Outputs (7)

Misconduct in Banking: The Role of the Board of Directors (2020)
Book Chapter
Nguyen, D., Hagendorff, J., & Eshraghi, A. (2020). Misconduct in Banking: The Role of the Board of Directors. In C. Alexander, & D. Cumming (Eds.), Corruption and Fraud in Financial Markets: Malpractice, Misconduct and Manipulation

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.

International Trade and the Interaction of Labour Market Frictions and Endogenous Firms Exit: An Examination of Labour Productivity and Trade Dynamics (2020)
Preprint / Working Paper
Nicolae, A., & Nower, M. International Trade and the Interaction of Labour Market Frictions and Endogenous Firms Exit: An Examination of Labour Productivity and Trade Dynamics

How do the interactions between non-trading firms and labour market frictions impact the domestic and international transmission of macroeconomic shocks? In this paper we explore the impact of these interactions on labour productivity and unemploymen... Read More about International Trade and the Interaction of Labour Market Frictions and Endogenous Firms Exit: An Examination of Labour Productivity and Trade Dynamics.

Shadow banking in China compared to other countries (2020)
Journal Article
Allen, F., & Gu, X. (2021). Shadow banking in China compared to other countries. Manchester School, 89(5), 407-419. https://doi.org/10.1111/manc.12331

China's shadow banking has been rising rapidly in the last decade, mainly driven by regulations for banks, the Fiscal Stimulus Plan in 2008 and credit constraints in restrictive industries. This sector has continued growing although the regulators re... Read More about Shadow banking in China compared to other countries.

Are CoCo Bonds Suitable as Core Capital Instruments? (2020)
Journal Article
Dowd, K. (2020). Are CoCo Bonds Suitable as Core Capital Instruments?. Journal of New Finance, 1(1), https://doi.org/10.46671/2521-2486.1000

Basel III introduced significant innovations in bank regulation. One of them is the minimum required leverage ratio. To help banks implementing the new measure , Basel III created two different core capital measures: Common Equity Tier 1 (CET1) and A... Read More about Are CoCo Bonds Suitable as Core Capital Instruments?.

Probabilistic Forecasting of Bubbles and Flash Crashes (2020)
Journal Article
Banerjee, A., Chevillon, G., & Kratz, M. (2020). Probabilistic Forecasting of Bubbles and Flash Crashes. The Econometrics Journal, 23(2), 297-315. https://doi.org/10.1093/ectj/utaa004

We propose a near explosive random coefficient autoregressive model (NERC) to obtain predictive probabilities of the apparition and devolution of bubbles. The distribution of the autoregressive coefficient of this model is allowed to be centred at an... Read More about Probabilistic Forecasting of Bubbles and Flash Crashes.

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.