Skip to main content

Research Repository

Advanced Search

Outputs (4)

Corporate financing and anticipated credit rating changes (2016)
Journal Article
Hung, C. D., Banerjee, A. N., & Meng, Q. (2017). Corporate financing and anticipated credit rating changes. Review of Quantitative Finance and Accounting, 48(4), 893-915. https://doi.org/10.1007/s11156-016-0571-3

Firm circumstances change but rating agencies may not make timely revisions to their ratings, thereby increasing information asymmetry between firms and the market. We examine whether firms time the securities market before a credit rating agency pub... Read More about Corporate financing and anticipated credit rating changes.

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?.