Dennis Philip

Durham University Business School

Department of Economics and Finance

Mill Hill Lane

Durham, DH1 3LB

United Kingdom

SCHOLARLY PAPERS

22

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5,587

CITATIONS

1

Scholarly Papers (22)

Dispersion in Options Investors' Expectations and Stock Return Predictability

Number of pages: 80 Posted: 17 Jan 2014 Last Revised: 21 Jun 2018
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 935 (21,259)

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

Dispersion in Options Investors' Expectations and Stock Return Predictability

Number of pages: 80 Posted: 06 Oct 2014 Last Revised: 21 Jun 2018
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 90 (263,303)

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

2.
Downloads 749 ( 29,792)

New Factor Models and the APT

Number of pages: 54 Posted: 12 Dec 2016 Last Revised: 23 Jun 2018
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 513 (48,619)

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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: 54 Posted: 27 May 2016 Last Revised: 23 Jun 2018
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 236 (117,921)

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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 Business School, Renmin University of China - School of Finance and Durham Business School
Downloads 391 (67,480)

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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 Business School, Renmin University of China - School of Finance and Durham Business School
Downloads 245 (113,440)

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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 Business School
Downloads 516 (48,241)

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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 Business School
Downloads 394 (67,288)

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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 Business School
Downloads 392 (67,677)

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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: 04 Aug 2018
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Durham University Business School and Durham University Business School
Downloads 344 (78,860)

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

8.

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 312 (88,698)

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

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 Business School
Downloads 222 (125,845)

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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 Business School
Downloads 170 (161,038)
Citation 1

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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 Business School and University of Southampton - Southampton Business School
Downloads 154 (175,367)

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

12.

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 112 (225,186)

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

13.

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 Business School
Downloads 95 (252,324)

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

14.

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 94 (254,054)

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

15.

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 91 (259,427)

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

16.

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 89 (263,062)

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

17.

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 74 (296,154)

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OTC FX Options, Calibration, Volatility Surface, Implied Volatility

18.

Forward Moments and Risk Premia Predictability

Number of pages: 40 Posted: 06 Mar 2017 Last Revised: 30 Jul 2018
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Durham University Business School and Durham University
Downloads 72 (298,478)

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

19.

The Effect of Institutional Ownership on Firms’ Thrust to Compete

Number of pages: 45 Posted: 12 Feb 2018 Last Revised: 30 Jul 2018
Cyprus University of Technology, University of Rome III - Department of Business Studies, Durham University Business School and Durham University Business School
Downloads 23 (465,793)

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Thrust to compete; Institutional ownership; Transient investors; Crash risk; Firm value

20.

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 23 (465,793)

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Financial Institutions, Liquidity Creation, Regulation, Opacity

21.

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 Business School and PwC Strategy&
Downloads 0 (607,895)
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financial institutions, managerial ability, liquidity creation, risk‐taking, financial crisis

22.

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