Chris Brooks

University of Bristol - School of Economics, Finance and Management

School of Accounting and Finance

15-19 Tyndalls Park Road

Bristol, BS8 1PQ

United Kingdom

SCHOLARLY PAPERS

110

DOWNLOADS
Rank 535

SSRN RANKINGS

Top 535

in Total Papers Downloads

54,654

SSRN CITATIONS
Rank 2,344

SSRN RANKINGS

Top 2,344

in Total Papers Citations

231

CROSSREF CITATIONS

325

Scholarly Papers (110)

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 Bristol - School of Economics, Finance and Management
Downloads 7,572 (1,219)
Citation 46

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

2.
Downloads 2,918 ( 6,183)
Citation 16

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 Bristol - School of Economics, Finance and Management
Downloads 2,894 (6,165)

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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 Bristol - School of Economics, Finance and Management
Downloads 24 (692,721)
Citation 3

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3.

Python Guide to Accompany Introductory Econometrics for Finance

Number of pages: 175 Posted: 05 Nov 2019 Last Revised: 09 Nov 2021
Ran Tao, Ran Tao and Chris Brooks
Queen's University BelfastQueen's University Belfast and University of Bristol - School of Economics, Finance and Management
Downloads 2,325 (8,856)

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Python, financial econometrics, education, programming in finance

4.

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 Bristol - School of Economics, Finance and Management, CdR Capital Ltd and University of Bristol - Department of Economics
Downloads 2,305 (8,950)
Citation 3

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

5.

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 Bristol - School of Economics, Finance and Management
Downloads 1,840 (12,953)
Citation 3

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

6.

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 Bristol - School of Economics, Finance and Management, University of Reading - Henley Business School and University of Reading - ICMA Centre
Downloads 1,772 (13,773)
Citation 4

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Quantitative Easing, Monetary Policy, Stock Market, Vector Autoregression

7.

R Guide to Accompany Introductory Econometrics for Finance

Brooks, Chris. Introductory Econometrics for Finance. Cambridge University Press, 2019
Number of pages: 114 Posted: 19 Oct 2019 Last Revised: 27 Oct 2019
Robert Wichmann and Chris Brooks
ICMA Centre, University of Reading and University of Bristol - School of Economics, Finance and Management
Downloads 1,717 (14,473)

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Econometrics

8.

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 Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School and City University London - Bayes Business School
Downloads 1,663 (15,207)
Citation 3

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

9.

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 Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 1,613 (15,906)
Citation 1

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

10.

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 Bristol - School of Economics, Finance and Management
Downloads 1,495 (17,841)
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 Bristol - School of Economics, Finance and Management and University of Bath - School of Management
Downloads 1,006 (31,497)
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 Bristol - School of Economics, Finance and Management and University of Bath - School of Management
Downloads 355 (118,642)
Citation 15

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12.

Low-Cost Momentum Strategies

Number of pages: 18 Posted: 10 Aug 2007 Last Revised: 19 May 2009
Xiafei Li, Chris Brooks and Joëlle Miffre
Keele Business School, Keele University, University of Bristol - School of Economics, Finance and Management and Audencia Business School
Downloads 1,313 (21,680)

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Momentum profits, Transaction costs, Low-cost strategy

13.

EViews Guide to Accompany Introductory Econometrics for Finance

Brooks, Chris. Introductory Econometrics for Finance. Cambridge University Press, 2019
Number of pages: 123 Posted: 19 Oct 2019 Last Revised: 27 Oct 2019
Chris Brooks and Robert Wichmann
University of Bristol - School of Economics, Finance and Management and ICMA Centre, University of Reading
Downloads 1,228 (23,986)

Abstract:

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Econometrics

14.

Stata Guide to Accompany Introductory Econometrics for Finance

Brooks, Chris. Introductory Econometrics for Finance. Cambridge University Press, 2019
Number of pages: 181 Posted: 19 Oct 2019 Last Revised: 27 Oct 2019
Lisa Schopohl, Robert Wichmann and Chris Brooks
ICMA Centre, Henley Business School, University of Reading, ICMA Centre, University of Reading and University of Bristol - School of Economics, Finance and Management
Downloads 1,217 (24,327)

Abstract:

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Econometrics

15.

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 Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School, Independent and University of Bristol - Department of Economics
Downloads 1,151 (26,349)

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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

16.
Downloads 1,082 ( 28,806)

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 Bristol - School of Economics, Finance and Management, Babson College - Finance Division and The Korea Development Bank
Downloads 1,082 (28,370)
Citation 3

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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 Bristol - School of Economics, Finance and Management, Babson College - Finance Division and The Korea Development Bank

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Single stock futures, hedging, Universal Stock Futures, OneChicago

17.

