Dennis Philip

Durham University Business School

Department of Economics and Finance

Mill Hill Lane

Durham, DH1 3LB

United Kingdom

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 7,830

in Total Papers Downloads

4,663

CITATIONS

1

Scholarly Papers (21)

Dispersion in Options Investors' Expectations and Stock Return Predictability

Number of pages: 67 Posted: 17 Jan 2014 Last Revised: 01 Apr 2017
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 823 (22,077)

Abstract:

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: 67 Posted: 06 Oct 2014 Last Revised: 08 Jul 2016
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 76 (262,522)

Abstract:

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

Multifactor Models and the APT: Evidence from a Broad Cross-Section of Stock Returns

Number of pages: 52 Posted: 12 Dec 2016 Last Revised: 19 Jan 2017
Ilan Cooper, Paulo F. Maio and Dennis Philip
BI Norwegian Business School, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 404 (57,016)

Abstract:

Asset Pricing; Linear Multifactor Models; APT; Equity Risk Factors; Stock Market Anomalies; Cross-Section of Stock Returns; Principal Components

Multifactor Models and the APT: Evidence from a Broad Cross-Section of Stock Returns

Number of pages: 52 Posted: 27 May 2016 Last Revised: 20 Jan 2017
Ilan Cooper, Paulo F. Maio and Dennis Philip
BI Norwegian Business School, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 214 (115,670)

Abstract:

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 364 (64,572)

Abstract:

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 150 (160,523)

Abstract:

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 348 (48,446)

Abstract:

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.

Economic Activity and Momentum Profits: Further Evidence

Number of pages: 44 Posted: 29 Apr 2013 Last Revised: 30 Mar 2017
Paulo F. Maio and Dennis Philip
Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 265 (70,583)

Abstract:

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

6.

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 171 (119,891)

Abstract:

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

7.

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 106 (202,946)

Abstract:

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

8.

Stock Market Literacy, Trust and Participation

Review of Finance, Forthcoming
Number of pages: 48 Posted: 17 Aug 2014 Last Revised: 10 Sep 2014
Adnan G. Balloch, Anamaria Nicolae and Dennis Philip
Durham University Business School, Durham University Business School and Durham University Business School
Downloads 94 (154,087)
Citation 1

Abstract:

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

9.

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 86 (241,217)

Abstract:

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

10.

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 72 (239,437)

Abstract:

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

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 Durham University Business School
Downloads 70 (184,536)

Abstract:

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

12.

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 66 (68,690)

Abstract:

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

13.

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

Number of pages: 59 Posted: 17 Apr 2015 Last Revised: 20 May 2017
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Durham University Business School and Durham University Business School
Downloads 65 (97,913)

Abstract:

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

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 Leicester
Downloads 55 (234,381)

Abstract:

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

15.

Shareholder Value Efficiency: Methods and Evidence from the US Banking Industry

Number of pages: 41 Posted: 03 Sep 2014
Cyprus University of Technology, Durham University Business School and PwC Strategy&
Downloads 26 (366,996)

Abstract:

Financial Institutions; Efficiency; Artificial Neural Networks; Managerial Ability

16.

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 Leicester
Downloads 17 (239,437)

Abstract:

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

17.

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 0 (463,942)

Abstract:

Financial Institutions, Liquidity Creation, Regulation, Opacity

18.

Recovering Foreign Exchange Option Prices from Spot Price Dynamics

Number of pages: 60 Posted: 08 Nov 2016 Last Revised: 13 Feb 2017
BGC Partners, Inc. - Fenics Software Limited, Durham University Business School, Durham Business School and Durham Business School
Downloads 0 (346,660)

Abstract:

OTC FX Options, Calibration, Volatility Surface, Implied Volatility

19.

CEO Duality, Agency Costs, and Internal Capital Allocations

Number of pages: 40 Posted: 07 Nov 2016
WHU - Otto Beisheim School of Management, Cyprus University of Technology, Cyprus University of Technology and Durham University Business School
Downloads 0 (135,280)

Abstract:

CEO Duality; Agency Costs; Capital Allocation; Investment Efficiency

20.

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 (548,619)

Abstract:

financial institutions, managerial ability, liquidity creation, risk‐taking, financial crisis

21.

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

Abstract:

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