Chris Brooks

University of Reading - ICMA Centre

Professor of Finance

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

  • University of Reading - ICMA Centre

    • Email
    • Tel: +44 118 931 82 39
    • Fax: +44 118 931 47 41
SCHOLARLY PAPERS

106

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77,330

TOTAL CITATIONS
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428

Scholarly Papers (106)

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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 7,990 (1,771)
Citation 52

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

2.

Python Guide to Accompany Introductory Econometrics for Finance

Number of pages: 175 Posted: 05 Nov 2019 Last Revised: 15 Mar 2023
Ran Tao and Chris Brooks
Accounting and Finance Department, University of Bristol and University of Reading - ICMA Centre
Downloads 5,798 (3,058)

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Python, financial econometrics, education, programming in finance

3.

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 Reading - ICMA Centre
Downloads 4,711 (4,434)

Abstract:

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Econometrics

4.

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 Reading - ICMA Centre
Downloads 4,421 (4,878)

Abstract:

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Econometrics

5.

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 3,072 (8,828)

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

6.

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 Reading - ICMA Centre and ICMA Centre, University of Reading
Downloads 2,469 (12,441)
Citation 1

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Econometrics

7.

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 2,465 (12,478)
Citation 3

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

8.

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
Mirco Balatti, Chris Brooks, Michael P. Clements and Konstantina Kappou
Henley Business School - ICMA Centre, University of Reading - ICMA Centre, University of Reading - Henley Business School and University of Reading - ICMA Centre
Downloads 2,291 (14,083)
Citation 4

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Quantitative Easing, Monetary Policy, Stock Market, Vector Autoregression

9.

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 Reading - ICMA Centre and ICMA Centre, Henley Business School, University of Reading
Downloads 2,051 (16,832)
Citation 8

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

10.

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 2,038 (16,994)
Citation 6

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

11.

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 of London - Bayes Business School and City University London - Bayes Business School
Downloads 1,782 (21,005)
Citation 3

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

12.

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

Downloads 1,717 (22,221)
Citation 21

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

Number of pages: 20 Posted: 09 Jun 2005
Stephen J. Brammer, Chris Brooks and Stephen Pavelin
University of Bath - School of Management, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 1,248 (35,167)
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
Stephen J. Brammer, Chris Brooks and Stephen Pavelin
University of Bath - School of Management, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 469 (129,688)
Citation 15

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13.

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 1,713 (22,301)

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

14.

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 1,651 (23,582)
Citation 2

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

15.

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 1,544 (26,154)
Citation 61

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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

16.

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 Reading - ICMA Centre and Audencia Business School
Downloads 1,423 (29,514)

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Momentum profits, Transaction costs, Low-cost strategy

17.

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
Chris Brooks, Andrew Clare, John W. Dalle Molle and Gita Persand
University of Reading - ICMA Centre, City, University of London - Bayes Business School, Independent and University of Bristol - Department of Economics
Downloads 1,232 (36,448)

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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

18.

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

Number of pages: 38 Posted: 14 Oct 2011
Ioannis Oikonomou, Chris Brooks and Stephen Pavelin
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 1,197 (38,003)
Citation 78

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

19.

Cross Hedging with Single Stock Futures

Downloads 1,188 (38,440)
Citation 4

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 1,188 (37,822)
Citation 4

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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

20.

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, Chris Brooks and Adrian R. Bell
Accounting and Finance Department, University of Bristol, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 1,187 (38,485)
Citation 1

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

21.

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 University of Reading - ICMA Centre
Downloads 1,045 (46,238)
Citation 6

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

22.

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

Number of pages: 22 Posted: 30 Dec 2004
Stephen J. Brammer, Chris Brooks and Stephen Pavelin
University of Bath - School of Management, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 973 (51,125)
Citation 10

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

23.

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
Konstantina Kappou, Chris Brooks and Charles W.R. Ward
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 823 (64,332)
Citation 1

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

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 College London and Durham University Business School, Finance and Economics
Downloads 801 (66,693)
Citation 8

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Institutional Investors; Cross-ownership; Mergers and Acquisitions

25.