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 Bristol - School of Economics, Finance and Management and University of Bath - School of Management
Downloads 904 (37,229)
Citation 32

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

18.

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
University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 903 (37,229)
Citation 6

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

19.

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 Bristol - School of Economics, Finance and Management and University of Bath - School of Management
Downloads 818 (42,668)
Citation 10

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

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 Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 801 (43,883)
Citation 18

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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.

Optimal Hedging with Higher Moments

Journal of Futures Markets, 2012, 32 (10), 909-944
Number of pages: 40 Posted: 20 Mar 2008 Last Revised: 22 Jun 2020
Chris Brooks, Aleš Černý and Joëlle Miffre
University of Bristol - School of Economics, Finance and Management, Bayes Business School, City, University of London and Audencia Business School
Downloads 705 (52,017)
Citation 5

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

22.

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 Bristol - School of Economics, Finance and Management and University of Reading
Downloads 672 (55,351)

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

23.

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 Bristol - School of Economics, Finance and Management, King's Business School, King's College London and Durham University Business School, Finance and Economics
Downloads 665 (56,089)
Citation 8

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Institutional Investors; Cross-ownership; Mergers and Acquisitions

24.

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
University of Bristol - School of Economics, Finance and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 608 (62,919)
Citation 2

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commodity futures, theory of storage, risk premia

25.

Green Accounting and Finance: Advancing Research on Environmental Disclosure, Value Impacts and Management Control Systems

British Accounting Review, Forthcoming
Number of pages: 11 Posted: 09 Dec 2020
Chris Brooks and Lisa Schopohl
University of Bristol - School of Economics, Finance and Management and ICMA Centre, Henley Business School, University of Reading
Downloads 595 (64,779)

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green accounting and finance; management control systems; environmental disclosure; value impact

26.

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 Bristol - School of Economics, Finance and Management, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 550 (71,434)
Citation 1

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

27.

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
Essex Business School, University of Essex, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 519 (76,745)
Citation 8

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

28.

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 Bristol - School of Economics, Finance and Management
Downloads 514 (77,691)
Citation 3

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

29.

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 Bristol - School of Economics, Finance and Management and ICMA Centre, Henley Business School, University of Reading
Downloads 507 (78,980)
Citation 1

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

30.

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 Bristol - School of Economics, Finance and Management and CdR Capital Ltd
Downloads 466 (87,464)
Citation 7

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

31.

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 Bristol - School of Economics, Finance and Management, University of Reading - ICMA Centre and University of Reading
Downloads 460 (88,813)
Citation 1

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

32.

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 Bristol - School of Economics, Finance and Management and University of Reading
Downloads 449 (91,317)

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

33.
Downloads 446 ( 92,053)
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
Keele Business School, Keele University, University of Bristol - School of Economics, Finance and Management and Audencia Business School
Downloads 444 (91,750)
Citation 1

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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
Keele Business School, Keele University, University of Bristol - School of Economics, Finance and Management and affiliation not provided to SSRN
Downloads 2 (917,298)

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34.

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 Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 437 (94,201)
Citation 2

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

35.

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 Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 429 (96,307)
Citation 2

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

36.

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 Bristol - School of Economics, Finance and Management and CdR Capital Ltd
Downloads 384 (109,450)

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

37.
Downloads 372 (113,324)
Citation 14

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
Keele Business School, Keele University, Audencia Business School and University of Bristol - School of Economics, Finance and Management
Downloads 245 (174,559)

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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
Keele Business School, Keele University, Audencia Business School, University of Bristol - School of Economics, Finance and Management and University College Cork
Downloads 127 (309,043)
Citation 3

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

38.

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 Bristol - School of Economics, Finance and Management
Downloads 361 (117,252)

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Arbitrage Opportunities, Negative Spreads, Market Microstructure, Market Efficiency

39.

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 Bristol - School of Economics, Finance and Management and University of Bath - School of Management
Downloads 346 (122,857)
Citation 9

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

40.

The Importance of Staying Positive: The Impact of Emotions on Attitude to Risk

Number of pages: 41 Posted: 12 May 2020 Last Revised: 07 Jan 2022
University of Bristol - School of Economics, Finance and Management, ICMA Centre, Henley Business School, University of Reading, Henley Business School, University of Reading - Henley Business School and University of Reading - Henley Business School
Downloads 345 (123,222)
Citation 1

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retail investors, risk tolerance, risk aversion, attitude to risk, emotions

41.

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 Bristol - School of Economics, Finance and Management
Downloads 332 (128,504)

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

42.

