Ian W. Marsh

City University London - The Business School

Professor

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

http://www.cass.city.ac.uk/faculty/i.marsh

  • City University London - The Business School

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    • Tel: +44 20 7040 5121
    • Fax: +44 20 7040 8881
SCHOLARLY PAPERS

26

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Top 6,995

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11,371

SSRN CITATIONS
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SSRN RANKINGS

Top 3,702

in Total Papers Citations

313

CROSSREF CITATIONS

123

Scholarly Papers (26)

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1.

An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps

Bank of England Working Paper No. 211, Cass Business School Research Paper
Number of pages: 41 Posted: 13 Feb 2004
Roberto Blanco, Simon Brennan and Ian W. Marsh
Banco de España, Bank of England and City University London - The Business School
Downloads 2,173 (11,882)
Citation 256

Abstract:

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Credit derivatives, price discovery

2.

Competitiveness Indicators: A Theoretical and Empirical Assessment

IMF Working Paper No. 94/29, Cass Business School Research Paper
Number of pages: 52 Posted: 15 Feb 2006
Ian W. Marsh and Stephen Tokarick
City University London - The Business School and International Monetary Fund (IMF)
Downloads 1,111 (32,978)

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3.

Credit Risk Transfer and Financial Sector Performance

Downloads 1,084 (34,130)
Citation 20

Credit Risk Transfer and Financial Sector Performance

CEPR Discussion Paper No. 4265, Cass Business School Research Paper
Number of pages: 34 Posted: 18 Mar 2004
Wolf Wagner and Ian W. Marsh
Erasmus University Rotterdam (EUR) and City University London - The Business School
Downloads 623 (71,326)
Citation 40

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Credit risk transfer, efficiency, intermediation, stability

Credit Risk Transfer and Financial Sector Performance

Cass Business School Research Paper
Number of pages: 31 Posted: 20 Dec 2003
Wolf Wagner and Ian W. Marsh
Erasmus University Rotterdam (EUR) and City University London - The Business School
Downloads 461 (103,650)

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Credit risk transfer, intermediation, bank risk taking, stability, regulation

4.

Bank Behaviour with Access to Credit Risk Transfer Markets

Bank of Finland Research Discussion Paper No. 4/2007
Number of pages: 32 Posted: 31 Aug 2007 Last Revised: 30 Oct 2010
Benedikt Goderis, Ian W. Marsh, Judit Vall Castelló and Wolf Wagner
The Netherlands Institute for Social Research|SCP, City University London - The Business School, Universitat Pompeu Fabra - Center for Research in Health and Economics (CRES) and Erasmus University Rotterdam (EUR)
Downloads 734 (58,490)
Citation 21

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credit derivatives, bank loans, moral hazard

5.

Customer Order Flow and Exchange Rate Movements: Is There Really Information Content?

Cass Business School Research Paper
Number of pages: 35 Posted: 19 Apr 2005
Ian W. Marsh and Ceire O'Rourke
City University London - The Business School and City University London - The Business School
Downloads 703 (61,929)
Citation 40

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Foreign exchange, customer order flow, PIN

6.

Volatility and the Cross-Section of Returns on FX Options

Number of pages: 48 Posted: 28 Mar 2017 Last Revised: 07 Jul 2020
Ian W. Marsh, Jessica James and Jonathan Fullwood
City University London - The Business School, Risk Advisory Group and Bank of England
Downloads 607 (143,807)

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Options returns, implied volatility, straddles, foreign exchange

7.

Bank Behavior with Access to Credit Risk Transfer Markets

Cass Business School Research Paper
Number of pages: 28 Posted: 14 Oct 2006 Last Revised: 30 Oct 2010
Benedikt Goderis, Ian W. Marsh, Judit Vall Castelló and Wolf Wagner
The Netherlands Institute for Social Research|SCP, City University London - The Business School, Universitat Pompeu Fabra - Center for Research in Health and Economics (CRES) and Erasmus University Rotterdam (EUR)
Downloads 597 (76,244)
Citation 13

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credit risk transfer, risk management, bank lending

8.

Banning Short Sales and Market Quality: The U.K.'s Experience

Number of pages: 36 Posted: 20 Jul 2010
Ian W. Marsh and Richard Payne
City University London - The Business School and City University London - The Business School
Downloads 516 (91,386)
Citation 9

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Short Selling, Regulation, Microstructure

9.