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 Reading - ICMA Centre, Bayes Business School, City St George's, University of London and Audencia Business School
Downloads 768 (70,540)
Citation 5

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

26.

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 ICMA Centre, Henley Business School, University of Reading
Downloads 755 (72,201)
Citation 1

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

27.

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, University of Reading - ICMA Centre and Xi'an Jiaotong Liverpool University
Downloads 707 (78,554)
Citation 4

Abstract:

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commodity futures, theory of storage, risk premia

28.

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
Lazaros Symeonidis, Marcel Prokopczuk, Chris Brooks and Emese Lazar
Essex Business School, University of Essex, University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 658 (86,112)
Citation 9

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

29.

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 652 (87,116)
Citation 3

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

30.

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
Adrian R. Bell, Chris Brooks, David Matthews and Charles Sutcliffe
University of Reading - ICMA Centre, University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 634 (90,335)
Citation 1

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

31.

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 594 (98,065)

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

32.

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 565 (104,523)
Citation 3

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

33.

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
Ioannis Oikonomou, Chris Brooks and Stephen Pavelin
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 531 (112,968)
Citation 15

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

34.

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

Number of pages: 44 Posted: 17 May 2004
Chris Brooks, Konstantina Kappou and Charles W.R. Ward
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading
Downloads 529 (113,774)
Citation 1

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

35.

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
Keith P. Anderson, Chris Brooks and Apostolos Katsaris
The York Management School, University of Reading - ICMA Centre and CdR Capital Ltd
Downloads 523 (115,117)
Citation 7

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

36.

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
Chris Brooks, Ivan Sangiorgi, Anastasiya Saraeva, Carola Hillenbrand and Kevin Money
University of Reading - ICMA Centre, 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 519 (116,148)
Citation 3

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

37.

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 Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 499 (121,858)

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

38.

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 492 (123,909)
Citation 2

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

39.

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 Reading - ICMA Centre and Audencia Business School
Downloads 479 (128,001)
Citation 1

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

40.

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 Reading - ICMA Centre, University of Reading - Henley Business School and University of Reading - Henley Business School
Downloads 446 (139,528)
Citation 2

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

41.

Momentum Profits and Time-Varying Unsystematic Risk

Downloads 443 (140,631)
Citation 3

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 Reading - ICMA Centre
Downloads 290 (222,677)

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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
Xiafei Li, Joëlle Miffre, Chris Brooks and Niall O'Sullivan
Keele Business School, Keele University, Audencia Business School, University of Reading - ICMA Centre and University College Cork
Downloads 153 (410,320)
Citation 3

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

42.

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 438 (142,464)

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

43.

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
Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre and Ogonna Nneji
University of Reading - ICMA Centre, University College Dublin (UCD) - Department of Banking & Finance, Audencia Business School and University of Reading - ICMA Centre
Downloads 425 (147,504)
Citation 6

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

44.

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 411 (153,371)

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

45.

Why Does Research in Finance Have So Little Impact?

Number of pages: 53 Posted: 21 Mar 2017 Last Revised: 13 May 2018
Chris Brooks, Evelyn Fenton, Lisa Schopohl and James T. Walker
University of Reading - ICMA Centre, University of Reading - Department of Management, ICMA Centre, Henley Business School, University of Reading and Henley Business School, University of Reading
Downloads 407 (155,103)
Citation 5

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

46.

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 404 (156,344)
Citation 6

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

47.

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 398 (158,989)

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Arbitrage Opportunities, Negative Spreads, Market Microstructure, Market Efficiency

48.

The Stock Performance of America's 100 Best Corporate Citizens

Number of pages: 28 Posted: 03 Nov 2005
Stephen J. Brammer, Chris Brooks and Stephen Pavelin
University of Bath - School of Management, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 394 (160,806)
Citation 10

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

49.

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 373 (170,945)
Citation 4

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National Student Survey, student satisfaction

50.

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 367 (173,984)
Citation 1

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

51.

