Abhay Abhyankar

MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona

Research Fellow

Campus de Bellaterra-UAB Edifici B

Cerdanyola del Vallès

Barcelona, Catalunya 08193

Spain

http://https://www.movebarcelona.eu/index.php/people/alphabetical-directory

  • MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona

SCHOLARLY PAPERS

25

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6,128

SSRN CITATIONS
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Top 18,144

in Total Papers Citations

14

CROSSREF CITATIONS

44

Scholarly Papers (25)

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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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, National Taiwan University - Department of Finance and Loughborough University - School of Business and Economics
Downloads 754 (48,187)
Citation 1

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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 - Department of Finance and MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona
Downloads 631 (60,843)

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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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 628 (61,201)
Citation 1

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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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, National Taiwan University - Department of Finance and Loughborough University - School of Business and Economics
Downloads 564 (70,125)
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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and University of Iowa - Department of Finance
Downloads 562 (70,432)
Citation 3

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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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 542 (73,724)
Citation 7

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Asset pricing, return predictability

7.

Overcoming Arbitrage Limits: Option Trading and Momentum Returns

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 49 Posted: 24 Jul 2018 Last Revised: 31 May 2022
Abhay Abhyankar, Ilias Filippou and Pedro Angel Garcia-Ares
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, Washington University in St. Louis - John M. Olin Business School and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 510 (79,449)
Citation 1

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Momentum Returns, Stock Option Trading, Short-Sale Constraints

8.

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

Downloads 415 (101,337)
Citation 1

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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and National Taiwan University - Department of Finance
Downloads 261 (166,103)
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

Number of pages: 40 Posted: 05 May 2004
Abhay Abhyankar and Keng-Yu Ho
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and National Taiwan University - Department of Finance
Downloads 154 (268,796)

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

9.

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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 322 (134,344)
Citation 5

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10.

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
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 220 (196,641)
Citation 1

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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

11.

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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and National Taiwan University - Department of Finance
Downloads 204 (210,872)
Citation 3

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

12.

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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, Kozminski University and University of Edinburgh
Downloads 196 (218,557)

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

13.

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

Downloads 186 (228,720)

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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, University of Edinburgh and Kozminski University
Downloads 138 (293,667)

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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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and Kozminski University
Downloads 48 (551,754)

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

14.

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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and University of Edinburgh
Downloads 180 (235,392)
Citation 1

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Bond market, Asset pricing model, Variance decomposition

15.

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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and University of Exeter Business School - Department of Finance
Downloads 147 (278,415)

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Characteristics, Anomalies, Factor Models, Risk Premia

16.

Factor Forestry: Pruning using an Economic Chainsaw

Number of pages: 36 Posted: 03 Mar 2021 Last Revised: 07 Mar 2022
Abhay Abhyankar and Yudi Wu
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and University of Exeter Business School - Department of Finance
Downloads 41 (576,295)

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Factor Models, Consumption-CAPM, consumption growth, state variables

17.

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

Number of pages: 48 Posted: 26 May 2004
Abhay Abhyankar, Lucio Sarno and Giorgio Valente
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 26 (667,560)
Citation 3
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Foreign exchange, monetary fundamentals, forecasting, parameter uncertainty, optimal portfolio

18.

The Impact of Enhanced Information Flows Across Firms: Cross-Sectional Evidence From the EDGAR Roll-Out

Posted: 03 Feb 2021
Abhay Abhyankar and yaning wang
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and University of Exeter Business School - Department of Finance

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EDGAR, information flow, liquidity, volume, volatility.

19.

Dynamic Factors and the Predictability of Consumption Growth

Posted: 17 Sep 2011
Abhay Abhyankar and Olga Klinkowska
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and Kozminski University

Abstract:

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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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona 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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, 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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, Cardiff University - Cardiff Business School and University of Stirling

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23.

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
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona

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24.

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

Posted: 20 Dec 1998
Abhay Abhyankar
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona

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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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, Cardiff University - Cardiff Business School and University of Stirling

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Other Papers (1)

Total Downloads: 345
Actions:
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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,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona and University of Warwick - Finance Group
Downloads 345

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return predictability, asset management