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Warwick Business School Finance Group Research Paper Series

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Viewing: 1 - 50 of 270 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 7
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 53
3.

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

Number of pages: 71 Posted: 20 Dec 2018 Last Revised: 31 Mar 2019
Working Paper Series
University of Warwick - Finance Group, University of Warwick - Finance Group and University of Warwick - Warwick Business School
Downloads 79
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 33
5.

ETF Arbitrage and International Correlation

Number of pages: 69 Posted: 10 Dec 2018
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 195
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 69
7.

Geography, Local Sentiment, and Market Anomalies

Number of pages: 49 Posted: 20 Nov 2018
Working Paper Series
University of Warwick - Finance Group
Downloads 52
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 173
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 48
11.

Trading Volume in Cryptocurrency Markets

Number of pages: 57 Posted: 13 Sep 2018 Last Revised: 27 Mar 2019
Working Paper Series
University of Warwick - Finance Group and Warwick Business SchoolWarwick Business School
Downloads 505
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 57
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 London School of Economics & Political Science (LSE)
Downloads 654
14.

ETF Ownership and Corporate Investment

Number of pages: 67 Posted: 11 Jun 2018 Last Revised: 22 Mar 2019
Working Paper Series
University of Warwick - Warwick Business School, University of California, Los Angeles (UCLA) - Finance Area and Cardiff Business School - Accounting and Finance Section
Downloads 280
15.

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 348
16.

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 50
17.

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 63
18.

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 126
19.

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 133
20.

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 66
21.

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
22.

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 42
23.

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 339
24.

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 112
25.

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 1,730
26.

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
27.

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 44
28.

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 134
29.

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

WBS Finance Group Research Paper
Number of pages: 57 Posted: 18 Aug 2017 Last Revised: 16 Jan 2019
Working Paper Series
Durham University and University of Warwick, Warwick Business School
Downloads 296
30.

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 113
31.

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 55
32.

The Informativeness of Derivatives Use: Evidence from Corporate Disclosure through Public Announcements

WBS Finance Group Research Paper No. 2903489
Number of pages: 59 Posted: 24 Jan 2017 Last Revised: 26 Jul 2018
Working Paper Series
University of Oklahoma - Michael F. Price College of Business, Missouri State University - College of Business and Lancaster University - Department of Accounting and Finance
Downloads 92
33.

Dividend Sentiment, Catering Incentives, and Return Predictability

WBS Finance Group Research Paper 2875114, University of Miami Business School Research Paper No. 2875114
Number of pages: 63 Posted: 26 Nov 2016 Last Revised: 01 Mar 2019
Working Paper Series
University of Miami - School of Business Administration, University of Surrey - Finance and Accounting Group and University of Warwick - Finance Group
Downloads 187
34.

Growth Options and Credit Risk

WBS Finance Group Research Paper
Number of pages: 68 Posted: 11 Jul 2016 Last Revised: 13 Mar 2018
Working Paper Series
University of Warwick - Finance Group and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 130
35.

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 106
36.

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
37.

Trading Aggressiveness and Market Efficiency

WBS Finance Group Research Paper
Number of pages: 56 Posted: 10 Nov 2015 Last Revised: 16 Aug 2018
Working Paper Series
University of Warwick - Warwick Business School
Downloads 143
38.

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 212
39.

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 298
40.

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 236
41.

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
42.

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
43.

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
44.

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 763
45.

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 183
46.

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
47.

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
48.

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 365
49.

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 264
50.

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