Mark B. Shackleton

Lancaster University - Department of Accounting and Finance

The Management School

Lancaster LA1 4YX

United Kingdom

SCHOLARLY PAPERS

33

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74

Scholarly Papers (33)

Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models

Number of pages: 40 Posted: 16 Mar 2002
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,372 (15,019)
Citation 15

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Realized volatility, Fractional integration, Forecasting, Implied volatilities, Exchange rates

Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models

Posted: 10 Dec 2003
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management

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Realized volatility, Fractional integration, Forecasting, Implied volatilities, Exchange rates

2.

Closed-Form Transformations from Risk-Neutral to Real-World Distributions

Number of pages: 48 Posted: 03 Jun 2004
Xiaoquan Liu, Mark B. Shackleton, Stephen J. Taylor and Xinzhong Xu
Essex Business School, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,349 (15,727)
Citation 23

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CAPM, Higher Co-Moment and Factor Models of UK Stock Returns

Number of pages: 31 Posted: 23 Jun 2003
Chi-Hsiou Daniel Hung, Mark B. Shackleton and Xinzhong Xu
University of Glasgow - Adam Smith Business School, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,020 (23,561)
Citation 5

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Fama French Factors, CAPM, comoment, coskewness, cokurtosis, cross section, UK stock returns.

CAPM, Higher Co-Moment and Factor Models of UK Stock Returns

Blackwell Publishing, Journal of Business Finance & Accounting, Vol. 31, No. 1 & 2, January, 2004
Number of pages: 26 Posted: 23 Mar 2004
Chi-Hsiou Daniel Hung, Mark B. Shackleton and Xinzhong Xu
University of Glasgow - Adam Smith Business School, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 19 (605,115)
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4.

Strategic Entry and Market Leadership in a Two-Player Real Options Game

Journal of Banking and Finance, Vol. 28, No. 1, 2004
Number of pages: 33 Posted: 16 Mar 2002 Last Revised: 22 Jan 2013
Lancaster University - Department of Accounting and Finance, Athens University of Economics and Business - Department of Accounting and Finance and University of Surrey
Downloads 707 (39,970)
Citation 1

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Real options, Intertemporal optimal exchange, Two-player stochastic game, Expected active times and probabilities

5.

How Real Option Disinvestment Flexibility Augments Project Npv

European Journal of Operations Research, Vol. 168, No. 1, 2006, Cass Business School Research Paper
Number of pages: 23 Posted: 14 Mar 2004 Last Revised: 12 May 2011
Aneel Keswani and Mark B. Shackleton
Faculty of Finance, Cass Business School, City University, London and Lancaster University - Department of Accounting and Finance
Downloads 574 (52,653)

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Financial education, decision analysis, real options, project valuation with disinvestment

6.

A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Prices

EFA 2008 Athens Meetings Paper
Number of pages: 57 Posted: 17 Mar 2008 Last Revised: 11 May 2010
Mark B. Shackleton, Stephen J. Taylor and Peng Yu
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 539 (56,979)
Citation 10

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ARCH Models, Density Forecasts, Risk-Neutral Densities, Risk Transformations

7.

Distinguishing Short and Long Memory Volatility Specifications

Number of pages: 38 Posted: 31 Jan 2006 Last Revised: 12 May 2014
Shiu-yan Eddie Pong, Mark B. Shackleton and Stephen J. Taylor
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 327 (103,182)

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long memory, volatility, spectral test

8.

Finite Maturity Caps and Floors on Continuous Flows

Journal of Economic Dynamics and Control, Vol. 31, No. 12, pp. 3843-3859, 2007
Number of pages: 20 Posted: 22 Mar 2002 Last Revised: 09 Mar 2008
Mark B. Shackleton and Rafal M. Wojakowski
Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 303 (112,130)
Citation 2

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Finite maturity, caps and floors, continuous flows, time integral of options, implied volatilities

9.

Surprise vs. Anticipated Information Announcements: Are Prices Affected Differently? An Investigation in the Context of Stock Splits

Number of pages: 33 Posted: 17 May 2007
Soosung Hwang, Aneel Keswani and Mark B. Shackleton
Sungkyunkwan University - Department of Economics, Faculty of Finance, Cass Business School, City University, London and Lancaster University - Department of Accounting and Finance
Downloads 267 (128,224)

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Stock Splits, Market Efficiency, Underreaction

10.

