David Newton

University of Bath - School of Management

Claverton Down

Bath, BA2 7AY

United Kingdom

SCHOLARLY PAPERS

20

DOWNLOADS
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Top 15,941

in Total Papers Downloads

4,456

SSRN CITATIONS
Rank 29,023

SSRN RANKINGS

Top 29,023

in Total Papers Citations

2

CROSSREF CITATIONS

28

Scholarly Papers (20)

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
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 1,198 (24,524)

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

2.

Dynamic Portfolio Management with Machine Learning

Number of pages: 81 Posted: 17 Mar 2021
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 567 (67,863)
Citation 2

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Investment analysis, portfolio management, machine learning, deep learning, parameter uncertainty

3.

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
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 366 (113,992)

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

4.

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
University of Manchester, Nottingham University Business School (NUBS), University of Manchester - Department of Mathematics and University of Bath - School of Management
Downloads 348 (120,511)
Citation 1

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American options, multi asset, finite difference, PSOR

5.

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

Number of pages: 98 Posted: 01 Jun 2021 Last Revised: 06 Jun 2022
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 346 (121,296)

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Cryptocurrencies, Asset Pricing, Almost Stochastic Dominance, Mispricing

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 305 (138,800)

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Leverage Risk, Syndicated Loan Pricing, Leveraged Loan, Information Asymmetry

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 204 (205,562)

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ESG Risk, Debt Structure, Capital Structure, Debt Choices, Bank Monitoring

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 79 (418,840)

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

8.

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 (155,435)
Citation 1

Abstract:

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

Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

Number of pages: 36 Posted: 20 Mar 2002
Technical University of Lisbon (UTL) - School of Economics and Management, Manchester Business School and University of Bath - School of Management
Downloads 221 (190,504)
Citation 3

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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
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

10.

The Role of Political Connections in IPO Pricing

Number of pages: 32 Posted: 16 Jan 2018
University of Bath, Portsmouth Business School and University of Bath - School of Management
Downloads 136 (288,953)

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

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 (349,934)

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

12.

Research Unbundling and Market Liquidity: Evidence from MiFID II

Number of pages: 41 Posted: 22 Dec 2021 Last Revised: 27 Jun 2022
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 101 (356,813)

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

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 99 (361,461)

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

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 43 (552,069)

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pension freeze, defined benefit schemes, financial constraints

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 37 (582,805)

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16.

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

Number of pages: 19 Posted: 23 Mar 2005
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 25 (656,893)
Citation 1

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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 4 (838,287)

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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
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