Andrew Vivian

Loughborough University

The Business School

Ashby Road

Loughborough LE11 3TU

Great Britain

SCHOLARLY PAPERS

10

DOWNLOADS

1,789

SSRN CITATIONS
Rank 43,618

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Top 43,618

in Total Papers Citations

17

CROSSREF CITATIONS

3

Scholarly Papers (10)

1.

Forecasting Returns: New European Evidence

Number of pages: 42 Posted: 07 Nov 2012
Steven J. Jordan, Andrew Vivian and Mark E. Wohar
Econometric Solutions, Loughborough University and University of Nebraska at Omaha
Downloads 345 (160,539)
Citation 6

Abstract:

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Return forecasting, Fundamental ratios, Macro variables, Technical indicators, Europe, Emerging markets

2.

Predictability and Underreaction in Industry-Level Returns: Evidence from Commodity Markets

Number of pages: 47 Posted: 16 Feb 2012 Last Revised: 12 Sep 2013
Board of Governors of the Federal Reserve System, Loughborough University and University of Nebraska at Omaha
Downloads 298 (187,645)
Citation 1

Abstract:

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Asset pricing, Commodity markets, Equity markets, Industry-level returns, Information and market efficiency, Predictability, Underreaction

3.

Forecasting Realized Volatility with wavelet decomposition

Number of pages: 48 Posted: 15 Nov 2020 Last Revised: 01 Mar 2021
Ioannis Souropanis and Andrew Vivian
Loughborough Univesity and Loughborough University
Downloads 296 (188,975)

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Realized Volatility, Technical Indicators, Volatility Forecasting, Wavelet Decomposition, Asymmetric Effects

4.

The Equity Premium: 100 Years of Empirical Evidence from the UK

Number of pages: 51 Posted: 05 Aug 2005 Last Revised: 22 Mar 2011
Andrew Vivian
Loughborough University
Downloads 287 (195,154)
Citation 3

Abstract:

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Equity Premium, Expected Returns, Dividend Growth Predictability

5.

Financial Data Science: The Birth of a New Financial Research Paradigm Complementing Econometrics?

The European Journal of Finance, Forthcoming
Number of pages: 21 Posted: 14 May 2020
University of Bristol - School of Economics, Finance and Management, Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 168 (323,146)
Citation 4

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Big Data, Econometrics, Financial Data Science, Statistical Relevance, Statistical Significance Levels

6.

Economically-Linked Economies and Forecasting Chinese Stock Returns

Number of pages: 21 Posted: 07 Nov 2012
Steven J. Jordan, Mark E. Wohar and Andrew Vivian
Econometric Solutions, University of Nebraska at Omaha and Loughborough University
Downloads 149 (357,428)

Abstract:

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China, forecast, import, export, macroeconomics, forecast combinations

7.

Significance, Relevance and Explainability in the Machine Learning Age: An Econometrics and Financial Data Science Perspective

Forthcoming, European Journal of Finance
Number of pages: 14 Posted: 15 Dec 2020
Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 98 (489,212)

Abstract:

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explainability, explainable artificial intelligence (xai), neural networks, relevance, regressions, significance

8.

Can Return Forecasts Enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach

Number of pages: 59 Posted: 04 Aug 2022 Last Revised: 18 Jul 2023
Ilias Chondrogiannis, Andrew Vivian and Mark E. Wohar
University College London - School of Slavonic and East European Studies, Loughborough University and University of Nebraska at Omaha
Downloads 84 (539,102)

Abstract:

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Return forecasting, Sum of the Parts, Global asset allocation, EMD, International portfolio optimisation

Are Fund Managers Incentivised to Ignore Stock Market Jumps?

Number of pages: 53 Posted: 10 Sep 2021 Last Revised: 05 Jan 2023
University College London - School of Slavonic and East European Studies, University of York and Loughborough University
Downloads 45 (754,351)

Abstract:

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finance, jump-diffusion, manager incentives, portfolio optimisation, risk management

Are Fund Managers Incentivised to Ignore Stock Market Jumps?

The European Journal of Finance, 2023, DOI: 10.1080/1351847X.2022.2156804
Number of pages: 53 Posted: 04 Jan 2023 Last Revised: 05 Jan 2023
University College London - School of Slavonic and East European Studies, University of York and Loughborough University
Downloads 19 (981,669)

Abstract:

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Manager incentives, jump diffusion, portfolio optimisation, risk management, tail risk, clawbacks

10.

The Aggregate Earnings-Return Relationship: A Global Perspective

Posted: 23 Jun 2011
Andrew Vivian and Xiaoquan Jiang
Loughborough University and Florida International University (FIU) - Department of Finance

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global aggregate earnings-return relation, ERC, return decomposition