Omitted Debt Risk, Financial Distress and the Cross-Section of Expected Equity Returns

Journal of Banking and Finance, Forthcoming, EFA 2008 Athens Meetings Working Paper Series
Number of pages: 44 Posted: 03 Mar 2008 Last Revised: 18 Oct 2010
Kevin Aretz and Mark B. Shackleton
Alliance Manchester Business School and Lancaster University - Department of Accounting and Finance
Downloads 243 (141,059)

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CAPM, characteristic anomalies, equity and debt market portfolio, calibration

11.

An Empirical Investigation of UK Option Returns: Overpricing and the Role of Higher Systematic Moments

Number of pages: 31 Posted: 09 Nov 2004
Fergal O'Brien and Mark B. Shackleton
University of Limerick - Kemmy Business School and Lancaster University - Department of Accounting and Finance
Downloads 194 (174,535)

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Option returns, CAPM, systematic, skewness, kurtosis, comoments, cross-section

12.

The Option and Decision to Repurchase Stock

Financial Management (Forthcoming)
Number of pages: 40 Posted: 31 Jul 2011 Last Revised: 09 Apr 2014
Rohit Sonika, Nicholas F. Carline and Mark B. Shackleton
affiliation not provided to SSRN, Department of Finance, Birmingham Business School, University of Birmingham and Lancaster University - Department of Accounting and Finance
Downloads 190 (177,859)
Citation 1

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Share repurchase, open-market, flexibility, cash, risk

13.

Cojumps in Stock Prices: Empirical Evidence

Number of pages: 59 Posted: 24 Mar 2012 Last Revised: 06 Mar 2013
Dudley Gilder, Mark B. Shackleton and Stephen J. Taylor
Nottingham University Business School, University of Nottingham, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 187 (180,423)
Citation 5

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High-Frequency Data, Non-parametric Jump Tests, Realised Volatility, Macroeconomic News

Participating Mortgages and the Efficiency of Financial Intermediation

Number of pages: 28 Posted: 14 Feb 2009
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 129 (246,623)

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Participating Mortgage (PM), Shared Appreciation Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors.

Participating Mortgages and the Efficiency of Financial Intermediation

Number of pages: 33 Posted: 06 Mar 2008
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 13 (649,703)

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Participating Mortgage (PM), Shared Appreciation,Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors

Participating Mortgages and the Efficiency of Financial Intermediation

Number of pages: 28 Posted: 17 Mar 2009
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 12 (657,576)

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Participating Mortgage (PM), Shared Appreciation Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors.

Participating Mortgages and the Efficiency of Financial Intermediation

Number of pages: 38 Posted: 15 Mar 2010
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 12 (657,576)
Citation 1

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Participating mortgage, Shared appreciation mortgage, Shared income mortgage, Shared equity mortgage, Profit caps and floors, Prepayment risk intensity

Participating Mortgages and the Efficiency of Financial Intermediation

Number of pages: 33 Posted: 25 Mar 2008
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 10 (673,120)
Citation 1

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Participating Mortgage (PM), Shared Appreciation Mortgage (SAM), Shared Income Mortgage (SIM), Shared Equity Mortgage (SEM), Profit Caps and Floors

15.

Generalised Geske Johnson Interpolation of Option Prices

Journal of Business Finance and Accounting, Forthcoming
Number of pages: 32 Posted: 04 Oct 2006
San-Lin Chung and Mark B. Shackleton
National Taiwan University - Department of Finance and Lancaster University - Department of Accounting and Finance
Downloads 166 (200,159)

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Geske-Johnson two-point pricing, real options, American, Bermudan and Arctic options

16.

