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Warwick Business School Finance Group Research Paper Series

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1.

Global Banks and Interest on Excess Reserves

WBS Finance Group Research Paper Forthcoming
Number of pages: 59 Posted: 14 Dec 2020
Working Paper Series
University of Warwick - Warwick Business School
Downloads 17
2.

Debt Covenants and the Value of Commitment

WBS Finance Group Research Paper Forthcoming
Number of pages: 60 Posted: 16 Oct 2020
Working Paper Series
University of Warwick - Finance Group and The Chinese University of Hong Kong, Shenzhen
Downloads 40
3.

Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns

WBS Finance Group Research Paper
Number of pages: 63 Posted: 13 Oct 2020 Last Revised: 09 Dec 2020
Working Paper Series
Warwick Business School - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Hong Kong University of Science and Technology

Multiple version iconThere are 3 versions of this paper

Downloads 122
4.

Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns

WBS Finance Group Research Paper
Number of pages: 63 Posted: 11 Oct 2020 Last Revised: 09 Dec 2020
Working Paper Series
Warwick Business School - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Hong Kong University of Science and Technology

Multiple version iconThere are 3 versions of this paper

Downloads 36
5.

Speculator Spreading Pressure and the Commodity Futures Risk Premium

WBS Finance Group Research Paper
Number of pages: 75 Posted: 28 Jul 2020 Last Revised: 05 Nov 2020
Working Paper Series
University of Warwick, Warwick Business School, Students, University of Warwick and Warwick Business School - University of Warwick
Downloads 124
6.

Credit Default Swaps Around the World

NYU Stern School of Business, WBS Finance Group Research Paper
Number of pages: 61 Posted: 17 Jul 2020
Working Paper Series
Warwick Business School - Department of Finance, University of North Carolina Kenan-Flagler Business School, University of Florida - Warrington College of Business Administration and New York University (NYU) - Department of Finance
Downloads 48
7.

The Role of Model Uncertainty in Corporate Risk Management

WBS Finance Group Research Paper
Number of pages: 44 Posted: 29 Jun 2020
Working Paper Series
University of Warwick - Finance Group and University of Central Florida
Downloads 34
8.

U.S. Populist Rhetoric and Currency Returns

WBS Finance Group Research Paper
Number of pages: 81 Posted: 19 Jun 2020 Last Revised: 08 Jan 2021
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, University of Warwick, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School

Multiple version iconThere are 2 versions of this paper

Downloads 82
9.

Artificial Intelligence in Asset Management

WBS Finance Group Research Paper, CFA Institute Research Foundation 2020
Number of pages: 73 Posted: 08 Mar 2020 Last Revised: 10 Sep 2020
Working Paper Series
Warwick Business School - Department of Finance, University of Warwick - Operational Research & Systems (ORS) Subject Group and University of Cambridge - Judge Business School

Multiple version iconThere are 3 versions of this paper

Downloads 168
10.

Foreign Exchange Fixings and Returns Around the Clock

WBS Finance Group Research Paper
Number of pages: 49 Posted: 11 Feb 2020
Working Paper Series
Copenhagen Business School - Department of Finance, Warwick Business School Finance Group and Copenhagen Business School
Downloads 146
11.

Dark Knights: The Rise in Firm Intervention by CDS Investors

WBS Finance Group Research Paper No. 265, Georgia Tech Scheller College of Business Research Paper No. 3479635
Number of pages: 67 Posted: 04 Nov 2019 Last Revised: 07 May 2020
Working Paper Series
Georgia Institute of Technology - Scheller College of Business and University of Warwick - Finance Group
Downloads 133
12.

Why is There a Secular Decline in Idiosyncratic Risk in the 2000s?

Fisher College of Business Working Paper No. 2019-03-019, Charles A. Dice Center Working Paper No. 2019-19, WBS Finance Group Research Paper
Number of pages: 47 Posted: 12 Sep 2019
Working Paper Series
Warwick Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and Ohio State University (OSU) - Department of Finance
Downloads 271
13.

