Jamie Alcock

University of Oxford

Mansfield Road

Oxford, Oxfordshire OX1 4AU

United Kingdom

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Scholarly Papers (32)

1.
Downloads 5,780 ( 1,809)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,780 (1,885)

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non-standard errors, multi-analyst approach, liquidity

2.

On the Capital Structure of Real Estate Firms

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 32 Posted: 23 Aug 2010 Last Revised: 05 Apr 2011
Jamie Alcock, Eva Steiner and Kelvin Jui Keng Tan
University of Oxford, Penn State Smeal College of Business and University of Queensland - Business School
Downloads 1,026 (31,013)
Citation 1

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Capital Structure, Leverage, Maturity, Real Estate Firms

3.

Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It?

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 03 May 2013
University of Queensland, University of Oxford, University of Queensland and University of Queensland
Downloads 573 (67,677)
Citation 5

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vine copula, clayton copula, asymmetric dependence, portfolio management, canonical vine, Conditional Value-At-Risk

4.

Nonparametric American Option Pricing

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 34 Posted: 18 Sep 2007
Jamie Alcock and Trent A. Carmichael
University of Oxford and University of Queensland
Downloads 374 (112,394)
Citation 1

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Option pricing, American options, nonparametric methods, entropy

5.

The Price of Earnings for Firms with Volatile Earnings Growth

Number of pages: 15 Posted: 15 May 2008
Jamie Alcock, Thomas Mollee and James Wood
University of Oxford, Meiji Institute for Advanced Study of Mathematical Sciences and University of New South Wales (UNSW)
Downloads 275 (155,769)
Citation 2

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PE ratio, volatile earnings growth, equity valuation, SEVM

6.

The Determinants of Debt Maturity in Australian Firms

Accounting & Finance, Forthcoming
Number of pages: 31 Posted: 19 Dec 2010
Jamie Alcock, Frank Finn and Kelvin Jui Keng Tan
University of Oxford, University of Queensland - Business School and University of Queensland - Business School
Downloads 257 (166,813)
Citation 1

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Debt Maturity, Capital Structure

7.

Quantifying the Advantage of Secondary Mathematics Study for Accounting and Finance Undergraduates

Accounting and Finance, Forthcoming
Number of pages: 29 Posted: 15 May 2008 Last Revised: 27 Aug 2008
Jamie Alcock, Sophie Cockcroft and Frank Finn
University of Oxford, University of Queensland - Business School and University of Queensland - Business School
Downloads 218 (195,378)

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Education, Finance, Accounting, Mathematics

8.

Future Earnings Growth Volatility and the Value Premium

24th Australasian Finance and Banking Conference 2011 Paper, Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 31 Posted: 22 Aug 2011 Last Revised: 16 Jan 2012
Jamie Alcock, Eva Steiner and Kelvin Jui Keng Tan
University of Oxford, Penn State Smeal College of Business and University of Queensland - Business School
Downloads 211 (201,294)
Citation 1

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Asset pricing, Fama-French factor model, market efficiency

9.

The Value of Managing Asymmetry Risk in a Portfolio of International Equity Indices

Number of pages: 36 Posted: 18 Sep 2007 Last Revised: 07 Apr 2008
University of Oxford and University of Queensland - Business SchoolCitigroup, Inc. - Citigroup - Sydney
Downloads 201 (210,551)
Citation 1

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Portfolio selection, Asymmetric dependence, Lower Tail Dependence, Copula functions, Conditional Value-at-Risk

10.

Extended Nonparametric American Option Pricing

Number of pages: 35 Posted: 29 Feb 2008
Jamie Alcock and Diana Auerswald
University of Oxford and Goethe University Frankfurt - Department of Finance
Downloads 169 (244,664)

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Nonparametric Option Pricing, American Options, Canonical Pricing

11.

Asymmetric Dependence between Domestic Equity Indices and its Effect on Portfolio Construction

Australian Actuarial Journal, Forthcoming
Number of pages: 38 Posted: 02 Feb 2009 Last Revised: 18 May 2009
University of Oxford and University of Queensland - Business SchoolCitigroup, Inc. - Citigroup - Sydney
Downloads 163 (252,207)

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Portfolio selection, Copula functions, Conditional Value-at-Risk, Asymmetric dependence

12.

