Kevin Aretz

Alliance Manchester Business School

Professor of Finance

Crawford House

Oxford Road

Manchester M13 9PL, Lancashire

United Kingdom

http://www.kevin-aretz.com

  • Alliance Manchester Business School

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    • Tel: +44(0) 161 275 6368
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SCHOLARLY PAPERS

22

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8,531

CITATIONS
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in Total Papers Citations

33

Ideas:
“  My research interests are in the areas of theoretical and empirical cross-sectional asset pricing, empirical corporate finance, and econometrics.  ”

  • Alliance Manchester Business School

    • Email
    • Tel: +44(0) 161 275 6368
    • Fax: +44(0) 161 275 4023

Scholarly Papers (22)

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1.

Corporate Hedging and Shareholder Value

Journal of Financial Research, Vol. 33, No. 4, pp. 317-371, Winter 2010
Number of pages: 60 Posted: 06 Mar 2009 Last Revised: 10 Mar 2014
Kevin Aretz and Söhnke M. Bartram
Alliance Manchester Business School and Warwick Business School - Department of Finance
Downloads 1,731 (8,953)
Citation 7

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Corporate finance, risk management, exposure, foreign exchange rates, derivatives

2.

Macroeconomic Risks and Characteristic-Based Factor Models

Downloads 1,711 ( 9,145)

Macroeconomic Risks and Characteristic-Based Factor Models

Journal of Banking and Finance, Vol. 34, No. 6, pp. 1383-1399, June 2010, EFA 2005 Moscow Meetings
Number of pages: 37 Posted: 11 Jan 2005 Last Revised: 11 Mar 2014
Kevin Aretz, Söhnke M. Bartram and Peter F. Pope
Alliance Manchester Business School, Warwick Business School - Department of Finance and Bocconi University
Downloads 1,711 (8,965)
Citation 10

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Fama and French model, Carhart model, asset pricing, book-to-market, size, momentum, macroeconomic pricing factors

Macroeconomic Risks and Characteristic-Based Factor Models

EFA 2005 Moscow Meetings
Posted: 25 Mar 2005 Last Revised: 11 Mar 2014
Söhnke M. Bartram, Kevin Aretz and Peter F. Pope
Warwick Business School - Department of Finance, Alliance Manchester Business School and Bocconi University

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Fama and French/Carhart model, asset pricing, book-to-market, size, aggregate, corporate earnings expectations, term structure, inflation, default

3.

Do Stock Markets Really Care About Skewness?

Number of pages: 72 Posted: 11 Sep 2014 Last Revised: 31 Jan 2019
Kevin Aretz and Yakup Eser Arısoy
Alliance Manchester Business School and NEOMA Business School
Downloads 843 (27,060)

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Asset pricing; physical skewness; realized skewness; quantile regression models

4.

Do German Security Analysts Herd?

Financial Markets and Portfolio Management, Vol. 23, No. 1, pp. 3-29
Number of pages: 37 Posted: 06 Oct 2007 Last Revised: 13 Dec 2009
Marcel Naujoks, Kevin Aretz, Alexander Gabriel Kerl and Andreas Walter
Technische Universität München (TUM), Alliance Manchester Business School, University of Giessen - Department of Financial Services and University of Giessen - Department of Financial Services
Downloads 498 (54,343)
Citation 5

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Earnings forecasting, financial analysts, herding behavior, German stock market

5.

Making Money While You Sleep? Anomalies in International Day and Night Returns

Downloads 492 ( 55,174)

Making Money While You Sleep? Anomalies in International Day and Night Returns

Number of pages: 26 Posted: 07 Oct 2015
Kevin Aretz and Söhnke M. Bartram
Alliance Manchester Business School and Warwick Business School - Department of Finance
Downloads 339 (85,600)

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Overnight returns, asset pricing, return factors

Making Money While You Sleep? Anomalies in International Day and Night Returns

Number of pages: 26 Posted: 22 Jun 2015 Last Revised: 07 Oct 2015
Kevin Aretz and Söhnke M. Bartram
Alliance Manchester Business School and Warwick Business School - Department of Finance
Downloads 153 (188,524)

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Overnight returns, asset pricing, return factors

6.