The Effect of Lenders' Credit Risk Transfer Activities on Borrowing Firms' Equity Returns

Cass Business School Research Paper, Bank of Finland Research Discussion Paper No. 31/2006
Number of pages: 33 Posted: 09 Nov 2006
Ian W. Marsh
City University London - The Business School
Downloads 425 (115,147)
Citation 21

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bank loans, credit derivatives, bank certification

10.

Fast Aggressive Trading

Number of pages: 43 Posted: 24 Dec 2014
Torben Latza, Ian W. Marsh and Richard Payne
BlackRock, Inc - San Francisco, City University London - The Business School and City University London - The Business School
Downloads 414 (118,712)
Citation 5

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Computer-based trading, manipulation, execution costs, private information

11.

Factor Structure in Cryptocurrency Returns and Volatility

Number of pages: 53 Posted: 30 May 2019 Last Revised: 19 Jun 2021
Jiatao Liu, Ian W. Marsh, Paolo Mazza and Mikael Petitjean
Xi’an Jiaotong-Liverpool University, City University London - The Business School, IESEG School of Management and LFIN/LIDAM, UCLouvain
Downloads 405 (121,775)
Citation 2

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Cryptocurrency, Factor Structure, Bitcoin Bubble, Realised Volatility

12.

Currency Regimes and the Carry Trade

Downloads 370 (134,875)
Citation 2

Currency Regimes and the Carry Trade

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 72 Posted: 29 Nov 2017 Last Revised: 03 Mar 2019
Olivier Accominotti, Jason Cen, David Chambers and Ian W. Marsh
London School of Economics & Political Science (LSE), University of Exeter Business School, University of Cambridge - Judge Business School and City University London - The Business School
Downloads 368 (134,670)
Citation 2

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Exchange rates, Carry strategy, Currency factors, Floating currencies

Currency Regimes and the Carry Trade

CEPR Discussion Paper No. DP13571
Number of pages: 75 Posted: 12 Mar 2019
Olivier Accominotti, Jason Cen, David Chambers and Ian W. Marsh
London School of Economics & Political Science (LSE), University of Exeter Business School, University of Cambridge - Judge Business School and City University London - The Business School
Downloads 2 (1,052,830)
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carry trade, Exchange Rate Regime

13.

Why is Price Discovery in Credit Default Swap Markets News-Specific?

Downloads 363 (137,803)
Citation 6

Why is Price Discovery in Credit Default Swap Markets News-Specific?

European Banking Center Discussion Paper No. 2012-004, CentER Discussion Paper Discussion Paper Series No. 2012-006
Number of pages: 41 Posted: 06 Jan 2012 Last Revised: 25 Jan 2012
Ian W. Marsh and Wolf Wagner
City University London - The Business School and Erasmus University Rotterdam (EUR)
Downloads 228 (221,643)
Citation 8

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price discovery, CDS, hedging demand, informational asymmetries

Why is Price Discovery in Credit Default Swap Markets News-Specific?

Bank of Finland Research Discussion Paper No. 6/2012
Number of pages: 43 Posted: 05 Feb 2012
Ian W. Marsh and Wolf Wagner
City University London - The Business School and Erasmus University Rotterdam (EUR)
Downloads 135 (350,984)
Citation 4

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credit default swaps, price discovery, informational efficiency, hedging demand

14.

Financial Advice and Gender: Wealthy Individual Investors in the UK

Journal of Corporate Finance, Forthcoming
Number of pages: 55 Posted: 20 Jun 2019 Last Revised: 13 Aug 2021
Ylva Baeckström, Ian W. Marsh and Jo Silvester
King's Business School, King's College London, City University London - The Business School and City University London - The Business School
Downloads 335 (150,306)
Citation 3

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financial advice; investors; risk tolerance; financial advisors; gender

15.

Mood Swings and Insufficient Information Acquisition: A Study on Cross-Section of Stock Returns

Number of pages: 57 Posted: 09 May 2018 Last Revised: 19 Jun 2021
Jiatao Liu and Ian W. Marsh
Xi’an Jiaotong-Liverpool University and City University London - The Business School
Downloads 292 (173,838)
Citation 1

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Information Acquisition; Mood; Mood Beta; Risk Premium; Anomalies

16.

Do Retail FX Traders Learn?