Smooth Pasting as Rate of Return Equalization

Economics Letters, Vol. 89, No. 2, pp. 200-206, November 2005
Number of pages: 8 Posted: 21 Apr 2005
Sigbjorn Sodal and Mark B. Shackleton
Agder University College and Lancaster University - Department of Accounting and Finance
Downloads 164 (202,226)
Citation 1

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Smooth pasting, rates of return, option elasticity, real option

17.
Downloads 152 (215,641)

Continuous Workout Mortgages

Number of pages: 41 Posted: 27 Apr 2011
Yale University - Cowles Foundation, University of Surrey, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 84 (332,104)

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Continuous Workout Mortgage (CWM), Repayment, Interest-only, House price index, Prepayment intensity, Cap and floor on continuous flow

Continuous Workout Mortgages

Cowles Foundation Discussion Paper No. 1794
Number of pages: 42 Posted: 23 Apr 2011
Yale University - Cowles Foundation, University of Surrey, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 47 (449,870)
Citation 1

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Continuous Workout Mortgage (CWM), Repayment, Interest-only, House price index, Prepayment intensity, Cap and floor on continuous flow

Continuous Workout Mortgages

NBER Working Paper No. w17007
Number of pages: 41 Posted: 09 May 2011
Yale University - Cowles Foundation, University of Surrey, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 21 (590,659)

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NAV Inflation and Impact on Performance in China

Number of pages: 42 Posted: 10 Mar 2017 Last Revised: 11 Jan 2019
Mark B. Shackleton, Jiali Yan and Chelsea Yaqiong Yao
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University - Management School
Downloads 102 (292,876)

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Mutual funds, NAV inflation, Chinese market, closed-end funds

NAV Inflation and Impact on Performance in China

European Financial Management, Vol. 26, Issue 1, pp. 118-142, 2020
Number of pages: 25 Posted: 19 May 2020
Mark B. Shackleton, Jiali Yan and Chelsea Yaqiong Yao
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University - Management School
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Chinese market, closed‐end funds, mutual funds, NAV inflation

19.

What Drives a Firm's ES Performance? Evidence from Stock Returns

30th Australasian Finance and Banking Conference 2017
Number of pages: 45 Posted: 01 Jul 2017 Last Revised: 22 Sep 2020
Mark B. Shackleton, Jiali Yan and Chelsea Yaqiong Yao
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University - Management School
Downloads 71 (362,651)

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CSR, ES Performance, Stock Returns

20.

A Snakes and Ladders Representation of Stock Prices and Returns

The Mathematical Gazette, Vol. 95, No. 533, July 2011
Number of pages: 12 Posted: 05 Nov 2009 Last Revised: 12 May 2011
Philip C. Gager and Mark B. Shackleton
University of Cumbria and Lancaster University - Department of Accounting and Finance
Downloads 71 (362,651)

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game and net present valuation, Markovian and Matrix methods

Evaluating Natural Resource Investments Under Different Model Dynamics: Managerial Insights

European Financial Management, Vol.18, No.4, pp. 543-577, 2012
Number of pages: 49 Posted: 06 May 2011 Last Revised: 28 Aug 2012
Athens University of Economics and Business - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and University of Surrey
Downloads 67 (378,742)

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Natural resource investment, Real options, Factor models, Commodity prices, least–squares Monte Carlo simulation

Evaluating Natural Resource Investments Under Different Model Dynamics: Managerial Insights

European Financial Management, Vol. 18, Issue 4, pp. 543-575, 2012
Number of pages: 35 Posted: 23 Aug 2012
Andrianos E. Tsekrekos, Mark B. Shackleton and Rafał Wojakowski
Athens University of Economics and Business - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and affiliation not provided to SSRN
Downloads 0
Citation 1
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natural resource investment, real options, factor models, commodity prices, least‐squares Monte Carlo simulation

22.

Stock-Return Volatility and Daily Equity Trading by Investor Groups in Korea

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 54 Posted: 26 Nov 2014 Last Revised: 18 May 2015
Mehmet Umutlu and Mark B. Shackleton
Yasar University - Department of International Trade and Finance and Lancaster University - Department of Accounting and Finance
Downloads 65 (380,002)
Citation 2

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stock-return volatility, trading, investor groups

23.