Asymmetric Loss Functions and the Rationality of Expected Stock Returns

International Journal of Forecasting, Vol. 27, No. 2, pp. 413-437, April-June 2011
Number of pages: 45 Posted: 21 Mar 2006 Last Revised: 11 Mar 2014
Kevin Aretz, Söhnke M. Bartram and Peter F. Pope
Alliance Manchester Business School, Warwick Business School - Department of Finance and Bocconi University
Downloads 467 (58,968)

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financial markets, general loss functions, GMM block bootstrapping, Livingston Survey, price forecasting

7.

Real Options Models of the Firm, Capacity Overhang, and the Cross-Section of Stock Returns

Journal of Finance, Forthcoming
Number of pages: 95 Posted: 21 Feb 2014 Last Revised: 19 Nov 2017
Kevin Aretz and Peter F. Pope
Alliance Manchester Business School and Bocconi University
Downloads 399 (71,297)

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Real options; capacity choice; investment reversibility; stock market anomalies

8.

Common Factors in Default Risk Across Countries and Industries

Downloads 363 ( 79,666)
Citation 3

Common Factors in Default Risk Across Countries and Industries

European Financial Management, Forthcoming, EFA 2007 Ljubljana Meetings Paper
Number of pages: 44 Posted: 01 May 2007 Last Revised: 11 Aug 2010
Kevin Aretz and Peter F. Pope
Alliance Manchester Business School and Bocconi University
Downloads 363 (79,004)
Citation 3

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Default risk, country and industry factors, variance decompositions

Common Factors in Default Risk Across Countries and Industries

European Financial Management, Vol. 19, Issue 1, pp. 108-152, 2013
Number of pages: 45 Posted: 29 Jan 2013
Kevin Aretz and Peter F. Pope
Alliance Manchester Business School and Bocconi University
Downloads 0
Citation 3
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default risk, country and industry factors, variance decompositions

9.

Do Stock Returns Really Decrease with Default Risk? New International Evidence

Management Science, Forthcoming
Number of pages: 77 Posted: 22 Aug 2013 Last Revised: 06 Nov 2016
Kevin Aretz, Chris Florackis and Alexandros Kostakis
Alliance Manchester Business School, University of Liverpool (UK) and University of Liverpool Management School
Downloads 354 (82,014)

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Default risk; Bankruptcy; Stock returns; International financial markets; Creditor protection

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 235 (127,241)
Citation 1

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

11.

Which Firms are Responsible for Characteristic Anomalies? A Statistical Leverage Analysis

Number of pages: 54 Posted: 13 Oct 2011
Kevin Aretz and Marc Aretz
Alliance Manchester Business School and RWTH Aachen University
Downloads 232 (128,924)

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Characteristic anomalies, statistical leverage analysis, efficient markets

12.

Access to Collateral and the Democratization of Credit: France's Reform of the Napoleonic Code

Downloads 221 (135,748)

Access to Collateral and the Democratization of Credit: France's Reform of the Napoleonic Code

Number of pages: 48 Posted: 11 Feb 2016 Last Revised: 18 Mar 2016
Kevin Aretz, Murillo Campello and Maria‐Teresa Marchica
Alliance Manchester Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Manchester - Alliance Manchester Business School
Downloads 157 (184,426)

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Security Laws, Contractibility, Collateral, Capital Structure, Bank Loans, Welfare

Access to Collateral and the Democratization of Credit: France's Reform of the Napoleonic Code

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 51 Posted: 27 May 2016
Kevin Aretz, Murillo Campello and Maria‐Teresa Marchica
Alliance Manchester Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Manchester - Alliance Manchester Business School
Downloads 64 (345,072)

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Security Laws, Contractibility, Collateral, Capital Structure, Bank Loans, Welfare

13.

How Does a Firm's Default Risk Affect its Expected Equity Return?

Number of pages: 65 Posted: 13 Mar 2010 Last Revised: 24 Mar 2011
Kevin Aretz
Alliance Manchester Business School
Downloads 201 (147,806)
Citation 2

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Default risk premium, asset pricing, macroeconomic conditions

14.

