Neil Kellard

University of Essex - Essex Business School

Professor

Wivenhoe Park

Colchester CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 41,309

SSRN RANKINGS

Top 41,309

in Total Papers Downloads

2,277

SSRN CITATIONS
Rank 35,254

SSRN RANKINGS

Top 35,254

in Total Papers Citations

28

CROSSREF CITATIONS

1

Scholarly Papers (17)

1.

Predicting the Equity Premium with Dividend Ratios: Reconciling the Evidence

A revised version appears in the Journal of Empirical Finance, Vol. 17, No. 4, 2010
Number of pages: 33 Posted: 19 Feb 2009 Last Revised: 04 Nov 2014
University of Essex - Essex Business School, University of Essex - Department of Accounting, Finance & Management and Business School, University of Aberdeen
Downloads 1,028 (41,527)
Citation 6

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Equity Premium, Stock Return Predictability, Dividend Ratios, Out-of-Sample Prediction

2.

Close Connections: Hedge Funds, Brokers and the Emergence of a Consensus Trade

Number of pages: 33 Posted: 22 May 2012 Last Revised: 05 Jun 2012
Jan Simon, Yuval Millo, Neil Kellard and Ofer Engel
Simon Fraser University (SFU) - Beedie School of Business, London School of Economics & Political Science (LSE) - Accounting Department, University of Essex - Essex Business School and London School of Economics & Political Science (LSE) - Department of Management
Downloads 243 (234,135)
Citation 4

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hedge funds, decision making, sociology of financial markets, social networks

3.

Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation

Number of pages: 30 Posted: 06 Mar 2007 Last Revised: 26 Mar 2008
University of Essex - Essex Business School, John Moores University - Business School and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 209 (270,181)
Citation 5

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market efficiency, traded volatility, narrow band least squares, fractional cointegration, bootstrap

4.

Erratum to 'The Prebisch-Singer Hypothesis: Four Centuries of Evidence' (Review of Economics and Statistics, 2010, 92, 367-377)

Number of pages: 5 Posted: 31 Jan 2013
University of Nottingham - School of Economics, University of Essex - Essex Business School, Monash University and University of Nebraska at Omaha
Downloads 193 (290,526)
Citation 22

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5.

Explaining Bias in the Foreign Exchange Market: The Case of Traded Volatility and Fractional Cointegration

Number of pages: 36 Posted: 14 May 2004
Neil Kellard and Nicholas Sarantis
University of Essex - Essex Business School and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 173 (320,091)

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market efficiency, traded volatility, fractional cointegration, Monte Carlo simulation, risk premium

High Frequency Trading and Stock Herding

Number of pages: 54 Posted: 20 Dec 2023
University of Essex - Essex Business School, University of Essex - Essex Business School, Vlerick Business School and Audencia Nantes School of Management
Downloads 59 (681,175)

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High Frequency Trading, HFT, herding, Colocation, Information cascades, Fundamental information

High Frequency Trading and Stock Herding

Number of pages: 53 Posted: 01 Dec 2023
University of Essex - Essex Business School, University of Essex - Essex Business School, Vlerick Business School and Audencia Nantes School of Management
Downloads 44 (772,825)

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High Frequency Trading; HFT; Herding; Colocation; Information cascades; Fundamental information

7.

Private Equity in a Crisis: How Do Investors Respond to Government Intervention?

Number of pages: 70 Posted: 19 Jan 2024
University of Essex - Essex Business School, University of Essex, University of Duisburg-Essen, Heriot-Watt University - Department of Accountancy, Economics and Finance and Western University
Downloads 77 (576,120)

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Private Equity, Venture Capital, Crisis, Government support

8.

Finance-Inequality Nexus: the long and the short of it

WP Nº 19-002, Working Papers in Responsible Banking & Finance, University of St Andrews, Forthcoming
Number of pages: 39 Posted: 29 Nov 2018
Nottingham Business School, University of Essex - Essex Business School and University of Glasgow - Adam Smith Business School
Downloads 44 (754,307)

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Income Distribution, Income Inequality, Financial Development, Education

9.

