Chris Brooks

University of Reading - ICMA Centre

Professor of Finance

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

98

DOWNLOADS
Rank 473

SSRN RANKINGS

Top 473

in Total Papers Downloads

39,977

CITATIONS
Rank 2,477

SSRN RANKINGS

Top 2,477

in Total Papers Citations

315

Scholarly Papers (98)

1.

The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors

Cass Business School Research Paper
Number of pages: 42 Posted: 06 Nov 2001
Harry M. Kat and Chris Brooks
Independent and University of Reading - ICMA Centre
Downloads 7,194 (787)
Citation 10

Abstract:

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hedge fund, hedge fund index, Sharpe Ratio, Mean-Variance analysis, skewness, kurtosis

2.
Downloads 2,785 ( 4,098)
Citation 15

The Long-Term Price-Earnings Ratio

Number of pages: 31 Posted: 08 Jun 2005
Keith P. Anderson and Chris Brooks
The York Management School and University of Reading - ICMA Centre
Downloads 2,761 (4,076)

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price-earning ratios, value investing, arbitrage strategy, UK stock market, value premium

The Long-Term Price-Earnings Ratio

Journal of Business Finance & Accounting, Vol. 33, No. 7-8, pp. 1063-1086, September/October 2006
Number of pages: 24 Posted: 03 Oct 2006
Keith P. Anderson and Chris Brooks
The York Management School and University of Reading - ICMA Centre
Downloads 24 (511,804)
Citation 2
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3.

Timing is Everything: A Comparison and Evaluation of Market Timing Strategies

Number of pages: 14 Posted: 03 Nov 2005
Chris Brooks, Apostolos Katsaris and Gita Persand
University of Reading - ICMA Centre, CdR Capital Ltd and University of Bristol - Department of Economics
Downloads 2,146 (6,328)
Citation 3

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market timing rules, speculative bubbles, dynamic asset allocation, S&P500, stock index returns

4.

Decomposing the Price-Earnings Ratio

Number of pages: 20 Posted: 09 Jun 2005
Keith P. Anderson and Chris Brooks
The York Management School and University of Reading - ICMA Centre
Downloads 1,675 (9,617)
Citation 1

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Price-earnings ratio, value investing, the value premium, trading strategy, UK stock returns

5.

The Gross Truth About Hedge Fund Performance and Risk: The Impact of Incentive Fees

Number of pages: 20 Posted: 19 Nov 2007
Chris Brooks, Andrew Clare and Nick Motson
University of Reading - ICMA Centre, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 1,542 (11,014)
Citation 3

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hedge fund, returns, alpha, beta, fees, performance

6.

The Performance of Football Club Managers: Skill or Luck?

ICMA Centre Discussion Paper in Finance No. DP2011-24
Number of pages: 29 Posted: 21 Nov 2011 Last Revised: 15 Dec 2011
Adrian R. Bell, Chris Brooks and Tom Markham
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 1,516 (11,314)

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English premier league, football manager performance, fixed effects, bootstrap

7.

Extreme Returns from Extreme Value Stocks: Enhancing the Value Premium

Number of pages: 21 Posted: 09 Jun 2005
Keith P. Anderson and Chris Brooks
The York Management School and University of Reading - ICMA Centre
Downloads 1,398 (12,913)
Citation 2

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Value premium, price-earnings ratio, price-earnings ratio, UK stock returns

Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures

Number of pages: 20 Posted: 09 Jun 2005
University of Bath - School of Management, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 914 (24,108)
Citation 6

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Corporate social responsibility, ethical investing, stock returns, trading rule performance

Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures

Financial Management, Vol. 35, No. 3, Autumn 2006
Number of pages: 20 Posted: 19 Oct 2006
University of Bath - School of Management, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 348 (84,431)
Citation 2
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9.

Low-Cost Momentum Strategies

Number of pages: 18 Posted: 10 Aug 2007 Last Revised: 19 May 2009
Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business School, University of Reading - ICMA Centre and Audencia Nantes School of Management
Downloads 1,251 (15,329)

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Momentum profits, Transaction costs, Low-cost strategy

10.

A Comparison of Extreme Value Theory Approaches for Determining Value at Risk

Journal of Empirical Finance, Forthcoming, Cass Business School Research Paper
Number of pages: 20 Posted: 05 Dec 2004
University of Reading - ICMA Centre, City University London - Sir John Cass Business School, Independent and University of Bristol - Department of Economics
Downloads 1,119 (18,173)

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Bootstrap, Value at Risk (VaR), Generalised Pareto Distribution, Parametric, Semi-nonparametric and Small Sample Bias Corrected Tail Index Estimators, GARCH models

11.
Downloads 1,004 ( 21,365)

Cross Hedging with Single Stock Futures

Number of pages: 32 Posted: 04 Nov 2004
Chris Brooks, Ryan J. Davies and Sang Soo Kim
University of Reading - ICMA Centre, Babson College - Finance Division and The Korea Development Bank
Downloads 1,004 (20,993)
Citation 1

Abstract:

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Basis risk, single stock futures, hedging, universal stock futures

Cross Hedging With Single Stock Futures

Assurances et Gestion des Risques, Vol. 74, No. 4, pp. 473-504, 2007
Posted: 16 Oct 2006
Chris Brooks, Ryan J. Davies and Sang Soo Kim
University of Reading - ICMA Centre, Babson College - Finance Division and The Korea Development Bank

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Single stock futures, hedging, Universal Stock Futures, OneChicago

12.

