Professor Dennis Philip's Outputs (24)

Shared Occupancy and Property Tax Arrears (2024)
Journal Article
Anim-Odame, W. K., Brenni, P. A., Damianov, D. S., & Philip, D. (in press). Shared Occupancy and Property Tax Arrears. Real Estate Economics,

Shared occupancy arrangements are on the rise in recent years due to affordability constraints in homeownership. This article examines for the first time the property tax compliance behavior of shared dwellings, where homeowners rent out part of the... Read More about Shared Occupancy and Property Tax Arrears.

Technology Rhetoric and Institutional Ownership (2024)
Journal Article
Andreou, P. C., Drivas, K., Philip, D., & Wood, G. (online). Technology Rhetoric and Institutional Ownership. Cambridge Journal of Economics, https://doi.org/10.1093/cje/beae035

This paper compares actual R&D spend with the managerial rhetoric around technology and innovation contained within corporate disclosures of publicly-listed U.S. firms. We find that, whilst actual R&D spend and patents do not entice institutional inv... Read More about Technology Rhetoric and Institutional Ownership.

Forward Guidance and Corporate Lending (2021)
Journal Article
Delis, M., Hong, S., Paltalidis, N., & Philip, D. (2022). Forward Guidance and Corporate Lending. Review of Finance, 26(4), 899-935. https://doi.org/10.1093/rof/rfab027

We suggest that forward guidance, via publicly committing the central bank to future actions and creating associated expectations, fundamentally affects bank lending decisions independently of other forms of monetary policy. To test this hypothesis,... Read More about Forward Guidance and Corporate Lending.

When It Rains It Drains: Psychological Distress and Household Net Worth (2021)
Journal Article
Balloch, A., Engels, C., & Philip, D. (2022). When It Rains It Drains: Psychological Distress and Household Net Worth. Journal of Banking and Finance, 143, https://doi.org/10.1016/j.jbankfin.2022.106620

This paper establishes a sizeable negative effect of poor mental health on individuals’ net worth. In a representative panel of U.S. households, we find that a one standard deviation (or four unit) increase in Kessler’s K6 psychological distress leve... Read More about When It Rains It Drains: Psychological Distress and Household Net Worth.

Dispersion in options investors' versus analysts' expectations: Predictive inference for stock returns (2021)
Journal Article
Andreou, P., Kagkadis, A., Maio, P., & Philip, D. (2021). Dispersion in options investors' versus analysts' expectations: Predictive inference for stock returns. Critical finance review, 10(1), 65-81. https://doi.org/10.1561/104.00000091

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and... Read More about Dispersion in options investors' versus analysts' expectations: Predictive inference for stock returns.

Institutional ownership and firms’ thrust to compete (2021)
Journal Article
Andreou, P. C., Fiordelisi, F., Harris, T., & Philip, D. (2022). Institutional ownership and firms’ thrust to compete. British Journal of Management, 33(3), 1346-1370. https://doi.org/10.1111/1467-8551.12496

This article provides evidence on the impact of transient (short-term) institutional investors on a firm’s thrust to compete. A firm’s thrust to compete, as an attribute of corporate culture, captures the relative importance of corporate values that... Read More about Institutional ownership and firms’ thrust to compete.

Multifactor Models and Their Consistency with the APT (2020)
Journal Article
Cooper, I., Ma, L., Maio, P., & Philip, D. (2021). Multifactor Models and Their Consistency with the APT. The Review of Asset Pricing Studies, 11(2), 402-444. https://doi.org/10.1093/rapstu/raaa024

We examine the consistency of several prominent multifactor models from the empirical asset pricing literature with the arbitrage pricing theory (APT) framework. We follow the APT-related literature and estimate the common factor structure from a ric... Read More about Multifactor Models and Their Consistency with the APT.

The ABC of Soil Literacy - Evidence from Ghana, South Africa and Zimbabwe (2020)
Report
Johnson, K., Philip, D., & Engels, C. (2020). The ABC of Soil Literacy - Evidence from Ghana, South Africa and Zimbabwe. [No known commissioning body]

Climate change and soil health are intimately linked, as reflected in the United Nation’s Sustainable Development Goal (SDG) 15. Land degradation is responsible for a significant proportion of all global greenhouse gas emissions (WGII, IPCC, 2007), t... Read More about The ABC of Soil Literacy - Evidence from Ghana, South Africa and Zimbabwe.

Measuring firms' market orientation using textual analysis of 10-K filings (2020)
Journal Article
Andreou, P., Harris, T., & Philip, D. (2020). Measuring firms' market orientation using textual analysis of 10-K filings. British Journal of Management, 31(4), 8725-895. https://doi.org/10.1111/1467-8551.12391

Market‐oriented firms are committed to understanding their customers’ evolving expectations and meeting their needs, while outwitting competitors, to achieve a sustainable competitive advantage and improve performance. This paper develops a measure f... Read More about Measuring firms' market orientation using textual analysis of 10-K filings.

