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Professor Richard D F Harris

Professor Richard D F Harris

Professor of Finance

3215

+44 (0) 1392 723215

F30
Xfi Building, University of Exeter, Rennes Drive, Exeter, EX4 4ST, UK

Richard Harris is a Professor of Finance in the Xfi Centre for Finance and Investment. He has a first class BSc Economics from University College London, an MSc Economics with distinction from Birkbeck College, University of London, an MSc in Chinese Language, Business and International Relations with distinction from the University of Sheffield, and a PhD in Finance from the University of Exeter. Professor Harris's research interests lie in the areas of financial econometrics, volatility modelling and risk management. He has written for leading international economics and finance publications including the Economic Journal, the Journal of Econometrics, the Journal of Derivatives, the Journal of Futures Markets and the Journal of Banking and Finance. Professor Harris has held visiting positions at universities in New Zealand, Belgium, Sweden, Russia and China, and is currently an Adjunct Professor at the Norwegian School of Economics and Business Administration. He has extensive experience of working with the investment banking industry, most recently with Morgan Stanley and Bank of America. Prior to becoming an academic, he worked as a technical consultant in IT for Lloyds TSB. He is a Fellow of the Higher Education Academy and a Member of the Chartered Institute for Securities and Investment.

Nationality: British

Administrative responsibilities

  • Programme Director for MSc Finance and Investment
  • Director of PGT students in Finance
  • Director of PGR students in Finance

Qualifications

BSc (Lond), MSc (Lond), MSc (Sheff), PhD (Exon), FHEA, MCSI

Research clusters

Research interests

  • The conditional distribution of financial asset returns
  • Empirical asset pricing
  • Active portfolio management

Professor Harris's research is concerned with modelling the dynamics of financial asset prices. He works in two broad areas. The first focuses on return predictability and the design of trading strategies, particularly those that employ moving average filters and other model-based rules. The second focuses on volatility modelling and forecasting, especially in a multivariate framework. He is also interested in the non-normality of short-horizon financial asset returns, and its implication for modelling asset price dynamics. Applications of this research include portfolio optimisation, risk management and derivatives pricing.

Research projects

Professor Harris is currently involved in researching:

  • Range-based models of volatility
  • Commodity price dynamics
  • Currency valuation