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 364 (175,613)
Citation 9

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

52.

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 354 (181,112)
Citation 3

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

53.

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
Ioannis Oikonomou, Chris Brooks and Stephen Pavelin
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Bath - School of Management
Downloads 348 (184,542)
Citation 5

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Corporate social responsibility, Corporate social performance, Socially responsible investing

54.

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 333 (193,450)
Citation 4

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

55.

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 327 (197,341)
Citation 1

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

56.

Why are Older Investors Less Willing to Take Financial Risks?

Number of pages: 45 Posted: 24 Apr 2017 Last Revised: 14 Oct 2017
Chris Brooks, Ivan Sangiorgi, Carola Hillenbrand and Kevin Money
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 324 (199,268)
Citation 8

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

57.

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, University of Reading - ICMA Centre and Xi'an Jiaotong Liverpool University
Downloads 301 (215,685)

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

58.

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 301 (215,685)
Citation 2

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

59.

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 Reading - ICMA Centre
Downloads 297 (218,715)

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

60.

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 294 (221,080)
Citation 1

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

61.

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 289 (225,153)

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

62.

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 Reading - ICMA Centre and University of Melbourne - Department of Economics
Downloads 284 (229,266)

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

63.

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

Number of pages: 53 Posted: 05 Dec 2017 Last Revised: 06 Feb 2018
Chris Brooks, Ivan Sangiorgi, Carola Hillenbrand and Kevin Money
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 266 (245,168)
Citation 2

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

64.

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 260 (250,966)
Citation 1

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

65.

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 256 (254,889)
Citation 1

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

66.

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 255 (255,968)

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

67.

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 Reading - ICMA Centre
Downloads 253 (258,003)
Citation 5

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Financialization, Commodity markets, Speculators, Volatility, Correlation

68.

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 Reading - ICMA Centre and Keele Business School, Keele University
Downloads 244 (267,431)
Citation 2

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

69.

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 234 (278,577)

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

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
The University of Manchester - Alliance Manchester Business School and University of Reading - ICMA Centre
Downloads 229 (284,528)
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 Reading - ICMA Centre
Downloads 220 (295,653)
Citation 1

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Optimism, Decision-Making, Financial Markets

72.

Testing for Periodically Collapsing Rational Speculative Bubbles in US REITs

Number of pages: 21 Posted: 01 Aug 2010
Keith P. Anderson, Chris Brooks and Sotiris Tsolacos
The York Management School, University of Reading - ICMA Centre and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)
Downloads 217 (299,557)
Citation 6

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

73.

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, Chris Brooks and Adrian R. Bell
Accounting and Finance Department, University of Bristol, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 210 (309,073)
Citation 2

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

74.

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
Chris Brooks, Andreas G. F. Hoepner, David G. McMillan, Andrew Vivian and Chardin Wese Simen
University of Reading - ICMA Centre, Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 197 (327,974)
Citation 4

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

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 Reading - ICMA Centre and University of Reading
Downloads 192 (335,948)
Citation 3

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English medieval property market, impact of crises, land prices

76.

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
Stella Rendall, Chris Brooks and Carola Hillenbrand
University of Reading - School of Psychology and Clinical Language Sciences, University of Reading - ICMA Centre and University of Reading - Henley Business School
Downloads 188 (342,483)

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

77.

Does the Stock Market Penalise Fast-Growing Firms?

Number of pages: 30 Posted: 08 Nov 2012
Chris Brooks
University of Reading - ICMA Centre
Downloads 184 (349,403)

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total asset growth, total shareholder returns, Eurofins Scientific

78.

Investing Responsibly: What Drives Preferences for Sustainability and Do Investors Receive Appropriate Investments?

Number of pages: 38 Posted: 04 Apr 2024 Last Revised: 09 Apr 2025
Chris Brooks and Louis Williams
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 179 (358,074)
Citation 1

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retail investors, financial decisions, sustainability preferences; responsible investing, ESG

79.

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 Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 178 (359,847)

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

80.

Are English Football Players Overvalued?

