Gordon Gemmill

Warwick Business School

University of Warwick

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

23

DOWNLOADS
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SSRN RANKINGS

Top 3,659

in Total Papers Downloads

8,352

CITATIONS
Rank 16,311

SSRN RANKINGS

Top 16,311

in Total Papers Citations

21

Scholarly Papers (23)

1.

Why are Some Issues of Convertibles Callable and Others Not?

Number of pages: 41 Posted: 07 Oct 2012
affiliation not provided to SSRN, Warwick Business School and University of Warwick - Finance Group
Downloads 1,984 (5,154)

Abstract:

Adverse selection, Convertible Bonds, Financial Distress Costs

2.

Capital Structure and Firm Value: A Study of Split-Capital Closed-End Funds in the UK

EFMA 2001 Lugano Meetings
Number of pages: 25 Posted: 04 May 2001
Gordon Gemmill
Warwick Business School
Downloads 1,459 (7,971)

Abstract:

capital structure, closed-end fund, discount, option, leverage, prime, score

3.

Sentiment, Expenses and Arbitrage in Explaining the Discount on Closed-End Funds

Cass Business School Research Paper
Number of pages: 51 Posted: 20 Apr 2000
Gordon Gemmill and Dylan C. Thomas
Warwick Business School and Queen Mary Unversity of London
Downloads 901 (18,705)
Citation 6

Abstract:

Sentiment, discount, closed-end fund, agency cost, arbitrage, cointegration

4.

Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds

EFMA 2002 London Meetings
Number of pages: 26 Posted: 16 Jun 2002
Gordon Gemmill
Warwick Business School
Downloads 671 (27,487)
Citation 6

Abstract:

spread, bond, credit-risk, Merton, closed-end fund

5.

Financial Engineering and Firm Value: Split-Capital Closed-End Funds in the UK

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 30 Posted: 04 Mar 2002
Gordon Gemmill
Warwick Business School
Downloads 525 (38,841)

Abstract:

Financial engineering, capital structure, closed-end fund, disount, option, leverage, prime, score

6.

What Drives Credit Risk in Emerging Markets? The Role of Country Fundamentals and Market Co-movements

EFMA 2004 Basel Meetings Paper, Cass Business School Research Paper
Number of pages: 47 Posted: 14 May 2004
R. Diana Diaz-Ledezma and Gordon Gemmill
Cass Business School of City University - Faculty of Finance and Warwick Business School
Downloads 464 (45,721)

Abstract:

7.

Downside Risk, Liquidity and the Size of Credit Spreads

Number of pages: 36 Posted: 16 Feb 2009 Last Revised: 25 Oct 2009
Aneel Keswani and Gordon Gemmill
Faculty of Finance, Cass Business School, City University, London and Warwick Business School
Downloads 364 (63,159)
Citation 2

Abstract:

Bond, idiosyncratic risk, downside risk, value-at-risk, credit spread puzzle, pricing kernel, Merton model, liquidity

8.

Why Do Repurchases Affect Share Prices? New Evidence from Closed-End Funds

EFA 2007 Ljubljana Meetings Paper
Number of pages: 57 Posted: 27 Feb 2007
Gordon Gemmill, Dylan C. Thomas and Jingfeng An
Warwick Business School, Queen Mary Unversity of London and City University London - Sir John Cass Business School
Downloads 313 (73,611)

Abstract:

repurchases, long-term performance, closed-end funds, governance, fund management

9.

Does Governance Affect the Performance of Closed-End Funds?

EFMA 2004 Basel Meetings Paper, Cass Business School Research Paper
Number of pages: 31 Posted: 28 May 2004
Gordon Gemmill and Dylan C. Thomas
Warwick Business School and Queen Mary Unversity of London
Downloads 290 (79,661)

Abstract:

10.

Can Structural Models Explain Prices of Sovereign Bonds?

Data Not Availalbe, Cass Business School Research Paper
Number of pages: 36 Posted: 14 Jun 2003
R. Diana Diaz-Ledezma and Gordon Gemmill
Cass Business School of City University - Faculty of Finance and Warwick Business School
Downloads 187 (126,047)

Abstract:

Structural Models, Distance-to-Default, Kalman Filter.

11.
Downloads 184 (130,598)
Citation 2

Performance Measurement with Loss Aversion

Cass Business School Research Paper
Number of pages: 47 Posted: 12 Mar 2005
Gordon Gemmill, Mark Salmon and Soosung Hwang
Warwick Business School, University of Cambridge - Faculty of Economics and Politics and Sungkyunkwan University - Department of Economics
Downloads 156 (151,450)
Citation 2

Abstract:

Behavioral Finance, Mutual Funds

Performance Measurement with Loss-Aversion

CEPR Discussion Paper No. 5173
Number of pages: 42 Posted: 25 Aug 2005
Gordon Gemmill, Mark Salmon and Soosung Hwang
Warwick Business School, University of Cambridge - Faculty of Economics and Politics and Sungkyunkwan University - Department of Economics
Downloads 28 (397,645)
Citation 2

Abstract:

Performance measurement, loss-aversion, prospect theory, closed-end-fund puzzle

12.

