Author Page for David Newton

Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach

The British Accounting Review, Forthcoming

Number of pages: 59 Posted: 03 Jun 2019 Last Revised: 18 Jan 2022

David Newton, Emmanouil Platanakis, Dimitrios Stafylas, Charles Sutcliffe and Xiaoxia Ye

University of Bath - School of Management, University of Bath - School of Management, University of York - The York Management School, University of Reading - ICMA Centre and University of Liverpool Management School

Downloads 1,191 (24,286)

Abstract:

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Dynamic Portfolio Management with Machine Learning

Number of pages: 81 Posted: 17 Mar 2021

Xinyu Huang, Massimo Guidolin, Emmanouil Platanakis and David Newton

University of Bath - School of Management, University of Liverpool Management School, University of Bath - School of Management and University of Bath - School of Management

Downloads 561 (67,622)

Citation 2

Abstract:

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The Diversification Benefits of Cryptocurrency Asset Categories and Estimation Risk: Pre and Post COVID-19

The European Journal of Finance, Forthcoming

Number of pages: 99 Posted: 03 Aug 2021 Last Revised: 18 Jan 2022

Xinyu Huang, Weihao Han, David Newton, Emmanouil Platanakis, Dimitrios Stafylas and Charles Sutcliffe

University of Bath - School of Management, University of Bath - School of Management, University of Bath - School of Management, University of Bath - School of Management, University of York - The York Management School and University of Reading - ICMA Centre

Downloads 362 (113,581)

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Enhanced Finite-Difference Techniques for Early-Exercise Options on Single and Multiple Underlyings

20th Australasian Finance & Banking Conference 2007 Paper

Number of pages: 31 Posted: 23 Aug 2007

Paul V. Johnson, Nick J. Sharp, Peter Duck and David Newton

University of Manchester, Nottingham University Business School (NUBS), University of Manchester - Department of Mathematics and University of Bath - School of Management

Downloads 347 (118,943)

Citation 1

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On the (Almost) Stochastic Dominance of Cryptocurrency Factor Portfolios & Implications for Cryptocurrency Asset Pricing

Number of pages: 102 Posted: 01 Jun 2021 Last Revised: 19 Apr 2022

Weihao Han, David Newton, Emmanouil Platanakis, Charles Sutcliffe and Xiaoxia Ye

University of Bath - School of Management, University of Bath - School of Management, University of Bath - School of Management, University of Reading - ICMA Centre and University of Liverpool Management School

Downloads 342 (120,865)

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6.

Leveraged Loans: Is High Leverage Risk Priced in?

Swiss Finance Institute Research Paper No. 20-111

Number of pages: 58 Posted: 03 Dec 2020 Last Revised: 04 Apr 2022

David Newton, Steven Ongena, Ru Xie and Binru Zhao

University of Bath - School of Management, University of Zurich - Department of Banking and Finance, University of Bath, School of management and University of Bath - School of Management

Downloads 303 (137,514)

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Tail-Heaviness, Asymmetry, and Profitability Forecasting by Quantile Regression

Management Science, https://doi.org/10.1287/mnsc.2020.3694

Number of pages: 67 Posted: 27 Jul 2017 Last Revised: 10 Dec 2020

Hui Tian, Hui Tian, Andrew Yim and David Newton

University of Bath - School of ManagementTsinghua University - PBC School of Finance, Bayes Business School, City, University of London and University of Bath - School of Management

Downloads 273 (153,043)

Citation 1

Abstract:

8.

Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

Downloads 221 (187,989)

Citation 3

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Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

Number of pages: 36 Posted: 20 Mar 2002

José António de Azevedo Pereira, Dean A. Paxson and David Newton

Technical University of Lisbon (UTL) - School of Economics and Management, Manchester Business School and University of Bath - School of Management

Downloads 221 (187,646)

Citation 3

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Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

Journal of Real Estate Finance & Economics, Vol. 26, No. 2

Posted: 01 Oct 2002

Dean A. Paxson, José António de Azevedo Pereira and David Newton

Manchester Business School, Technical University of Lisbon (UTL) - School of Economics and Management and University of Bath - School of Management

Abstract:

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Banks vs. Markets: Are Banks More Effective in Facilitating Sustainability?

Downloads 198 (208,167)

2

Banks vs. Markets: Are Banks More Effective in Facilitating Sustainability?

Swiss Finance Institute Research Paper No. 22-22

Number of pages: 48 Posted: 13 Mar 2022 Last Revised: 19 Apr 2022

David Newton, Steven Ongena, Ru Xie and Binru Zhao

University of Bath - School of Management, University of Zurich - Department of Banking and Finance, University of Bath, School of management and University of Bath - School of Management

Downloads 165 (243,990)

Abstract:

Banks vs. Markets: Are Banks More Effective in Facilitating Sustainability?

