Dennis Philip

Durham University - Department of Economics and Finance

Professor

Department of Economics and Finance

Mill Hill Lane

Durham, DH1 3LB

United Kingdom

SCHOLARLY PAPERS

24

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CITATIONS
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SSRN RANKINGS

Top 23,226

in Total Papers Citations

27

Scholarly Papers (24)

Dispersion in Options Investors’ Versus Analysts’ Expectations: Predictive Inference for Stock Returns

Number of pages: 35 Posted: 17 Jan 2014 Last Revised: 15 Aug 2019
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University - Department of Economics and Finance
Downloads 993 (21,329)
Citation 3

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Dispersion in beliefs; Predictability of stock returns; Equity premium; Trading volume dispersion; Out-of-sample predictability; Economic signi ficance

Dispersion in Options Investors’ Versus Analysts’ Expectations: Predictive Inference for Stock Returns

Number of pages: 35 Posted: 06 Oct 2014 Last Revised: 15 Aug 2019
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University - Department of Economics and Finance
Downloads 112 (244,926)
Citation 2

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Dispersion in beliefs; Predictability of stock returns; Equity premium; Trading volume dispersion; Out-of-sample predictability; Economic significance

2.
Downloads 865 ( 26,504)

New Factor Models and the APT

Number of pages: 57 Posted: 12 Dec 2016 Last Revised: 19 Jul 2019
Ilan Cooper, Liang Ma, Paulo F. Maio and Dennis Philip
BI Norwegian Business School, University of South Carolina - Darla Moore School of Business, Hanken School of Economics - Department of Finance and Statistics and Durham University - Department of Economics and Finance
Downloads 604 (42,657)

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asset pricing; linear multifactor models; APT; equity risk factors; stock market anomalies; cross-section of stock returns; principal components

New Factor Models and the APT

Number of pages: 57 Posted: 27 May 2016 Last Revised: 19 Jul 2019
Ilan Cooper, Liang Ma, Paulo F. Maio and Dennis Philip
BI Norwegian Business School, University of South Carolina - Darla Moore School of Business, Hanken School of Economics - Department of Finance and Statistics and Durham University - Department of Economics and Finance
Downloads 261 (115,647)

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asset pricing; linear multifactor models; APT; equity risk factors; stock market anomalies; cross-section of stock returns; principal components

Media Content and Stock Returns: The Predictive Power of Press

Multinational Finance Journal, Forthcoming, Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 29 Posted: 18 Jul 2012 Last Revised: 23 Nov 2014
University of Cambridge - Judge Business School, Durham University - Department of Economics and Finance, Renmin University of China - School of Finance and Durham Business School
Downloads 407 (70,473)

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news media, stock returns, textual analysis, news-based trading strategy

Media Content and Stock Returns: The Predictive Power of Press

Multinational Finance Journal, Vol. 19, No. 1, p. 1-31, 2015
Number of pages: 31 Posted: 28 May 2015
University of Cambridge - Judge Business School, Durham University - Department of Economics and Finance, Renmin University of China - School of Finance and Durham Business School
Downloads 330 (89,676)

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news media content, stock returns, textual analysis, news-based trading strategy

4.

Macro Variables and the Components of Stock Returns

Journal of Empirical Finance, Forthcoming
Number of pages: 58 Posted: 15 Mar 2012 Last Revised: 02 Apr 2015
Paulo F. Maio and Dennis Philip
Hanken School of Economics - Department of Finance and Statistics and Durham University - Department of Economics and Finance
Downloads 551 (48,707)

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asset pricing, macroeconomy and stock returns, return decomposition, stock return predictability, discount-rate news, cash-flow news, Intertemporal CAPM, cross-section of stock returns, factor analysis

5.

Bank Loan Loss Accounting Treatments, Credit Cycles and Crash Risk

London Business School Accounting Research Paper Series
Number of pages: 54 Posted: 03 Aug 2015 Last Revised: 22 Feb 2017
Cyprus University of Technology, London Business School, Cyprus University of Technology and Durham University - Department of Economics and Finance
Downloads 410 (70,245)

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Accounting conservatism, loan loss accounting, bank lending, crash risk

6.

Economic Activity and Momentum Profits: Further Evidence

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 29 Apr 2013 Last Revised: 19 Feb 2018
Paulo F. Maio and Dennis Philip
Hanken School of Economics - Department of Finance and Statistics and Durham University - Department of Economics and Finance
Downloads 406 (71,128)
Citation 1

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momentum; industry momentum; asset pricing; cross-section of stock returns; Intertemporal CAPM; macro risk factors; linear multifactor models; predictability of stock returns

7.

