Ian W. Marsh

City University London - Sir John Cass Business School

Professor

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

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

  • City University London - Sir John Cass Business School

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    • Fax: +44 20 7040 8881
SCHOLARLY PAPERS

25

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Top 5,178

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8,927

SSRN CITATIONS
Rank 3,201

SSRN RANKINGS

Top 3,201

in Total Papers Citations

235

CROSSREF CITATIONS

141

Scholarly Papers (25)

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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
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 - Sir John Cass Business School
Downloads 1,936 (8,567)
Citation 221

Abstract:

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Credit derivatives, price discovery

2.

Competitiveness Indicators: A Theoretical and Empirical Assessment

IMF Working Paper No. 94/29
Number of pages: 52 Posted: 15 Feb 2006
Ian W. Marsh and Stephen Tokarick
City University London - Sir John Cass Business School and International Monetary Fund (IMF)
Downloads 1,018 (23,224)

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3.

Credit Risk Transfer and Financial Sector Performance

Downloads 975 ( 24,767)
Citation 19

Credit Risk Transfer and Financial Sector Performance

CEPR Discussion Paper No. 4265
Number of pages: 34 Posted: 18 Mar 2004
Wolf Wagner and Ian W. Marsh
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and City University London - Sir John Cass Business School
Downloads 547 (53,632)
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) - Rotterdam School of Management (RSM) and City University London - Sir John Cass Business School
Downloads 428 (72,755)

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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 - Sir John Cass Business School, Universitat Pompeu Fabra - Center for Research in Health and Economics (CRES) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 621 (46,062)
Citation 18

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credit derivatives, bank loans, moral hazard

5.

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 - Sir John Cass Business School, Universitat Pompeu Fabra - Center for Research in Health and Economics (CRES) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 576 (50,784)
Citation 13

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credit risk transfer, risk management, bank lending

6.

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 - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 511 (59,032)
Citation 37

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Foreign exchange, customer order flow, PIN

7.

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 - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 455 (68,176)
Citation 6

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Short Selling, Regulation, Microstructure

8.

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

Cass Business School Research Paper
Number of pages: 33 Posted: 09 Nov 2006
Ian W. Marsh
City University London - Sir John Cass Business School
Downloads 373 (86,286)
Citation 18

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bank loans, credit derivatives, bank certification

9.

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 - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 343 (94,933)
Citation 5

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

10.

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

Downloads 308 (106,845)
Citation 5

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

European Banking Center Discussion Paper No. 2012-004
Number of pages: 41 Posted: 06 Jan 2012 Last Revised: 25 Jan 2012
Ian W. Marsh and Wolf Wagner
City University London - Sir John Cass Business School and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 192 (171,120)
Citation 3

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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 - Sir John Cass Business School and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 116 (259,962)
Citation 5

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

11.

Currency Regimes and the Carry Trade

Downloads 252 (132,098)
Citation 1

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 - Sir John Cass Business School
Downloads 250 (132,605)
Citation 1

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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 - Sir John Cass Business School
Downloads 2 (722,173)
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carry trade, Exchange Rate Regime

12.

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 - Sir John Cass Business School, Risk Advisory Group and Bank of England
Downloads 247 (143,807)

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Options returns, implied volatility, straddles, foreign exchange

13.

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 - Sir John Cass Business School
Downloads 200 (164,945)
Citation 1

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foreign exchange, microstructure, intervention

14.

The Impact of Public Mood on the Cross-Section of Stock Returns

Number of pages: 50 Posted: 09 May 2018 Last Revised: 17 May 2019
Jiatao Liu and Ian W. Marsh
Cass Business School and City University London - Sir John Cass Business School
Downloads 169 (191,711)
Citation 1

Abstract:

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mood beta, sentiment, stock returns, noise trading risk, asset pricing

15.

Do Retail FX Traders Learn?

Number of pages: 41 Posted: 11 Sep 2015
Simon Hayley and Ian W. Marsh
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 169 (191,711)
Citation 2

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Market microstructure, foreign exchange, retail trading, learning

16.

Financial Advice, Wealth and Gender: Risk Tolerance, Knowledge and Confidence

Number of pages: 45 Posted: 20 Jun 2019
Ylva Baeckstrom, Ian W. Marsh and Jo Silvester
King's Business School, King's College London, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 166 (194,665)

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investment advice, investors, risk tolerance, financial advisors, gender

17.

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 - Sir John Cass Business School
Downloads 148 (214,384)
Citation 2

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

18.

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

Bank of England Working Paper No. 256
Number of pages: 49 Posted: 19 May 2005
Christian B. Hawkesby, Ian W. Marsh and Ibrahim Stevens
Bank of England, City University London - Sir John Cass Business School and Bank of England
Downloads 139 (225,477)
Citation 9

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Financial institutions, comovements and factor analysis

19.

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: 15 Oct 2010
Yin-Wong Cheung, Menzie David Chinn and Ian W. Marsh
City University of Hong Kong - Department of Economics & Finance, University of Wisconsin, Madison - Robert M. La Follette School of Public Affairs and Department of Economics and City University London - Sir John Cass Business School
Downloads 93 (300,688)
Citation 3

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20.

Factor Structure in Cryptocurrency Returns and Volatility

Number of pages: 67 Posted: 30 May 2019
Jiatao Liu, Ian W. Marsh, Paolo Mazza and Mikael Petitjean
Cass Business School, City University London - Sir John Cass Business School, IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 91 (304,762)

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Cryptocurrency, Factor Structure, Bitcoin Bubble, Realised Volatility

21.

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 - Sir John Cass Business School and affiliation not provided to SSRN
Downloads 82 (325,096)

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Foreign exchange, order flow, equity returns

22.

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

Number of pages: 44 Posted: 06 Nov 2019
Ylva Baeckstrom, Ian W. Marsh and Jo Silvester
King's Business School, King's College London, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 55 (401,786)

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investment advice, portfolios, risk tolerance, vignette, financial advisors, gender

23.

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

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

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

24.

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

Journal of Monetary Economics, Vol. 46, No. 3, December 2000
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 - Sir John Cass Business School

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

25.

On Fundamentals and Exchange Rates: A Casselian Perspective

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

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