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Warwick Business School Finance Group Research Paper Series

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Viewing: 1 - 50 of 271 papers

1.

Artificial Intelligence in Asset Management

WBS Finance Group Research Paper
Number of pages: 73 Posted: 08 Mar 2020 Last Revised: 07 May 2020
Working Paper Series
Söhnke M. Bartram, Jürgen Branke and Mehrshad Motahari
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 2 versions of this paper

Downloads 61
2.

Foreign Exchange Fixings and Returns Around the Clock

WBS Finance Group Research Paper
Number of pages: 49 Posted: 11 Feb 2020
Working Paper Series
Ingomar Krohn, Philippe Mueller and Paul Whelan
Copenhagen Business School - Department of Finance, Warwick Business School Finance Group and Copenhagen Business School
Downloads 76
3.

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
Andras Danis and Andrea Gamba
Georgia Institute of Technology - Scheller College of Business and University of Warwick - Finance Group
Downloads 86
4.

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
Söhnke M. Bartram, Gregory W. Brown and René M. Stulz
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 251
5.

A Factor Model for Option Returns

WBS Finance Group Research Paper
Number of pages: 52 Posted: 05 Sep 2019 Last Revised: 07 May 2020
Working Paper Series
Matthias Büchner and Bryan T. Kelly
University of Warwick - Finance Group and Yale SOM
Downloads 190
6.

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
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
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
Downloads 181
7.

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
Nina Boyarchenko and Philippe Mueller
Federal Reserve Bank of New York and Warwick Business School Finance Group
Downloads 3
8.

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
Alex Luiz Ferreira, Arie Eskenazi Gozluklu and Joao Mainente
University of São Paulo, University of Warwick and Gol airlines
Downloads 88
9.

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
Michael Bauer, Aeimit Lakdawala and Philippe Mueller
Universität Hamburg, Michigan State University - Department of Economics and Warwick Business School Finance Group

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Downloads 128
10.

Bank Information Sharing and Liquidity Risk

WBS Finance Group Research Paper No. 264
Number of pages: 74 Posted: 29 Mar 2019
Working Paper Series
Fabio Castiglionesi, Zhao Li and Kebin Ma
Tilburg University - Department of Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Warwick - Finance Group
Downloads 36
11.

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
Ingomar Krohn and Michael Moore
Copenhagen Business School - Department of Finance and University of Warwick - Warwick Business School
Downloads 64
12.

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
Daniele Bianchi, Matthias Büchner and Roman Kozhan
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 131
13.

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
Vimal Balasubramaniam
Queen Mary University of London
Downloads 56
14.

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
Ilias Filippou, Arie Eskenazi Gozluklu and Hari Rozental
Washington University in St. Louis - John M. Olin Business School, University of Warwick and University of Warwick, Warwick Business School, Students
Downloads 363
15.

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
Rui A. Albuquerque, Yrjo Koskinen and Chendi Zhang
Boston College, Carroll School of Management, Haskayne School of Business, University of Calgary and University of Exeter Business School

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Downloads 113
16.

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
Mehrshad Motahari
University of Cambridge - Judge Business School
Downloads 70
17.

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
Cristian Badarinza, Vimal Balasubramaniam and Tarun Ramadorai
National University of Singapore (NUS), Queen Mary University of London and Imperial College London

Multiple version iconThere are 2 versions of this paper

Downloads 317
18.

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
Danmo Lin
University of Warwick - Finance Group
Downloads 12
19.

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
John E. Thanassoulis
University of Warwick - Warwick Business School

Multiple version iconThere are 2 versions of this paper

Downloads 84
20.

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
Daniele Bianchi and Alexander Dickerson
School of Economics and Finance, Queen Mary University of London and Warwick Business SchoolWarwick Business School
Downloads 860
21.

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
Söhnke M. Bartram, Jennifer S. Conrad, Jongsub Lee and Marti G. Subrahmanyam
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 64
22.

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
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
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
Downloads 1,640
23.

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
Zhao Li and Kebin Ma
University of International Business and Economics (UIBE) - School of Banking and Finance and University of Warwick - Finance Group
Downloads 64
24.

