Professor Dennis Philip's Outputs (2)

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.