Abhay Abhyankar

University of Exeter Business School, University of Exeter

Professor

Streatham Court

Exeter, EX4 4PU

United Kingdom

SCHOLARLY PAPERS

22

DOWNLOADS
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CITATIONS
Rank 10,196

SSRN RANKINGS

Top 10,196

in Total Papers Citations

42

Scholarly Papers (22)

1.

Long-Run Post Merger Stock Performance of UK Acquiring Firms: A Stochastic Dominance Perspective

Applied Financial Economics, Vol. 15, pp. 679-690, 2005, Cass Business School Research Paper
Number of pages: 30 Posted: 23 Feb 2006
Abhay Abhyankar, Keng-Yu Ho and Huainan Zhao
University of Exeter Business School, University of Exeter, National Taiwan University and Loughborough University - School of Business and Economics
Downloads 683 (28,761)

Abstract:

Stochastic Dominance, Mergers and Acquisitions, Corporate Takeovers, Abnormal Returns, Market Efficiency

2.

Efficient Use of Conditioning Information: A Sharpe Ratio Based Test of Return Predictability

Cass Business School Research Paper
Number of pages: 44 Posted: 26 Mar 2002
Abhay Abhyankar, Devraj Basu and Alexander Stremme
University of Exeter Business School, University of Exeter, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 597 (35,834)

Abstract:

asset pricing, return predictability, mean-variance analysis, conditioning information

3.

Long-Run Abnormal Performance Following Convertible Security Issues: New Evidence from the UK

Number of pages: 36 Posted: 04 Mar 2002
Keng-Yu Ho and Abhay Abhyankar
National Taiwan University and University of Exeter Business School, University of Exeter
Downloads 576 (36,155)

Abstract:

Convertible Preference Share, Convertible Bond, Long-Run Abnormal Performance

4.

Value versus Growth: Stochastic Dominance Criteria

Cass Business School Research Paper
Number of pages: 30 Posted: 02 Sep 2005
Abhay Abhyankar, Keng-Yu Ho and Huainan Zhao
University of Exeter Business School, University of Exeter, National Taiwan University and Loughborough University - School of Business and Economics
Downloads 520 (42,014)
Citation 1

Abstract:

Stochastic Dominance, Value Stocks, Growth Stocks, Value Premium

5.

The Optimal Use of Return Predictability: An Empirical Analysis

EFA 2005 Moscow Meetings Paper, Cass Business School Research Paper
Number of pages: 45 Posted: 02 Mar 2005
Abhay Abhyankar, Devraj Basu and Alexander Stremme
University of Exeter Business School, University of Exeter, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 506 (45,253)
Citation 10

Abstract:

Asset pricing, return predictability

6.

Return Predictability, Market Timing and Volatility: Evidence from the Short Rate Revisited

Number of pages: 40 Posted: 17 Apr 2002
Abhay Abhyankar and Phil Davies
University of Exeter Business School, University of Exeter and University of Iowa - Department of Finance
Downloads 500 (43,311)
Citation 2

Abstract:

Exploring Long-Run Abnormal Performance Using Stochastic Dominance Criteria: Additional Evidence from IPOs

Number of pages: 31 Posted: 09 Aug 2003
Abhay Abhyankar and Keng-Yu Ho
University of Exeter Business School, University of Exeter and National Taiwan University
Downloads 242 (106,010)
Citation 1

Abstract:

Stochastic Dominance, Initial Public Offering, Long-Run Stock Price Performance, Market Efficiency

Exploring Long-Run Abnormal Performance using Stochastic Dominance Criteria: Additional Evidence from IPOs

EFMA 2004 Basel Meetings Paper
Number of pages: 40 Posted: 05 May 2004
Abhay Abhyankar and Keng-Yu Ho
University of Exeter Business School, University of Exeter and National Taiwan University
Downloads 139 (177,209)
Citation 1

Abstract:

Stochastic Dominance, Initial Public Offering, Long-Run Stock Price Performance, Market Efficiency.

8.

Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: A Unified Approach

EFA 2002 Berlin Meetings Presented Paper, Cass Business School Research Paper
Number of pages: 41 Posted: 04 Mar 2002
Abhay Abhyankar, Devraj Basu and Alexander Stremme
University of Exeter Business School, University of Exeter, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 303 (82,260)
Citation 2

Abstract:

9.

The Impact of Hedge Accounting Rules on Enterprise Risk Management Adoption Practices by Multinationals

Number of pages: 37 Posted: 16 Mar 2011
Nottingham Trent University, Xfi, University of Exeter, University of Kent, Canterbury and University of Exeter Business School, University of Exeter
Downloads 250 (88,146)

Abstract:

Enterprise Risk Management, Derivative exposure, multinationals

10.

Long-Horizon Abnormal Performance after SEOs Revisited: An Asset Allocation Perspective

Number of pages: 51 Posted: 03 Dec 2002
Abhay Abhyankar and Keng-Yu Ho
University of Exeter Business School, University of Exeter and National Taiwan University
Downloads 196 (130,209)
Citation 2

Abstract:

Long-Horizon Abnormal Performance, Seasoned Equity Offerings, Mean-Variance Spanning and Intersection, Asset Allocation, Stochastic Discount Factor

11.