The Dynamics of Commodity Prices

Quantitative Finance, Vol. 13, No. 4, 2013
Number of pages: 42 Posted: 23 May 2011 Last Revised: 29 Dec 2013
Chris Brooks and Marcel Prokopczuk
University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 845 (27,415)
Citation 4

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Commodity prices, stochastic volatility, jumps, Markov Chain Monte Carlo

The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings

Number of pages: 38 Posted: 14 Oct 2011
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 680 (36,425)
Citation 4

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Corporate Social Responsibility, CSR, CSP, Credit Ratings, Cost of Debt, Credit Spreads, Corporate Bonds

The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings

Financial Review, Vol. 49, Issue 1, pp. 49-75, 2014
Number of pages: 27 Posted: 18 Jan 2014
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 3 (655,636)
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corporate social responsibility, CSP, socially responsible investing, credit ratings, cost of debt, credit spreads, corporate bonds

14.

Optimal Hedging with Higher Moments

Cass Business School Research Paper
Number of pages: 40 Posted: 20 Mar 2008 Last Revised: 22 Apr 2010
Chris Brooks, Aleš Černý and Joëlle Miffre
University of Reading - ICMA Centre, Cass Business School, City, University of London and Audencia Nantes School of Management
Downloads 664 (38,064)
Citation 4

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utility-based hedging, OLS, non-normality risk, commodity futures, skewness, kurtosis

15.

Corporate Reputation and Stock Returns: Are Good Firms Good for Investors?

Number of pages: 22 Posted: 30 Dec 2004
University of Bath - School of Management, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 632 (40,701)
Citation 3

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Corporate reputation, Management Today Most Admired Firms, stock returns, trading rule performance

16.

The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-By-Tick Stock Price Performance

Number of pages: 33 Posted: 11 Jun 2007
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 602 (43,449)
Citation 1

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Index effect, S&P 500, market efficiency, price pressure

17.

Did Quantitative Easing Only Inflate Stock Prices? Macroeconomic Evidence from the US and UK

Number of pages: 48 Posted: 14 Sep 2016 Last Revised: 23 Feb 2018
Henley Business School - ICMA Centre, University of Reading - ICMA Centre, University of Reading - Henley Business School and University of Reading - ICMA Centre
Downloads 579 (45,715)

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Quantitative Easing, Monetary Policy, Stock Market, Vector Autoregression

18.

Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage

Quarterly Review of Economics and Finance, Vol. 53, No. 1, 2013
Number of pages: 35 Posted: 25 Oct 2011 Last Revised: 29 Dec 2013
Chris Brooks, Marcel Prokopczuk and Yingying Wu
University of Reading - ICMA Centre, Leibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 566 (47,086)
Citation 1

Abstract:

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commodity futures, theory of storage, risk premia

19.

Over the Moon or Sick as a Parrot: The Effects of Football Results on a Club's Share Price

Number of pages: 31 Posted: 01 Jul 2009
University of Reading - ICMA Centre, University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 461 (60,990)

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soccer results, football clubs, stock returns, efficient markets hypothesis

20.

The Effects of Environmental, Social and Governance Disclosures and Performance on Firm Value: A Review of the Literature in Accounting and Finance

British Accounting Review, Forthcoming
Number of pages: 41 Posted: 06 Nov 2017
Chris Brooks and Ioannis Oikonomou
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 457 (61,623)
Citation 2

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Corporate Social Responsibility (Csr), Environmental Social And Governance (Esg) Disclosures, Firm Value, Stock Market Performance, Literature Review, Socially Responsible Investing (Sri), Ethical Investing

21.

Is There a Magic Link between Research Activity, Professional Teaching Qualifications and Student Satisfaction?

Number of pages: 32 Posted: 09 Jan 2016 Last Revised: 06 Jun 2016
Adrian R. Bell and Chris Brooks
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 455 (61,964)

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National Student Survey, student satisfaction, professional teaching qualifications, teaching quality

22.

Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis

Economic Modelling, Vol. 29, No. 6, 2012
Number of pages: 36 Posted: 25 Oct 2011 Last Revised: 02 Jan 2013
University of East Anglia (UEA) - Norwich Business School, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 454 (62,123)
Citation 3

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Forward curves, scarcity, commodity price volatility, theory of storage, convenience yield

23.

Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector‘

Number of pages: 29 Posted: 03 Nov 2005 Last Revised: 26 Jan 2010
The York Management School, University of Reading - ICMA Centre and CdR Capital Ltd
Downloads 429 (66,519)
Citation 4

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Stock market bubbles, fundamental values, dividends, regime switching, speculative bubble tests

24.