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 Bristol - School of Economics, Finance and Management, University of Reading - Henley Business School and University of Reading - Henley Business School
Downloads 331 (128,914)
Citation 4

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

43.

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 Bristol - School of Economics, Finance and Management and University of Reading
Downloads 329 (129,753)
Citation 8

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

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 Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 319 (133,184)

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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 Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 0

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45.

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 Bristol - School of Economics, Finance and Management, Auckland University of Technology, Audencia Business School and University of Reading - ICMA Centre
Downloads 300 (143,342)
Citation 2

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

46.

Why Does Research in Finance Have So Little Impact?

Number of pages: 53 Posted: 21 Mar 2017 Last Revised: 13 May 2018
University of Bristol - School of Economics, Finance and Management, University of Reading - Department of Management, ICMA Centre, Henley Business School, University of Reading and Henley Business School, University of Reading
Downloads 283 (151,755)
Citation 2

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

47.

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 Bristol - School of Economics, Finance and Management and University of Bath - School of Management
Downloads 279 (153,853)
Citation 4

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Corporate social responsibility, Corporate social performance, Socially responsible investing

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

Number of pages: 33 Posted: 18 Jun 2002
Chris Brooks and Olan T. Henry
University of Bristol - School of Economics, Finance and Management and University of Melbourne - Department of Economics
Downloads 250 (171,140)

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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

Number of pages: 21 Posted: 10 Feb 2003
Chris Brooks and Olan T. Henry
University of Bristol - School of Economics, Finance and Management and University of Melbourne - Department of Economics
Downloads 29 (654,685)

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49.

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 Bristol - School of Economics, Finance and Management and University of Reading
Downloads 277 (155,014)
Citation 3

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

50.

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 Bristol - School of Economics, Finance and Management and University of Reading
Downloads 264 (162,788)
Citation 2

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

51.

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
University of Bristol - School of Economics, Finance and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 254 (169,121)

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

52.

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 Bristol - School of Economics, Finance and Management and University of Bath - School of Management
Downloads 254 (169,121)
Citation 15

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

53.

Tomorrow's Fish and Chip Paper? Slowly Incorporated News and the Cross-Section of Stock Returns

European Journal of Finance, Forthcoming
Number of pages: 46 Posted: 30 Aug 2019 Last Revised: 02 Nov 2020
Ran Tao, Ran Tao, Chris Brooks and Adrian R. Bell
Queen's University BelfastQueen's University Belfast, University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 252 (170,450)

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news sentiment, information dissemination, stock return predictability, investor attention, anomalies

54.

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 Bristol - School of Economics, Finance and Management
Downloads 249 (172,362)
Citation 1

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

55.

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 Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 244 (175,809)
Citation 4

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

56.

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 Bristol - School of Economics, Finance and Management and University of Reading
Downloads 244 (175,809)
Citation 1

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

57.

The Impact of Personality Traits on Attitude to Financial Risk

Number of pages: 33 Posted: 09 Dec 2020 Last Revised: 16 Apr 2021
Chris Brooks and Louis Williams
University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 236 (181,526)

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retail investors, attitude to risk, risk tolerance, emotions, personality traits, financial decisions

58.

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 Bristol - School of Economics, Finance and Management and University of Reading - School of Psychology
Downloads 221 (193,220)

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

59.

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 Business School and University of Bristol - School of Economics, Finance and Management
Downloads 218 (195,792)
Citation 5

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Financialization, Commodity markets, Speculators, Volatility, Correlation

60.

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 Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 215 (198,235)

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

61.

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 Bristol - School of Economics, Finance and Management
Downloads 211 (201,763)
Citation 3

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National Student Survey, student satisfaction

62.

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 Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 210 (202,657)
Citation 1

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

63.

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 Business School, University of Bristol - School of Economics, Finance and Management and Keele Business School, Keele University
Downloads 206 (206,325)
Citation 2

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

64.

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 Bristol - School of Economics, Finance and Management, ICMA Centre, Henley Business School, University of Reading, University of Reading - Henley Business School and University of Reading - Henley Business School
Downloads 198 (213,857)
Citation 8

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

65.

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
Imperial College Business School, University of Rome III - Department of Business Studies and University of Bristol - School of Economics, Finance and Management
Downloads 190 (221,821)

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

66.

Testing for Periodically Collapsing Rational Speculative Bubbles in US REITs

Number of pages: 21 Posted: 01 Aug 2010
The York Management School, University of Bristol - School of Economics, Finance and Management and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)
Downloads 185 (227,003)
Citation 5

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

67.

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 Bristol - School of Economics, Finance and Management and King's College London
Downloads 185 (227,003)

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

68.