Number of pages: 41 Posted: 11 Sep 2015
Simon Hayley and Ian W. Marsh
Bayes Business School (formerly Cass), City, University of London and City University London - The Business School
Downloads 237 (214,099)
Citation 2

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Market microstructure, foreign exchange, retail trading, learning

17.

Order Flow and Central Bank Intervention: An Empirical Analysis of Recent Bank of Japan Actions in the Foreign Exchange Market

Cass Business School Research Paper
Number of pages: 36 Posted: 09 Nov 2006
Ian W. Marsh
City University London - The Business School
Downloads 206 (244,378)
Citation 1

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foreign exchange, microstructure, intervention

18.

Off the Golden Fetters: Examining Interwar Carry Trade and Momentum

Number of pages: 60 Posted: 23 Nov 2013
Jason Cen and Ian W. Marsh
University of Exeter Business School and City University London - The Business School
Downloads 191 (261,743)
Citation 2

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Interwar, Carry, Momentum, Risk Premia, Rare Disasters, FX Volatility Risk

19.

Variations in Investment Advice Provision: A Study of Financial Advisors of Millionaire Investors

Journal of Economic Behavior and Organization, Vol. 188, 2021
Number of pages: 76 Posted: 06 Nov 2019 Last Revised: 13 Aug 2021
Ylva Baeckström, Ian W. Marsh and Jo Silvester
King's Business School, King's College London, City University London - The Business School and City University London - The Business School
Downloads 161 (303,443)
Citation 1

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financial advice; investors; risk tolerance; vignette; financial advisors; gender

20.

Comovements in the Prices of Securities Issued by Large Complex Financial Institutions

Bank of England Working Paper No. 256, Cass Business School Research Paper
Number of pages: 49 Posted: 19 May 2005
Christian B. Hawkesby, Ian W. Marsh and Ibrahim Stevens
Bank of England, City University London - The Business School and Bank of England
Downloads 160 (305,024)
Citation 2

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Financial institutions, comovements and factor analysis

21.

How Do Uk-Based Foreign Exchange Dealers Think Their Market Operates?

NBER Working Paper No. w7524
Number of pages: 33 Posted: 24 Mar 2000 Last Revised: 23 Jan 2022
Yin-Wong Cheung, Menzie David Chinn and Ian W. Marsh
University of California, Santa Cruz - Department of Economics, University of Wisconsin, Madison - Robert M. La Follette School of Public Affairs and Department of Economics and City University London - The Business School
Downloads 112 (401,932)
Citation 8

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22.

High Frequency Information Content in End-User Foreign Exchange Order Flows

Number of pages: 40 Posted: 03 May 2011
Ian W. Marsh and Teng Miao
City University London - The Business School and affiliation not provided to SSRN
Downloads 98 (441,436)

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Foreign exchange, order flow, equity returns

23.

Cybercrime and the Cross-Section of Equity Returns

Number of pages: 47 Posted: 22 Dec 2022
Jiatao Liu, Ian W. Marsh and Yajun Xiao
Xi’an Jiaotong-Liverpool University, City University London - The Business School and Xi'an Jiaotong-Liverpool University (XJTLU)
Downloads 77 (512,007)

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Equity returns, cybercrime, state variable, ICAPM, risk premia

24.

Order Flow and Exchange Rate Dynamics: An Application to Emerging Markets

Posted: 08 Mar 2010
Ian W. Marsh and Kate Phylaktis
City University London - The Business School and City University London - The Business School

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Order Flow, Foreign Exchange Markets, Exchange Rates, Forex Microstructure

25.

Realignment Expectations and the Us Dollar, 1890-1897: Was There a 'Peso Problem'?

Journal of Monetary Economics, Vol. 46, No. 3, December 2000, Cass Business School Research Paper
Posted: 20 Dec 2000
C. Paul Hallwood, Ronald MacDonald and Ian W. Marsh
University of Connecticut - Department of Economics, University of Strathclyde in Glasgow - Department of Economics and City University London - The Business School

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Gold Standard, Fixed Exchange Rates, Peso Problem, Credibility, Interest Parity

26.

On Fundamentals and Exchange Rates: A Casselian Perspective

The Review of Economics and Statistics, Vol. 79, No. 4, November 1997, Cass Business School Research Paper
Posted: 26 Feb 1998
Ronald MacDonald and Ian W. Marsh
University of Strathclyde in Glasgow - Department of Economics and City University London - The Business School

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