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Warwick Business School Finance Group Research Paper Series

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Viewing: 1 - 50 of 267 papers

1.

Bank Information Sharing and Liquidity Risk

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 16
2.

Dealer information and macro fundamentals - New evidence from hybrid exchange rate models

WBS Finance Group Research Paper No. 2975006
Number of pages: 49 Posted: 31 Jan 2019
Working Paper Series
University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 55
3.

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

Number of pages: 72 Posted: 20 Dec 2018 Last Revised: 08 May 2019
Working Paper Series
University of Warwick - Finance Group, University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 83
4.

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

Number of pages: 75 Posted: 15 Dec 2018
Working Paper Series
University of Warwick - Finance Group
Downloads 38
5.

ETF Arbitrage and International Diversification

Number of pages: 72 Posted: 10 Dec 2018 Last Revised: 25 May 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 253
6.

Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence

Forthcoming in Management Science, DOI/10.1287/mnsc.2018.3043
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 Warwick - Finance Group

Multiple version iconThere are 2 versions of this paper

Downloads 84
7.

Geography, Local Sentiment, and Market Anomalies

Number of pages: 49 Posted: 20 Nov 2018
Working Paper Series
University of Warwick - Finance Group
Downloads 54
8.

The Household Finance Landscape in Emerging Economies

Number of pages: 38 Posted: 19 Nov 2018
Working Paper Series
National University of Singapore (NUS), University of Warwick - Finance Group and Imperial College London

Multiple version iconThere are 2 versions of this paper

Downloads 200
9.

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

WBS Finance Group Research Paper
Number of pages: 48 Posted: 07 Nov 2018
Working Paper Series
University of Warwick - Finance Group
Downloads 9
10.

The I.O. of Ethics and Cheating When Consumers Do Not Have Rational Expectations

WBS Finance Group Research Paper
Number of pages: 53 Posted: 02 Oct 2018
Working Paper Series
University of Warwick - Warwick Business School

Multiple version iconThere are 2 versions of this paper

Downloads 54
11.

Trading Volume in Cryptocurrency Markets

Number of pages: 59 Posted: 13 Sep 2018 Last Revised: 10 May 2019
Working Paper Series
University of Warwick - Finance Group and Warwick Business SchoolWarwick Business School
Downloads 578
12.

Credit Default Swaps Around the World: Investment and Financing Effects

Kenan Institute of Private Enterprise Research Paper No. 18-21
Number of pages: 74 Posted: 28 Aug 2018 Last Revised: 05 Mar 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 59
13.

Bond Risk Premia with Machine Learning

Number of pages: 82 Posted: 26 Aug 2018 Last Revised: 28 Feb 2019
Working Paper Series
University of Warwick - Finance Group, 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 829
14.

Cyber Attacks and Stock Market Activity

Number of pages: 50 Posted: 05 Jun 2018 Last Revised: 06 Apr 2019
Working Paper Series
University of Warwick - Finance Group and Cardiff Business School - Accounting and Finance Section
Downloads 415
15.

Contagious Bank Runs and Dealer of Last Resort

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 60 Posted: 24 May 2018 Last Revised: 05 Jun 2018
Working Paper Series
University of International Business and Economics (UIBE) - School of Banking and Finance and University of Warwick - Finance Group
Downloads 55
16.

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

WBS Finance Group Research Paper
Number of pages: 51 Posted: 16 May 2018 Last Revised: 31 Jul 2018
Working Paper Series
Cornerstone Research, University of Warwick - Finance Group and Cardiff Business School - Accounting and Finance Section
Downloads 70
17.

Credit Default Swaps Around the World: Investment and Financing Effects

Number of pages: 74 Posted: 22 Apr 2018 Last Revised: 05 Mar 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 144
18.

Large-Scale Dynamic Predictive Regressions

Number of pages: 51 Posted: 08 Mar 2018
Working Paper Series
University of Warwick - Finance Group and University of Chicago - Booth School of Business
Downloads 139
19.

When Do Shorts Harm Liquidity? Evidence from Cross-Listing Arbitrage

Number of pages: 35 Posted: 13 Feb 2018
Working Paper Series
University of Exeter, University of Warwick and University of Warwick - Warwick Business School
Downloads 67
20.

Changes in Corporate Governance: Externally Dictated vs Organically Determined

WBS Finance Group Research Paper
Number of pages: 54 Posted: 26 Jan 2018
Working Paper Series
Cardiff Business School - Accounting and Finance Section
Downloads 38
21.

Differences in CEO Compensation Under Institutional and Large Shareholder Ownership

WBS Finance Group Research Paper
Number of pages: 50 Posted: 26 Jan 2018
Working Paper Series
Cardiff Business School - Accounting and Finance Section
Downloads 44
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
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 348
23.

FX Spot and Swap Market Liquidity and the Effects of Window Dressing

WBS Finance Group Research Paper
Number of pages: 56 Posted: 28 Dec 2017
Working Paper Series
University of Warwick - Finance Group and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 119
24.

Cryptocurrencies As an Asset Class? An Empirical Assessment

WBS Finance Group Research Paper
Number of pages: 35 Posted: 30 Nov 2017 Last Revised: 16 Jun 2018
Working Paper Series
University of Warwick - Finance Group
Downloads 1,824
25.

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

WBS Finance Group Research Paper
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 74
26.

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

Number of pages: 48 Posted: 24 Oct 2017
Working Paper Series
University of Warwick - Finance Group
Downloads 46
27.