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 Bristol - School of Economics, Finance and Management, ICMA Centre, Henley Business School, University of Reading, University of Reading - Henley Business School and University of Reading - Henley Business School
Downloads 184 (228,088)
Citation 2

Abstract:

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Retail Investors, Risk Tolerance, Risk Aversion, Attitude to Risk, Gender, Financial Advisor

69.

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 Bristol - School of Economics, Finance and Management and ICMA Centre, Henley Business School, University of Reading
Downloads 179 (233,503)
Citation 1

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

70.

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 Bristol - School of Economics, Finance and Management
Downloads 176 (236,954)
Citation 2

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

71.

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
Imperial College Business School, University of Rome III - Department of Business Studies and University of Bristol - School of Economics, Finance and Management
Downloads 161 (255,480)
Citation 1

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Optimism, Decision-Making, Financial Markets

72.

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

Journal of Empirical Finance, Forthcoming
Number of pages: 45 Posted: 09 Jul 2019 Last Revised: 31 Mar 2020
Ran Tao, Ran Tao, Chris Brooks and Adrian R. Bell
Queen's University BelfastQueen's University Belfast, University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 159 (258,176)
Citation 1

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

73.

Does the Stock Market Penalise Fast-Growing Firms?

Number of pages: 30 Posted: 08 Nov 2012
Chris Brooks
University of Bristol - School of Economics, Finance and Management
Downloads 158 (259,480)

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total asset growth, total shareholder returns, Eurofins Scientific

74.

Developing an Attitude to Risk Questionnaire for Retail Investors

Number of pages: 27 Posted: 05 Jun 2020
Chris Brooks, Carola Hillenbrand and Kevin Money
University of Bristol - School of Economics, Finance and Management, University of Reading - Henley Business School and University of Reading - Henley Business School
Downloads 145 (278,039)
Citation 2

Abstract:

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retail investor, attitude to risk, financial advisor, risk tolerance, risk aversion

75.

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 Bristol - School of Economics, Finance and Management and University of Reading
Downloads 137 (290,586)
Citation 3

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English medieval property market, impact of crises, land prices

76.

Financial Data Science: The Birth of a New Financial Research Paradigm Complementing Econometrics?

The European Journal of Finance, Forthcoming
Number of pages: 21 Posted: 14 May 2020
University of Bristol - School of Economics, Finance and Management, Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 105 (351,719)
Citation 4

Abstract:

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Big Data, Econometrics, Financial Data Science, Statistical Relevance, Statistical Significance Levels

77.

When It Comes to the Crunch: Retail Investor Decision-Making During Periods of Market Volatility

Number of pages: 48 Posted: 19 May 2021 Last Revised: 18 Jan 2022
Chris Brooks and Louis Williams
University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 97 (370,323)

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retail investors, risk tolerance, personality characteristics, emotions, financial decisions

78.

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 Bristol - School of Economics, Finance and Management and University of Reading
Downloads 82 (410,259)

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bubble, property market, residential

79.

Over-rated, Over-priced and Over-paid: Why are English Football Players So Highly Valued?

Number of pages: 38 Posted: 06 May 2022
Adrian R. Bell, Chris Brooks and Rohan Brooks
University of Reading - ICMA Centre, University of Bristol - School of Economics, Finance and Management and University of Bristol, Faculty of Social Sciences and Law, Students
Downloads 78 (425,466)

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association football, player valuations, sports economics, English premier league, transfer market, financial fair play

80.

The Impacts of Emotions and Personality on Borrowers’ Abilities to Manage Their Debts

Number of pages: 49 Posted: 23 Nov 2020 Last Revised: 27 Jan 2021
University of Reading - School of Psychology and Clinical Language Sciences, University of Bristol - School of Economics, Finance and Management and University of Reading - Henley Business School
Downloads 70 (448,046)

Abstract:

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retail investors, attitude to debt, risk tolerance, emotions, personality, financial decisions

81.

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 Bristol - School of Economics, Finance and Management, University of Reading and University of Kent - Kent Business School
Downloads 69 (451,466)

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

82.

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 Bristol - School of Economics, Finance and Management and University of Reading
Downloads 64 (469,056)

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English property market, investors, medieval economy

83.

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 Bristol - School of Economics, Finance and Management, University of Reading - Department of Management and Henley Business School, University of Reading
Downloads 64 (469,056)

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

84.

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

Number of pages: 28 Posted: 03 Oct 2003
Chris Brooks and Apostolos Katsaris
University of Bristol - School of Economics, Finance and Management and CdR Capital Ltd
Downloads 49 (529,980)
Citation 1

Abstract:

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85.