Institutional Cross-Ownership and Corporate Strategy: The Case of Mergers and Acquisitions

Journal of Corporate Finance, Forthcoming
Number of pages: 62 Posted: 15 Mar 2016 Last Revised: 22 Jan 2019
Chris Brooks, Zhong Chen and Yeqin Zeng
University of Reading - ICMA Centre, King's Business School, King's College London and Durham University Business School, Finance and Economics
Downloads 421 (68,017)
Citation 3

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Institutional Investors; Cross-ownership; Mergers and Acquisitions

25.
Downloads 413 ( 69,650)
Citation 6

The Value Premium and Time-Varying Volatility

Journal of Business Finance and Accounting, 2009, 36, 9-10, 1252–1272
Number of pages: 26 Posted: 02 May 2007 Last Revised: 10 Nov 2015
Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business School, University of Reading - ICMA Centre and Audencia Nantes School of Management
Downloads 412 (69,209)

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Value premium, CAPM, GJR-GARCH(1,1)-M, Conditional unsystematic risk

The Value Premium and Time-Varying Volatility

Journal of Business Finance & Accounting, Vol. 36, Issue 9-10, pp. 1252-1272, November/December 2009
Number of pages: 21 Posted: 11 Nov 2009
Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business School, University of Reading - ICMA Centre and affiliation not provided to SSRN
Downloads 1 (681,267)
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26.

Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect

Number of pages: 44 Posted: 17 May 2004
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 402 (71,917)
Citation 1

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Index effect, S&P 500, market efficiency, price pressure, three-factor model

27.

Interest in Medieval Accounts: Examples from England, 1272-1340

Number of pages: 26 Posted: 21 Dec 2008
Adrian R. Bell, Chris Brooks and Tony K. Moore
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 381 (76,549)
Citation 2

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medieval finance, interest rates, government debt, Italian merchant banks

28.

Regime Switching Models of Speculative Bubbles with Volume: An Empirical Investigation of the S&P 500 Composite Index

Number of pages: 36 Posted: 22 Oct 2005
Chris Brooks and Apostolos Katsaris
University of Reading - ICMA Centre and CdR Capital Ltd
Downloads 355 (83,112)

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Stock market bubbles, fundamental values, dividends, regime switching, speculative bubble tests

29.

The Determinants of a Cross Market Arbitrage Opportunity: Theory and Evidence for the European Bond Market

Number of pages: 30 Posted: 07 Jun 2010 Last Revised: 26 Jan 2015
Marcelo Perlin, Alfonso Dufour and Chris Brooks
Escola de Administração - UFRGS, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre
Downloads 338 (87,900)

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Arbitrage Opportunities, Negative Spreads, Market Microstructure, Market Efficiency

30.
Downloads 332 ( 89,718)
Citation 12

Momentum Profits and Time-Varying Unsystematic Risk

Journal of Banking and Finance, Vol. 32, No. 4, 2008
Number of pages: 29 Posted: 01 Sep 2006 Last Revised: 10 Nov 2015
Xiafei Li, Joëlle Miffre and Chris Brooks
Nottingham University Business School, Audencia Nantes School of Management and University of Reading - ICMA Centre
Downloads 233 (129,950)

Abstract:

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Momentum profits, Common unsystematic risk, GJR-GARCH(1,1)-M

Momentum Profits and Time-Varying Unsystematic Risk

Journal of Banking and Finance, Vol. 32, No. 4, 2008
Number of pages: 29 Posted: 26 Jun 2013
Nottingham University Business School, Audencia Nantes School of Management, University of Reading - ICMA Centre and University College Cork
Downloads 99 (267,284)
Citation 1

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Momentum profits, Common unsystematic risk, GJR-GARCH(1,1)-M

31.

The Stock Performance of America's 100 Best Corporate Citizens

Number of pages: 28 Posted: 03 Nov 2005
University of Bath - School of Management, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 332 (89,718)
Citation 5

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corporate citizenship, Business Ethics 100 Best Corporate Citizens, corporate social responsibility, stock returns, trading rule performance

32.

An Empirical Model for Spillover Effects in Price Discovery with Application to the European Bond Market

Number of pages: 22 Posted: 15 Apr 2010 Last Revised: 16 Aug 2012
Marcelo Perlin, Alfonso Dufour and Chris Brooks
Escola de Administração - UFRGS, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre
Downloads 318 (94,045)

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market microstructure, spillover effect, commonalities, liquidity, price impact of a trade

33.

Topics and Trends in Finance Research: What Is Published, Who Publishes It and What Gets Cited?

Number of pages: 46 Posted: 28 Jul 2017 Last Revised: 28 Jan 2018
Chris Brooks and Lisa Schopohl
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 309 (97,081)
Citation 1

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research topics in finance; citation analysis; journal ratings lists; ABS list; critical finance

34.

Intrinsic and Rational Speculative Bubbles in the US Housing Market: 1960–2011

Journal of Real Estate Research, Forthcoming
Number of pages: 48 Posted: 10 Jan 2011 Last Revised: 13 Mar 2013
Ogonna Nneji, Chris Brooks and Charles W.R. Ward
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 306 (98,056)
Citation 5

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intrinsic bubbles, rational bubbles, rents, US residential real estate market

35.

Does Managerial Turnover Affect Football Club Share Prices?

Number of pages: 20 Posted: 14 May 2012
Adrian R. Bell, Chris Brooks and Tom Markham
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 304 (98,760)
Citation 1

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football, stock returns, volatility, management change, event study

36.

