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David Newton

University of Bath - School of Management

Claverton Down

Bath, BA2 7AY

United Kingdom

  • University of Bath - School of Management

SCHOLARLY PAPERS

20

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TOTAL CITATIONS
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Top 28,645

in Total Papers Citations

23

Scholarly Papers (20)

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1.

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 Nottingham
Downloads 1,892 (22,008)
Citation 2

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Hedge funds, portfolio diversification, Black-Litterman, Bayes-Stein, stochastic discount factors; regimes

2.

Firm ESG Reputation Risk and Debt Choice

Downloads 1,104 (49,230)
Citation 2

Firm ESG Reputation Risk and Debt Choice

Swiss Finance Institute Research Paper No. 22-22
Number of pages: 54 Posted: 13 Mar 2022 Last Revised: 26 Apr 2023
David Newton, Steven Ongena, Ru Xie and Binru Zhao
University of Bath - School of Management, University of Zurich - Department Finance, University of Bath, School of management and Bangor University - Albert Gubay Business School
Downloads 759 (81,166)

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ESG Risk, Debt Structure, Capital Structure, Debt Choices, Information Asymmetry

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 Finance, University of Bath - School of Management and Bangor University - Albert Gubay Business School
Downloads 345 (214,203)
Citation 2

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ESG risk, debt structure, capital structure, debt choices, bank monitoring

3.

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

European Financial Management, Forthcoming - SWFA 2021, EFMA 2021, World Finance Conference 2021, ENTFIN Annual Meeting 2022.
Number of pages: 100 Posted: 01 Jun 2021 Last Revised: 01 Mar 2024
Weihao Han, David Newton, Emmanouil Platanakis, Charles Sutcliffe and Xiaoxia Ye
University of Aberdeen - Business School, University of Bath - School of Management, University of Bath - School of Management, University of Reading - ICMA Centre and University of Nottingham
Downloads 724 (87,614)
Citation 3

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Cryptocurrencies, Asset Pricing, Almost Stochastic Dominance, Mispricing

4.

The Diversification Benefits of Cryptocurrency Factor Portfolios: Are They There?

Review of Quantitative Finance and Accounting (RQFA), Forthcoming
Number of pages: 60 Posted: 09 Jan 2023 Last Revised: 04 Mar 2024
Weihao Han, David Newton, Emmanouil Platanakis, Haoran Wu and Libo Xiao
University of Aberdeen - Business School, University of Bath - School of Management, University of Bath - School of Management, University College Dublin (UCD) and University of Aberdeen - Business School
Downloads 638 (103,317)

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Cryptocurrency Factors, Portfolio Optimisation, Diversification Benefits, Machine Learning

5.

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 Aberdeen - Business School, 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 593 (113,715)
Citation 8

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Cryptocurrencies; COVID-19; Bayes-Stein; Lasso; Elastic net; Shrunk Wishart stochastic volatility; Gaussian random projection; Black-Litterman; Higher moments

6.

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 445 (161,631)
Citation 1

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heavy tails, kurtosis, skewness, distributional shape, profitability forecast, quantile regression

7.

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 420 (173,189)
Citation 1

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American options, multi asset, finite difference, PSOR

8.

Research Unbundling and Market Liquidity: Evidence from MiFID II

Number of pages: 36 Posted: 22 Dec 2021 Last Revised: 13 Sep 2023
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 321 (234,399)
Citation 1

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MiFID II, Unbundling, Analyst Coverage, Liquidity, Idiosyncratic Liquidity

9.

Single-stage Portfolio Optimization with Automated Machine Learning for M6

International Journal of Forecasting, Forthcoming
Number of pages: 32 Posted: 21 May 2024
Xinyu Huang, David Newton, Emmanouil Platanakis and Charles Sutcliffe
University of Bath - School of Management, University of Bath - School of Management, University of Bath - School of Management and University of Reading - ICMA Centre
Downloads 315 (240,043)
Citation 1

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Automated machine learning, Portfolio selection, Investment analysis, Estimation risk, Parameter uncertainty JEL Classification: G11, G17, C44

10.

Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

Downloads 275 (276,257)
Citation 4

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 275 (273,875)
Citation 4

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Endowment Mortgage, Mortgage Indemnity, Coinsurance

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

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Endowment mortgage, mortgage indemnity, coinsurance

11.

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 - School of Management, Portsmouth Business School and University of Bath - School of Management
Downloads 212 (359,492)

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IPO underpricing; political connections; PAC and lobbying contributions; data envelopment analysis

12.

Expanding the Risk Horizon: An Integrated Framework for Managing Uncertainty and Risk in Portfolio Selection

Quantitative Finance (QF), Forthcoming
Number of pages: 70 Posted: 15 Apr 2025 Last Revised: 16 Mar 2026
Xinyu Huang, David Newton, Emmanouil Platanakis and Xiaoxia Ye
University of Bath - School of Management, University of Bath - School of Management, University of Bath - School of Management and University of Nottingham
Downloads 202 (382,358)

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Risk Management, Decision-making, Knowledge Fusion, Realized Volatility JEL Classification: C11, G11, G17

13.

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 156 (477,517)

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Numerical integration, Universal quadrature, QUAD, Option pricing, Transition density function, SABR, Heston, CEV

14.

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
The University of Manchester - School of Mathematics, University of Manchester - Department of Mathematics and University of Bath - School of Management
Downloads 142 (518,102)

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bankruptcy resolution, ParAsian option, bond pricing, structural model, empirical test

15.

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 129 (561,789)

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pension freeze, defined benefit schemes, financial constraints

16.

ESG Risk, Political Ideology, and the Syndicated Lending Relationship

Journal of Accounting Literature, Forthcoming (https://doi.org/10.1108/JAL-01-2025-0009)
Posted: 18 Feb 2026
David Newton, Pietro Perotti and Binru Zhao
University of Bath - School of Management, University of Bath - School of Management and Bangor University - Albert Gubay Business School

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ESG risk, Syndicated lending, Cost of loans, Information asymmetry, Bank monitoring

17.

Predicting Expected Idiosyncratic Volatilities: Empirical Evidence from ARFIMA, HAR, and EGARCH Models

Posted: 17 Oct 2023
Chuxuan Xiao, Winifred Huang and David Newton
Swansea University, University of Bath and University of Bath - School of Management

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Asset Pricing, Idiosyncratic volatility, Time-varying, ARFIMA, HAR, EGARCH

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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credit default swap; sovereign credit risk; latent factor; tail dependence

19.

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

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prepayment, fixed-rate mortgages, option-pricing theory, occupation-time derivatives, Parisian options

20.

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

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fixed-rate mortgages, option pricing theory, perturbation theory, prepayment, default