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

Number of pages: 16 Posted: 29 Dec 2002
Chris Brooks, Andrew Clare and Gita Persand
University of Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School and University of Bristol - Department of Economics
Downloads 34 (606,653)

Abstract:

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86.

Modelling the Implied Volatility of Options on Long Gilt Futures

Number of pages: 27 Posted: 25 Apr 2002
Chris Brooks and M. Currim Oozeer
University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 21 (695,667)
Citation 2

Abstract:

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87.

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

Number of pages: 21 Posted: 23 Feb 2003
Chris Brooks and Simon Burke
University of Bristol - School of Economics, Finance and Management and University of Reading
Downloads 19 (711,485)

Abstract:

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88.

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 Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 4 (854,343)
Citation 1

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89.

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 Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 3 (866,260)

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90.

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 Bristol - School of Economics, Finance and Management, University of Mauritius, University of Technology, Mauritius (UTM), University of Mauritius, University of Mauritius and University of Mauritius
Downloads 2 (879,396)

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91.

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 Bristol - School of Economics, Finance and Management and University of Bath - School of Management
Downloads 1 (893,913)
Citation 3

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corporate reputation, corporate social performance, corporate social responsibility, social judgment theory, strategic consistency

92.

Transaction Costs, Trading Volume and Momentum Strategies

Posted: 21 May 2019
Xiafei Li, Chris Brooks and Joëlle Miffre
Keele Business School, Keele University, University of Bristol - School of Economics, Finance and Management and Audencia Business School

Abstract:

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

93.

Autoregressive Conditional Kurtosis

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

Abstract:

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

94.

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 Bristol - School of Economics, Finance and Management and Independent

Abstract:

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

95.

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 Bristol - School of Economics, Finance and Management and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)

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Property returns, macroeconomy, vector autoregressions

96.

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 Bristol - School of Economics, Finance and Management and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)

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97.

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 Bristol - School of Economics, Finance and Management 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

98.

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 Bristol - School of Economics, Finance and Management, CdR Capital Ltd, City University London - The Business School and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)

Abstract:

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99.

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 Bristol - School of Economics, Finance and Management 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

100.

Cross-Correlations and Cross-Bicorrelations in Sterling Exchange Rates

Posted: 05 Dec 2004
Chris Brooks and Melvin Hinich
University of Bristol - School of Economics, Finance and Management and University of Texas at Austin - Applied Research Laboratories

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

101.

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

Posted: 05 Dec 2004
Chris Brooks, Alistair Rew and Stuart Ritson
University of Bristol - School of Economics, Finance and Management, 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

102.

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 Bristol - School of Economics, Finance and Management, University of Reading - ICMA Centre and University of Reading

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103.

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

Posted: 05 Dec 2004
Chris Brooks and Gita Persand
University of Bristol - School of Economics, Finance and Management 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

104.

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 Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School and University of Bristol - Department of Economics

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Minimum Capital Risk Requirements, Generalized Pareto Distribution, GARCH models

105.

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

Posted: 04 Dec 2004
Chris Brooks and Gita Persand
University of Bristol - School of Economics, Finance and Management and University of Bristol - Department of Economics

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

106.

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 Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School and University of Bristol - Department of Economics

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

107.

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 Bristol - School of Economics, Finance and Management 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

108.

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

Posted: 01 Dec 2004
Chris Brooks and Apostolos Katsaris
University of Bristol - School of Economics, Finance and Management and CdR Capital Ltd

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

109.

Model Choice and Value-at-Risk Performance

Posted: 06 May 2003
Chris Brooks and Gita Persand
University of Bristol - School of Economics, Finance and Management and University of Bristol - Department of Economics

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Risk Measurement and Management: firm/enterprise risk

110.

The Effect of Asymmetries on Optimal Hedge Ratios

Posted: 03 Oct 2002
Chris Brooks, Olan T. Henry and Gita Persand
University of Bristol - School of Economics, Finance and Management, University of Melbourne - Department of Economics and University of Bristol - Department of Economics

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Other Papers (6)

Total Downloads: 223
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 Bristol - School of Economics, Finance and Management and CdR Capital Ltd
Downloads 113

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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 Bristol - School of Economics, Finance and Management and CdR Capital Ltd
Downloads 68

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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 Bristol - School of Economics, Finance and Management and University of Reading
Downloads 42

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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 Bristol - School of Economics, Finance and Management 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 Bristol - School of Economics, Finance and Management and University of Reading - School of Psychology

Abstract:

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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

Posted: 01 Dec 2004
Chris Brooks and Apostolos Katsaris
University of Bristol - School of Economics, Finance and Management and CdR Capital Ltd

Abstract:

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