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

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

28

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12,918

TOTAL CITATIONS
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SSRN RANKINGS

Top 9,860

in Total Papers Citations

64

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 (28)

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1.

Corporate Hedging and Shareholder Value

Journal of Financial Research, Vol. 33, No. 4, pp. 317-371, Winter 2010, WBS Finance Group Research Paper No. 116
Number of pages: 60 Posted: 06 Mar 2009 Last Revised: 23 Dec 2019
Kevin Aretz and Söhnke M. Bartram
Alliance Manchester Business School and University of Warwick
Downloads 2,083 (15,406)
Citation 16

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

2.

Macroeconomic Risks and Characteristic-Based Factor Models

Downloads 1,939 (17,294)
Citation 7

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, WBS Finance Group Research Paper No. 36
Number of pages: 37 Posted: 11 Jan 2005 Last Revised: 23 Dec 2019
Kevin Aretz, Söhnke M. Bartram and Peter F. Pope
Alliance Manchester Business School, University of Warwick and Bocconi University
Downloads 1,939 (16,980)
Citation 7

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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, WBS Finance Group Research Paper No. 43
Posted: 25 Mar 2005 Last Revised: 23 Dec 2019
Söhnke M. Bartram, Kevin Aretz and Peter F. Pope
University of Warwick, 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.

The Pricing of Skewness Over Different Return Horizons

Journal of Banking and Finance, forthcoming
Number of pages: 89 Posted: 11 Sep 2014 Last Revised: 31 Oct 2022
Kevin Aretz and Yakup Eser Arısoy
Alliance Manchester Business School and NEOMA Business School
Downloads 909 (52,786)
Citation 7

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

4.

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

Downloads 904 (53,170)
Citation 5

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 University of Warwick
Downloads 534 (103,942)
Citation 2

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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 University of Warwick
Downloads 370 (160,382)
Citation 3

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Overnight returns, asset pricing, return factors

5.

Asymmetric Loss Functions and the Rationality of Expected Stock Returns

International Journal of Forecasting, Vol. 27, No. 2, pp. 413-437, April-June 2011, WBS Finance Group Research Paper No. 61
Number of pages: 45 Posted: 21 Mar 2006 Last Revised: 23 Dec 2019
Kevin Aretz, Söhnke M. Bartram and Peter F. Pope
Alliance Manchester Business School, University of Warwick and Bocconi University
Downloads 582 (94,664)

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

6.

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 575 (95,974)

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

7.

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

Downloads 546 (102,393)
Citation 7

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

Journal of Finance, Forthcoming
Number of pages: 101 Posted: 11 Feb 2016 Last Revised: 25 May 2019
Kevin Aretz, Murillo Campello and Maria‐Teresa Marchica
Alliance Manchester Business School, University of Florida - Warrington College of Business Administration and The University of Manchester - Alliance Manchester Business School
Downloads 350 (170,461)
Citation 5

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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, University of Florida - Warrington College of Business Administration and The University of Manchester - Alliance Manchester Business School
Downloads 196 (306,542)
Citation 2

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

8.

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 541 (103,546)
Citation 3

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

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: 09 Nov 2023
Kevin Aretz, Chris Florackis and Alexandros Kostakis
Alliance Manchester Business School, University of Liverpool (UK) and University of Liverpool - Management School (ULMS)
Downloads 453 (128,241)
Citation 4

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

10.

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 422 (139,486)

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Default risk, country and industry factors, variance decompositions

11.

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

Review of Finance, forthcoming
Number of pages: 92 Posted: 18 Nov 2016 Last Revised: 13 Dec 2021
Kevin Aretz, Ming-Tsung Lin and Ser-Huang Poon
Alliance Manchester Business School, University of Sussex and Alliance Manchester Business School, University of Manchester
Downloads 380 (157,067)

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

12.

The Early Exercise Risk Premium

Management Science, Forthcoming
Number of pages: 87 Posted: 16 Oct 2019 Last Revised: 10 Nov 2023
Kevin Aretz and Adnan Gazi
Alliance Manchester Business School and University of Liverpool - Management School (ULMS)
Downloads 344 (175,735)
Citation 4

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Empirical asset pricing; cross-sectional option pricing; put options; early exercise.

13.

Seasonal Inventory Leverage

Number of pages: 84 Posted: 22 Mar 2021 Last Revised: 16 Sep 2024
Kevin Aretz, Hening Liu and Kevin Schneider
Alliance Manchester Business School, The University of Manchester - Alliance Manchester Business School and University of Cambridge
Downloads 300 (202,763)

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Asset pricing, real options, seasonalities, seasonal inventory leverage, output inventories.