What Matters When? Time-Varying Sparsity in Expected Returns

WBS Finance Group Research Paper
Number of pages: 64 Posted: 20 Aug 2019 Last Revised: 07 May 2020
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 235
14.

Corporate Credit Provision

FRB of New York Staff Report No. 895, WBS Finance Group Research Paper
Number of pages: 53 Posted: 15 Aug 2019
Working Paper Series
Federal Reserve Bank of New York and Warwick Business School Finance Group
Downloads 3
15.

Central Bank Reserves and Currency Volatility

WBS Finance Group Research Paper
Number of pages: 50 Posted: 27 Jun 2019 Last Revised: 07 May 2020
Working Paper Series
University of São Paulo, University of Warwick and Gol airlines
Downloads 96
16.

Market-Based Monetary Policy Uncertainty

WBS Finance Group Research Paper
Number of pages: 52 Posted: 30 Apr 2019 Last Revised: 07 May 2020
Working Paper Series
Universität Hamburg, Wake Forest University - Department of Economics and Warwick Business School Finance Group

Multiple version iconThere are 2 versions of this paper

Downloads 192
17.

Bank Information Sharing and Liquidity Risk

WBS Finance Group Research Paper No. 264
Number of pages: 74 Posted: 29 Mar 2019
Working Paper Series
Tilburg University - Department of Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Warwick - Finance Group
Downloads 43
18.

Dealer Information and Macro Fundamentals - New Evidence from Hybrid Exchange Rate Models

WBS Finance Group Research Paper No. 263
Number of pages: 49 Posted: 31 Jan 2019
Working Paper Series
Copenhagen Business School - Department of Finance and University of Warwick - Warwick Business School
Downloads 69
19.

Predictability of Order Imbalance, Market Quality and Equity Cost of Capital

WBS Finance Group Research Paper No. 262
Number of pages: 72 Posted: 20 Dec 2018 Last Revised: 26 Dec 2019
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and University of Warwick - Warwick Business School
Downloads 147
20.

The Effect of Lifespan Expectations on Financial Decisions: Evidence from Mass Shootings and Natural Disaster Experiences

WBS Finance Group Research Paper No. 261
Number of pages: 75 Posted: 15 Dec 2018
Working Paper Series
Queen Mary University of London
Downloads 77
21.

ETF Arbitrage and International Diversification

WBS Finance Group Research Paper No. 260
Number of pages: 63 Posted: 10 Dec 2018 Last Revised: 05 Jan 2021
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, University of Warwick and University of Warwick, Warwick Business School, Students
Downloads 436
22.

Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence

Forthcoming in Management Science, DOI/10.1287/mnsc.2018.3043, WBS Finance Group Research Paper No. 259
Number of pages: 19 Posted: 28 Nov 2018
Accepted Paper Series
Boston College, Carroll School of Management, Haskayne School of Business, University of Calgary and University of Exeter Business School

Multiple version iconThere are 3 versions of this paper

Downloads 131
23.

The Household Finance Landscape in Emerging Economies

WBS Finance Group Research Paper No. 257
Number of pages: 40 Posted: 19 Nov 2018 Last Revised: 26 Dec 2019
Working Paper Series
National University of Singapore (NUS), Queen Mary University of London and Imperial College London

Multiple version iconThere are 2 versions of this paper

Downloads 368
24.

Swallow Poison to Innovate: R&D Investment under Financial Constraints and Competition

WBS Finance Group Research Paper No. 256
Number of pages: 48 Posted: 07 Nov 2018
Working Paper Series
University of Warwick - Finance Group
Downloads 14
25.

Competition and Misconduct

WBS Finance Group Research Paper No. 255
Number of pages: 50 Posted: 02 Oct 2018 Last Revised: 19 Oct 2020
Working Paper Series
University of Warwick - Warwick Business School

Multiple version iconThere are 2 versions of this paper

Downloads 138
26.

