Abhay Abhyankar

MOVE

Research Fellow

Campus de Bellaterra-UAB Edifici B

Cerdanyola del Vallès

Barcelona, Catalunya 08193

Spain

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 8,152

SSRN RANKINGS

Top 8,152

in Total Papers Downloads

5,953

SSRN CITATIONS
Rank 16,669

SSRN RANKINGS

Top 16,669

in Total Papers Citations

11

CROSSREF CITATIONS

45

Scholarly Papers (25)

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
MOVE, National Taiwan University and Loughborough University - School of Business and Economics
Downloads 746 (35,446)
Citation 1

Abstract:

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

2.

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 MOVE
Downloads 619 (45,540)

Abstract:

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

3.

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

Cass Business School Research Paper, WBS Finance Group Research Paper No. 18
Number of pages: 44 Posted: 26 Mar 2002
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 615 (45,914)
Citation 1

Abstract:

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

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
MOVE, National Taiwan University and Loughborough University - School of Business and Economics
Downloads 550 (52,957)
Citation 2

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Stochastic Dominance, Value Stocks, Growth Stocks, Value Premium

5.

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
MOVE and University of Iowa - Department of Finance
Downloads 550 (52,957)
Citation 3

Abstract:

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6.

The Optimal Use of Return Predictability: An Empirical Analysis

EFA 2005 Moscow Meetings Paper, Cass Business School Research Paper, WBS Finance Group Research Paper No. 39
Number of pages: 45 Posted: 02 Mar 2005
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 527 (55,932)
Citation 5

Abstract:

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Asset pricing, return predictability

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
MOVE and National Taiwan University
Downloads 251 (130,154)
Citation 2

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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
MOVE and National Taiwan University
Downloads 150 (209,524)

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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, WBS Finance Group Research Paper No. 13
Number of pages: 41 Posted: 04 Mar 2002
Abhay Abhyankar, Devraj Basu and Alexander Stremme
MOVE, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 314 (103,152)
Citation 5

Abstract:

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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, affiliation not provided to SSRN and MOVE
Downloads 312 (103,828)
Citation 1

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Enterprise Risk Management, Derivative exposure, multinationals

10.

Overcoming Arbitrage Limits: Option Trading and Momentum Returns

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 82 Posted: 24 Jul 2018 Last Revised: 01 Oct 2019
MOVE, Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and University of Exeter Business School - Department of Finance
Downloads 249 (132,337)

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Momentum Returns, Stock Option Trading, Short-Sale Constraints

11.

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 Garcia-Ares
MOVE and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 213 (153,292)
Citation 1

Abstract:

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

12.

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
MOVE and National Taiwan University
Downloads 201 (161,932)
Citation 3

Abstract:

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

13.

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
MOVE, University of Aberdeen - Business School and University of Edinburgh
Downloads 184 (175,508)

Abstract:

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

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
MOVE, University of Edinburgh and University of Aberdeen - Business School
Downloads 126 (241,006)

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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, MOVE and University of Aberdeen - Business School
Downloads 46 (436,509)

Abstract:

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

15.

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
MOVE and University of Edinburgh
Downloads 171 (187,112)
Citation 1

Abstract:

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Bond market, Asset pricing model, Variance decomposition

16.

Circus Ring to Zoo to Museum: The Fragility of Factors in Characteristic-based Asset Pricing Models

Number of pages: 40 Posted: 06 Jan 2020
Abhay Abhyankar and Yudi Wu
MOVE and University of Exeter Business School - Department of Finance
Downloads 83 (318,502)

Abstract:

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Characteristics, Anomalies, Factor Models, Risk Premia

17.

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
MOVE, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 26 (519,798)
Citation 3
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Foreign exchange, monetary fundamentals, forecasting, parameter uncertainty, optimal portfolio

18.

Block Ownership, Investment and Uncertainty: Evidence from U.S. Firms

Number of pages: 36 Posted: 10 Oct 2019
Abhay Abhyankar and Jinlin Li
MOVE and University of Exeter Business School
Downloads 20 (556,069)

Abstract:

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Block Ownership, Corporate Investment, Uncertainty

19.

Dynamic Factors and the Predictability of Consumption Growth

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

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E21, E27

20.

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
MOVE and SKEMA Business School - Lille Campus

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21.

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
MOVE, University of Stirling, University of Stirling and University of Stirling - Department of Accounting and Finance

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22.

Uncovering Nonlinear Structure in Real-Time Stock Market Indices

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

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25.

Life Cycles: Intraday Evidence from the Ft-Se 100 Stock Index Futures Market

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

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Other Papers (1)

Total Downloads: 331
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, MOVE and University of Warwick - Finance Group
Downloads 331

Abstract:

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return predictability, asset management