Frank S. Skinner

Brunel University

Professor of Finance

Kingston Lane

Uxbridge, Middlesex UB8 3PH

United Kingdom

  • Brunel University

SCHOLARLY PAPERS

25

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5,398

SSRN CITATIONS
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Top 45,320

in Total Papers Citations

1

CROSSREF CITATIONS

14

Scholarly Papers (25)

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1.

On Modelling Credit Risk Using Arbitrage Free Models

Number of pages: 30 Posted: 27 Mar 2001
Frank S. Skinner and Antonio Diaz
Brunel University and University of Castilla-La Mancha
Downloads 710 (50,857)
Citation 2

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Credit risk, credit derivatives, binomial lattice, Arbitrage free pricing

2.

Governance Quality and Information Asymmetry

Journal of Financial Markets, Institutions and Instrument 24, 2015, pp 127-157
Number of pages: 34 Posted: 18 Jan 2010 Last Revised: 05 Dec 2016
Ahmed Elbadry, Dimitrios Gounopoulos and Frank S. Skinner
University of Surrey, University of Bath and Brunel University
Downloads 616 (61,108)

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Corporate Governance Mechanisms, Asymmetric Information, Agency Theory

3.

Hedge Fund Strategies: A non-Parametric Analysis

Number of pages: 48 Posted: 27 Dec 2019
Alessandra Canepa, Maria Gonzalez and Frank S. Skinner
University of Turin, University of Castilla-La Mancha and Brunel University
Downloads 568 (67,766)

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hedge funds, manipulation proof performance measure, hedge fund strategies, stochastic dominance, bootstrap

4.

Financial Contracting and Re-Rating Experience, the Cases of Make Whole, Claw Back and Other Wise Ordinary Callable Bonds

Number of pages: 35 Posted: 26 Feb 2009 Last Revised: 03 Jan 2014
Frank S. Skinner and Dimitrios Gounopoulos
Brunel University and University of Bath
Downloads 468 (85,968)
Citation 2

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Callable bonds, Claw back call provisions, whole make call provisions

5.

Contingent Capital Securities: Problems and Solutions

DERIVATIVE SECURITIES PRICING AND MODELLING, J. Batten and N. Wagner, eds., Emerald Press, 2011
Number of pages: 23 Posted: 28 Oct 2011
Frank S. Skinner and Michalis Ioannides
Brunel University and affiliation not provided to SSRN
Downloads 350 (119,876)

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Contingent capital securities, bail in bonds, too big to fail

6.

The Choice Among Non-Callable and Callable Bonds

Journal of Financial Research, 37, 2014, pp 435 - 460
Number of pages: 44 Posted: 10 Mar 2013 Last Revised: 09 Jan 2015
Laurence David Booth, Dimitrios Gounopoulos and Frank S. Skinner
University of Toronto - Rotman School of Management, University of Bath and Brunel University
Downloads 329 (128,229)
Citation 2

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callable bonds, non-callable bonds, call premiums

7.

Covered Interest Rate Parity in Emerging Markets

International Review of Financial Analysis, Forthcoming
Number of pages: 30 Posted: 22 Jun 2011 Last Revised: 02 Jul 2011
Frank S. Skinner and Andrew Mason
Brunel University and University of Surrey - Surrey Business School
Downloads 318 (132,723)

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Covered Interest Rate Parity, CDS, Credit Risk

8.

Governance Quality and Information Asymmetry

Downloads 299 (141,780)

Governance Quality and Information Asymmetry

Financial Markets, Institutions and Instruments, 24, 2015, pp 127-157
Number of pages: 38 Posted: 02 Jan 2014 Last Revised: 15 Apr 2015
Ahmed Elbadry, Dimitrios Gounopoulos and Frank S. Skinner
Cairo University, University of Bath and Brunel University
Downloads 299 (141,055)

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Corporate Governance Mechanisms, Asymmetric Information, Agency Theory

Governance Quality and Information Asymmetry

Financial Markets, Institutions & Instruments, Vol. 24, Issue 2-3, pp. 127-157, 2015
Number of pages: 31 Posted: 07 Apr 2015
Ahmed Elbadry, Dimitrios Gounopoulos and Frank S. Skinner
Cairo University, University of Bath and Brunel University
Downloads 0

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Corporate Governance Mechanisms, Asymmetric Information, Agency Theory

9.