The information content of forward moments (2019)
Journal Article
Andreou, P., Kagkadis, A., Philip, D., & Taamouti, A. (2019). The information content of forward moments. Journal of Banking and Finance, 106, 527-541. https://doi.org/10.1016/j.jbankfin.2019.07.021

We estimate the term structures of risk-neutral forward variance and skewness, and examine their predictive power for equity market excess returns and variance. We use Partial Least Squares to extract a single predictive factor from each term structu... Read More about The information content of forward moments.

Financial literacy and fraud detection (2019)
Journal Article
Engels, C., Kumar, K., & Philip, D. (2020). Financial literacy and fraud detection. European Journal of Finance, 26(4-5), 420-442. https://doi.org/10.1080/1351847x.2019.1646666

Who is better at detecting fraud? This paper finds that more financially knowledgeable individuals have a higher propensity to detect fraud: a one standard deviation increase in financial knowledge increases fraud detection probabilities by 3 percent... Read More about Financial literacy and fraud detection.

Financial knowledge among university students and implications for personal debt and fraudulent investments (2018)
Journal Article
Andreou, P., & Philip, D. (2018). Financial knowledge among university students and implications for personal debt and fraudulent investments. Cyprus economic policy review, 12(2), 3-23

The study is the first attempt to examine financial literacy, financial aptitude and behaviour among university students in Cyprus. The student survey covers 881 Cypriot students, aged mostly 18-24, across the five biggest universities in Cyprus. The... Read More about Financial knowledge among university students and implications for personal debt and fraudulent investments.

Differences in options investors' expectations and the cross-section of stock returns (2018)
Journal Article
Andreou, P., Kagkadis, A., Philip, D., & Tuneshev, T. (2018). Differences in options investors' expectations and the cross-section of stock returns. Journal of Banking and Finance, 94, 315-336. https://doi.org/10.1016/j.jbankfin.2018.07.016

We provide strong evidence that the dispersion of individual stock options trading volume across moneynesses (IDISP) contains valuable information about future stock returns. Stocks with high IDISP consistently underperform those with low IDISP by mo... Read More about Differences in options investors' expectations and the cross-section of stock returns.

Economic activity and momentum profits: further evidence (2018)
Journal Article
Maio, P., & Philip, D. (2018). Economic activity and momentum profits: further evidence. Journal of Banking and Finance, 88, 466-482. https://doi.org/10.1016/j.jbankfin.2018.01.013

We show that economic activity plays an important role in explaining momentum-based anomalies. A simple two-factor model containing the market and alternative indicators of economic activity as risk factors—industrial production, capacity utilization... Read More about Economic activity and momentum profits: further evidence.

CEO duality, agency costs, and internal capital allocation efficiency (2018)
Journal Article
Aktas, N., Andreou, P., Karasamani, I., & Philip, D. (2019). CEO duality, agency costs, and internal capital allocation efficiency. British Journal of Management, 30(2), 473-493. https://doi.org/10.1111/1467-8551.12277

This study examines the impact of CEO duality on firms’ internal capital allocation efficiency. We observe that when the CEO is also chair of the board, diversified firms make inefficient investments, as they allocate more capital to business segment... Read More about CEO duality, agency costs, and internal capital allocation efficiency.

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.

Optimal hedging in carbon emission markets using Markov regime switching models (2016)
Journal Article
Philip, D., & Shi, Y. (2016). Optimal hedging in carbon emission markets using Markov regime switching models. Journal of International Financial Markets, Institutions and Money, 43, 1-15. https://doi.org/10.1016/j.intfin.2016.03.003

This paper proposes a Markov regime switching framework for modeling carbon emission (CO2) allowances that combines a regime switching behavior and disequilibrium adjustments in the mean process, along with a state-dependent dynamic volatility proces... Read More about Optimal hedging in carbon emission markets using Markov regime switching models.

Bank liquidity creation and risk-taking: Does managerial ability matter? (2016)
Journal Article
Andreou, P., Philip, D., & Robejsek, P. (2016). Bank liquidity creation and risk-taking: Does managerial ability matter?. Journal of Business Finance and Accounting, 43(1-2), 226-259. https://doi.org/10.1111/jbfa.12169

This study investigates the impact of managerial ability on banks' liquidity creation and risk-taking behavior. We find that higher ability managers create more liquidity and take more risk. During financial crisis times, however, higher ability bank... Read More about Bank liquidity creation and risk-taking: Does managerial ability matter?.

Impact of allowance submissions in European carbon emission markets (2015)
Journal Article
Philip, D., & Shi, Y. (2015). Impact of allowance submissions in European carbon emission markets. International Review of Financial Analysis, 40, 27-37. https://doi.org/10.1016/j.irfa.2015.05.004

This paper studies the impact of the April allowance submissions mandate under the European Union emission trading scheme (EU ETS) in carbon emission markets. Using intraday order flow data, we test for the cross-market efficiency of spot-futures dyn... Read More about Impact of allowance submissions in European carbon emission markets.

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.