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

SCHOLARLY PAPERS

24

DOWNLOADS
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SSRN RANKINGS

Top 5,038

in Total Papers Downloads

8,248

CITATIONS
Rank 1,532

SSRN RANKINGS

Top 1,532

in Total Papers Citations

368

Scholarly Papers (24)

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 - Sir John Cass Business School
Downloads 1,876 (7,810)
Citation 222

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 - Sir John Cass Business School and International Monetary Fund (IMF)
Downloads 1,010 (20,735)
Citation 12

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3.
Downloads 955 ( 22,483)
Citation 28

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) - Rotterdam School of Management (RSM) and City University London - Sir John Cass Business School
Downloads 535 (48,960)
Citation 28

Abstract:

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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 420 (66,300)
Citation 28

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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
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 591 (43,634)
Citation 18

Abstract:

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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
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 573 (45,406)
Citation 18

Abstract:

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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 473 (57,936)
Citation 14

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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 446 (62,258)
Citation 5

Abstract:

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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, Bank of Finland Research Discussion Paper No. 31/2006
Number of pages: 33 Posted: 09 Nov 2006
Ian W. Marsh
City University London - Sir John Cass Business School
Downloads 366 (78,734)
Citation 5

Abstract:

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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 316 (93,371)

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

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 - Sir John Cass Business School and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 176 (166,671)

Abstract:

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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 (234,782)

Abstract:

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

11.

Volatility and the Cross-Section of Returns on FX Options

Number of pages: 48 Posted: 28 Mar 2017 Last Revised: 21 May 2019
City University London - Sir John Cass Business School, Risk Advisory Group, Bank of England and University of Wisconsin, Madison - Robert M. La Follette School of Public Affairs and Department of Economics
Downloads 208 (143,807)

Abstract:

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Options returns, implied volatility, straddles, foreign exchange

12.

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 196 (151,143)
Citation 1

Abstract:

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foreign exchange, microstructure, intervention

13.
Downloads 195 (151,890)

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
London School of Economics & Political Science (LSE), University of Essex - Essex Business School, University of Cambridge - Judge Business School, Department of Finance & Accounting and City University London - Sir John Cass Business School
Downloads 193 (153,275)

Abstract:

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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
London School of Economics & Political Science (LSE), University of Essex - Essex Business School, University of Cambridge - Judge Business School, Department of Finance & Accounting and City University London - Sir John Cass Business School
Downloads 2 (650,883)
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Abstract:

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carry trade, Exchange Rate Regime

14.

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 159 (182,004)

Abstract:

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Market microstructure, foreign exchange, retail trading, learning

15.

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 Essex - Essex Business School and City University London - Sir John Cass Business School
Downloads 139 (203,225)

Abstract:

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

16.

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 135 (208,042)

Abstract:

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

17.

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
Bank of England, City University London - Sir John Cass Business School and Bank of England
Downloads 133 (210,547)
Citation 8

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Financial institutions, comovements and factor analysis

18.

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
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 90 (277,483)
Citation 36

Abstract:

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19.

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 77 (305,131)
Citation 1

Abstract:

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Foreign exchange, order flow, equity returns

20.

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

Number of pages: 44 Posted: 11 Dec 2018
Ylva Baeckstrom, Ian W. Marsh and Jo Silvester
University of London - King's Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 18 (521,013)

Abstract:

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

21.

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

22.

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
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

23.

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 - Sir John Cass Business School

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24.

Factor Structure in Cryptocurrency Returns and Volatility

Number of pages: 67
Cass Business School, City University London - Sir John Cass Business School, IESEG School of Management and Louvain School of Management (UCL)
Downloads 0

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Cryptocurrency, Factor Structure, Bitcoin Bubble, Realised Volatility