Key publications | Publications by category | Publications by year

Publications by category


Journal articles

Harris RDF, Nguyen A (In Press). Dynamic Factor Long Memory Volatility. Quantitative Finance Full text.
Harris RDF, Stoja E, Tan L (In Press). The Dynamic Black-Litterman Approach to Asset Allocation. European Journal of Operational Research Full text.
Antoniou C, Harris RDF, Zhang R (2015). Ambiguity aversion and stock market participation: an empirical analysis. Journal of Banking & Finance, 58, 57-70. Full text.
Bulkley G, Harris RDF, Nawosah V (2015). Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?. Journal of Banking & Finance, 58, 179-193. Full text.
Harris RDF, Mazibas M (2013). Dynamic hedge fund portfolio construction: a semi-parametric approach. Journal of Banking & Finance, 37(1), 139-149.
Harris RDF, Nguyen A (2013). Long memory conditional volatility and asset allocation. International Journal of Forecasting, 29(2), 258-273. Full text.
Harris RDF, Stoja E, Yilmaz F (2011). A cyclical model of exchange rate volatility. Journal of Banking and Finance, 35(11), 3055-3064. Abstract.  Full text.
McGuinness P, Harris RDF (2011). Comparison of the ‘Turn-of the-Month’ and Lunar New Year Return Effects in three Chinese Markets: Hong Kong, Shanghai and Shenzhen. Applied Financial Economics, 21, 351-357.
Bulkley IG, Harris RDF, Nawosah V (2011). Revisiting the Expectations Hypothesis of the Term Structure of Interest Rates. Journal of Banking and Finance, 35, 1202-1212. Full text.
Harris RDF, Mazibas M (2010). Dynamic hedge fund portfolio construction. International Review of Financial Analysis, 19(5), 351-357. Abstract.  Full text.
Harris RDF, Yilmaz F (2010). Estimation of the Conditional Variance-Covariance Matrix of Returns Using the Intraday Range. International Journal of Forecasting, 26(1), 180-194. Full text.
Harris RDF, Yilmaz F (2009). A Momentum Trading Strategy Based on the Low Frequency Component of the Exchange Rate. Journal of Banking and Finance, 33, 1575-1585. Full text.
Harris RDF, Yimaz F (2009). Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market. Journal of Trading Full text.
Babameto E, Harris RDF (2009). Exploiting Predictability in Investment Strategies: a Portfolio Approach. Professional Investor, Summer, 39-41.
Cao Z, Harris RDF, Shen J (2009). Hedging and Value at Risk: a Semi-Parametric Approach. Journal of Futures Markets, 30(8), 780-794. Full text.
Harris RDF, Shen J, Stoja E (2009). The Limits to Minimum-Variance Hedging. Journal of Business Finance and Accounting, 37(5-6), 737-761. Full text.
Harris RDF, Yilmaz F (2008). Retrieving seasonally adjusted quarterly growth rates from annual growth rates that are reported quarterly. European Journal of Operational Research, 188(3), 846-853. Abstract.
Harris RDF, Stoja E, Tucker J (2007). A Simplified Approach to Modeling the Co-Movement of Asset Returns. Journal of Futures Markets, 27(6), 575-598. Full text.
De Wachter S, Harris RDF, Tzavalis E (2007). Panel data unit roots tests: the role of serial correlation and the time dimension. Journal of Statistical Planning and Inference, 137(1), 230-244. Abstract.
Cao Z, Harris RDF, Wang A (2007). The Spring Holiday Effect in the Chinese Stock Markets. Finance Letters, 1-11.
Guermat C, Harris RDF (2006). Bias in the estimation of non-linear transformations of the integrated variance of returns. Journal of Forecasting, 25(7), 481-494. Full text.
Harris RDF, Shen J (2006). Hedging and value at risk. Journal of Futures Markets, 26(4), 369-390. Abstract.
Harris RDF, Pisedtasalasai A (2006). Return and Volatility Spillovers Between Large and Small Stocks in the UK. Journal of Business Finance & Accounting, 33(9-10), 1556-1571.
Harris RDF, Küçüközmen, C. Yilmaz, F. (2004). Skewness in the Conditional Distribution of Daily Equity Returns. Applied Financial Economics, 14, 195-202.
Harris RDF, Tzavalis E (2004). Testing for unit roots in dynamic panels in the presence of a deterministic trend: Re-examining the unit root hypothesis for real stock prices and dividends. Econometric Reviews, 23(2), 149-166. Abstract.
Harris RDF, Shen, J. (2004). The Estimation of Value at Risk Using Bias-Corrected Forecasts of Conditional Volatility. Journal of Derivatives, Summer, 1-17.
Harris RDF (2004). The Rational Expectations Hypothesis and the Cross-Section of Bond Yields. Applied Financial Economics, 14, 105-112.
Bulkley IG, Harris, R.D.F. Herrerias, R. (2004). Why Does Book-to-Market Value of Equity Forecast Cross-Section Stock Returns?. International Review of Financial Analysis, 13, 153-160.
Gregory A, Harris RDF, Michou M (2003). Contrarian Investment and Macroeconomic Risk. Journal of Business Finance & Accounting, 30(1-2), 213-255.
Harris RDF, Shen J (2003). Robust Estimation of the Optimal Hedge Ratio. Journal of Futures Markets, 23(8), 799-816. Abstract.  Full text.
Guermat C, Harris RDF (2002). Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns. International Journal of Forecasting, 18(3), 409-419.
Belfield CR, Harris RDF (2002). How well do theories of job matching explain variations in job satisfaction across education levels? Evidence for UK graduates. Applied Economics, 34(5), 535-548. Abstract.
Guermat C, Harris RDF (2002). Robust Conditional Variance Estimation and Value-at-Risk. Journal of Risk, 4, 25-41.
Gregory A, Harris RDF, Michou M (2001). An Analysis of Contrarian Investment Strategies in the UK. Journal of Business Finance & Accounting, 28(9&10), 1192-1228.
Gregory A, Harris RDF, Michou M (2001). An analysis of contrarian investment strategies in the UK. Journal of Business Finance and Accounting, 28(9-10), 1193-1228.
Harris RDF, Küçüközmen C (2001). Linear and Nonlinear Dependence in Turkish Equity Returns and its Consequences for Financial Risk Management. European Journal of Operations Research, 134, 481-492.
Harris RDF, Küçüközmen C (2001). The Empirical Distribution of Equity Returns: Evidence from an Emerging European Market. Applied Economics Letters, 8, 367-371.
Harris RDF, Küçüközmen C (2001). The Empirical Distribution of UK and US Equity Returns. Journal of Business Finance & Accounting, 28(5-6), 715-740.
Haris RDF (2001). The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia: a Panel Data Approach. Oxford Bulletin of Economics and Statistics, 63, 233-245.
Harris RDF, Sanchez-Valle R (2000). The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns. Journal of Business Finance and Accounting, 27, 333-357.
Harris RDF, Sanchez-Valle R (2000). The information content of lagged equity and bond yields. Economics Letters, 68(2), 179-184. Abstract.
Harris RDF, Tzavalis E (1999). Inference for unit roots in dynamic panels where the time dimension is fixed. Journal of Econometrics, 91(2), 201-226. Abstract.
Harris RDF (1999). The Accuracy, Bias and Efficiency of Analysts’ Long Run Earnings Growth Forecasts. Journal of Business Finance and Accounting, 26, 725-755.
Bulkley G, Harris RDF (1997). Irrational analysts' expectations as a cause of excess volatility in stock prices. Economic Journal, 107(441), 359-371. Abstract.
Harris RDF (1997). Stock markets and development: a re-assessment. European Economic Review, 41(1), 139-146. Abstract.

