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Outputs (48)

CEO turnover in large banks: Does tail risk matter? (2017)
Journal Article
Srivastav, A., Keasey, K., Mollah, S., & Vallascas, F. (2017). CEO turnover in large banks: Does tail risk matter?. Journal of Accounting and Economics, 64(1), 37-55. https://doi.org/10.1016/j.jacceco.2017.05.001

In a cross-country setting we show the probability of a forced CEO turnover in large banks is positively associated with idiosyncratic tail risk. This finding is strengthened the greater the competition in the banking industry and when stakeholders h... Read More about CEO turnover in large banks: Does tail risk matter?.

Detection of algorithmic trading (2017)
Journal Article
Bogoev, D., & Karam, A. (2017). Detection of algorithmic trading. Physica A: Statistical Mechanics and its Applications, 484, 168-181. https://doi.org/10.1016/j.physa.2017.04.157

We develop a new approach to reflect the behavior of algorithmic traders. Specifically, we provide an analytical and tractable way to infer patterns of quote volatility and price momentum consistent with different types of strategies employed by algo... Read More about Detection of algorithmic trading.

Social preferences and cooperation in simple social dilemma games (2017)
Journal Article
Cox, C., Karam, A., & Murphy, R. (2017). Social preferences and cooperation in simple social dilemma games. Journal of Behavioral and Experimental Economics, 69, 1-3. https://doi.org/10.1016/j.socec.2017.05.002

We use a laboratory experiment to examine the role of social preferences in simple one-shot social dilemma games by comparing play with and without a human counterpart. We find that cooperation rates are slightly lower without a human counterpart in... Read More about Social preferences and cooperation in simple social dilemma games.

Testing Asymmetry in Dependence with Copula-Coskewness (2017)
Journal Article
Bücher, A., Irresberger, F., & Weiss, G. N. (2017). Testing Asymmetry in Dependence with Copula-Coskewness. North American Actuarial Journal, 21(2), 267-280. https://doi.org/10.1080/10920277.2017.1282876

A new measure of asymmetry in dependence is proposed that is based on taking the difference between the margin-free coskewness parameters of the underlying copula. The new measure and a related test are applied to both a hydrological and a financial... Read More about Testing Asymmetry in Dependence with Copula-Coskewness.

Integrated early warning prediction model for Islamic banks: the Malaysian case (2017)
Journal Article
Othman, J., & Asutay, M. (2018). Integrated early warning prediction model for Islamic banks: the Malaysian case. Journal of Banking Regulation, 19(2), 118-130. https://doi.org/10.1057/s41261-017-0040-5

It is increasingly becoming important to predict the performance of Islamic banks in order to anticipate a problem before it materializes and negatively affects banks’ performance and financial standing. Benefiting from the earlier research on the su... Read More about Integrated early warning prediction model for Islamic banks: the Malaysian case.

Deep Learning Networks for Stock Market Analysis and Prediction: Methodology, Data Representations, and Case Studies (2017)
Journal Article
Chong, E., Han, C., & Park, F. (2017). Deep Learning Networks for Stock Market Analysis and Prediction: Methodology, Data Representations, and Case Studies. Expert Systems with Applications, 83, 187-205. https://doi.org/10.1016/j.eswa.2017.04.030

We offer a systematic analysis of the use of deep learning networks for stock market analysis and prediction. Its ability to extract features from a large set of raw data without relying on prior knowledge of predictors makes deep learning potentiall... Read More about Deep Learning Networks for Stock Market Analysis and Prediction: Methodology, Data Representations, and Case Studies.

Does the impact of board independence on large bank risks change after the global financial crisis? (2017)
Journal Article
Vallascas, F., Mollah, S., & Keasey, K. (2017). Does the impact of board independence on large bank risks change after the global financial crisis?. Journal of Corporate Finance, 44, 149-166. https://doi.org/10.1016/j.jcorpfin.2017.03.011

The view that the independent directors of large banks should contribute to safeguarding the interests of bank creditors and taxpayers, by exercising a stringent risk oversight of bank executives, has gained ground in the aftermath of the 2007–2009 c... Read More about Does the impact of board independence on large bank risks change after the global financial crisis?.

Bank loan loss accounting treatments, credit cycles and crash risk (2017)
Journal Article
Andreou, P., Cooper, I., Louca, C., & Philip, D. (2017). Bank loan loss accounting treatments, credit cycles and crash risk. The British Accounting Review, 49(5), 474-492. https://doi.org/10.1016/j.bar.2017.03.002

Banks that follow conditional conservatism in their loan loss accounting treatments benefit from a reduction in crash risk. The key discretionary loan loss accounting channels are provisions and allowances. We show that conditional conservatism reduc... Read More about Bank loan loss accounting treatments, credit cycles and crash risk.

Business Experts on Public Sector Boards: What Do They Contribute? (2017)
Journal Article
Kirkpatrick, I., Vallascas, F., & Veronesi, G. (2017). Business Experts on Public Sector Boards: What Do They Contribute?. Public Administration Review, 77(5), 754-765. https://doi.org/10.1111/puar.12754

Although public management reforms around the world have given business experts an enhanced role in the governance of public sector organizations, the impact of this change is poorly understood. Drawing from the literature on board human capital as a... Read More about Business Experts on Public Sector Boards: What Do They Contribute?.