, 1, p. 1191-1207 17 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile90 Downloads (Pure) -
Maximally Predictable Currency Portfolios
Harris, R. D. F., Shen, J. & Yilmaz, F., 1 Nov 2022, In: Journal of International Money and Finance. 128, 102702.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile3 Citations (Scopus)122 Downloads (Pure) -
Portfolio Optimization with Behavioural Preferences and Investor Memory
Harris, R. D. F. & Mazibas, M., 1 Jan 2022, In: European Journal of Operational Research. 296, 1, p. 368-387 20 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile18 Citations (Scopus)132 Downloads (Pure) -
Re-examining the Contagion Channels of Global Financial Crises: Evidence from the Twelve Years since the US Subprime Crisis
Jiang, H., Tang, S., Li, L., Xu, F. & Di, Q., 1 Apr 2022, In: Research in International Business and Finance. 60, 40 p., 101617.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile15 Citations (Scopus)52 Downloads (Pure) -
The dynamics of returns predictability in cryptocurrency markets
Bianchi, D., Guidolin, M. & Pedio, M., 8 Jun 2022, In: European Journal of Finance. 29, 6Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open Access4 Citations (Scopus) -
Whose opinion matters when insiders disagree with short sellers?
Zheng, L. & Wang, S., 23 Nov 2022, (E-pub ahead of print) In: Journal of Business Finance and Accounting. 45 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile44 Downloads (Pure) -
A component Markov Regime-switching autoregressive conditional range model
Harris, R. D. F. & Mazibas, M., 5 Oct 2021, (E-pub ahead of print) In: Bulletin of Economic Research. p. 1-34Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile45 Downloads (Pure) -
Anticipating the Value of Share Repurchase Announcements: The Role of Short Sellers
Zheng, L., 7 Jul 2021, In: International Journal of Finance and Economics . 26, 3, p. 3544 - 3555 12 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile1 Citation (Scopus)113 Downloads (Pure) -
Anti-corruption Campaign and Corporate Cash Holdings: Evidence from China
Cai, W., Hu, F., Xu, F. & Zheng, L., 23 Aug 2021, (E-pub ahead of print) In: Emerging Markets Review. 22 p., 100843.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile24 Citations (Scopus)250 Downloads (Pure) -
Local versus foreign analysts' forecast accuracy: Does herding matter?
Choi, Y.-S., Mira, S. & Taylor, N., 9 Jul 2021, (E-pub ahead of print) In: Accounting and Finance. 46 p.Research output: Contribution to journal › Article (Academic Journal) › peer-review
Open AccessFile4 Citations (Scopus)91 Downloads (Pure) -
The stock implied volatility and the implied dividend volatility
Quaye, E. N. B. & Tunaru, R., 20 Dec 2021, In: Journal of Economic Dynamics and Control. 134, 104276, 16 p., 104276.Research output: Contribution to journal › Article (Academic Journal)
Open Access