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Warwick Business School Finance Group Research Paper Series

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1.

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: 26 Dec 2019
Working Paper Series
Georgia Institute of Technology - Scheller College of Business and University of Warwick - Finance Group
Downloads 55
2.

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 32
3.

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 61
4.

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 Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 114
5.

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 52
6.

ETF Arbitrage and International Diversification

WBS Finance Group Research Paper No. 260
Number of pages: 83 Posted: 10 Dec 2018 Last Revised: 26 Dec 2019
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 310
7.

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 106
8.

Geography, Local Sentiment, and Market Anomalies

WBS Finance Group Research Paper No. 258
Number of pages: 50 Posted: 20 Nov 2018 Last Revised: 26 Dec 2019
Working Paper Series
University of Cambridge - Judge Business School
Downloads 66
9.

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 277
10.

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 12
11.

Market Structure, Managerial Ethics, and a Theory of Corporate Misconduct

WBS Finance Group Research Paper No. 255
Number of pages: 60 Posted: 02 Oct 2018 Last Revised: 26 Dec 2019
Working Paper Series
University of Warwick - Warwick Business School

Multiple version iconThere are 2 versions of this paper

Downloads 62
12.

Trading Volume in Cryptocurrency Markets

WBS Finance Group Research Paper No. 254
Number of pages: 50 Posted: 13 Sep 2018 Last Revised: 26 Dec 2019
Working Paper Series
School of Economics and Finance, Queen Mary University of London and Warwick Business SchoolWarwick Business School
Downloads 746
13.

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 62
14.

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 82 Posted: 26 Aug 2018 Last Revised: 26 Dec 2019
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

Multiple version iconThere are 2 versions of this paper

Downloads 1,248
15.

Cyber Attacks and Stock Market Activity

WBS Finance Group Research Paper No. 251
Number of pages: 50 Posted: 05 Jun 2018 Last Revised: 26 Dec 2019
Working Paper Series
School of Economics and Finance, Queen Mary University of London and Cardiff Business School - Accounting and Finance Section
Downloads 547
16.

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 63
17.

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 95
18.

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 195
19.

Large-Scale Dynamic Predictive Regressions

WBS Finance Group Research Paper No. 247
Number of pages: 51 Posted: 08 Mar 2018
Working Paper Series
School of Economics and Finance, Queen Mary University of London and University of Chicago - Booth School of Business
Downloads 149
20.

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 40
21.

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 49
22.

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 362
23.

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
Downloads 147
24.

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 85
25.

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 53
26.

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 164
27.

Are Financially Constrained Firms Susceptible to a Stock Price Crash?

WBS Finance Group Research Paper No. 239
Number of pages: 58 Posted: 18 Aug 2017 Last Revised: 26 Dec 2019
Working Paper Series
Durham University and University of Warwick, Warwick Business School
Downloads 341
28.

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 125
29.

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 60
30.

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 167
31.

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 110
32.

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 101
33.

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 230
34.

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 383
35.

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 247
36.

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

Multiple version iconThere are 2 versions of this paper

Downloads 215
37.

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 133
38.

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 106
39.

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 793
40.

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 186
41.

The Effect of CEO Option Compensation on the Capital Structure: A Natural Experiment

Financial Management, Vol.45, Issue 4, pages 953-979, 2016, WBS Finance Group Research Paper No.225
Posted: 18 Sep 2014 Last Revised: 26 Dec 2019
Accepted Paper Series
Cardiff Business School - Accounting and Finance Section
42.

Dividend and Capital Gains Taxation Under Incomplete Markets

Journal of Monetary Economics, Vol. 59, No. 7, 2012, WBS Finance Group Research Paper No. 224
Number of pages: 43 Posted: 08 Sep 2014
Working Paper Series
State University of New York (SUNY), Stony Brook, SUNY at Stony Brook University - College of Arts and Science - Department of Economics and University of Warwick - Finance Group
Downloads 71
43.

Corporate Governance of Banks and Financial Stability

European Banking Center Discussion Paper Series No. 2014-010, CentER Discussion Paper Series No. 2014-053, WBS Finance Group Research Paper No. 223
Number of pages: 55 Posted: 04 Sep 2014 Last Revised: 26 Dec 2019
Working Paper Series
World Bank Research, World Bank - Development Research Group, Tilburg University - Center for Economic Research (CentER) and University of Warwick - Finance Group

Multiple version iconThere are 3 versions of this paper

Downloads 443
44.

Banking Competition and Stability: The Role of Leverage

CentER Discussion Paper Series No. 2014-048, European Banking Center Discussion Paper Series No. 2014-009, WBS Finance Group Research Paper No. 222
Number of pages: 41 Posted: 29 Aug 2014 Last Revised: 26 Dec 2019
Working Paper Series
Universitat Pompeu Fabra and University of Warwick - Finance Group

Multiple version iconThere are 3 versions of this paper

Downloads 284
45.

Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios

Journal of Real Estate Finance and Economics, Vol. 49, No. 1, 2014, WBS Finance Group Research Paper No. 221
Posted: 25 Jun 2014
Accepted Paper Series
Bocconi University - Department of Finance and School of Economics and Finance, Queen Mary University of London

Multiple version iconThere are 2 versions of this paper

46.

Short-term Corporate Debt Around The World

WBS Finance Group Research Paper No. 220
Number of pages: 61 Posted: 03 Apr 2014 Last Revised: 26 Dec 2019
Working Paper Series
World Bank Group - International Finance Corporation, University of Exeter Business School and University of Warwick - Finance Group
Downloads 760
47.

Toxic Arbitrage

HEC Paris Research Paper No. FIN-2014-1040, WBS Finance Group Research Paper No. 219
Number of pages: 53 Posted: 15 Mar 2014 Last Revised: 26 Dec 2019
Working Paper Series
HEC Paris - Finance Department, University of Warwick - Warwick Business School and University of New South Wales (UNSW)

Multiple version iconThere are 2 versions of this paper

Downloads 1,027
48.

Market Order Flows, Limit Order Flows and Returns: Theory and Evidence

WBS Finance Group Research Paper No. 218
Number of pages: 51 Posted: 02 Mar 2014 Last Revised: 26 Dec 2019
Working Paper Series
University of Warwick - Warwick Business School, University of Warwick - Warwick Business School and City University London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

Downloads 248
49.

A Dynamic Test of Conditional Asset Pricing Models

WBS Finance Group Research Paper No. 217
Number of pages: 42 Posted: 01 Mar 2014 Last Revised: 26 Dec 2019
Working Paper Series
School of Economics and Finance, Queen Mary University of London
Downloads 272
50.

Corporate Post-Retirement Benefit Plans and Real Investment

Management Science, Forthcoming, WBS Finance Group Research Paper No. 216
Number of pages: 52 Posted: 15 Feb 2014 Last Revised: 26 Dec 2019
Accepted Paper Series
Warwick Business School - Department of Finance
Downloads 269