Differences in Options Investors' Expectations and the Cross-Section of Stock Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 82 Posted: 17 Apr 2015 Last Revised: 02 Sep 2018
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Durham University - Department of Economics and Finance and Durham University Business School
Downloads 380 (76,739)

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Dispersion of Beliefs; Disagreement in Options Market; Cross-Section of Stock Returns; Equity Options; Option Trading Volume

CEO Duality, Agency Costs, and Internal Capital Allocation Efficiency

Forthcoming, British Journal of Management
Number of pages: 38 Posted: 07 Nov 2016 Last Revised: 28 Nov 2017
WHU - Otto Beisheim School of Management, Cyprus University of Technology, University of Central Lancashire and Durham University - Department of Economics and Finance
Downloads 368 (79,030)
Citation 2

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CEO duality; Internal capital allocation; Investment efficiency; Agency costs; Board structure; Equity-based compensation

CEO Duality, Agency Costs, and Internal Capital Allocation Efficiency

British Journal of Management, Vol. 30, Issue 2, pp. 473-493, 2019
Number of pages: 21 Posted: 11 May 2019
WHU - Otto Beisheim School of Management, Cyprus University of Technology, University of Central Lancashire and Durham University - Department of Economics and Finance
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9.

Does Dividend Policy Lead the Economy?

Number of pages: 59 Posted: 30 May 2013 Last Revised: 01 Nov 2014
Paulo F. Maio and Dennis Philip
Hanken School of Economics - Department of Finance and Statistics and Durham University - Department of Economics and Finance
Downloads 231 (131,554)
Citation 1

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dividend-payout ratio; dividend policy; financial markets and the economy; forecasting macro variables; earnings predictability; out-of-sample predictability; principal components analysis

10.

Stock Market Literacy, Trust and Participation

Review of Finance, Forthcoming
Number of pages: 48 Posted: 17 Aug 2014 Last Revised: 10 Sep 2014
Adnan Balloch, Anamaria Nicolae and Dennis Philip
Durham University Business School, Durham University Business School and Durham University - Department of Economics and Finance
Downloads 183 (163,795)

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Financial literacy, Trust, Sociability, Stock market participation, Participation cost

11.

What Drives the Disappearing Dividends Phenomenon?

Journal of Banking and Finance, Forthcoming
Number of pages: 41 Posted: 16 Sep 2011 Last Revised: 24 May 2013
Jing-Ming Kuo, Dennis Philip and Qingjing Zhang
University of Birmingham - Birmingham Business School, Durham University - Department of Economics and Finance and University of Southampton - Southampton Business School
Downloads 172 (173,051)

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Catering, Dividend payout policy, Risk; Liquidity, Life-cycle effect

12.

Financial Literacy and Fraud Detection

The European Journal of Finance, Forthcoming
Number of pages: 41 Posted: 15 Jan 2019 Last Revised: 12 Jul 2019
Christian Engels, Kamlesh Kumar and Dennis Philip
Durham University, Business School, Department of Economics and Finance, Students, Durham University, Business School, Department of Economics and Finance, Students and Durham University - Department of Economics and Finance
Downloads 144 (202,121)

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consumer fraud, fraud victimization, financial literacy, financial knowledge, financial behavior, subjective well-being

13.

Estimation of Factors for Term Structures with Dependence Clusters

Number of pages: 53 Posted: 18 Jun 2009 Last Revised: 23 May 2010
Dennis Philip
Durham University - Department of Economics and Finance
Downloads 114 (240,644)

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term structure, yield curve, dependence clusters, dynamic factor model, Nelson-Siegel models

14.

Investor Sentiments, Rational Beliefs and Option Prices

Number of pages: 48 Posted: 23 Jul 2014
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance and Durham University - Department of Economics and Finance
Downloads 107 (251,719)
Citation 1

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Risk-neutral skewness; Implied volatility smirk; Investor sentiment; Macroeconomy; Index options

15.

The Information Content of Forward Moments

Journal of Banking and Finance, Forthcoming
Number of pages: 56 Posted: 06 Mar 2017 Last Revised: 04 Aug 2019
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Durham University - Department of Economics and Finance and Durham University
Downloads 105 (255,085)
Citation 1

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Forward Moments; Implied Volatility Surface; Partial Least Squares; Predictability of Stock Returns; Equity Premium; Variance Premium

16.

