Gordon Gemmill

Warwick Business School

University of Warwick

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

24

DOWNLOADS
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Top 4,630

in Total Papers Downloads

8,842

SSRN CITATIONS
Rank 17,518

SSRN RANKINGS

Top 17,518

in Total Papers Citations

1

CROSSREF CITATIONS

45

Scholarly Papers (24)

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 2,033 (7,068)

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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 1,661 (9,938)
Citation 1

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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 930 (24,235)
Citation 7

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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 745 (33,057)
Citation 5

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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 555 (48,938)

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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 490 (57,324)
Citation 2

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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 373 (79,552)

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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 328 (92,090)

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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 324 (93,369)
Citation 5

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10.
Downloads 204 (150,157)
Citation 5

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 176 (171,869)
Citation 1

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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 (494,405)
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Performance measurement, loss-aversion, prospect theory, closed-end-fund puzzle

11.

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 201 (152,229)
Citation 4

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

12.

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 199 (154,447)

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

13.

Catering for Dividends by Stripping Mutual-Fund Portfolios

Number of pages: 43 Posted: 29 Sep 2005
Gordon Gemmill
Warwick Business School
Downloads 179 (169,273)
Citation 5

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

14.

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 148 (199,153)

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

15.

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 131 (219,757)
Citation 2

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

16.

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 111 (248,450)
Citation 1

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convertible bonds, late calls, financial distress costs

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 95 (276,256)

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sentiment, closed-end funds, IPOs

18.

Fund Mortality and Fair Discounts on Closed-End Funds

Number of pages: 41 Posted: 03 Feb 2017 Last Revised: 19 Apr 2018
Gordon Gemmill and Dylan C. Thomas
Warwick Business School and Queen Mary Unversity of London
Downloads 73 (324,248)
Citation 1

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

19.

Behavioural Biases and the Pricing-Kernel Puzzle

Number of pages: 38 Posted: 17 Aug 2017
Gordon Gemmill
Warwick Business School
Downloads 46 (405,190)

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Pricing Kernel, Options, Subjective Probability, Volatility Risk

20.

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 16 (549,564)
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21.

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 (674,029)
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repurchases, agency problem, closed‐end funds

22.

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

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closed-end fund discount, mean reversion, arbitrage

23.

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

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24.

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

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