Chapters

Harris RDF, Mazibas M (2011). Factor-Based Hedge Fund Replication with Risk Constraints. In Gregoriou GN, Kooli M (Eds.) Hedge Fund Replication, Palgrave Macmillan. Abstract.  Author URL.

Publications by year


In Press

Harris RDF, Nguyen A (In Press). Dynamic Factor Long Memory Volatility. Quantitative Finance Full text.
Harris RDF, Stoja E, Tan L (In Press). The Dynamic Black-Litterman Approach to Asset Allocation. European Journal of Operational Research Full text.

2015

Antoniou C, Harris RDF, Zhang R (2015). Ambiguity aversion and stock market participation: an empirical analysis. Journal of Banking & Finance, 58, 57-70. Full text.
Bulkley G, Harris RDF, Nawosah V (2015). Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?. Journal of Banking & Finance, 58, 179-193. Full text.

2013

Harris RDF, Mazibas M (2013). Dynamic hedge fund portfolio construction: a semi-parametric approach. Journal of Banking & Finance, 37(1), 139-149.
Harris RDF, Nguyen A (2013). Long memory conditional volatility and asset allocation. International Journal of Forecasting, 29(2), 258-273. Full text.

2011

Harris RDF, Stoja E, Yilmaz F (2011). A cyclical model of exchange rate volatility. Journal of Banking and Finance, 35(11), 3055-3064. Abstract.  Full text.
McGuinness P, Harris RDF (2011). Comparison of the ‘Turn-of the-Month’ and Lunar New Year Return Effects in three Chinese Markets: Hong Kong, Shanghai and Shenzhen. Applied Financial Economics, 21, 351-357.
Harris RDF, Mazibas M (2011). Factor-Based Hedge Fund Replication with Risk Constraints. In Gregoriou GN, Kooli M (Eds.) Hedge Fund Replication, Palgrave Macmillan. Abstract.  Author URL.
Bulkley IG, Harris RDF, Nawosah V (2011). Revisiting the Expectations Hypothesis of the Term Structure of Interest Rates. Journal of Banking and Finance, 35, 1202-1212. Full text.

2010

Harris RDF, Mazibas M (2010). Dynamic hedge fund portfolio construction. International Review of Financial Analysis, 19(5), 351-357. Abstract.  Full text.
Harris RDF, Yilmaz F (2010). Estimation of the Conditional Variance-Covariance Matrix of Returns Using the Intraday Range. International Journal of Forecasting, 26(1), 180-194. Full text.

2009

Harris RDF, Yilmaz F (2009). A Momentum Trading Strategy Based on the Low Frequency Component of the Exchange Rate. Journal of Banking and Finance, 33, 1575-1585. Full text.
Harris RDF, Yimaz F (2009). Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market. Journal of Trading Full text.
Babameto E, Harris RDF (2009). Exploiting Predictability in Investment Strategies: a Portfolio Approach. Professional Investor, Summer, 39-41.
Cao Z, Harris RDF, Shen J (2009). Hedging and Value at Risk: a Semi-Parametric Approach. Journal of Futures Markets, 30(8), 780-794. Full text.
Harris RDF, Shen J, Stoja E (2009). The Limits to Minimum-Variance Hedging. Journal of Business Finance and Accounting, 37(5-6), 737-761. Full text.

2008

Harris RDF, Yilmaz F (2008). Retrieving seasonally adjusted quarterly growth rates from annual growth rates that are reported quarterly. European Journal of Operational Research, 188(3), 846-853. Abstract.

2007

Harris RDF, Stoja E, Tucker J (2007). A Simplified Approach to Modeling the Co-Movement of Asset Returns. Journal of Futures Markets, 27(6), 575-598. Full text.
De Wachter S, Harris RDF, Tzavalis E (2007). Panel data unit roots tests: the role of serial correlation and the time dimension. Journal of Statistical Planning and Inference, 137(1), 230-244. Abstract.
Cao Z, Harris RDF, Wang A (2007). The Spring Holiday Effect in the Chinese Stock Markets. Finance Letters, 1-11.

