| 2010 |
TITLES |
DP 10/01
Vinogradov, D. |
Destructive Effects of Constructive Ambiguity in Risky
Times
Full Paper |
| 2009 |
TITLES |
DP 09/05
Vinogradov, D. |
Banks, Credibility and Macroeconomic Evolution after
a Production Shock
Full Paper |
DP 09/04
Liu, X.
Kuo, J.
Coakley, J. |
A Pricing Kernel Approach to Valuing Interest Rate
Options
Full Paper |
DP 09/03
Khuman, A.
Constantinou, N. |
How does CPPI perform against the simplest guarantee
strategies ?
Full Paper |
DP 09/02
Nakata, H. |
Equivalent Comparisons of Information Channels
Full Paper |
DP 09/01
Chortareas, G.
Jitmaneeroj, B.
Wood, A. |
Forecast Rationality and Monetary Policy Frameworks:
Evidence from UK Interest Rate Forecasts
Full Paper |
|
2008 |
TITLES |
DP 08/02
Nankervis, J.
Savin, N.E. |
Testing for Serial Correlation: Generalized Andrews-Ploberger
Tests
Full Paper |
DP 08/01
Casu, B &
Girardone, C |
Integration and efficiency in EU banking markets
Full Paper |
|
2007
|
TITLES |
DP 07/07
Hsiao-Peng Fu &
Andrew Wood |
Momentum in Taiwan: Seasonality matters!
Full Paper |
DP 07/06
Neil Kellard &
Nicholas Sarantis |
Can Exchange Rate Volatility Explain Persistence in
the Forward Premium?
Full Paper |
DP 07/05
A. Cipollini &
G. Kapetanios |
A Stochastic Variance Factor Model for Large
Datasets and an Application to S&P data
Full Paper |
DP 07/04
Andrea Cipollini,
Bassam Fattouh &
Kostas Mouratidis |
Fiscal Readjustments in the US: A Non-linear Time
Series Analysis
Full Paper |
DP 07/03
Abdul-Magid Gadad,
Andrew W. Stark
Hardy M. Thomas |
Divestitures: wealth transfers or real economic
gains?
Full Paper |
DP 07/02
George Bulkley &
Vivekanand Nawosah |
Can the Cross-Sectional Variation in Expected Stock
Returns Explain Momentum?
Full Paper |
DP 07/01
Casu, B
Girardone, C |
Does Competition Lead to Efficiency? The Case of EU
Commercial Banks
Full Paper |
|
2006 |
TITLES |
DP 06/08
Garcia-Teruel, P.
Martinez-Solano, P. |
Ownership Structure and Dept Maturity: New Evidence
from Spain
Full Paper |
DP 06/07
Nakata, H. |
Informative advertising with spillover effects
Full Paper |
DP 06/06
Girardone, C.
Nankervis, J.
Velenza, E-F. |
Efficiency, Ownership and Financial Structure in
European Banking: A Cross Country Comparison
Full Paper |
DP 06/05
Kellard, N.
Nankervis, J.
Papadimitriou, F. |
Predicting the UK Equity Premium with Dividend
Ratios: An Out Of-Sample Recursive Residuals Graphics
Approach
Full Paper |
DP 06/04
Kellard, N. |
Foreign Exchange, Fractional Cointegration and the
Implied-Realized Volatility Relation
Full Paper |
DP 06/03
Nakata, H. |
Modelling Choice of Information Acquisition
Full Paper |
DP 06/02
Coakley, J.
Hadass, L.
Wood, A. |
UK IPOs underpricing and venture capitalists
Full Paper |
DP 06/01
Coakley, J.
Hadass, L.
Wood, A. |
Hot IPOs can damage your long term wealth
Full Paper |
| 2005 |
TITLE |
DP 05/02
Girardone, C.
Casu, B |
Bank Competition, Concentration and Efficiency in
the Single European Market
Full Paper |
DP 05/01
Liu, X.
Brennan, M.
Xia, Y. |
Option Pricing Kernels and the ICAPM
Full Paper |
| 2004 |
TITLE |
DP 04/16
Coakley, J.
Hadass, L.
Wood, A. |
Post-IPO Operating Performance, Venture Capitalists
and Market Timing
Full Paper |
DP 04/15
Nakata, H. |
A model of financial markets with endogenously
correlated rational beliefs
Full Paper |
DP 04/14
Nakata, H. |
Communication, correlation of beliefs and asset
price fluctuations
Full Paper |
DP 04/13
Coakley, J.
Kougoulis, P. |
Comovement and FTSE 100 Index Changes
Full Paper |
DP 04/12
Coakley, J.
Fuertes, A. |
Momentum and Reversal in US Valuation Ratios
Full Paper |
DP 04/11
Gadad, A M.
Thomas, H. |
Do Asset Sales lead to improvements in Operating
Performance
Full Paper |
DP 04/10
Gadad, A M.
Thomas, H. |
Sources of Shareholders' Wealth Gains from Asset
Sales
Full Paper |
DP 04/09
Coakley, J.
Thomas, H. |
Hot Markets, Momentum and Investor Sentiment in UK
Acquistions
Full Paper |
DP 04/08
Haven, E. |
Composing Preferences to Mimic Non-Rigorous Decision
Making. Forthcoming Theory and Decison Library
Series B: Math and Statistical Library; Mark Machina and
Guido Rossi eds, Kluwer (with D Alexander).
Full Paper |
DP 04/07
Kellard, N. |
Explaining the Bias in Foreign Exchange Markets: The
Case of Traded Volatility and Fractional Cointegration
(with N Sarantis). Paper to be presented at 8th
International Conference on Macroeconomic Analysis and
International Finance (2004).
Full Paper |
DP 04/06
Liu, X. |
Returns to Trading Portfolios of FTSE 100 index
options
Full Paper |
DP 04/05
Liu, X. |
Closed-form Transformations from Risk-neutral to
Real-world Distributions (with M Shackleton, S
Taylor and X Xu)
Full Paper |
DP 04/04
Ma, C. |
Asset Pricing and Observational Equivalence in the
Presence of Levy Jumps. Forthcoming Theory and
Decison Library Series B: Math and Statistical Library; Mark
Machina and Guido Rossi eds, Kluwer
Full Paper |
DP 04/03
Coakley, J.
Fuertes, A.
Wood, A. |
A new interpretation of the exchange rate-yield
differential nexus. Forthcoming International
Journal of Finance and Economics.
Full Paper |
DP 04/02
Nankervis, J. |
Bootstrapping the Box-Pierce Q test: A Robust of
Uncorrlatedness. Forthcoming Journal of
Econometrics (with J Horowitz, I Lobato and NE Savin).
Full Paper
Abstracts |
DP 04/01
Girardone, C. |
Productivity Change in Banking: A Comparison of
Parametric and Non-Parametric Approaches.
Forthcoming Journal of Banking and Finance (with P Molyneux
and B Casu).
Full Paper |