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
Xiaoyuan Hu, Danmo Lin and Onur Kemal Tosun
Cornerstone Research, University of Warwick - Finance Group and Cardiff Business School - Accounting and Finance Section
Downloads 112
25.

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
Söhnke M. Bartram, Jennifer S. Conrad, Jongsub Lee and Marti G. Subrahmanyam
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 212
26.

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
Onur Kemal Tosun
Cardiff Business School - Accounting and Finance Section
Downloads 41
27.

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
Onur Kemal Tosun
Cardiff Business School - Accounting and Finance Section
Downloads 49
28.

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
Söhnke M. Bartram, Gregory W. Brown and René M. Stulz
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 370
29.

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
Ingomar Krohn and Vladyslav Sushko
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 154
30.

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
Vikas Raman, Michel A. Robe and Pradeep K. Yadav
Lancaster University - Department of Accounting and Finance, University of Illinois at Urbana-Champaign and University of Oklahoma Price College of Business
Downloads 93
31.

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
Danmo Lin
University of Warwick - Finance Group
Downloads 55
32.

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
Douglas M. Gale, Andrea Gamba and Marcella Lucchetta
New York University (NYU) - Department of Economics, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 179
33.

Are Financially Constrained Firms Susceptible to a Stock Price Crash?

WBS Finance Group Research Paper No. 239
Number of pages: 61 Posted: 18 Aug 2017 Last Revised: 08 Apr 2020
Working Paper Series
Guanming He and Helen Ren
Durham University and University of Warwick, Warwick Business School
Downloads 356
34.

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
Ingomar Krohn, Alexander Mende, Michael Moore and Vikas Raman
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 128
35.

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
Onur Kemal Tosun
Cardiff Business School - Accounting and Finance Section
Downloads 68
36.

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
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 193
37.

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
Zhao Li and Kebin Ma
Universitat Pompeu Fabra - Department of Economics and Business and University of Warwick - Finance Group

Multiple version iconThere are 3 versions of this paper

Downloads 111
38.

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
Lei Mao, Mike Qinghao Mao and K. C. John Wei
The Chinese University of Hong Kong, Shenzhen, Deakin University - Faculty of Business and Law and Hong Kong University of Science & Technology (HKUST)
Downloads 103
39.

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
Marco Bianco and Andrea Gamba
University of Bologna - Department of Management and University of Warwick - Finance Group
Downloads 235
40.

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
David Tuckett and Richard Taffler
University College London - Centre for the Study of Decision-Making Uncertainty and University of Warwick - Finance Group
Downloads 452
41.

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
Andras Danis and Andrea Gamba
Georgia Institute of Technology - Scheller College of Business and University of Warwick - Finance Group

Multiple version iconThere are 2 versions of this paper

Downloads 250
42.

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
Kostas Koufopoulos, Roman Kozhan and Giulio Trigilia
University of Warwick - Finance Group, University of Warwick - Warwick Business School and University of Rochester - Simon Business School
Downloads 220
43.

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
Kostas Koufopoulos and Roman Kozhan
University of Warwick - Finance Group and University of Warwick - Warwick Business School

Multiple version iconThere are 2 versions of this paper

Downloads 136
44.

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
Roman Kozhan, Anthony Neuberger and Paul Schneider
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 108
45.

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
Daniele Bianchi, Monica Billio, Roberto Casarin and Massimo Guidolin
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 806
46.

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
Onur Kemal Tosun and Lemma W. Senbet
Cardiff Business School - Accounting and Finance Section and University of Maryland - Robert H. Smith School of Business
Downloads 191
47.

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
Onur Kemal Tosun
Cardiff Business School - Accounting and Finance Section
48.

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
Alexis Anagnostopoulos, Eva Carceles-Poveda and Danmo Lin
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
49.

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
Deniz Anginer, Asli Demirgüç-Kunt, Harry Huizinga and Kebin Ma
Simon Fraser University (SFU), 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 478
50.

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
Xavier Freixas and Kebin Ma
Universitat Pompeu Fabra and University of Warwick - Finance Group

Multiple version iconThere are 3 versions of this paper

Downloads 300