Commodity Risks and the Cross-Section of Equity Returns

British Accounting Review, Vol. 48, 134-150
Number of pages: 38 Posted: 02 Sep 2014 Last Revised: 20 May 2019
University of Reading - ICMA Centre, Auckland University of Technology, Audencia Nantes School of Management and University of Reading - ICMA Centre
Downloads 278 (108,786)
Citation 1

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Long-only commodity portfolio, term structure portfolio, commodity risk, cross-section of equity returns

The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market

EFMA 2002 London Meetings
Number of pages: 33 Posted: 18 Jun 2002
Chris Brooks and Olan T. Henry
University of Reading - ICMA Centre and University of Melbourne - Department of Economics
Downloads 242 (125,092)

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Stock Index, Multivariate Asymmetric GARCH, News Impact Surfaces, Conditional Beta Surfaces

The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market

Oxford Bulletin of Economics and Statistics, Vol. 64, pp. 487-507, 2002
Number of pages: 21 Posted: 10 Feb 2003
Chris Brooks and Olan T. Henry
University of Reading - ICMA Centre and University of Melbourne - Department of Economics
Downloads 28 (488,039)
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38.

What Stakeholders Expect from Corporations When it Comes to Paying Tax: Corporate Reputation and Optimal Tax Planning

Number of pages: 120 Posted: 17 Mar 2015
Chris Brooks, Carola Hillenbrand and Kevin Money
University of Reading - ICMA Centre, University of Reading - Henley Business School and University of Reading - Henley Business School
Downloads 266 (113,962)

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stakeholder expectations, corporation tax, tax avoidance, stock returns, tax news stories

Did Purchasing Power Parity Hold in Medieval Europe?

Number of pages: 28 Posted: 12 Dec 2013 Last Revised: 17 Jun 2016
Adrian R. Bell, Chris Brooks and Tony K. Moore
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 264 (114,298)

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Law of one price, purchasing power parity, medieval markets, historical finance

Did Purchasing Power Parity Hold in Medieval Europe?

The Manchester School, Vol. 85, Issue 6, pp. 682-709, 2017
Number of pages: 28 Posted: 04 Oct 2017
Adrian R. Bell, Chris Brooks and Tony K. Moore
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 0
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40.

The Interactive Financial Effects between Corporate Social Responsibility and Irresponsibility

ICMA Centre Discussion Papers in Finance No. DP2012-02
Number of pages: 42 Posted: 14 Jan 2012
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 252 (120,566)
Citation 2

Abstract:

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Corporate social responsibility, Corporate social performance, Socially responsible investing

41.

Speculative Bubble Spillovers Across Regional Housing Markets

Number of pages: 35 Posted: 27 Jan 2012 Last Revised: 13 Jul 2014
Ogonna Nneji, Chris Brooks and Charles W.R. Ward
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 250 (121,494)
Citation 2

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speculative bubbles, real estate, regime-switching, regional spillovers

42.

House Price Dynamics and Their Reaction to Macroeconomic Changes

Economic Modelling, Forthcoming
Number of pages: 20 Posted: 23 Oct 2012 Last Revised: 13 Mar 2013
Ogonna Nneji, Chris Brooks and Charles W.R. Ward
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 246 (123,548)
Citation 1

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house prices, monetary policy, Markov switching model, macroeconomic drivers

43.

Why Does Research in Finance Have So Little Impact?

Number of pages: 53 Posted: 21 Mar 2017 Last Revised: 13 May 2018
University of Reading - ICMA Centre, University of Reading - Department of Management, University of Reading - ICMA Centre and Henley Business School, University of Reading
Downloads 238 (127,740)

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critical finance, journal ratings lists, impact, elitism in publishing, incentive structures, ethical finance research

44.

Commercial Real Estate and Equity Market Bubbles: Are they Contagious to REITs?

Urban Studies, Forthcoming
Number of pages: 31 Posted: 06 Jun 2011 Last Revised: 13 Mar 2013
Ogonna Nneji, Chris Brooks and Charles W.R. Ward
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 236 (128,817)

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periodically collapsing speculative bubbles, spillovers, contagion, REITs, real estate

45.

Speculative Bubbles and the Cross-Sectional Variation in Stock Returns

Number of pages: 27 Posted: 16 Nov 2012 Last Revised: 03 Nov 2013
Keith P. Anderson and Chris Brooks
The York Management School and University of Reading - ICMA Centre
Downloads 232 (131,012)

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speculative bubbles, asset pricing, stock returns, CAPM, cross-sectional variation

46.

Are Investors Guided by the News Disclosed by Companies or by Journalists?

Number of pages: 31 Posted: 01 Jun 2013 Last Revised: 05 Jun 2013
Zilu Shang, Chris Brooks and Rachel McCloy
University of Reading - ICMA Centre, Henley Business School, University of Reading - ICMA Centre and University of Reading - School of Psychology
Downloads 209 (144,876)

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information sentiment, regulatory announcement, mass media stories, media coverage, disposal

47.

Booms and Busts in Commodity Markets: Bubbles or Fundamentals?

Journal of Futures Markets, Vol. 35, No. 10, 2015
Number of pages: 38 Posted: 02 Feb 2014 Last Revised: 22 Mar 2019
Chris Brooks, Marcel Prokopczuk and Yingying Wu
University of Reading - ICMA Centre, Leibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 205 (147,521)

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Commodity futures, Speculative bubble, Switching regression, Convenience yield, Macroeconomic factors

48.