Arbitrage, Idiosyncratic Risk and the Rationality of Discounts on Closed-End Funds

Number of pages: 38 Posted: 15 Mar 2011
Gordon Gemmill and Dylan C. Thomas
Warwick Business School and Queen Mary Unversity of London
Downloads 171 (124,225)

Abstract:

Discount, closed-end fund, idiosyncratic risk, behavioral, rational

13.

Catering for Dividends by Stripping Mutual-Fund Portfolios

Number of pages: 43 Posted: 29 Sep 2005
Gordon Gemmill
Warwick Business School
Downloads 151 (145,669)

Abstract:

Dividends, catering, mutual fund, corporate finance, behavioral finance

14.

The Equity-Smile and Credit-Spread Puzzles: Are They One and the Same?

Number of pages: 39 Posted: 12 Mar 2010
Gordon Gemmill and Yiran Yang
Warwick Business School and Deutsche Bank
Downloads 114 (181,332)
Citation 1

Abstract:

credit spread, implied volatility surface, volatility smile, pricing kernel, bond, equity-index option

15.

Why are Convertible Bonds Called Late: Is it Notice Period or the Risk of Financial Distress?

Number of pages: 31 Posted: 16 Feb 2010
Pollarat Ekkaryokkaya and Gordon Gemmill
Warwick Business School and Warwick Business School
Downloads 93 (213,622)

Abstract:

convertible bonds, late calls, financial distress costs

16.

Explaining CDS Prices Before and After the Lehman Default with a Simple Structural Model

Number of pages: 55 Posted: 07 Feb 2014 Last Revised: 04 Mar 2014
Gordon Gemmill and Miriam Marra
Warwick Business School and University of Reading - ICMA Centre
Downloads 67 (195,773)

Abstract:

CDS, Merton Model, Credit Spread Puzzle, Volatility Smirk, Tail Risk, Illiquidity, Uncertainty, Idiosyncratic Factors

17.

Are IPO Investors Rational? Evidence from Closed-End Funds

European Journal of Finance, Forthcoming
Number of pages: 44 Posted: 28 Jan 2013 Last Revised: 08 Feb 2016
Gordon Gemmill and Dylan C. Thomas
Warwick Business School and Queen Mary Unversity of London
Downloads 62 (246,730)

Abstract:

sentiment, closed-end funds, IPOs

18.

The Impact of Corporate Governance on Closed-End Funds

European Financial Management, Vol. 12, No. 5, pp. 725-746, November 2006
Number of pages: 22 Posted: 23 Oct 2006
Gordon Gemmill and Dylan C. Thomas
Warwick Business School and Queen Mary Unversity of London
Downloads 15 (451,214)
Citation 3

Abstract:

19.

Fund Mortality and Fair Discounts on Closed-End Funds

Number of pages: 38 Posted: 03 Feb 2017
Gordon Gemmill and Dylan C. Thomas
Warwick Business School and Queen Mary Unversity of London
Downloads 0 (466,508)

Abstract:

Discount, Closed-End Fund, Life Expectancy, Arbitrage, Rationality

20.

The Agency Effect of Repurchases on Closed‐End Funds

European Financial Management, Vol. 18, Issue 2, pp. 240-270, 2012
Number of pages: 31 Posted: 17 Mar 2012
Jingfeng An, Gordon Gemmill and Dylan C. Thomas
City University London - Sir John Cass Business School, Warwick Business School and Queen Mary Unversity of London
Downloads 0 (532,717)
Citation 1

Abstract:

repurchases, agency problem, closed‐end funds

21.

The Behaviour of Discounts on Closed-End Mutual Funds in the UK and US

Posted: 13 Mar 2010
Gordon Gemmill and Dylan C. Thomas
Warwick Business School and Queen Mary Unversity of London

Abstract:

closed-end fund discount, mean reversion, arbitrage

22.

Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed-end Funds

The Journal of Finance, Vol. 57, pp. 2571-2594, 2002, Cass Business School Research Paper
Posted: 27 May 2003
Gordon Gemmill and Dylan C. Thomas
Warwick Business School and Queen Mary Unversity of London

Abstract:

23.

Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules

J. OF FINANCE, Vol. 51 No. 5, December 1996
Posted: 19 Mar 1997
Gordon Gemmill
Warwick Business School

Abstract: