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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8,623

CITATIONS
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in Total Papers Citations

68

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 1,739 (9,035)
Citation 1

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

2.

Macroeconomic Risks and Characteristic-Based Factor Models

Downloads 1,718 ( 9,231)

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 1,718 (9,046)
Citation 2

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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 845 (27,368)

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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 508 ( 53,892)
Citation 2

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 349 (84,017)
Citation 1

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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 159 (185,194)
Citation 2

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Overnight returns, asset pricing, return factors

5.

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 499 (55,090)

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

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 468 (59,741)

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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 405 (71,262)

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

8.

Common Factors in Default Risk Across Countries and Industries

Downloads 366 ( 80,151)
Citation 9

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 366 (79,462)

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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
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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 358 (82,209)
Citation 1

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

10.

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

Downloads 246 (123,379)
Citation 5

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, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Manchester - Alliance Manchester Business School
Downloads 178 (167,732)
Citation 3

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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 68 (336,432)
Citation 1

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

11.

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 236 (128,665)

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

12.

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 (130,858)

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Characteristic anomalies, statistical leverage analysis, efficient markets

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 202 (149,391)
Citation 1

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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 181 (165,239)

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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 165 (179,211)
Citation 1

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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 135 (211,580)
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 88 (285,979)

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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 (351,596)

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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 59 (357,375)

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agency conflicts, financial distress, firm investment, expected volatility

20.

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 58 (360,388)

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Consumption Growth, Option Returns, Recursive Utility, Volatility Risk

21.

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 (372,944)

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Risk-shifting, firm investment, expected volatility

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 (666,078)
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efficient markets, forecast evaluation, loss function, rationality