Professor Dennis Philip's Outputs (3)

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.

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.