2006

Guermat C, Harris RDF (2006). Bias in the estimation of non-linear transformations of the integrated variance of returns. Journal of Forecasting, 25(7), 481-494. Full text.
Harris RDF, Shen J (2006). Hedging and value at risk. Journal of Futures Markets, 26(4), 369-390. Abstract.
Harris RDF, Pisedtasalasai A (2006). Return and Volatility Spillovers Between Large and Small Stocks in the UK. Journal of Business Finance & Accounting, 33(9-10), 1556-1571.

2004

Harris RDF, Küçüközmen, C. Yilmaz, F. (2004). Skewness in the Conditional Distribution of Daily Equity Returns. Applied Financial Economics, 14, 195-202.
Harris RDF, Tzavalis E (2004). Testing for unit roots in dynamic panels in the presence of a deterministic trend: Re-examining the unit root hypothesis for real stock prices and dividends. Econometric Reviews, 23(2), 149-166. Abstract.
Harris RDF, Shen, J. (2004). The Estimation of Value at Risk Using Bias-Corrected Forecasts of Conditional Volatility. Journal of Derivatives, Summer, 1-17.
Harris RDF (2004). The Rational Expectations Hypothesis and the Cross-Section of Bond Yields. Applied Financial Economics, 14, 105-112.
Bulkley IG, Harris, R.D.F. Herrerias, R. (2004). Why Does Book-to-Market Value of Equity Forecast Cross-Section Stock Returns?. International Review of Financial Analysis, 13, 153-160.

2003

Gregory A, Harris RDF, Michou M (2003). Contrarian Investment and Macroeconomic Risk. Journal of Business Finance & Accounting, 30(1-2), 213-255.
Harris RDF, Shen J (2003). Robust Estimation of the Optimal Hedge Ratio. Journal of Futures Markets, 23(8), 799-816. Abstract.  Full text.

2002

Guermat C, Harris RDF (2002). Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns. International Journal of Forecasting, 18(3), 409-419.
Belfield CR, Harris RDF (2002). How well do theories of job matching explain variations in job satisfaction across education levels? Evidence for UK graduates. Applied Economics, 34(5), 535-548. Abstract.
Guermat C, Harris RDF (2002). Robust Conditional Variance Estimation and Value-at-Risk. Journal of Risk, 4, 25-41.

2001

Gregory A, Harris RDF, Michou M (2001). An Analysis of Contrarian Investment Strategies in the UK. Journal of Business Finance & Accounting, 28(9&10), 1192-1228.
Gregory A, Harris RDF, Michou M (2001). An analysis of contrarian investment strategies in the UK. Journal of Business Finance and Accounting, 28(9-10), 1193-1228.
Harris RDF, Küçüközmen C (2001). Linear and Nonlinear Dependence in Turkish Equity Returns and its Consequences for Financial Risk Management. European Journal of Operations Research, 134, 481-492.
Harris RDF, Küçüközmen C (2001). The Empirical Distribution of Equity Returns: Evidence from an Emerging European Market. Applied Economics Letters, 8, 367-371.
Harris RDF, Küçüközmen C (2001). The Empirical Distribution of UK and US Equity Returns. Journal of Business Finance & Accounting, 28(5-6), 715-740.
Haris RDF (2001). The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia: a Panel Data Approach. Oxford Bulletin of Economics and Statistics, 63, 233-245.

2000

Harris RDF, Sanchez-Valle R (2000). The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns. Journal of Business Finance and Accounting, 27, 333-357.
Harris RDF, Sanchez-Valle R (2000). The information content of lagged equity and bond yields. Economics Letters, 68(2), 179-184. Abstract.

1999

Harris RDF, Tzavalis E (1999). Inference for unit roots in dynamic panels where the time dimension is fixed. Journal of Econometrics, 91(2), 201-226. Abstract.
Harris RDF (1999). The Accuracy, Bias and Efficiency of Analysts’ Long Run Earnings Growth Forecasts. Journal of Business Finance and Accounting, 26, 725-755.

1997

Bulkley G, Harris RDF (1997). Irrational analysts' expectations as a cause of excess volatility in stock prices. Economic Journal, 107(441), 359-371. Abstract.
Harris RDF (1997). Stock markets and development: a re-assessment. European Economic Review, 41(1), 139-146. Abstract.

External positions

  • Adjunct Professor, Norwegian School of Economics, April 2002-
  • External Examiner, Department of Finance, Chinese University of Hong Kong
  • Associate Editor, International Journal of Forecasting

  • Financial management
  • Corporate finance / financial management
  • Investments
  • Financial econometrics
  • Applied finance

Modules

2016/17