Impact of Allowance Submissions in European Carbon Emission Markets

International Review of Financial Analysis, Forthcoming
Number of pages: 30 Posted: 17 Aug 2014 Last Revised: 14 May 2015
Dennis Philip and Yukun Shi
Durham University - Department of Economics and Finance and University of Glasgow
Downloads 101 (261,926)

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Carbon allowance submission, Carbon emission markets, EU ETS, Mispricing, Price discovery, Volatility spillovers

17.

Optimal Hedging in Carbon Emission Markets Using Markov Regime Switching Models

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 32 Posted: 22 Apr 2015 Last Revised: 13 Apr 2016
Dennis Philip and Yukun Shi
Durham University - Department of Economics and Finance and University of Glasgow
Downloads 98 (267,209)

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Carbon emission markets, Dynamic hedging, Markov switching models, Dynamic conditional correlation

18.

Econometric Identification of Foreign Exchange Options Volatility Surfaces Recovering Foreign Exchange Option Prices from Spot Price Dynamics

Number of pages: 63 Posted: 08 Nov 2016 Last Revised: 29 May 2017
BGC Partners, Inc. - Fenics Software Limited, Durham University - Department of Economics and Finance, Durham Business School and Durham Business School
Downloads 91 (280,258)

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OTC FX Options, Calibration, Volatility Surface, Implied Volatility

19.

Short-Sale Constraints and Efficiency of the Spot-Futures Dynamics

International Review of Financial Analysis, Vol. 24, 2012
Number of pages: 33 Posted: 01 Nov 2011 Last Revised: 30 Sep 2013
Dennis Philip and David G. McMillan
Durham University - Department of Economics and Finance and University of Stirling
Downloads 91 (280,258)

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Short-sale constraints, Short-selling, Arbitrage, Mispricing

20.

Institutional Ownership and Firms’ Thrust to Compete

Number of pages: 34 Posted: 12 Feb 2018 Last Revised: 15 Apr 2019
Cyprus University of Technology, University of Rome III - Department of Business Studies, Durham University Business School and Durham University - Department of Economics and Finance
Downloads 51 (382,931)

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Thrust to compete; Corporate culture; Institutional ownership; Transient investors; Dedicated investors

21.

Bank Opaqueness and Intermediation

Number of pages: 48 Posted: 20 Jan 2017 Last Revised: 02 Feb 2017
Cyprus University of Technology, Cyprus University of Technology - Department of Commerce, Durham University - Department of Economics and Finance and PwC Strategy&
Downloads 37 (434,369)

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Financial Institutions, Liquidity Creation, Regulation, Opacity

22.

Financial Knowledge Among University Students and Implications for Personal Debt and Fraudulent Investments

Cyprus Economic Policy Review, Forthcoming
Number of pages: 29 Posted: 09 Oct 2018 Last Revised: 11 Dec 2018
Panayiotis C. Andreou and Dennis Philip
Cyprus University of Technology and Durham University - Department of Economics and Finance
Downloads 34 (446,763)

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Financial Knowledge, Financial Literacy, University Students, Credit Card Debt, Ponzi Schemes

23.

Bank Liquidity Creation and Risk‐Taking: Does Managerial Ability Matter?

Journal of Business Finance & Accounting, Vol. 43, Issue 1-2, pp. 226-259, 2016
Number of pages: 34 Posted: 21 Mar 2016
Cyprus University of Technology, Durham University - Department of Economics and Finance and PwC Strategy&
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financial institutions, managerial ability, liquidity creation, risk‐taking, financial crisis

24.

Testing for Instability in Factor Structure of Yield Curves

Cass Working Paper No. WP-CEA-09-2007, Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 12 Jul 2007 Last Revised: 22 Jun 2010
Dennis Philip
Durham University - Department of Economics and Finance

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Stability, Factor Structure, Principal Component Analysis, Term Structure of Interest Rates

Other Papers (1)

Total Downloads: 63
1.

Measuring Firms’ Market Orientation Using Textual Analysis of 10-K Filings

Number of pages: 79 Posted: 12 Dec 2017 Last Revised: 06 Nov 2018
Panayiotis C. Andreou, Terry Harris and Dennis Philip
Cyprus University of Technology, Durham University Business School and Durham University - Department of Economics and Finance
Downloads 63 (620,151)

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Market Orientation, Customer Orientation, Competitor Orientation, MKTOR, Firm Performance, Textual Analysis