Asset Price Bubbles in the Australian Market

CIFR Paper No. 119/2016
Number of pages: 154 Posted: 30 Aug 2016
University of Oxford, University of Iowa - Department of Finance, University of Sydney - Discipline of FinanceThe University of Sydney - Discipline of Finance, Macquarie University, University of Cambridge - Faculty of Economics and Politics, University of Sydney Business School, The University of Sydney - Discipline of Finance and University of Sydney - Business School - Finance Discipline
Downloads 155 (262,974)

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Asset Price bubbles, Markets

13.

Leverage, Volatile Future Earnings Growth and Expected Stock Returns

Number of pages: 47 Posted: 08 Aug 2014 Last Revised: 15 Aug 2014
Jamie Alcock, Eva Steiner and Kelvin Jui Keng Tan
University of Oxford, Penn State Smeal College of Business and University of Queensland - Business School
Downloads 152 (267,134)

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corporate leverage, default risk, earnings risk, earnings growth, value vs growth, stochastic earnings valuation model.

14.

The Influence of Customer-Supplier Linkages on Stock Returns

Number of pages: 42 Posted: 05 Aug 2014 Last Revised: 08 Aug 2014
Jamie Alcock and Ramona Meyricke
University of Oxford and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 134 (294,892)

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Customer-supplier linkages, economic linkages, diversification, stock returns

Unexpected Inflation, Capital Structure and Real Risk-Adjusted Firm Performance

Number of pages: 35 Posted: 25 Aug 2014
Jamie Alcock and Eva Steiner
University of Oxford and Penn State Smeal College of Business
Downloads 129 (304,799)

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REITs, leverage, inflation hedging, real risk-adjusted performance

Unexpected Inflation, Capital Structure, and Real Risk‐Adjusted Firm Performance

Abacus, Vol. 53, Issue 2, pp. 273-298, 2017
Number of pages: 26 Posted: 03 Jun 2017
Jamie Alcock and Eva Steiner
University of Oxford and Penn State Smeal College of Business
Downloads 0
Citation 1

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Capital structure, Inflation hedging, Nominal assets, Real risk‐adjusted performance, REITs

16.

Characterizing the Asymmetric Dependence Premium

Review of Finance, Forthcoming
Number of pages: 59 Posted: 07 Aug 2014 Last Revised: 12 Mar 2016
University of Oxford and University of Queensland - Business SchoolCitigroup, Inc. - Citigroup - Sydney
Downloads 127 (307,084)

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Asymmetric dependence, asset pricing, tail risk, downside risk, Beta, Adjusted-J statistic

17.

Debt Covenants, Agency Costs and Debt Maturity

Number of pages: 44 Posted: 20 Jun 2019
Jamie Alcock, Frank Finn and Kelvin Jui Keng Tan
University of Oxford, University of Queensland and University of Queensland - Business School
Downloads 116 (327,706)

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Debt Covenants, Debt Maturity, Leverage, Capital Structure, Agency Costs

18.

Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options

25th Australasian Finance and Banking Conference 2012
Number of pages: 30 Posted: 28 Aug 2012 Last Revised: 16 Feb 2013
Jamie Alcock and Godfrey Smith
University of Oxford and The University of Queensland
Downloads 110 (340,122)

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Nonparametric option pricing, Delta hedging, Canonical option pricing, Empirical Likelihood, Euclidean, Pearson's Chi-Squared, Cressie-Read

19.
Downloads 108 (344,325)
Citation 1

Fundamental Drivers of Dependence in REIT Returns

Number of pages: 46 Posted: 04 Oct 2015
Jamie Alcock and Eva Steiner
University of Oxford and Penn State Smeal College of Business
Downloads 108 (346,542)
Citation 1

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Portfolio Diversification, REITs, Real estate as an asset class

Fundamental Drivers of Dependence in REIT Returns

Journal of Real Estate Finance and Economics, Vol. 57, No. 1, 2018
Posted: 24 Aug 2018
Jamie Alcock and Eva Steiner
University of Oxford and Penn State Smeal College of Business

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Portfolio Diversification; REITs, Real Estate as an Asset Class

20.

Strategic Liquidation of a Limited Liability Firm

Number of pages: 43 Posted: 06 Feb 2015 Last Revised: 24 Feb 2015
University of Oxford, University of Queensland - Business School and University of Queensland - Business School
Downloads 103 (355,426)

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Voluntary liquidation, stochastic earnings model, American-Asian option

21.