Consumption Risk and the Cross-Section of Government Bond Returns

Number of pages: 72 Posted: 25 Mar 2008 Last Revised: 15 Sep 2011
Abhay Abhyankar, Olga Klinkowska and Soyeon Lee
University of Exeter Business School, University of Exeter, University of Aberdeen - Business School and University of Edinburgh
Downloads 167 (145,183)

Abstract:

Epstein-Zin-Weil preferences, consumption risk, asset pricing tests, government bonds, dynamic factor analysis

12.

Uncovering Dividend Growth Predictability: New Evidence from the Post-WW II Period

Number of pages: 55 Posted: 25 Mar 2013 Last Revised: 23 Jun 2015
Abhay Abhyankar and Pedro Angel Garcia-Ares
University of Exeter Business School, University of Exeter and University of Exeter
Downloads 163 (130,840)

Abstract:

asset pricing, dividend growth predictability, present-value model, predictability of stock returns, weighting of firm dividends, changes in dividend payments, quintiles, earnings

13.

News and the Cross-Section of Expected Corporate Bond Returns

Number of pages: 46 Posted: 31 Mar 2008 Last Revised: 19 Apr 2009
Abhay Abhyankar and Angelica Gonzalez
University of Exeter Business School, University of Exeter and University of Edinburgh
Downloads 159 (151,372)
Citation 2

Abstract:

Bond market, Asset pricing model, Variance decomposition

Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information

Number of pages: 35 Posted: 14 Sep 2011
Abhay Abhyankar, Angelica Gonzalez and Olga Klinkowska
University of Exeter Business School, University of Exeter, University of Edinburgh and University of Aberdeen - Business School
Downloads 117 (203,106)
Citation 1

Abstract:

Consumption CAPM, Fama-MacBeth Regressions, Net Foreign Assets, Conditioning Information, Conditional Asset Pricing Models

Salvaging the C-Capm: Currency Carry Trade Risk Premia and Conditioning Information

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 35 Posted: 04 Oct 2012
Angelica Gonzalez, Abhay Abhyankar and Olga Klinkowska
University of Edinburgh, University of Exeter Business School, University of Exeter and University of Aberdeen - Business School
Downloads 38 (380,036)
Citation 1

Abstract:

Consumption CAPM, Fama-MacBeth Regressions, Net Foreign Assets, Conditioning Information, Conditional Asset Pricing Models

15.

Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability

CEPR Discussion Paper No. 4365
Number of pages: 48 Posted: 26 May 2004
Abhay Abhyankar, Lucio Sarno and Giorgio Valente
University of Exeter Business School, University of Exeter, City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 26 (421,499)
Citation 21
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Abstract:

Foreign exchange, monetary fundamentals, forecasting, parameter uncertainty, optimal portfolio

16.

Dynamic Factors and the Predictability of Consumption Growth

Posted: 17 Sep 2011
Abhay Abhyankar and Olga Klinkowska
University of Exeter Business School, University of Exeter and University of Aberdeen - Business School

Abstract:

E21, E27

17.

Does Conditioning Information Matter in Estimating Continuous Time Interest Rate Diffusions?

Journal of Financial and Quantitative Analysis, Cass Business School Research Paper
Posted: 11 Feb 2001
Abhay Abhyankar and Devraj Basu
University of Exeter Business School, University of Exeter and SKEMA Business School - Lille Campus

Abstract:

18.

Bid-Ask Spreads, Trading Activity, and Trading Hours: Intraday Evidence From the London Stock Exchange

Posted: 23 Dec 1999
Abhay Abhyankar, D. Ghosh, E. Levin and R.J. Limmack
University of Exeter Business School, University of Exeter, University of Stirling, University of Stirling and University of Stirling - Department of Accounting and Finance

Abstract:

19.

Uncovering Nonlinear Structure In Real-Time Stock Market Indices

Posted: 24 Oct 1999
Abhay Abhyankar, Laurence Copeland and W. Wong
University of Exeter Business School, University of Exeter, Cardiff University - Cardiff Business School and University of Stirling

Abstract:

20.

Linear And Nonlinear Granger Causality: Evidence From The S & P 500 And The FT-SE 100 Index Futures Markets

Posted: 20 Dec 1998
Abhay Abhyankar
University of Exeter Business School, University of Exeter

Abstract:

21.

Linear and Nonlinear Granger Causality: Evidence from the FT-SE 100 Stock Index Futures and Cash Markets

Posted: 20 Dec 1998
Abhay Abhyankar
University of Exeter Business School, University of Exeter

Abstract:

22.

Life Cycles: Intraday Evidence From The FT-SE 100 Stock Index Futures Market

Posted: 05 May 1998
Abhay Abhyankar, Laurence Copeland and W. Wong
University of Exeter Business School, University of Exeter, Cardiff University - Cardiff Business School and University of Stirling

Abstract:

Other Papers (1)

Total Downloads: 319    Citations: 10
1.

The Optimal Use of Return Predictability: An Empirical Analysis

AFA 2006 Boston Meetings Paper
Number of pages: 48 Posted: 22 Mar 2005
Devraj Basu, Abhay Abhyankar and Alexander Stremme
SKEMA Business School - Lille Campus, University of Exeter Business School, University of Exeter and University of Warwick - Finance Group
Downloads 0 (45,253)
Citation 10

Abstract:

return predictability, asset management