Credit Default Swaps Around the World: Investment and Financing Effects

Kenan Institute of Private Enterprise Research Paper No. 18-21, WBS Finance Group Research Paper No. 253
Number of pages: 74 Posted: 28 Aug 2018 Last Revised: 26 Dec 2019
Working Paper Series
Warwick Business School - Department of Finance, University of North Carolina Kenan-Flagler Business School, University of Florida - Warrington College of Business Administration and New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 69
27.

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 86 Posted: 26 Aug 2018 Last Revised: 08 Apr 2020
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 2,227
28.

Contagious Bank Runs and Dealer of Last Resort

Paris December 2018 Finance Meeting EUROFIDAI - AFFI, WBS Finance Group Research Paper No. 250
Number of pages: 60 Posted: 24 May 2018 Last Revised: 26 Dec 2019
Working Paper Series
University of International Business and Economics (UIBE) - School of Banking and Finance and University of Warwick - Finance Group
Downloads 68
29.

The Effect of Board Structure on Firm Performance - New Evidence from Product Market Conditions

WBS Finance Group Research Paper No. 249
Number of pages: 51 Posted: 16 May 2018 Last Revised: 26 Dec 2019
Working Paper Series
Cornerstone Research, University of Warwick - Finance Group and Cardiff Business School - Accounting and Finance Section
Downloads 138
30.

Credit Default Swaps Around the World: Investment and Financing Effects

WBS Finance Group Research Paper No. 248
Number of pages: 74 Posted: 22 Apr 2018 Last Revised: 26 Dec 2019
Working Paper Series
Warwick Business School - Department of Finance, University of North Carolina Kenan-Flagler Business School, University of Florida - Warrington College of Business Administration and New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 264
31.

Changes in Corporate Governance: Externally Dictated vs Organically Determined

WBS Finance Group Research Paper No. 246
Number of pages: 54 Posted: 26 Jan 2018
Working Paper Series
Cardiff Business School - Accounting and Finance Section
Downloads 45
32.

Differences in CEO Compensation Under Institutional and Large Shareholder Ownership

WBS Finance Group Research Paper No. 245
Number of pages: 50 Posted: 26 Jan 2018
Working Paper Series
Cardiff Business School - Accounting and Finance Section
Downloads 56
33.

Why Has Idiosyncratic Risk Been Historically Low in Recent Years?

Fisher College of Business Working Paper No. 2018-03-02, Charles A. Dice Working Paper No. 2018-2, WBS Finance Group Research Paper No. 244
Number of pages: 45 Posted: 24 Jan 2018
Working Paper Series
Warwick Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 379
34.

FX Spot and Swap Market Liquidity Spillovers

BIS Working Paper No. 836, WBS Finance Group Research Paper No. 243
Number of pages: 65 Posted: 28 Dec 2017 Last Revised: 16 Jan 2020
Working Paper Series
Copenhagen Business School - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 2 versions of this paper

Downloads 174
35.

The Third Dimension of Financialization: Electronification, Intraday Institutional Trading, and Commodity Market Quality

WBS Finance Group Research Paper No. 242
Number of pages: 62 Posted: 10 Nov 2017
Working Paper Series
Lancaster University - Department of Accounting and Finance, University of Illinois at Urbana-Champaign and University of Oklahoma Price College of Business
Downloads 100
36.

Swallow Poison to Innovate: R&D Investment Under Financial Constraints and Competition

WBS Finance Group Research Paper No. 241
Number of pages: 48 Posted: 24 Oct 2017
Working Paper Series
University of Warwick - Finance Group
Downloads 57
37.

Dynamic Bank Capital Regulation in Equilibrium

WBS Finance Group Research Paper No. 240
Number of pages: 63 Posted: 18 Oct 2017 Last Revised: 26 Dec 2019
Working Paper Series
New York University (NYU) - Department of Economics, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 188
38.

Performance, Persistence, and Pay: A New Perspective on CTAs

WBS Finance Group Research Paper No. 238
Number of pages: 44 Posted: 23 May 2017
Working Paper Series
Copenhagen Business School - Department of Finance, RPM Risk & Portfolio Management AB, University of Warwick - Warwick Business School and Lancaster University - Department of Accounting and Finance
Downloads 134
39.

