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
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SCHOLARLY PAPERS

27

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10,767

SSRN CITATIONS
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SSRN RANKINGS

Top 11,396

in Total Papers Citations

27

CROSSREF CITATIONS

79

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 (27)

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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 1,914 (12,122)
Citation 3

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

2.

Macroeconomic Risks and Characteristic-Based Factor Models

Downloads 1,841 ( 12,885)
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 1,841 (12,656)
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.

What Skewness Do Stock Markets Care About?

Number of pages: 89 Posted: 11 Sep 2014 Last Revised: 31 May 2022
Kevin Aretz and Yakup Eser Arısoy
Alliance Manchester Business School and NEOMA Business School
Downloads 888 (38,015)
Citation 2

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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 711 ( 51,245)
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 University of Warwick
Downloads 440 (92,392)
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 University of Warwick
Downloads 271 (157,414)
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 538 (73,222)

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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, 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 522 (75,976)

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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 482 (83,687)
Citation 3

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

8.

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 401 (103,762)
Citation 4

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

9.

Common Factors in Default Risk Across Countries and Industries

Downloads 399 (104,391)
Citation 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 399 (103,545)

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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 1

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default risk, country and industry factors, variance decompositions

10.

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

Downloads 397 (104,975)
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, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Manchester - Alliance Manchester Business School
Downloads 292 (145,766)
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, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Manchester - Alliance Manchester Business School
Downloads 105 (353,167)
Citation 2

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

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 Essex and Alliance Manchester Business School, University of Manchester
Downloads 293 (145,960)

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

12.

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 263 (162,899)

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

13.

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 247 (173,248)

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Characteristic anomalies, statistical leverage analysis, efficient markets

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, 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 231 (184,703)

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

15.

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 224 (190,132)
Citation 1

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Default risk premium, asset pricing, macroeconomic conditions

16.

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, 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 172 (240,928)

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Consumption Growth, Option Returns, Recursive Utility, Volatility Risk

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 - Lancaster University Management School
Downloads 171 (242,129)

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Inflation Target Zone, Symmetric Loss, Expected Inflation

18.

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 159 (257,477)
Citation 1

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

19.

The Early Exercise Risk Premium

Number of pages: 81 Posted: 16 Oct 2019 Last Revised: 15 Dec 2021
Kevin Aretz and Adnan Gazi
Alliance Manchester Business School and University of Liverpool Management School
Downloads 148 (272,787)
Citation 1

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

20.

Corporate Real Decisions and Seasonalities in Stock and Accounting Data

Number of pages: 53 Posted: 22 Mar 2021 Last Revised: 19 Apr 2022
Kevin Aretz, Hening Liu and Kevin Schneider
Alliance Manchester Business School, University of Manchester - Alliance Manchester Business School and Alliance Manchester Business School
Downloads 143 (280,258)

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Asset pricing, real options, seasonalities, dynamic operating leverage, output inventories.

21.

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, University of Manchester - Alliance Manchester Business School and University of Liverpool Management School
Downloads 131 (299,815)

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

22.

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 124 (312,335)

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Real GDP growth, Survey of Professional Forecasters, term structure

23.

Construction, Systematic Risk, and Stock-Level Investment Anomalies

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 88 Posted: 14 Oct 2020 Last Revised: 14 Mar 2022
Kevin Aretz and Anastasios Kagkadis
Alliance Manchester Business School and Lancaster University - Department of Accounting and Finance
Downloads 118 (323,617)

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Asset pricing, real options, investment anomalies, flexible capacity, time-to-build

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: 72 Posted: 31 Oct 2019 Last Revised: 19 Jul 2022
Kevin Aretz, Shuwen Yang and Yafei Zhang
Alliance Manchester Business School, University of Manchester - Alliance Manchester Business School and University of Manchester
Downloads 93 (379,184)

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G11, G12

25.

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 82 (409,133)
Citation 2

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agency conflicts, financial distress, firm investment, expected volatility

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 75 (430,485)
Citation 1

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Risk-shifting, firm investment, expected volatility

27.

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 - Lancaster University Management School
Downloads 0 (906,128)

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efficient markets, forecast evaluation, loss function, rationality