Dynamic Bank Capital Regulation in Equilibrium

WBS Finance Group Research Paper
Number of pages: 63 Posted: 18 Oct 2017 Last Revised: 16 Feb 2018
Working Paper Series
New York University (NYU) - Department of Economics, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 145
28.

Are Financially Constrained Firms Susceptible to a Stock Price Crash Risk?

WBS Finance Group Research Paper
Number of pages: 58 Posted: 18 Aug 2017 Last Revised: 03 Jun 2019
Working Paper Series
Durham University and University of Warwick, Warwick Business School
Downloads 315
29.

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

WBS Finance Group Research Paper No. 2972358
Number of pages: 44 Posted: 23 May 2017
Working Paper Series
University of Warwick - Finance Group, RPM Risk & Portfolio Management AB, University of Warwick - Warwick Business School and Lancaster University - Department of Accounting and Finance
Downloads 115
30.

WHY DO LARGE SHAREHOLDERS ADOPT A SHORT-TERM VS A LONG-TERM INVESTMENT HORIZON IN DIFFERENT FIRMS?

WBS Finance Group Research Paper No. 2943336
Number of pages: 61 Posted: 30 Mar 2017 Last Revised: 08 May 2018
Working Paper Series
Cardiff Business School - Accounting and Finance Section
Downloads 56
31.

Growth Options and Credit Risk

Management Science (Forthcoming), WBS Finance Group Research Paper
Number of pages: 54 Posted: 11 Jul 2016 Last Revised: 29 Apr 2019
Accepted Paper Series
University of Warwick - Finance Group and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 142
32.

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

WBS Finance Group Research Paper No. 2766386
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 107
33.

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

WBS Finance Group Research Paper No. 0001
Number of pages: 51 Posted: 03 Dec 2015 Last Revised: 26 Jan 2016
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 99
34.

Trading Aggressiveness and Market Efficiency

WBS Finance Group Research Paper
Number of pages: 59 Posted: 10 Nov 2015 Last Revised: 05 Jun 2019
Working Paper Series
University of Warwick - Warwick Business School
Downloads 149
35.

Inventory and Corporate Risk Management

WBS Finance Group Research Paper, Review of Corporate Finance Studies, forthcoming
Number of pages: 75 Posted: 18 Sep 2015 Last Revised: 02 Oct 2018
Accepted Paper Series
University of Bologna - Department of Management and University of Warwick - Finance Group
Downloads 221
36.

Fund Management: An Emotional Finance Perspective

CFA Institute Research Foundation, ISBN 978-1-934667-49-1, WBS Finance Group Research Paper
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 337
37.

The Real Effects of Credit Default Swaps

Journal of Financial Economics (JFE), 2017, WBS Finance Group Research Paper
Number of pages: 72 Posted: 20 Feb 2015 Last Revised: 13 Nov 2017
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 239
38.

Optimal Security Design Under Asymmetric Information and Profit Manipulation

WBS Finance Group Research Paper
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 210
39.

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

WBS Finance Group Research Paper
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 132
40.

The Skew Risk Premium in the Equity Index Market

WBS Finance Group Research Paper
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 102
41.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 18 May 2017
Working Paper Series
University of Warwick - Finance Group, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 769
42.

Does Internal Board Monitoring Affect Debt Maturity?

WBS Finance Group Research Paper, Robert H. Smith School Research Paper No. RHS 2512720
Number of pages: 54 Posted: 21 Oct 2014 Last Revised: 20 Jan 2018
Working Paper Series
Cardiff Business School - Accounting and Finance Section and University of Maryland - Robert H. Smith School of Business
Downloads 185
43.

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
Posted: 18 Sep 2014 Last Revised: 09 Feb 2018
Accepted Paper Series
Cardiff Business School - Accounting and Finance Section
44.

Dividend and Capital Gains Taxation Under Incomplete Markets

Journal of Monetary Economics, Vol. 59, No. 7, 2012
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 67
45.

Corporate Governance of Banks and Financial Stability

European Banking Center Discussion Paper Series No. 2014-010, CentER Discussion Paper Series No. 2014-053
Number of pages: 55 Posted: 04 Sep 2014 Last Revised: 29 Mar 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 394
46.

Banking Competition and Stability: The Role of Leverage

CentER Discussion Paper Series No. 2014-048, European Banking Center Discussion Paper Series No. 2014-009
Number of pages: 41 Posted: 29 Aug 2014 Last Revised: 02 Sep 2014
Working Paper Series
Universitat Pompeu Fabra and University of Warwick - Finance Group

Multiple version iconThere are 3 versions of this paper

Downloads 268
47.

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
Posted: 25 Jun 2014
Accepted Paper Series
Bocconi University - Department of Finance and University of Warwick - Finance Group

Multiple version iconThere are 2 versions of this paper

48.

Short-term Corporate Debt Around The World

WBS Finance Group Research Paper
Number of pages: 61 Posted: 03 Apr 2014 Last Revised: 12 Oct 2016
Working Paper Series
World Bank Group - International Finance Corporation, University of Warwick - Finance Group and University of Warwick - Finance Group
Downloads 756
49.

Toxic Arbitrage

HEC Paris Research Paper No. FIN-2014-1040
Number of pages: 53 Posted: 15 Mar 2014 Last Revised: 28 Sep 2016
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 1,013
50.

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

Number of pages: 51 Posted: 02 Mar 2014 Last Revised: 02 Apr 2018
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 239