Do Long-Short Speculators Destabilize Commodity Futures Markets?

International Review of Financial Analysis, Vol. 30, 2013
Number of pages: 30 Posted: 04 Apr 2013 Last Revised: 10 Nov 2015
Joëlle Miffre and Chris Brooks
Audencia Nantes School of Management and University of Reading - ICMA Centre
Downloads 200 (150,937)
Citation 3

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Financialization, Commodity markets, Speculators, Volatility, Correlation

49.

The ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe

Number of pages: 36 Posted: 07 Jan 2015
Adrian R. Bell, Chris Brooks and Tony K. Moore
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 194 (155,372)
Citation 1

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interest rates, exchange rates, Medieval England, usury, money market

50.

Idiosyncratic Volatility and the Pricing of Poorly-Diversified Portfolios

International Review of Financial Analysis, Vol. 30, 2013
Number of pages: 25 Posted: 03 Jun 2011 Last Revised: 10 Nov 2015
Joëlle Miffre, Chris Brooks and Xiafei Li
Audencia Nantes School of Management, University of Reading - ICMA Centre and Nottingham University Business School
Downloads 191 (157,550)
Citation 1

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idiosyncratic risk, cross-sectional variation in stock returns, CAPM, conditional volatility, risk premium

51.

On the Predictive Content of Leading Indicators: The Case of U.S. Real Estate Markets

Number of pages: 45 Posted: 15 Mar 2013 Last Revised: 06 Sep 2013
Sotiris Tsolacos, Chris Brooks and Ogonna Nneji
University of Reading - Centre for Spatial and Real Estate Economics (CSpREE), University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 183 (163,833)

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Leading indicator, US rents, turning point forecasting, direction prediction

52.

Fundamental Indexing in the UK

Number of pages: 44 Posted: 07 Mar 2016 Last Revised: 19 Feb 2017
Mirco Balatti, Chris Brooks and Konstantina Kappou
Henley Business School - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 179 (167,096)

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indexing, passive investing, fundamentally weighted index, market capitalisation weighted index, noise in price

53.

Advance Contracts for the Sale of Wool in Medieval England: An Undeveloped and Inefficient Market?

ISMA Centre Discussion Paper in Finance No. 05-01
Number of pages: 33 Posted: 09 Jun 2005
Adrian R. Bell, Chris Brooks and Paul R. Dryburgh
University of Reading - ICMA Centre, University of Reading - ICMA Centre and King's College London
Downloads 173 (172,229)

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Wool market, forward contracts, market efficiency, Medieval England, interest rates

54.

On the Performance of the Tick Test

Quarterly Review of Economics and Finance, Vol. 54, No. 1, 2014
Number of pages: 22 Posted: 22 Jul 2011 Last Revised: 27 Jan 2015
Marcelo Perlin, Chris Brooks and Alfonso Dufour
Escola de Administração - UFRGS, University of Reading - ICMA Centre and ICMA Centre, Henley Business School, University of Reading
Downloads 171 (173,990)

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tick test, market microstructure, sign of a trade, PIN

55.

Testing for Periodically Collapsing Rational Speculative Bubbles in US REITs

Number of pages: 21 Posted: 01 Aug 2010
The York Management School, University of Reading - ICMA Centre and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)
Downloads 170 (174,903)
Citation 3

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REITs, periodic partially collapsing speculative bubbles, direct bubble tests, probability of collapse, trading signals

56.

The First Real Estate Bubble? Land Prices and Rents in Medieval England C. 1300-1500

Number of pages: 31 Posted: 26 Mar 2018
Adrian R. Bell, Chris Brooks and Helen Killick
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 169 (175,817)

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English Property Market, Real Estate, Speculative Bubble, Medieval Economy, Barn Bubble

57.

What Makes Students Satisfied? A Discussion and Analysis of the UK's National Student Survey

Number of pages: 30 Posted: 25 Apr 2016 Last Revised: 06 Jun 2016
Adrian R. Bell and Chris Brooks
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 157 (187,181)
Citation 1

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National Student Survey, student satisfaction

58.

The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story

Number of pages: 47 Posted: 17 Sep 2015
Chris Godfrey and Chris Brooks
University of Manchester - Alliance Manchester Business School and University of Reading - ICMA Centre
Downloads 151 (193,415)
Citation 1

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behavioural finance, relative distress, credit risk premium puzzle, asset pricing, limits to arbitrage

59.

Does the Stock Market Penalise Fast-Growing Firms?

Number of pages: 30 Posted: 08 Nov 2012
Chris Brooks
University of Reading - ICMA Centre
Downloads 144 (201,009)

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total asset growth, total shareholder returns, Eurofins Scientific

60.

Optimism, Volatility and Decision-Making in Stock Markets

Number of pages: 31 Posted: 22 Jun 2017 Last Revised: 21 Apr 2018
Francesco Rocciolo, Andrea Gheno and Chris Brooks
University of Rome III - Department of Business Studies, University of Rome III - Department of Business Studies and University of Reading - ICMA Centre
Downloads 140 (205,633)
Citation 1

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Optimism, Decision-Making, Financial Markets

61.

Why are Older Investors Less Willing to Take Financial Risks?

