Finance research outputs

2013

Category	Paper no.	Title	Authors
Working Paper	13/01	Why Do Financial Intermediaries Buy Put Options from Companies?	Stanley B. Gyoshev, Todd R. Kaplan, Samuel Szewczyk, George P. Tsetsekos

2012

Category	Paper no.	Title	Authors
Working Paper	12/01	A Separating Equilibrium for Stock Repurchase Programs via PUT Options: Transforming a Mathematical Proof into Visual Form	Stanley B. Gyoshev, Michael J. Gombola

2011

Category	Paper no.	Title	Authors
Working Paper	11/07	Do Markets Value Corporate Social Responsibility in the United Kingdom?	Graham Buckingham Alan Gregory Julie Whittaker
Working Paper	11/06	Behavioral Biases and the Expectations Hypothesis of the Term Structure of Interest Rates	George Bulkley, Richard D. F. Harris and Vivekanand Nawosah
Working Paper	11/05	Dynamic Hedge Fund Portfolio Construction: A Semi-Parametric Approach	Richard D. F. Harris and Murat Mazibas
Working Paper	11/04	Heterogeneous Beliefs, Short-Sale Constraints and the Closed-End Fund Puzzle	Zhiguang Cao, Richard D. F. Harris and Junmin Yang
Working Paper	11/03	Overconfidence and the Rational Expectations Model of the Term Structure of Interest Rates	George Bulkley and Richard D. F. Harris
Discussion Paper	11/02	Constructing and Testing Alternative Versions of the Fama-French and Carhart Models in the UK	Alan Gregory, Rajesh Tharyan and Angela Christidis
Discussion Paper	11/01	Long Memory Conditional Volatility and Asset Allocation	Richard D.F. Harris Anh Nguyen

2010

Category	Paper no.	Title	Authors
Discussion Paper	10/08	Expected Cost of Equity and the Expected Risk Premium in the UK	Alan Gregory
Discussion Paper	10/07	Cash Acquirers: Free Cash Flow, Shareholder Monitoring, and Shareholder Returns	Alan Gregory Yuan-Hsin Wang
Working Paper	10/06	Do Markets Value Corporate Social Responsibility?	Alan Gregory Julie Whittaker Xiaojuan Yan
Discussion Paper	10/05	Do news announcements affect volatility spillovers? Evidence from implied volatilities	George J. Jianga, Eirini Konstantinidib, and George Skiadopoulosc
Discussion Paper	10/04	Some New Models for Financial Distress Prediction in the UK	Angela Chih-Ying Christidis Alan Gregory
Working Paper	10/03	A Cyclical Model of Exchange Rate Volatility	Richard D. F. Harrisa, Evarist Stojab and Fatih Yilmazc
Working Paper	10/02	Pension Funding Constraints and Corporate Expenditures	Weixi Liu and Ian Tonks
Working Paper	10/01	Compulsory and Voluntary Annuities Markets in the UK	Edmund Cannon and Ian Tonks

2009

Category	Paper no.	Title	Authors
Working Paper	09/08	The impact of introducing estimates of the future on international comparability in earnings expectations	Christina Dargenidou and Stuart McLeay
Working Paper	09/07	Dynamic Hedge Fund Portfolio Construction	Richard D. F. Harris and Murat Mazibas
Working Paper	09/06	Twelve 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 Paper	09/05	The Fama-French and Momentum Portfolios and Factors in the UK	Alan Gregory, Rajesh Tharyan and Angela Huang
Working Paper	09/04	Insider trading in Glamour and Value firms	Alan Gregory, Rajesh Tharyan and Ian Tonks
Working Paper	09/03	The Value and Risk of Defined Contribution Pension Schemes: International Evidence	Edmund Cannon and Ian Tonks
Working Paper	09/02	Stock Market Patterns around Directors' Trades: Effects of Director Category and Gender on Market Timing	Alan Gregory, Rajesh Tharyan and Ian Tonks
Working Paper	09/01	Pension Fund Deficits and Stock Market Efficiency: Evidence from the United Kingdom	Weixi Liu, and Ian Tonks

2008

Category	Paper no.	Title	Authors
Working Paper	08/09	Exploiting Predictability in the Returns to Value and Momentum Investment Strategies: A Portfolio Approach	Elton Babameto and Richard D.F. Harris
Working Paper	08/08	Hedging and Value at Risk: A Semi-Parametric Approach	Zhiguang Cao, Richard D.F. Harris and Jian Shen
Working Paper	08/07	Day-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 Paper	08/06	UK IPOs: Long Run Returns, Behavioural Timing and Pseudo Timing	Alan Gregory, Cherif Guermat and Fawaz Al-Shawawreh
Working Paper	08/05	Stock market driven acquisitions versus the Q theory of takeovers - The UK evidence	Xiao Gang Bi and Alan Gregory
Working Paper	08/04	A Momentum Trading Strategy Based on the Low Frequency Component of the Exchange Rate	Richard D.F. Harris and Fatih Yilmaz
Working Paper	08/03	Firm Diversification and the Value of Corporate Cash Holdings	Zhenxu Tong
Working Paper	08/02	Revisiting the Expectations Hypothesis of the Term Structure of Interest Rates	George Bulkley, Richard D. F. Harris and Vivekanand Nawosah
Working Paper	08/01	Alternative Risk-based Levies in the Pension Protection Fund for Multi-employee Schemes	Weixi Liu and Ian Tonks