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Outputs (49)

Macro variables and the components of stock returns (2015)
Journal Article
Maio, P., & Philip, D. (2015). Macro variables and the components of stock returns. Journal of Empirical Finance, 33, 287-308. https://doi.org/10.1016/j.jempfin.2015.03.004

We conduct a decomposition for the stock market return by incorporating the information from 124 macro variables. Using factor analysis, we estimate six common factors and run a VAR containing these factors and financial variables such as the market... Read More about Macro variables and the components of stock returns.

Do risk-taking incentives induce CEOs to invest? Evidence from acquisitions (2015)
Journal Article
Croci, E., & Petmezas, D. (2015). Do risk-taking incentives induce CEOs to invest? Evidence from acquisitions. Journal of Corporate Finance, 32, 1-23. https://doi.org/10.1016/j.jcorpfin.2015.03.001

This paper examines the effect of risk-taking incentives on acquisition investments. We find that CEOs with risk-taking incentives are more likely to invest in acquisitions. Economically, an inter-quartile range increase in vega translates into an ap... Read More about Do risk-taking incentives induce CEOs to invest? Evidence from acquisitions.

A Multiple Goal Investment Strategy for Sovereign Wealth Funds: An Application to China (2015)
Journal Article
Xie, L., Woo, W. T., Zhang, Z., & Zhang, Z. (2015). A Multiple Goal Investment Strategy for Sovereign Wealth Funds: An Application to China. Asian Economic Papers, 14(1), 78-97. https://doi.org/10.1162/asep_a_00319

This paper develops a multiple-goal investment strategy for sovereign wealth funds. In our investment strategy, we embed the Black-Litterman (B-L) model into the mean variance mental accounting (MVMA) approach. The B-L method provides a means of mode... Read More about A Multiple Goal Investment Strategy for Sovereign Wealth Funds: An Application to China.

Effects of market default risk on index option risk-neutral moments (2015)
Journal Article
Andreou, P. (2015). Effects of market default risk on index option risk-neutral moments. Quantitative Finance, 15(12), 2021-2040. https://doi.org/10.1080/14697688.2014.1000367

We investigate the relative importance of market default risk in explaining the time variation of the S&P 500 Index option-implied risk-neutral moments. The results demonstrate that market default risk is positively (negatively) related to the index... Read More about Effects of market default risk on index option risk-neutral moments.

Media content and stock returns : the predictive power of press (2015)
Journal Article
Ferguson, N., Philip, D., Lam, H., & Guo, M. (2015). Media content and stock returns : the predictive power of press. Multinational finance journal, 19(1), 1-31

This paper examines whether tone (positive and negative) and volume of firm-specific news media content provide valuable information about future stock returns, using UK news media data from 1981–2010. The results indicate that both tone and volume o... Read More about Media content and stock returns : the predictive power of press.

Bitcoin Will Bite the Dust (2015)
Journal Article
Down, K., & Hutchinson, M. (2015). Bitcoin Will Bite the Dust. The Cato journal, 35(2), 357-382

Contemporary Private Monetary Systems (2015)
Book Chapter
Dowd, K. (2015). Contemporary Private Monetary Systems. In L. H. White, V. Vanberg, & E. A. Kohler (Eds.), Renewing the Search for a Monetary Constitution: Reforming Government’s Role in the Monetary System (213-253). Cato Institute