How does standardization affect OTC markets? Evidence from the Small Bang reform in the CDS market

Number of pages: 49 Posted: 16 Aug 2021
Radu-Dragomir Manac, Chiara Banti and Neil Kellard
University of Essex, University of Essex and University of Essex - Essex Business School
Downloads 41 (775,554)

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10.

Multivariate Range-Based Egarch Models

Number of pages: 51 Posted: 02 Dec 2022
Lili Yan, Neil Kellard and Lyudmyla Lambercy
University of Greenwich, University of Essex - Essex Business School and University of Essex
Downloads 34 (828,869)

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range-based covariance forecasting, EGARCH, DCC, EWMA, portfolio modelling

11.

Credit Default Swap Spreads: Funding Liquidity Matters!

Essex Finance Centre Working Paper Series No. 23321, University of Essex, Essex Business School
Number of pages: 40 Posted: 28 Nov 2018
Chiara Banti, Neil Kellard and Radu-Dragomir Manac
University of Essex, University of Essex - Essex Business School and University of Essex
Downloads 34 (828,869)

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CDS Spreads, CDS Small Bang, Funding Liquidity

12.

Which Oil Shocks are Recessionary, and Which are Inflationary

Number of pages: 37 Posted: 24 Jul 2023
University of East Anglia (UEA) - Norwich Business School, IESEG School of Management and University of Essex - Essex Business School
Downloads 33 (836,989)

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G17, E2, E31, E32, Q43

13.

Institutional Settings and Financing Green Innovation

Number of pages: 58 Posted: 15 Feb 2023
affiliation not provided to SSRN, University of Essex - Essex Business School, University of Essex, affiliation not provided to SSRN and Western University
Downloads 33 (836,989)

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Green innovation, Liberal and coordinated markets, varieties of capitalism, Financial market depth, corporate governance

14.

Oil Price Uncertainty and the Macroeconomy

Number of pages: 48 Posted: 16 Apr 2024
IESEG School of Management, University of East Anglia (UEA) - Norwich Business School and University of Essex - Essex Business School
Downloads 16 (997,147)

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Oil market, Uncertainty, Realized Variance, Economic Activity

15.

Institutional Settings and Financing Green Innovation

Journal of International Financial Markets, Institutions and Money, Volume 89, December 2023, 101853
Number of pages: 20 Posted: 16 Apr 2024
University of Essex - Essex Business School, University of Essex, University of Duisburg-Essen, Heriot-Watt University - Department of Accountancy, Economics and Finance and Western University
Downloads 16 (997,147)

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Green innovation, Liberal and Coordinated Markets, Varieties of capitalism, Financial market depth, Corporate governance

16.

Hedge Funds and Herding Behaviour

Kellard, N.M. "Hedge Funds and Herding Behaviour," in The Oxford Handbook of Hedge Funds. Editors: D. Cumming, S. Johan and G. Wood, 2021. Oxford University Press, Oxford and New York.
Posted: 03 Mar 2022
Neil Kellard
University of Essex - Essex Business School

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Hedge funds, Herding, Consensus trades, Hyper Decision-Making, Network risk

17.

Corporate Environmental Proactivity: Evidence from the European Union’s Emissions Trading System

Forthcoming in British Journal of Management
Posted: 28 May 2019
Panayiotis C. Andreou and Neil Kellard
Cyprus University of Technology and University of Essex - Essex Business School

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Environmental policy, Proactiveness, EU ETS, Greenhouse gas emissions, Firm performance

Other Papers (1)

Total Downloads: 132
1.

Foreign Exchange, Fractional Cointegration and the Implied-Realised Volatility Relation

Number of pages: 26 Posted: 04 Mar 2005
University of Essex - Essex Business School, John Moores University - Business School and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 132

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market efficiency, traded volatility, fractional cointegration