Number of pages: 45 Posted: 24 Apr 2017 Last Revised: 14 Oct 2017
University of Reading - ICMA Centre, ICMA Centre, Henley Business School, University of Reading, University of Reading - Henley Business School and University of Reading - Henley Business School
Downloads 133 (214,378)
Citation 1

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retail investors, risk tolerance, attitude to risk, effect of ageing, cognitive decline

62.

Experience Wears the Trousers: Exploring Gender and Attitude to Financial Risk

Number of pages: 53 Posted: 05 Dec 2017 Last Revised: 06 Feb 2018
University of Reading - ICMA Centre, ICMA Centre, Henley Business School, University of Reading, University of Reading - Henley Business School and University of Reading - Henley Business School
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Retail Investors, Risk Tolerance, Risk Aversion, Attitude to Risk, Gender, Financial Advisor

63.

The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis

Financial Management Volume 41, Issue 2, pages 483–515, Summer 2012
Number of pages: 41 Posted: 09 Nov 2012
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 100 (263,719)
Citation 1

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Corporate Social Responsibility, CSR, CSP, Financial Risk, Utility Measures, Panel Data, S&P 500

64.

Explaining Abnormal Returns in Stock Markets: An Alpha-Neutral Version of the CAPM

Number of pages: 46 Posted: 17 May 2018
Francesco Rocciolo, Andrea Gheno and Chris Brooks
University of Rome III - Department of Business Studies, University of Rome III - Department of Business Studies and University of Reading - ICMA Centre
Downloads 98 (267,256)

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Asset Pricing Model, Behavioural Asset Pricing, Optimism and Pessimism, Abnormal Returns

65.

Finite Sample Weighting of Recursive Forecast Errors

Number of pages: 37 Posted: 24 Dec 2013 Last Revised: 11 Jul 2014
Chris Brooks, Simon Burke and Silvia Stanescu
University of Reading - ICMA Centre, University of Reading and University of Kent - Kent Business School
Downloads 60 (354,797)

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forecast evaluation; forecast comparison; recursive model estimation; mean squared error; forecast weighting scheme

66.

A Reappraisal of the Freehold Property Market in Late Medieval England

Number of pages: 45 Posted: 21 Jul 2017 Last Revised: 06 Mar 2018
Adrian R. Bell, Chris Brooks and Helen Killick
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 57 (363,887)
Citation 2

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English medieval property market, impact of crises, land prices

67.

Gender and the Evaluation of Research

Number of pages: 38 Posted: 13 May 2012 Last Revised: 17 Jul 2012
Chris Brooks, Evelyn Fenton and James T. Walker
University of Reading - ICMA Centre, University of Reading - Department of Management and Henley Business School, University of Reading
Downloads 55 (370,164)
Citation 4

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Research quality, ABS list, impact factors, research assessment exercise, research excellence framework, gender

68.

Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market: 1960-2011

Journal of Real Estate Research, Vol. 35, No. 2, 2013
Number of pages: 32 Posted: 18 Jun 2013
Ogonna Nneji, Chris Brooks and Charles W.R. Ward
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 53 (376,502)

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bubble, property market, residential

69.

Medieval Property Investors, C. 1300-1500

Number of pages: 37 Posted: 09 Mar 2018
Adrian R. Bell, Chris Brooks and Helen Killick
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 50 (386,328)

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English property market, investors, medieval economy

70.

Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange

Bulletin of Economic Research, Vol. 55, pp. 319-346, October 2003
Number of pages: 28 Posted: 03 Oct 2003
Chris Brooks and Apostolos Katsaris
University of Reading - ICMA Centre and CdR Capital Ltd
Downloads 42 (414,644)
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71.

When Is a Max Not the Max? How News Resolves Information Uncertainty

Number of pages: 39 Posted: 09 Jul 2019 Last Revised: 17 Jul 2019
Ran Tao, Chris Brooks and Adrian R. Bell
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 40 (422,276)

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MAX; lottery-like stocks, news coverage, information uncertainty, stock return predictability, investor sentiment

72.

A Note on Estimating Market-Based Minimum Capital Risk Requirements: A Multivariate GARCH Approach

Manchester School, Vol. 70, pp. 666-681, 2002
Number of pages: 16 Posted: 29 Dec 2002
Chris Brooks, Andrew Clare and Gita Persand
University of Reading - ICMA Centre, City University London - Sir John Cass Business School and University of Bristol - Department of Economics
Downloads 30 (465,037)
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73.

Modelling the Implied Volatility of Options on Long Gilt Futures

Journal of Business Finance & Accounting, Vol. 29, pp. 111-137, 2002
Number of pages: 27 Posted: 25 Apr 2002
Chris Brooks and M. Currim Oozeer
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 18 (530,948)
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74.

A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index

Economic Journal, Vol. 115, No. 505, pp. 767-797, July 2005
Number of pages: 31 Posted: 22 Jul 2005
Chris Brooks and Apostolos Katsaris
University of Reading - ICMA Centre and CdR Capital Ltd
Downloads 17 (536,806)
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75.

Selecting from Amongst Non-Nested Conditional Variance Models: Information Criteria and Portfolio Determination

The Manchester School, Vol. 70, pp. 747-767, 2002
Number of pages: 21 Posted: 23 Feb 2003
Chris Brooks and Simon Burke
University of Reading - ICMA Centre and University of Reading
Downloads 17 (536,806)
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76.