Voluntary vs. Mandatory Management Earnings Prediction and Company Survival

American Accounting Association Annual Meeting Paper - Earnings Management Session
Number of pages: 49 Posted: 19 Apr 2015 Last Revised: 25 Oct 2021
Dimitrios Gounopoulos, Arthur G. Kraft and Frank S. Skinner
University of Bath, City University London - Cass Business School and Brunel University
Downloads 246 (172,469)
Citation 2

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Earnings management, Mandatory and Voluntary disclosure environments, Forecast accuracy, IPOs

10.

Degrees of Specialness: An Empirical Analysis of the Italian BTP Repo Market

Number of pages: 30 Posted: 23 Jan 2006
Frank S. Skinner and Alfonso Dufour
Brunel University and ICMA Centre, Henley Business School, University of Reading
Downloads 211 (199,513)

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Repo, Bonds, Credit risk, Liquidity

11.

Predicting Corporate Governance Ratings

Number of pages: 32 Posted: 02 Jan 2014 Last Revised: 09 Jan 2014
Ahmed Elbadry, Dimitrios Gounopoulos and Frank S. Skinner
Cairo University, University of Bath and Brunel University
Downloads 209 (201,241)

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Corporate Governance, ISS’s Ratings, Board Independence, CEO Compensation, Ownership Structure and Large Creditors

12.

Credit Spreads and the Treasury Zero Coupon Spot Curve

Journal of Financial Research, Vol. 29, No 3, pp. 421-439, Fall 2006
Number of pages: 34 Posted: 29 Apr 2005 Last Revised: 28 Oct 2011
Nicolas A. Papageorgiou and Frank S. Skinner
HEC Montreal - Department of Finance and Brunel University
Downloads 182 (227,650)

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credit spreads, coupon bias, correlation

13.

Realism, Skill & Incentives: Current and Future Trends in Investment Management and Investment Performance

Number of pages: 23 Posted: 20 May 2015 Last Revised: 22 May 2015
Andrew Mason, Sam Agyei-Ampomah and Frank S. Skinner
University of Surrey - Surrey Business School, Cranfield University - School of Management and Brunel University
Downloads 166 (246,189)

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Investment Management, Investment Performance, Mutual Funds, Factor Models, Skill, Characteristics, Incentives

14.

Explaining Repo Specialness

Number of pages: 56 Posted: 22 Mar 2017
Alfonso Dufour, Miriam Marra, Ivan Sangiorgi and Frank S. Skinner
ICMA Centre, Henley Business School, University of Reading, University of Reading - ICMA Centre, Henley Business School, ICMA Centre, Henley Business School, University of Reading and Brunel University
Downloads 164 (248,701)

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Repo Specialness, Short-Selling, Fire-Sales, Liquidity, Auctions, High Frequency Data

15.

Persistent Doubt: An Examination of Hedge Fund Performance

Downloads 113 (330,861)

Persistent Doubt: An Examination of Hedge Fund Performance

Number of pages: 44 Posted: 03 Apr 2014 Last Revised: 28 Sep 2015
Maria Gonzalez, Nicolas A. Papageorgiou and Frank S. Skinner
University of Castilla-La Mancha, HEC Montreal - Department of Finance and Brunel University
Downloads 112 (334,891)

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Hedge funds, performance, manipulation proof measure, doubt ratio

Persistent Doubt: An Examination of Hedge Fund Performance

European Financial Management, Vol. 22, Issue 4, pp. 613-639, 2016
Number of pages: 27 Posted: 02 Sep 2016
Maria Gonzalez, Nicolas A. Papageorgiou and Frank S. Skinner
University of Castilla-La Mancha, HEC Montreal - Department of Finance and Brunel University
Downloads 1 (915,556)

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hedge funds, performance measures, manipulation‐proof performance measure, doubt ratio

16.

