Dennis Philip

Durham University Business School

Professor

Mill Hill Lane

Mill Hill Lane

Durham, DH13LB

United Kingdom

SCHOLARLY PAPERS

30

DOWNLOADS
Rank 7,094

SSRN RANKINGS

Top 7,094

in Total Papers Downloads

9,380

SSRN CITATIONS
Rank 11,492

SSRN RANKINGS

Top 11,492

in Total Papers Citations

80

CROSSREF CITATIONS

25

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, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 1,239 (24,811)
Citation 11

Abstract:

Loading...

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

2.

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 1,121 (28,799)
Citation 28

Abstract:

Loading...

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

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 637 (61,430)
Citation 2

Abstract:

Loading...

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 440 (97,122)

Abstract:

Loading...

news media, 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 614 (65,184)
Citation 8

Abstract:

Loading...

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.

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 520 (80,200)
Citation 2

Abstract:

Loading...

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

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 495 (85,245)
Citation 5

Abstract:

Loading...

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, Lancaster University - Department of Accounting and Finance, Durham University Business School and Durham University Business School
Downloads 456 (93,993)
Citation 3

Abstract:

Loading...

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 448 (95,953)
Citation 1

Abstract:

Loading...

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 442 (97,447)
Citation 12

Abstract:

Loading...

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 - School of Management, Durham University, Business School, Department of Economics and Finance, Students and Durham University Business School
Downloads 319 (140,404)
Citation 3

Abstract:

Loading...

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

11.

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 - School of Management, Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology and Durham University Business School
Downloads 273 (164,964)

Abstract:

Loading...

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

12.

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 244 (184,307)
Citation 2

Abstract:

Loading...

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

13.

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 222 (201,768)
Citation 8

Abstract:

Loading...

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

14.

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 - School of Management and Durham University Business School
Downloads 203 (219,137)

Abstract:

Loading...

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

15.

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 201 (221,124)
Citation 2

Abstract:

Loading...

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

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, Durham University Business School, Durham University Business School and Durham University Business School
Downloads 200 (222,162)

Abstract:

Loading...

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

17.

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 185 (237,861)

Abstract:

Loading...

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

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, Lancaster University - Department of Accounting and Finance, Durham University Business School and University of Liverpool Management School
Downloads 161 (267,720)
Citation 1

Abstract:

Loading...

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, Lancaster University - Department of Accounting and Finance and Durham University Business School
Downloads 143 (294,746)
Citation 2

Abstract:

Loading...

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 134 (310,045)

Abstract:

Loading...

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 126 (324,620)

Abstract:

Loading...

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 111 (355,181)

Abstract:

Loading...

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

23.

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 111 (355,181)
Citation 1

Abstract:

Loading...

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

24.

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 109 (359,600)
Citation 3

Abstract:

Loading...

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

25.

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 108 (361,946)

Abstract:

Loading...

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

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 55 (529,783)

Abstract:

Loading...

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 36 (626,094)

Abstract:

Loading...

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

28.

Shared Residential Occupancy and Property Tax Compliance

Number of pages: 44 Posted: 14 Dec 2020 Last Revised: 06 Dec 2021
National Development Planning Commission, Durham University Business School, Durham University Business School and Durham University Business School
Downloads 26 (692,935)

Abstract:

Loading...

Residential Occupancy; Home Ownership; Property Tax Compliance; Reciprocity

29.

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 1 (941,162)
Citation 2

Abstract:

Loading...

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

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

Abstract:

Loading...

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