14.

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 290 (210,098)

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

15.

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, Shantanu Banerjee and Oksana Pryshchepa
Alliance Manchester Business School, Lancaster University - Department of Accounting and FinanceLancaster University - Management School and Cardiff University Business School
Downloads 272 (224,336)
Citation 6

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

16.

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 271 (225,144)

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Characteristic anomalies, statistical leverage analysis, efficient markets

17.

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 251 (243,060)
Citation 1

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Default risk premium, asset pricing, macroeconomic conditions

18.

Taking Money Off the Table: Suboptimal Early Exercises, Risky Arbitrage, and American Put Returns

Number of pages: 51 Posted: 07 Oct 2020
Kevin Aretz, Ian Garrett and Adnan Gazi
Alliance Manchester Business School, Manchester Business School and University of Liverpool - Management School (ULMS)
Downloads 225 (270,288)

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Empirical asset pricing, cross-sectional option pricing, put options, early exercise

19.

Early Resolution of Uncertainty: Evidence from Equity Options

Number of pages: 64 Posted: 02 Jan 2019 Last Revised: 28 Sep 2019
Kevin Aretz, Hening Liu, Shuwen Yang and Yuzhao Zhang
Alliance Manchester Business School, The University of Manchester - Alliance Manchester Business School, University of Science and Technology Beijing and Rutgers, The State University of New Jersey - Department of Finance
Downloads 222 (273,728)

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Consumption Growth, Option Returns, Recursive Utility, Volatility Risk

20.

Construction, Real Uncertainty, and Stock-Level Investment Anomalies

Forthcoming in the Journal of Financial and Quantitative Analysis, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 96 Posted: 14 Oct 2020 Last Revised: 14 Dec 2023
Kevin Aretz and Anastasios Kagkadis
Alliance Manchester Business School and University of Liverpool Management School
Downloads 205 (295,046)

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Asset pricing; real options; investment anomalies; newly-built capacity; uncertainty.

21.

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 - Lancaster University Management School
Downloads 196 (307,431)

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Inflation Target Zone, Symmetric Loss, Expected Inflation

22.

Technological Progress, Managerial Learning, and the Investment-to-Stock Price Sensitivity

Number of pages: 81 Posted: 23 Sep 2022 Last Revised: 02 May 2024
Kevin Aretz, Hassan Ilyas and Gaurav Kankanhalli
Alliance Manchester Business School, Cornell University, Samuel Curtis Johnson Graduate School of Management, Department of Finance and University of Pittsburgh - Katz Graduate School of Business
Downloads 189 (317,870)

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Managerial learning; Investment-to-stock price sensitivity; Capacity overhang; Technological progress; Innovation

23.

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 Edinburgh Napier University
Downloads 184 (325,627)
Citation 1

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

24.

Real Disinvestments and the Distress Anomaly: Evidence from Stocks, Bonds, and Loans

Proceedings of the 2021 Annual Meetings of the European Finance Association Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 68 Posted: 31 Oct 2019 Last Revised: 05 Mar 2024
Kevin Aretz, Shuwen Yang and Yafei Zhang
Alliance Manchester Business School, University of Science and Technology Beijing and The University of Manchester - Alliance Manchester Business School
Downloads 179 (333,810)

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G11, G12

25.

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 - Lancaster University Management School
Downloads 143 (403,341)

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Real GDP growth, Survey of Professional Forecasters, term structure

26.

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, Shantanu Banerjee and Shantanu Banerjee
Cardiff University Business School, Alliance Manchester Business School and Lancaster University - Department of Accounting and FinanceLancaster University - Management School
Downloads 136 (421,945)
Citation 1

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Risk-shifting, firm investment, expected volatility

27.

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, Shantanu Banerjee and Shantanu Banerjee
Cardiff University Business School, Alliance Manchester Business School and Lancaster University - Department of Accounting and FinanceLancaster University - Management School
Downloads 132 (429,377)
Citation 2

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agency conflicts, financial distress, firm investment, expected volatility

28.

Estimating and Forecasting Skewness Using Affine Stochastic Volatility Models

Number of pages: 55 Posted: 30 May 2024
Jiayu Jin, Kevin Aretz and Yifan Li
Newcastle University Business School, Alliance Manchester Business School and The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance
Downloads 45 (796,534)

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Skewness Estimation, Discrete Returns, Leverage Effect, Compounding Effect, Affine Stochastic Volatility Models