Number of pages: 27 Posted: 06 May 2022 Last Revised: 21 Feb 2023
Adrian R. Bell, Chris Brooks and Rohan Brooks
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Bristol, Faculty of Social Sciences and Law, Students
Downloads 155 (405,732)

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

81.

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 116 (510,763)

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bubble, property market, residential

82.

Do You Follow Your Head or Your Heart? The Simultaneous Impact of Framing Effects and Incidental Emotions on Investment Decisions

Number of pages: 27 Posted: 21 Oct 2022
Simona Cantarella, Carola Hillenbrand and Chris Brooks
Kingston University, affiliation not provided to SSRN and University of Reading - ICMA Centre
Downloads 114 (517,516)

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incidental emotions, fear, excitement, framing, decision making, investment choices

83.

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 103 (558,006)

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English property market, investors, medieval economy

84.

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 96 (585,371)

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

85.

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 91 (605,535)
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Research quality, ABS list, impact factors, research assessment exercise, research excellence framework, gender

86.

The Female Finance Penalty: Why Are Women Less Successful in Academic Finance Than Related Fields?

Number of pages: 34 Posted: 16 Apr 2024
Chris Brooks, Lisa Schopohl, Ran Tao, James T. Walker and Millie ZHU
University of Reading - ICMA Centre, ICMA Centre, Henley Business School, University of Reading, Accounting and Finance Department, University of Bristol, Henley Business School, University of Reading and affiliation not provided to SSRN
Downloads 66 (727,376)

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Research quality, Research evaluation, Gender

87.

Do Ratings Changes Affect the Characteristics of the Authors Publishing In Those Journals or the Nature of Their Research?

Number of pages: 50 Posted: 23 Jan 2025
Brian M. Lucey, Yang Su, Chris Brooks and Andrew Urquhart
Trinity Business School, Trinity College Dublin, Trinity College (Dublin) - Trinity Business School, University of Reading - ICMA Centre and affiliation not provided to SSRN
Downloads 18 (1,167,754)

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Academic Journal Guide, research evaluation, metrics, journal ratings, research quality perception

88.

Transaction Costs, Trading Volume and Momentum Strategies

https://doi.org/10.3905/JOT.2010.5.1.066
Posted: 21 May 2019
Xiafei Li, Chris Brooks and Joëlle Miffre
Keele Business School, Keele University, University of Reading - ICMA Centre and Audencia Business School

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

89.

Autoregressive Conditional Kurtosis

Journal of Financial Econometrics, Vol. 3, No. 3, pp. 399-421, 2005
Posted: 29 Feb 2008
Chris Brooks, Simon Burke, Saeed Heravi and Gita Persand
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

90.

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

91.

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

92.

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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93.

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

94.

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
Chris Brooks, Apostolos Katsaris, Tony McGough and Sotiris Tsolacos
University of Reading - ICMA Centre, CdR Capital Ltd, City University London - The Business School and University of Reading - Centre for Spatial and Real Estate Economics (CSpREE)

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95.

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)

Abstract:

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

96.

Cross-Correlations and Cross-Bicorrelations in Sterling Exchange Rates

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

97.

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 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

98.

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

Abstract:

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99.

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

Posted: 05 Dec 2004
Chris Brooks and Gita Persand
University of Reading - ICMA Centre and University of Bristol - Department of Economics

Abstract:

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

100.

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 of London - Bayes Business School and University of Bristol - Department of Economics

Abstract:

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Minimum Capital Risk Requirements, Generalized Pareto Distribution, GARCH models

101.

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

Posted: 04 Dec 2004
Chris Brooks and Gita Persand
University of Reading - ICMA Centre and University of Bristol - Department of Economics

Abstract:

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

102.

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 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

103.

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

104.

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 Reading - ICMA Centre and CdR Capital Ltd

Abstract:

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

105.

Model Choice and Value-at-Risk Performance

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

106.

The Effect of Asymmetries on Optimal Hedge Ratios

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: 311
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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 137

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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 89

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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 85

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

4.

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

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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

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