Term Structure Information and Bond Strategies

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 44 Posted: 19 Aug 2012
Maria Gonzalez, Frank S. Skinner and Sam Agyei-Ampomah
University of Castilla-La Mancha, Brunel University and Cranfield University - School of Management
Downloads 97 (366,325)

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Term structure theory, Bond strategies, MPPM, Performance measurement, Simulation

17.

Evaluating the Performance of Hedge Fund Strategies: A Non-Parametric Analysis

Number of pages: 50 Posted: 14 Jul 2015 Last Revised: 10 Oct 2015
Alessandra Canepa, Maria Gonzalez and Frank S. Skinner
University of Turin, University of Castilla-La Mancha and Brunel University
Downloads 75 (427,014)

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18.

Analyst Coverage: Does the Listing Location Really Matter?

Number of pages: 41 Posted: 20 Feb 2015
Omaima A. G. Hassan and Frank S. Skinner
Aberdeen Business School and Brunel University
Downloads 63 (467,810)

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Analyst Coverage, Security Analyst, Institutional Investors, AIM

19.

Hedging Emerging Market Bonds and the Rise of the Credit Default Swap

International Review of Financial Analysis, Vol. 16, No. 5, 2007
Number of pages: 30 Posted: 08 Aug 2012
Frank S. Skinner and Julinda Nuri
Brunel University and Royal Holloway University of London
Downloads 57 (490,725)

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Emerging market bonds, Credit default swap, Brady bonds, Futures contracts, Hedging

20.

Alternate Hedge Ratios for Bonds Subject to Credit Risk

NYU Working Paper No. FIN-95-031
Number of pages: 36 Posted: 11 Nov 2008
Frank S. Skinner
Brunel University
Downloads 50 (519,885)

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21.

Portfolio Effects of Cryptocurrencies during the COVID-19 Crisis

A New World Post COVID-19 Lessons for Business, the Finance Industry and Policy Makers, edited by Monica Billio and Simone Varotto
Number of pages: 14 Posted: 13 Oct 2020
Maria Gonzalez, Francisco Jareño and Frank S. Skinner
University of Castilla-La Mancha, Universidad de Castilla-La Mancha and Brunel University
Downloads 41 (562,453)

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Portfolio Optimization, Bitcoin, Cryptocurrency, Altcoin, Gold

22.

Can US Stocks Provide a Safe Haven from Interest and Inflation Risk? A Sector Level Examination of the Response to Unanticipated Nominal, Real Interest and Inflation Rate Shocks

Number of pages: 47 Posted: 13 Mar 2015 Last Revised: 14 Mar 2016
Maria Gonzalez, Francisco Jareño and Frank S. Skinner
University of Castilla-La Mancha, Universidad de Castilla-La Mancha and Brunel University
Downloads 41 (562,453)
Citation 1

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Unexpected inflation, interest rates, Stock return, Business Cycle

23.

Frs17 and the Sterling Double a Corporate Yield Curve

Journal of Business Finance & Accounting, Vol. 32, No. 5-6, pp. 1141-1169, June 2005
Number of pages: 30 Posted: 15 Jun 2005
Frank S. Skinner and Michalis Ioannides
Brunel University and University of Reading
Downloads 25 (657,260)

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24.

The Original Maturity of Corporate Bonds: The Influence of Credit Rating, Asset Maturity, Security and Macroeconomic Conditions

Financial Review, Vol. 41, No. 2, May 2006
Posted: 24 Feb 2006
Geetanjali Bali and Frank S. Skinner
University of Reading - ICMA Centre and Brunel University

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Corporate debt maturity, credit risk, debt seniority, subordination, macroeconomic

25.

Alternate Hedge for Bonds Subject to Credit Risk

Posted: 25 Aug 1998
Frank S. Skinner
Brunel University

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