Cambium Non Est Mutuum: Exchange and Interest Rates in Medieval Europe

The Economic History Review, Vol. 70, Issue 2, pp. 373-396, 2017
Number of pages: 24 Posted: 20 Apr 2017
Adrian R. Bell, Chris Brooks and Tony K. Moore
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 1 (649,034)
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77.

Transaction Costs, Trading Volume and Momentum Strategies

Posted: 21 May 2019
Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business School, University of Reading - ICMA Centre and Audencia Nantes School of Management

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Momentum profits, Transaction costs, bid-ask spreads, trading volume

78.

The Impact of Foreign Real Estate Investment on Land Prices: Evidence from Mauritius

Review of Development Economics, Vol. 21, Issue 4, pp. e131-e146, 2017
Number of pages: 16 Posted: 13 Nov 2017
University of Reading - ICMA Centre, University of Mauritius, University of Technology, Mauritius (UTM), University of Mauritius, University of Mauritius and University of Mauritius
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79.

The Financial Effects of Uniform and Mixed Corporate Social Performance

Journal of Management Studies, Vol. 51, Issue 6, pp. 898-925, 2014
Number of pages: 28 Posted: 07 Aug 2014
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Bath - School of Management
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corporate reputation, corporate social performance, corporate social responsibility, social judgment theory, strategic consistency

80.

The Credit Relationship between Henry III and Merchants of Douai and Ypres, 1247–70

The Economic History Review, Vol. 67, Issue 1, pp. 123-145, 2014
Number of pages: 23 Posted: 16 Jan 2014
Adrian R. Bell, Chris Brooks and Tony K. Moore
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 0 (666,984)
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81.

Autoregressive Conditional Kurtosis

Journal of Financial Econometrics, Vol. 3, No. 3, pp. 399-421, 2005
Posted: 29 Feb 2008
University of Reading - ICMA Centre, University of Reading, Cardiff University and University of Bristol - Department of Economics

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conditional kurtosis, fat tails, fourth moment, GARCH, Student`s t-distribution

82.

Threshold Autoregressive and Markov Switching Models: An Application to Commercial Real Estate

Journal of Property Research, Vol. 16, No. 1, pp. 1-19, 1999
Posted: 06 Dec 2004
Chris Brooks and James Maitland Smith
University of Reading - ICMA Centre and Independent

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Regime switching models, value indices of commercial real estate, non-stationary time series, normality, real estate

83.

The Impact of Economic and Financial Factors on UK Property Performance

Journal of Property Research, Vol. 16, No. 2, pp. 139-152, 1999
Posted: 05 Dec 2004
Chris Brooks and Sotiris Tsolacos
University of Reading - ICMA Centre and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)

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Property returns, macroeconomy, vector autoregressions

84.

Forecasting Models of Retail Rents

Environment and Planning A, Vol. 32, No. 10, pp. 1825-1839, 2000
Posted: 05 Dec 2004
Chris Brooks and Sotiris Tsolacos
University of Reading - ICMA Centre and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)

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85.

Forecasting Real Estate Returns Using Financial Spreads

Journal of Property Research, Vol. 18, No. 3, pp. 235-248, 2001
Posted: 05 Dec 2004
Chris Brooks and Sotiris Tsolacos
University of Reading - ICMA Centre and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)

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Real estate returns, spreads, forecasting, time series models, vector autoregressions

86.

Testing for Bubbles in Real Estate Price Cycles

Journal of Property Research, Vol. 18, No. 4, pp. 341-346, 2001, Cass Business School Research Paper
Posted: 05 Dec 2004
University of Reading - ICMA Centre, CdR Capital Ltd, City University London - Sir John Cass Business School and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)

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87.

International Evidence on the Predictability of Returns to Securitised Real Estate Assets: Econometric Models Versus Neural Networks

Journal of Property Research, Vol. 20, No. 2, pp. 133-156, 2003
Posted: 05 Dec 2004
Chris Brooks and Sotiris Tsolacos
University of Reading - ICMA Centre and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)

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Real estate returns, vector autoregressive models, neural networks, forecasting

88.

Cross-Correlations and Cross-Bicorrelations in Sterling Exchange Rates

Journal of Empirical Finance, Vol. 6, No. 4, pp. 385-404, 1999
Posted: 05 Dec 2004
Chris Brooks and Melvin Hinich
University of Reading - ICMA Centre and University of Texas at Austin - Applied Research Laboratories

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Cross-correlations, cross-bicorrelations, exchange rates, nonlinearity

89.

A Trading Strategy Based on the Lead-Lag Relationship between the Spot Index and Futures Contract for the Ftse 100

International Journal of Forecasting, Vol. 17, pp. 31-44, 2001
Posted: 05 Dec 2004
Chris Brooks, Alistair Rew and Stuart Ritson
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre

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Stock index futures, FTSE 100, Error correction model, Trading rules, Forecasting accuracy, Cost of carry model

90.

Can Profitable Trading Strategies Be Derived from Investment Best-Sellers?

Journal of Asset Management, Vol. 2, No. 2, pp. 162-179, 2001
Posted: 05 Dec 2004
Chris Brooks, William Chow and Charles W.R. Ward
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading

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91.

