Finance research outputs

2013

CategoryPaper no.TitleAuthors
Working Paper13/02An Improved Earnings Forecasting Model

Richard D. F. Harris, Pengguo Wang

Working Paper13/01Why Do Financial Intermediaries Buy Put Options from Companies?

Stanley B. Gyoshev, Todd R. Kaplan, Samuel Szewczyk, George P. Tsetsekos

2012

CategoryPaper no.TitleAuthors
Working Paper12/01A Separating Equilibrium for Stock Repurchase Programs via PUT Options: Transforming a Mathematical Proof into Visual Form

Stanley B. Gyoshev, Michael J. Gombola

2011

CategoryPaper no.TitleAuthors
Working Paper11/07Do Markets Value Corporate Social Responsibility in the United Kingdom?

Graham Buckingham
Alan Gregory
Julie Whittaker

Working Paper11/06Behavioral Biases and the Expectations Hypothesis of the Term Structure of Interest Rates

George Bulkley, Richard D. F. Harris and Vivekanand Nawosah

Working Paper11/05Dynamic Hedge Fund Portfolio Construction: A Semi-Parametric Approach

Richard D. F. Harris and Murat Mazibas

Working Paper11/04Heterogeneous Beliefs, Short-Sale Constraints and the Closed-End Fund Puzzle

Zhiguang Cao, Richard D. F. Harris and Junmin Yang

Working Paper11/03Overconfidence and the Rational Expectations Model of the Term Structure of Interest Rates

George Bulkley and Richard D. F. Harris

Discussion Paper11/02Constructing and Testing Alternative Versions of the Fama-French and Carhart Models in the UK

Alan Gregory, Rajesh Tharyan and Angela Christidis

Discussion Paper11/01Long Memory Conditional Volatility and Asset Allocation

Richard D.F. Harris
Anh Nguyen

2010

CategoryPaper no.TitleAuthors
Discussion Paper10/08Expected Cost of Equity and the Expected Risk Premium in the UK

Alan Gregory

Discussion Paper10/07Cash Acquirers: Free Cash Flow, Shareholder Monitoring, and Shareholder Returns

Alan Gregory
Yuan-Hsin Wang

Working Paper10/06Do Markets Value Corporate Social Responsibility?

Alan Gregory
Julie Whittaker
Xiaojuan Yan

Discussion Paper10/05Do news announcements affect volatility spillovers? Evidence from implied volatilities

George J. Jianga,
Eirini Konstantinidib,
and George Skiadopoulosc

Discussion Paper10/04Some New Models for Financial Distress Prediction in the UK

Angela Chih-Ying Christidis
Alan Gregory

Working Paper10/03A Cyclical Model of Exchange Rate Volatility

Richard D. F. Harrisa,
Evarist Stojab and
Fatih Yilmazc

Working Paper10/02Pension Funding Constraints and Corporate Expenditures

Weixi Liu and Ian Tonks

Working Paper10/01Compulsory and Voluntary Annuities Markets in the UK

Edmund Cannon and Ian Tonks

2009

CategoryPaper no.TitleAuthors
Working Paper09/08The impact of introducing estimates of the future on international comparability in earnings expectations

Christina Dargenidou and Stuart McLeay

Working Paper09/07Dynamic Hedge Fund Portfolio Construction

Richard D. F. Harris and Murat Mazibas

Working Paper09/06Twelve Meditations On Venture Capital: some heretical observations on the dissonance between theory and practice when applied to public/private collaborations on entrepreneurial finance policy

Gordon Murray and David Lingelbach

Working Paper09/05The Fama-French and Momentum Portfolios and Factors in the UK

Alan Gregory, Rajesh Tharyan and Angela Huang

Working Paper09/04Insider trading in Glamour and Value firms

Alan Gregory, Rajesh Tharyan and Ian Tonks

Working Paper09/03The Value and Risk of Defined Contribution Pension Schemes: International Evidence

Edmund Cannon and Ian Tonks

Working Paper09/02Stock Market Patterns around Directors' Trades: Effects of Director Category and Gender on Market Timing

Alan Gregory, Rajesh Tharyan and Ian Tonks

Working Paper09/01Pension Fund Deficits and Stock Market Efficiency: Evidence from the United Kingdom

Weixi Liu, and Ian Tonks

2008

CategoryPaper no.TitleAuthors
Working Paper08/09Exploiting Predictability in the Returns to Value and Momentum Investment Strategies: A Portfolio Approach

Elton Babameto and Richard D.F. Harris

Working Paper08/08Hedging and Value at Risk: A Semi-Parametric Approach

Zhiguang Cao, Richard D.F. Harris and Jian Shen

Working Paper08/07Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market

Richard D.F. Harris, Evarist Stoja and Fatih Yilmaz

Working Paper08/06UK IPOs: Long Run Returns, Behavioural Timing and Pseudo Timing

Alan Gregory, Cherif Guermat and Fawaz Al-Shawawreh

Working Paper08/05Stock market driven acquisitions versus the Q theory of takeovers - The UK evidence

Xiao Gang Bi and Alan Gregory

Working Paper08/04A Momentum Trading Strategy Based on the Low Frequency Component of the Exchange Rate

Richard D.F. Harris and Fatih Yilmaz

Working Paper08/03Firm Diversification and the Value of Corporate Cash Holdings

Zhenxu Tong

Working Paper08/02Revisiting the Expectations Hypothesis of the Term Structure of Interest Rates

George Bulkley, Richard D. F. Harris and Vivekanand Nawosah

Working Paper08/01Alternative Risk-based Levies in the Pension Protection Fund for Multi-employee Schemes

Weixi Liu and Ian Tonks