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Professor Abhay Abhyankar

Professor Abhay Abhyankar

Professor of Finance, Director of Research (Finance)

6467

+44 (0) 1392 726467

F12
Xfi Building, University of Exeter, Rennes Drive, Exeter, EX4 4ST, UK

Professor Abhay Abhyankar joined the University of Exeter Business School from the University of Edinburgh where he was Balllie Gifford Chair of Financial Markets.

Professor Abhyankar has previously worked at the Universities of Durham, Warwick and Stirling. He has also held visiting positions at the IDEA, Universitat Autonoma de Barcelona. Prior to joining academia he was a member of the Indian Administrative Service. He is also currently on the Board of Directors of Masters Pharma (India) a new start up. He was on the Board of Roche Scientific Products (India) for the last five years and has also served as Dean in the International Office at the University of Edinburgh.

Qualifications

  • PhD

Research clusters

Research interests

  • Empirical Asset Pricing and Corporate Finance

Key publications | Publications by category | Publications by year

Key publications


Abhyankar A, Klinkowska O, Lee S (2015). Consumption risk and the cross-section of government bond returns. Journal of Empirical Finance, 32, 180-200. DOI.

Publications by category


Journal articles

Abhyankar A, Klinkowska O, Lee S (2015). Consumption risk and the cross-section of government bond returns. Journal of Empirical Finance, 32, 180-200. DOI.
Abhyankar A, Xu B, Wang J (2013). Oil price shocks and the stock market: Evidence from Japan. Energy Journal, 34(2), 199-222. Abstract. DOI.
Abhyankar A, Basu D, Stremme A (2012). The optimal use of return predictability: an empirical study. Journal of Financial and Quantitative Analysis, 47(5), 973-1001. Abstract. DOI.
Abhyankar A, Ho KY, Zhao H (2009). International value versus growth: Evidence from stochastic dominance analysis. International Journal of Finance and Economics, 14(3), 222-232. DOI.
Abhyankar A, Gonzalez A (2009). News and the cross-section of expected corporate bond returns. Journal of Banking and Finance, 33(6), 996-1004. DOI.
Abhyankar A, Ho KY, Zhao H (2008). Value versus growth: Stochastic dominance criteria. Quantitative Finance, 8(7), 693-704. DOI.
Abhyankar A, Ho KY (2007). Long-horizon event studies and event firm portfolio weights: Evidence from U.K. rights issues re-visited. International Review of Financial Analysis, 16(1), 61-80. DOI.
Abhyankar A, Basu D, Stremme A (2007). Portfolio efficiency and discount factor bounds with conditioning information: an empirical study. Journal of Banking and Finance, 31(2), 419-437. Abstract. DOI.
Abhyankar A, Chen HC, Ho KY (2006). The long-run performance of initial public offerings: Stochastic dominance criteria. Quarterly Review of Economics and Finance, 46(4), 620-637. DOI.
Abhyankar AH (1995). Trading-round-the clock: Return, volatility and volume spillovers in the Eurodollar futures markets. Pacific-Basin Finance Journal, 3(1), 75-92. DOI.

Publications by year


2017

Tharyan R, abhyankar A, Garcia Ares PA (2017). Comparing Empirical FactorModels: What can Tests for ModelMisspecification Tell Us?.  Abstract.

2015

Abhyankar A, Klinkowska O, Lee S (2015). Consumption risk and the cross-section of government bond returns. Journal of Empirical Finance, 32, 180-200. DOI.
Tharyan R, Abhyankar A (2015). Macroeconomic Fundamentals, Expected Returns and the Pricing of Anomaly Portfolios.  Abstract.

2014

Abhyankar ABHAY, Garcia-Ares PA (2014). Dividend Growth Predictability: Isn’t it There?.  Abstract.
Abhyankar A, Zhang X (2014). Leisure, Consumption and Long-run Risks: an Empirical Evaluation.  Abstract.

2013

Abhyankar A, Gonzalez A, Klinkowska O (2013). Currency Carry Trade Risk Premia and Consumption Risk: Does Incorporating Conditioning Information Help?.  Abstract.
Abhyankar A, Xu B, Wang J (2013). Oil price shocks and the stock market: Evidence from Japan. Energy Journal, 34(2), 199-222. Abstract. DOI.

2012

Abhyankar A, Basu D, Stremme A (2012). The optimal use of return predictability: an empirical study. Journal of Financial and Quantitative Analysis, 47(5), 973-1001. Abstract. DOI.

2009

Abhyankar A, Ho KY, Zhao H (2009). International value versus growth: Evidence from stochastic dominance analysis. International Journal of Finance and Economics, 14(3), 222-232. DOI.
Abhyankar A, Gonzalez A (2009). News and the cross-section of expected corporate bond returns. Journal of Banking and Finance, 33(6), 996-1004. DOI.

2008

Abhyankar A, Ho KY, Zhao H (2008). Value versus growth: Stochastic dominance criteria. Quantitative Finance, 8(7), 693-704. DOI.

2007

Abhyankar A, Ho KY (2007). Long-horizon event studies and event firm portfolio weights: Evidence from U.K. rights issues re-visited. International Review of Financial Analysis, 16(1), 61-80. DOI.
Abhyankar A, Basu D, Stremme A (2007). Portfolio efficiency and discount factor bounds with conditioning information: an empirical study. Journal of Banking and Finance, 31(2), 419-437. Abstract. DOI.

2006

Abhyankar A, Chen HC, Ho KY (2006). The long-run performance of initial public offerings: Stochastic dominance criteria. Quarterly Review of Economics and Finance, 46(4), 620-637. DOI.

1995

Abhyankar AH (1995). Trading-round-the clock: Return, volatility and volume spillovers in the Eurodollar futures markets. Pacific-Basin Finance Journal, 3(1), 75-92. DOI.