Empirical Tests of Canonical Nonparametric American Option Pricing Methods

Number of pages: 28 Posted: 16 May 2009
Jamie Alcock and Diana Auerswald
University of Oxford and Goethe University Frankfurt - Department of Finance
Downloads 102 (357,707)
Citation 2

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Nonparametric option pricing, American options, S&P100 Index, OEX options

22.

International determinants of asymmetric dependence in investment returns

Journal of International Money and Finance, Vol. 122, April 2022
Number of pages: 51 Posted: 29 Apr 2020 Last Revised: 05 Jan 2022
Jamie Alcock and Petra Sinagl
University of Oxford and University of Iowa - Department of Finance
Downloads 50 (524,421)
Citation 1

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International Asset Pricing, Asymmetric Dependence, State-Dependent Return Correlations

23.

Progressive Income Tax and Risky Personal Income: A Real Options Perspective

Number of pages: 19 Posted: 13 Jan 2016
Jamie Alcock
University of Oxford
Downloads 41 (567,315)
Citation 1

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Progressive Income Taxation, Call Options

24.

Non-Parametric American Option Valuation Using Cressie-Read Divergences

Number of pages: 31 Posted: 13 Jan 2016 Last Revised: 14 Mar 2016
Jamie Alcock and Godfrey Smith
University of Oxford and The University of Queensland
Downloads 21 (693,970)

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25.

Forecasting Stock Returns Using Model-Selection Criteria

Number of pages: 17 Posted: 20 May 2005
Jamie Alcock and Philip Gray
University of Oxford and Department of Banking and Finance, Monash University
Downloads 18 (717,737)

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26.

The Interrelationships between REIT Capital Structure and Investment

Abacus, Vol. 53, Issue 3, pp. 371-394, 2017
Number of pages: 24 Posted: 20 Sep 2017
Jamie Alcock and Eva Steiner
University of Oxford and Penn State Smeal College of Business
Downloads 1 (890,552)
Citation 2

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Agency conflict, Capital structure, Investment, Leverage, Maturity, REITs

27.

Testing Price Bubbles in Australian Listed Equities and A-REIT Markets

The Australasian Journal of Applied Finance, Issue 3(Article 2): 9-16, 2019
Posted: 01 Jun 2020
University of Oxford, University of Sydney - Discipline of FinanceThe University of Sydney - Discipline of Finance, The University of Sydney, The University of Sydney - Discipline of Finance, University of Sydney Business School and University of Sydney - Business School - Finance Discipline

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Price Bubbles, Financial Stability, A-REIT Markets, Detection Methodologies

28.

Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis

Journal of Real Estate Finance and Economics, Vol. 56, No. 2, 2018
Posted: 25 Feb 2018
Jamie Alcock and Petra Sinagl
University of Oxford and University of Iowa - Department of Finance

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REITs; Asymmetric dependence; Asset pricing; Tail risk; downside risk; B; Jadj

29.

Joint Leverage and Maturity Choices in Real Estate Firms: The Role of the REIT Status

Journal of Real Estate Finance and Economics, 2014, 48(1), 57-78
Posted: 03 Dec 2013 Last Revised: 10 Oct 2014
Jamie Alcock, Eva Steiner and Kelvin Jui Keng Tan
University of Oxford, Penn State Smeal College of Business and University of Queensland - Business School

Abstract:

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Leverage; Debt maturity; Capital structure

30.

Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence

Journal of Real Estate Finance and Economics, Vol. 47, No. 3, 2013
Posted: 04 Sep 2013
Jamie Alcock, John L. Glascock and Eva Steiner
University of Oxford, University of Connecticut - School of Business - Center for Real Estate and Urban Economic Studies and Penn State Smeal College of Business

Abstract:

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real estate, performance valuation, manipulation

31.

The Role of Financial Leverage in the Performance of Private Equity Real Estate Funds

Journal of Portfolio Management, 2013, 39(5), 99-110
Posted: 08 Feb 2013 Last Revised: 20 Feb 2014
University of Oxford, University of Oxford, Said Business School, Property Funds Research and Penn State Smeal College of Business

Abstract:

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Private equity real estate funds, performance analysis, financial leverage

32.

Mismatched! An Empirical Examination of Traditional Debt Maturity Theories in Australian Firms

Second Singapore International Conference on Finance 2008
Posted: 25 Jan 2008 Last Revised: 19 Dec 2010
Jamie Alcock, Frank Finn and Kelvin Jui Keng Tan
University of Oxford, University of Queensland - Business School and University of Queensland - Business School

Abstract:

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Debt Maturity, Capital Structure, Imperfect Markets