Dennis Philip

Durham University Business School

Professor

Mill Hill Lane

Mill Hill Lane

Durham, DH13LB

United Kingdom

SCHOLARLY PAPERS

30

DOWNLOADS
Rank 7,200

SSRN RANKINGS

Top 7,200

in Total Papers Downloads

11,209

SSRN CITATIONS
Rank 8,625

SSRN RANKINGS

Top 8,625

in Total Papers Citations

168

CROSSREF CITATIONS

19

Scholarly Papers (30)

1.

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

Number of pages: 35 Posted: 17 Jan 2014 Last Revised: 19 Nov 2022
Cyprus University of Technology, University of Liverpool Management School, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 1,280 (29,056)
Citation 11

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

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 Business School, Renmin University of China - School of Finance and Durham Business School
Downloads 752 (60,241)
Citation 2

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

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 Business School, Renmin University of China - School of Finance and Durham Business School
Downloads 455 (113,283)

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

3.

Multifactor Models and Their Consistency with the APT

Review of Asset Pricing Studies (forthcoming)
Number of pages: 51 Posted: 27 May 2016 Last Revised: 31 Dec 2020
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 Business School
Downloads 1,159 (33,500)
Citation 66

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

4.

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

Cyprus Economic Policy Review, Vol. 12, No. 2, pp 3-23 (2018)
Number of pages: 29 Posted: 09 Oct 2018 Last Revised: 10 Dec 2021
Panayiotis C. Andreou and Dennis Philip
Cyprus University of Technology and Durham University Business School
Downloads 1,086 (36,970)
Citation 2

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

5.

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 Business School
Downloads 659 (72,521)
Citation 11

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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

6.

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 Business School
Downloads 526 (96,205)
Citation 5

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

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, University of Liverpool Management School, Durham University Business School and Durham University Business School
Downloads 482 (107,025)
Citation 3

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

8.

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 Business School
Downloads 466 (111,427)
Citation 1

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

9.

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 Business School
Downloads 463 (112,247)
Citation 16

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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

10.

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
University of St Andrews Business School, Durham University, Business School, Department of Economics and Finance, Students and Durham University Business School
Downloads 429 (122,807)
Citation 3

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

11.

The OCAI Textual Measure of Organizational Culture

Number of pages: 24 Posted: 06 Aug 2020 Last Revised: 01 Sep 2020
Cyprus University of Technology, Durham University Business School, Durham University Business School and Durham University Business School
Downloads 398 (133,815)
Citation 2

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Organizational Culture, Organizational Culture Assessment Instrument, Competing Values Framework, OCAI, Construct Validation, Textual Analysis

12.

The Power of a Financially Literate Woman in Intra-Household Financial Decision-Making

Number of pages: 47 Posted: 14 Dec 2020 Last Revised: 19 Apr 2021
Durham Business School, Fordham University, Durham University, Business School, Department of Economics and Finance, Students and Durham University Business School
Downloads 362 (148,762)
Citation 3

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financial literacy, gender gap, intra-household decision-making, financial responsibility, caste, financial holdings

13.

The Cost of Privacy Failures: Evidence from Bank Depositors’ Reactions to Breaches

Number of pages: 55 Posted: 07 Jul 2020 Last Revised: 15 Jun 2022
Christian Engels, Bill Francis and Dennis Philip
University of St Andrews Business School, Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology and Durham University Business School
Downloads 344 (157,266)

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privacy, cyber-security, data breaches, banks, deposit institutions, depositors

14.

Stock Market Literacy, Trust and Participation

Review of Finance, Forthcoming
Number of pages: 48 Posted: 17 Aug 2014 Last Revised: 10 Sep 2014
Durham University Business SchoolMassey University, Durham University Business School and Durham University Business School
Downloads 255 (215,574)
Citation 8

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

15.

When It Rains It Drains: Psychological Distress and Household Net Worth

Journal of Banking and Finance, Forthcoming
Number of pages: 63 Posted: 11 Feb 2020 Last Revised: 21 Jul 2022
Durham University Business SchoolMassey University, University of St Andrews Business School and Durham University Business School
Downloads 239 (231,738)

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Psychological distress; Mental health; Net worth; Negative net worth; Household wealth; Financial distress

16.

Forward Guidance and Corporate Lending

Review of Finance, Vol. 26, No. 4, pp.899-935, July 2022
Number of pages: 70 Posted: 09 Feb 2020 Last Revised: 03 Nov 2022
Audencia Business School, University of Glasgow, Durham University Business School and Durham University Business School
Downloads 228 (239,472)
Citation 1

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Forward guidance; Monetary policy transmission; Bank lending; Corporate loans; Loan spreads; Syndicate structure; Bank-firm relationships

17.

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 Business School and University of Southampton - Southampton Business School
Downloads 215 (253,113)
Citation 2

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

18.

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, University of Liverpool Management School, Durham University Business School and University of Liverpool Management School
Downloads 181 (295,728)
Citation 2

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

19.

Investor Sentiments, Rational Beliefs and Option Prices

Number of pages: 48 Posted: 23 Jul 2014
Cyprus University of Technology, University of Liverpool Management School and Durham University Business School
Downloads 178 (300,116)
Citation 2

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

20.

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 Business School, Durham Business School and Durham Business School
Downloads 170 (312,421)

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OTC FX Options, Calibration, Volatility Surface, Implied Volatility

21.

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 Business School
Downloads 137 (373,146)

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

22.

Institutional Ownership and Firms’ Thrust to Compete

Forthcoming British Journal of Management
Number of pages: 54 Posted: 12 Feb 2018 Last Revised: 03 Feb 2021
Cyprus University of Technology, University of Essex - Essex Business School, Durham University Business School and Durham University Business School
Downloads 131 (386,211)
Citation 6

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Thrust to compete; Corporate culture; Competing values framework; Institutional ownership; Transient investors; short-horizon investors

23.

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 Business School and University of Glasgow
Downloads 122 (407,821)

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

24.

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 Business School and University of Glasgow
Downloads 122 (407,821)
Citation 1

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

25.

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 Business School and University of Stirling
Downloads 121 (410,355)
Citation 3

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

26.

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 Business School and PwC Strategy&
Downloads 95 (487,788)

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Financial Institutions, Liquidity Creation, Regulation, Opacity

27.

Unaware of Being Unaware and Financial Non-Participation

Number of pages: 41 Posted: 04 Mar 2021
Durham Business School, Durham University, Business School, Department of Economics and Finance, Students and Durham University Business School
Downloads 70 (589,199)

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financial awareness, cognition, financial non-participation, financial inclusion

28.

When Prejudice Hits Home: Hate Crime and the Market for Mortgage Credit

Number of pages: 62 Posted: 19 Oct 2023
University of St Andrews Business School, Fordham University, University of Glasgow and Durham University Business School
Downloads 66 (603,053)

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hate crime, racial animus, mortgage demand

29.

Competitive Culture and Stock Price Crash Risk

Number of pages: 84 Posted: 08 Jul 2020 Last Revised: 18 Feb 2024
Cyprus University of Technology, Durham University Business School, Durham University Business School and Durham University Business School
Downloads 18 (938,773)

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Competitive culture; Crash risk; Textual analysis; 10-K filings

30.

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 Business School

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

Other Papers (1)

Total Downloads: 0
1.

Shared Occupancy and Property Tax Arrears

Posted: 25 May 2023 Last Revised: 20 Jul 2023
National Development Planning Commission, Durham University Business School, Durham University Business School and Durham University Business School

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Home Ownership, Tax Compliance, Economic Behavior