Continuous Workout Mortgages: Efficient Pricing and Systemic Implications

Cowles Foundation Discussion Paper No. 2116
Number of pages: 65 Posted: 20 Dec 2017 Last Revised: 16 Mar 2018
Yale University - Cowles Foundation, University of Surrey, Durham Business School and Lancaster University - Department of Accounting and Finance
Downloads 56 (409,270)
Citation 1

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Negative Equity, House Price Index Indexation, Repayment Mortgage, Insurance, Embedded Option to Default, Prepayment Intensity

24.

Hysteresis Effects Under CIR Interest Rates

European Journal of Operational Research, Vol. 211, No. 3, 2011
Number of pages: 25 Posted: 09 Jul 2010 Last Revised: 12 May 2011
José Carlos Dias and Mark B. Shackleton
Instituto Universitário de Lisboa (ISCTE-IUL) and Lancaster University - Department of Accounting and Finance
Downloads 56 (409,270)

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Finance, Real Options, Interest Rate Uncertainty, Perpetuities, Investment Hysteresis

25.

Buyback Behaviour and the Option Funding Hypothesis

Number of pages: 30 Posted: 03 Jun 2016 Last Revised: 08 Sep 2017
Rohit Sonika and Mark B. Shackleton
affiliation not provided to SSRN and Lancaster University - Department of Accounting and Finance
Downloads 42 (461,997)

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Repurchase, stock options, dilution, treasury shares

26.

The Expected Return and Exercise Time of Merton-Style Real Options

Number of pages: 15 Posted: 17 May 2002
Rafal M. Wojakowski and Mark B. Shackleton
University of Surrey and Lancaster University - Department of Accounting and Finance
Downloads 37 (483,873)
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27.

Generalised Geske - Johnson Interpolation of Option Prices

Journal of Business Finance & Accounting, Vol. 34, Nos. 5-6, pp. 976-1001, June/July 2007
Number of pages: 26 Posted: 11 Jul 2007
San-Lin Chung and Mark B. Shackleton
National Central University - Department of Finance and Lancaster University - Department of Accounting and Finance
Downloads 13 (625,340)
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Geske-Johnson two-point pricing, real options, American, Bermudan and Artic options

28.

Distinguishing Short and Long Memory Volatility Specifications

Econometrics Journal, Vol. 11, Issue 3, pp. 617-637, November 2008
Number of pages: 21 Posted: 03 Nov 2008
Shiuyan Pong, Mark B. Shackleton and Stephen J. Taylor
affiliation not provided to SSRN, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 3 (698,944)
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29.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Vol. 24, No.1, 58-78, 2016, https://doi.org/10.3905/jod.2016.24.1.058
Posted: 20 May 2019 Last Revised: 09 Aug 2019
Xi Fu, Yakup Eser Arısoy, Mark B. Shackleton and Mehmet Umutlu
University of Liverpool, NEOMA Business School, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
Downloads 0 (739,267)

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option-implied volatility, volatility skew, return predictability

30.

Hedging Efficiency in the Greek Options Market Before and after the Financial Crisis of 2008

Journal of Multinational Financial Management, Vol. 23, 2013
Posted: 06 Dec 2013
Mark B. Shackleton and Nikolaos Voukelatos
Lancaster University - Department of Accounting and Finance and University of Kent

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market efficiency, emerging markets, options, risk management

31.

Continuous Workout Mortgages, Refinancing and Prepayments

46th Annual AREUEA Conference Paper
Posted: 01 Dec 2010 Last Revised: 11 Apr 2011
Durham Business School, Lancaster University - Department of Accounting and Finance and University of Surrey

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32.

On the Expected Payoff and True Probability of Exercise of European Options

Applied Economics Letters, Vol. 8, No. 4, 2001
Posted: 06 Mar 2008
Mark B. Shackleton and Rafal M. Wojakowski
Lancaster University - Department of Accounting and Finance and University of Surrey

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Rate of return on option, Actual probability, Change of numeraire, True probability of exercise, Put call parity

33.

Pricing Options with American Style Average Reset Features

U. of Lancaster Dept. of Accounting & Finance WP No. 2000/015
Posted: 03 Aug 2003
Chuang-Chang Chang, Mark B. Shackleton and San-Lin Chung
National Central University - Department of Finance, Lancaster University - Department of Accounting and Finance and National Central University - Department of Finance

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Tri-nomial tree, reset option, American and average features