Firms, Markets and Value research cluster

'Markets, Pricing & Valuation' theme

Research covers the following areas:

  • Theory and empirics of asset pricing
  • Drivers of stock price movements
  • Cost of capital
  • Trading and financial instruments
  • Ambiguity, risk management and bankruptcy predictions
  • Macroeconomics and macro-finance
  • Auctions
  • Firm valuation and value relevance of financial information.

Selected publications

  • Kaplan, T. and S. Zamir. 2014. Advances in Auctions. in Handbook of Game Theory, Volume 4.
  • Kaplan, T. and S. Zamir. 2015. Multiple equilibria in asymmetric first-price auctions. Economic Theory Bulletin, 3 (1) April, 65-77.
  • Wang P. and W. Huang. 2015. The Implied Growth Rates and Country Risk Premium: Evidence from Chinese Stock Markets. Review of Quantitative Finance and Accounting, 45(3), 641-663.

Working papers

  • Abhyankar, A. and Garcia-Ares, P.  2016. Return decompositions and predictive regressions: what role does aggregation play?
  • Abhyankar, A., Tharyan R. and X. Zhang. 2016. Macroeconomic fundamentals, expected returns and the pricing of anomaly portfolios.
  • Andronoudis A., Dargenidou C. and Konstantinidi, E. 2015. Are R&D intensive firms mispriced? Evidence from an intertemporal asset capital model
  • Dargenidou, C., Tonks, I. and Tsoligkas F. 2015. Informative insider trading and price discovery: evidence from the post-earnings announcement-drift anomaly
  • Fernandes, A, Neira J. and Singhania R. 2015. Firm entry costs and aggregate productivity: the case of Portugal
    Filatotchev, I., J. Jona and G. Livne. 2015. Earnings Quality in Foreign IPOs in the U.S.: The Role of Home Country Institutions
  • Filippou, I. and Garcia-Ares, P. 2016. Value, momentum and market timing.
  • Filippou, I., Garcia-Ares, P. and Zapatero, F. 2016. Substitution effects and lottery demand.
  • Fischer, S., W. Güth, T. R. Kaplan, and R. Zultan. 2014. Auctions and leaks: A theoretical and experimental investigation. No. 027. Jena Economic Research Papers.
  • Gregory, A., H. Shan and Tharyan R. 2016. In search of beta.
  • Gundogdu, D., Stringfellow, L and McMeeking, K. 2016. The market value of social capital: a longitudinal study of board connectivity.
  • Isin, A., McMeeking, K., and Gyoshev, S. 2016. The value of integrated corporate risk management
  • McMeeking, K. 2016. Do on-field performances and managerial changes impact stock returns?
  • Neira J. and Singhania R. 2015. Grown-Up Business Cycles: The Link Between Firm-Size and Aggregate Volatility
  • Neira J. and Singhania R. 2015. The European Productivity Divide and Accession To The Euro
  • Singhania, R 2015. Pricing Default Risk in Mortgage Backed Securities