In the Path of the Storm: Does Distress Risk Cause Industrial Firms to Risk-Shift?

Number of pages: 70 Posted: 02 Feb 2015 Last Revised: 26 Jul 2018
Kevin Aretz, Shantanu Banerjee and Oksana Pryshchepa
Alliance Manchester Business School, Lancaster University - Management School and Birmingham University Business School, Finance Department
Downloads 180 (163,549)

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Agency conflicts, risk-shifting, distress risk, segment data, hurricane strikes

15.

Moneyness, Volatility, and the Cross-Section of Option Returns

Number of pages: 69 Posted: 18 Nov 2016 Last Revised: 14 Mar 2018
Kevin Aretz, Ming-Tsung Lin and Ser-Huang Poon
Alliance Manchester Business School, De Montfort University and University of Manchester - Manchester Business School
Downloads 159 (182,188)

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Asset pricing; option returns; moneyness; total, systematic, and idiosyncratic volatility.

16.

Which Variables Determine the Accuracy of Default Probabilities Implied by Structural Models?

Number of pages: 58 Posted: 12 Apr 2010 Last Revised: 10 Feb 2011
Kevin Aretz and Matthew Bonnett
Alliance Manchester Business School and School of Accountancy, CUHK
Downloads 134 (209,515)
Citation 1

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corporate bankruptcy, default, insolvency, forecasting power, structural models

17.

Some Implications of a Quartic Loss Function

Economics Bulletin, Vol. 7, No. 13, pp. 1-7
Number of pages: 13 Posted: 21 Nov 2006 Last Revised: 22 Apr 2008
Kevin Aretz and David A. Peel
Alliance Manchester Business School and Lancaster University - Management School
Downloads 86 (285,730)

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Inflation Target Zone, Symmetric Loss, Expected Inflation

18.

Spreads versus Professional Forecasters as Predictors of Future Output Change

Journal of Forecasting, Forthcoming
Number of pages: 11 Posted: 23 Apr 2008 Last Revised: 20 Apr 2009
Kevin Aretz and David A. Peel
Alliance Manchester Business School and Lancaster University - Management School
Downloads 61 (346,088)

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Real GDP growth, Survey of Professional Forecasters, term structure

19.

Can Investors Restrict Managerial Behavior in Distressed Firms?

Journal of Corporate Finance, Vol. 23, 2013
Number of pages: 38 Posted: 15 Nov 2013 Last Revised: 29 Jan 2014
Oksana Pryshchepa, Kevin Aretz and Shantanu Banerjee
Birmingham University Business School, Finance Department, Alliance Manchester Business School and Lancaster University - Management School
Downloads 57 (357,780)

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agency conflicts, financial distress, firm investment, expected volatility

20.

Can Creditors Restrict Managerial Investment Behavior in Distressed Firms?

Number of pages: 43 Posted: 22 Aug 2012 Last Revised: 01 Dec 2012
Oksana Pryshchepa, Kevin Aretz and Shantanu Banerjee
Birmingham University Business School, Finance Department, Alliance Manchester Business School and Lancaster University - Management School
Downloads 54 (367,083)

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Risk-shifting, firm investment, expected volatility

21.

Consumption Risk and the Cross-Section of Option Returns

Number of pages: 60 Posted: 02 Jan 2019
Kevin Aretz, Hening Liu, Shuwen Yang and Yuzhao Zhang
Alliance Manchester Business School, University of Manchester - Alliance Manchester Business School, University of Manchester - Alliance Manchester Business School and Rutgers, The State University of New Jersey - Department of Finance
Downloads 53 (370,166)

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Consumption Growth, Option Returns, Recursive Utility, Volatility Risk

22.

An Example of an Optimal Forecast Exhibiting Decreasing Bias with Increasing Forecast Horizon

Bulletin of Economic Research, Vol. 65, Issue 4, pp. 362-371, 2013
Number of pages: 10 Posted: 10 Sep 2013
Kevin Aretz and David A. Peel
Alliance Manchester Business School and Lancaster University - Management School
Downloads 0 (650,406)
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efficient markets, forecast evaluation, loss function, rationality