BOFIT Discussion Paper No. 5/2022

Number of pages: 44 Posted: 28 Apr 2022 Last Revised: 29 Apr 2022

David Newton, Steven Ongena, Ru Xie and Binru Zhao

University of Bath - School of Management, University of Zurich - Department of Banking and Finance, University of Bath, School of management and University of Bath - School of Management

Downloads 33 (611,797)

Abstract:

10.

The Role of Political Connections in IPO Pricing

Number of pages: 32 Posted: 16 Jan 2018

Dimitrios Gounopoulos, Konstadinos Kallias and David Newton

University of Bath, Portsmouth Business School and University of Bath - School of Management

Downloads 135 (286,333)

Abstract:

11.

Why Effort on Structural Models is Worthwhile: New Evidence from a Parasian-Option Style Model

Number of pages: 11 Posted: 16 Mar 2006

Bo Liu, Peter Duck and David Newton

University of Manchester - School of Mathematics, University of Manchester - Department of Mathematics and University of Bath - School of Management

Downloads 104 (345,001)

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Advancing the Universality of Quadrature Methods to Any Underlying Process for Option Pricing

Journal of Financial Economics (JFE), Vol. 114, No. 3, 2014

Number of pages: 13 Posted: 24 Jun 2015

Ding Chen, Hannu Hannu Härkönen and David Newton

University of Sussex Business School, Nottingham University Business School and University of Bath - School of Management

Downloads 98 (358,600)

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13.

Research Unbundling and Market Liquidity: Evidence from MiFID II

Number of pages: 40 Posted: 22 Dec 2021

Anqi Fu, Tim Jenkinson, David Newton and Ru Xie

University of Bath - School of Management, University of Oxford - Said Business School, University of Bath - School of Management and University of Bath, School of management

Downloads 81 (402,871)

Abstract:

14.

What Determines the Freezing of Defined-Benefit Pension Schemes: Evidence from the UK

Number of pages: 25 Posted: 28 Apr 2021

Yuan Li, Wexi Liu and David Newton

University of Bath, University of Bath - School of Management and University of Bath - School of Management

Downloads 41 (554,501)

Abstract:

15.

Real R&D Options

Number of pages: 18 Posted: 29 Oct 2004

Martin Widdicks, Dean A. Paxson and David Newton

University of Manchester - Manchester Business School, Manchester Business School and University of Bath - School of Management

Downloads 36 (580,437)

Abstract:

16.

The Black-Scholes Equation Revisited: Asymptotic Expansions and Singular Perturbations

Number of pages: 19 Posted: 23 Mar 2005

Martin Widdicks, Peter Duck, Ari Andricopoulos and David Newton

University of Manchester - Manchester Business School, University of Manchester - Department of Mathematics, University of Manchester - Department of Mathematics and University of Bath - School of Management

Downloads 19 (691,405)

Citation 1

Abstract:

17.

Singular Perturbation Techniques Applied to Multiasset Option Pricing

Mathematical Finance, Vol. 19, Issue 3, pp. 457-486, July 2009

Number of pages: 30 Posted: 30 Jun 2009

Peter Duck, Chao Yang, David Newton and Martin Widdicks

University of Manchester - Department of Mathematics, University of Manchester, University of Bath - School of Management and Lancaster University - Department of Accounting and Finance

Downloads 3 (831,146)

Abstract:

18.

Sovereign Credit Spread, International Influence and Country Governance

Posted: 26 Mar 2014

Biao Guo, Biao Guo, Kai Dai and David Newton

Renmin University of ChinaRenmin University of China, Nottingham University Business School and University of Bath - School of Management

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A New Prepayment Model (with Default): An Occupation-Time Derivative Approach

Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009

Posted: 08 May 2009

Nick J. Sharp, Paul V. Johnson, David Newton and Peter Duck

Nottingham University Business School (NUBS), University of Manchester, University of Bath - School of Management and University of Manchester - Department of Mathematics

Abstract:

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An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options

Journal of Real Estate Finance and Economics, Vol. 36, No. 3, 2008

Posted: 20 Oct 2007 Last Revised: 15 Jul 2008

Nick J. Sharp, Peter Duck and David Newton

Nottingham University Business School (NUBS), University of Manchester - Department of Mathematics and University of Bath - School of Management

David Newton

University of Bath - School of Management

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Scholarly Papers (20)

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