Why Do Large Shareholders Adopt a Short-Term VS a Long-Term Investment Horizon in Different Firms?

WBS Finance Group Research Paper No. 237
Number of pages: 61 Posted: 30 Mar 2017 Last Revised: 26 Dec 2019
Working Paper Series
Cardiff Business School - Accounting and Finance Section
Downloads 69
40.

Growth Options and Credit Risk

Management Science (Forthcoming), WBS Finance Group Research Paper No. 236
Number of pages: 54 Posted: 11 Jul 2016 Last Revised: 26 Dec 2019
Accepted Paper Series
University of Warwick - Finance Group and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 207
41.

A Theory of Endogenous Asset Fire Sales, Bank Runs, and Contagion

WBS Finance Group Research Paper No. 235
Number of pages: 52 Posted: 20 Apr 2016
Working Paper Series
Universitat Pompeu Fabra - Department of Economics and Business and University of Warwick - Finance Group

Multiple version iconThere are 3 versions of this paper

Downloads 113
42.

Dynamic Q-Theory with Agency Investment Frictions and Cross-Sectional Stock Returns

WBS Finance Group Research Paper No. 234
Number of pages: 51 Posted: 03 Dec 2015 Last Revised: 26 Dec 2019
Working Paper Series
The Chinese University of Hong Kong, Shenzhen, Deakin University - Faculty of Business and Law and Hong Kong University of Science & Technology (HKUST)
Downloads 111
43.

Inventory and Corporate Risk Management

WBS Finance Group Research Paper No. 233, Review of Corporate Finance Studies, forthcoming
Number of pages: 75 Posted: 18 Sep 2015 Last Revised: 26 Dec 2019
Accepted Paper Series
University of Bologna - Department of Management and University of Warwick - Finance Group
Downloads 241
44.

Fund Management: An Emotional Finance Perspective

CFA Institute Research Foundation, ISBN 978-1-934667-49-1, WBS Finance Group Research Paper No. 232
Number of pages: 117 Posted: 09 Jun 2015
Accepted Paper Series
University College London - Centre for the Study of Decision-Making Uncertainty and University of Warwick - Finance Group
Downloads 564
45.

The Real Effects of Credit Default Swaps

Journal of Financial Economics (JFE), 2017, WBS Finance Group Research Paper No. 231
Number of pages: 72 Posted: 20 Feb 2015 Last Revised: 26 Dec 2019
Accepted Paper Series
Georgia Institute of Technology - Scheller College of Business and University of Warwick - Finance Group

Multiple version iconThere are 2 versions of this paper

Downloads 254
46.

Optimal Security Design Under Asymmetric Information and Profit Manipulation

WBS Finance Group Research Paper No. 230
Number of pages: 36 Posted: 18 Feb 2015
Working Paper Series
University of Warwick - Finance Group, University of Warwick - Warwick Business School and University of Rochester - Simon Business School
Downloads 223
47.

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

WBS Finance Group Research Paper No. 229
Number of pages: 25 Posted: 18 Feb 2015
Working Paper Series
University of Warwick - Finance Group and University of Warwick - Warwick Business School

Multiple version iconThere are 2 versions of this paper

Downloads 138
48.

The Skew Risk Premium in the Equity Index Market

WBS Finance Group Research Paper No. 228
Number of pages: 34 Posted: 18 Feb 2015
Working Paper Series
University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 113
49.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

WBS Finance Group Research Paper No. 227
Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 26 Dec 2019
Working Paper Series
School of Economics and Finance, Queen Mary University of London, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 837
50.

Does Internal Board Monitoring Affect Debt Maturity?

WBS Finance Group Research Paper No. 226, Robert H. Smith School Research Paper No. RHS 2512720
Number of pages: 54 Posted: 21 Oct 2014 Last Revised: 26 Dec 2019
Working Paper Series
Cardiff Business School - Accounting and Finance Section and University of Maryland - Robert H. Smith School of Business
Downloads 193