The Effect of Asymmetries on Stock Index Return Value at Risk Estimates

Journal of Risk Finance, Vol. 4, No. 2, pp. 29-42
Posted: 05 Dec 2004
Chris Brooks and Gita Persand
University of Reading - ICMA Centre and University of Bristol - Department of Economics

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Stock index, Minimum Capital Risk Requirements, Internal Risk Management Models, Value at risk, asymmetries, multivariate GARCH, semi-variance

92.

An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements

Journal of Risk Finance, Vol. 3, No. 2, pp. 22-33, 2002, Cass Business School Research Paper
Posted: 04 Dec 2004
Chris Brooks, Andrew Clare and Gita Persand
University of Reading - ICMA Centre, City University London - Sir John Cass Business School and University of Bristol - Department of Economics

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Minimum Capital Risk Requirements, Generalized Pareto Distribution, GARCH models

93.

The Trading Profitability of Forecasts of the Gilt-Equity Yield Ratio

International Journal of Forecasting, Vol. 17, pp. 11-29, 2001
Posted: 04 Dec 2004
Chris Brooks and Gita Persand
University of Reading - ICMA Centre and University of Bristol - Department of Economics

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GEYR, Markov switching, regime model, forecasting, equity & bond returns, trading rule

94.

A Word of Caution on Calculating Market-Based Minimum Capital Risk Requirements

Journal of Banking and Finance, Vol. 14, No. 10, pp. 1557-1574, 2000, Cass Business School Research Paper
Posted: 04 Dec 2004
Chris Brooks, Andrew Clare and Gita Persand
University of Reading - ICMA Centre, City University London - Sir John Cass Business School and University of Bristol - Department of Economics

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Minimum capital risk requirements, internal risk management models, volatility persistence

95.

Value at Risk and Market Crashes

Journal of Risk, Vol. 2, No. 4, pp. 5-26, 2000
Posted: 04 Dec 2004
Chris Brooks and Gita Persand
University of Reading - ICMA Centre and University of Bristol - Department of Economics

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Internal risk management models, stock market volatility, value at risk models, extreme market movements, correlation matrices, multivariate GARCH model

96.

Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index

Journal of Business, Forthcoming
Posted: 01 Dec 2004
Chris Brooks and Apostolos Katsaris
University of Reading - ICMA Centre and CdR Capital Ltd

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Stock market bubbles, regime switching, speculative bubble tests, fundamental values, trading rules

97.

Model Choice and Value-at-Risk Performance

Financial Analysts Journal, Vol. 58, No. 5, 2002
Posted: 06 May 2003
Chris Brooks and Gita Persand
University of Reading - ICMA Centre and University of Bristol - Department of Economics

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Risk Measurement and Management: firm/enterprise risk

98.

The Effect of Asymmetries on Optimal Hedge Ratios

The Journal of Business, Vol. 75, No. 2, April 2002
Posted: 03 Oct 2002
Chris Brooks, Olan T. Henry and Gita Persand
University of Reading - ICMA Centre, University of Melbourne - Department of Economics and University of Bristol - Department of Economics

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Other Papers (6)

Total Downloads: 181
1.

Regime Switching Models of Speculative Bubbles with Volume: An Empirical Investigation of the S&P 500 Composite Index

Number of pages: 38 Posted: 15 Sep 2005
Chris Brooks and Apostolos Katsaris
University of Reading - ICMA Centre and CdR Capital Ltd
Downloads 97

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Stock market bubbles, fundamental values, dividends, regime switching, speculative bubble tests

2.

Regime Switching Models of Speculative Bubbles with Volume: An Empirical Investigation of the S&P 500 Composite Index

Number of pages: 38 Posted: 27 Jan 2004
Chris Brooks and Apostolos Katsaris
University of Reading - ICMA Centre and CdR Capital Ltd
Downloads 65

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Stock market bubbles, fundamental values, dividends, regime switching, speculative bubble tests

3.

House Price Dynamics and Their Reaction to Macroeconomic Changes

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 19 Posted: 29 Aug 2012 Last Revised: 12 Mar 2013
Ogonna Nneji, Chris Brooks and Charles W.R. Ward
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 19

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house prices, monetary policy, Markov switching model, macroeconomic drivers

Does More Detailed Information Mean Better Performance? An Experiment in Information Explicitness

Posted: 19 Jun 2013
Zilu Shang, Chris Brooks and Rachel McCloy
University of Reading - ICMA Centre, Henley Business School, University of Reading - ICMA Centre and University of Reading - School of Psychology

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explicitness of information, performance effectiveness, performance efficiency, individual investors, experimental finance

Does More Detailed Information Mean Better Performance? An Experiment in Information Explicitness

Posted: 19 Jun 2013
Zilu Shang, Chris Brooks and Rachel McCloy
University of Reading - ICMA Centre, Henley Business School, University of Reading - ICMA Centre and University of Reading - School of Psychology

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explicitness of information, performance effectiveness, performance efficiency, individual investors, experimental finance

6.

A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index

Economic Journal, Forthcoming
Posted: 01 Dec 2004
Chris Brooks and Apostolos Katsaris
University of Reading - ICMA Centre and CdR Capital Ltd

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Speculative behaviour models, fundamental values, dividends, regime switching, speculative bubble tests, trading rules