Abhay Abhyankar

University of Exeter Business School, University of Exeter

Professor

Streatham Court

Exeter, EX4 4PU

United Kingdom

  • University of Exeter Business School, University of Exeter

SCHOLARLY PAPERS

23

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CITATIONS
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46

Scholarly Papers (23)

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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
University of Exeter Business School, University of Exeter, National Taiwan University and Loughborough University - School of Business and Economics
Downloads 734 (33,280)

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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 615 (42,200)
Citation 1

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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 614 (42,288)

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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 546 (49,243)
Citation 1

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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
University of Exeter Business School, University of Exeter and University of Iowa - Department of Finance
Downloads 543 (49,570)
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6.

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 527 (51,509)
Citation 4

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Asset pricing, return predictability

7.

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

Downloads 395 ( 73,403)

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 250 (120,973)
Citation 1

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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
University of Exeter Business School, University of Exeter and National Taiwan University
Downloads 145 (200,391)

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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
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 314 (95,367)
Citation 1

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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
Paul J. M. Klumpes, Pengguo Wang, Liyan Tang and Abhay Abhyankar
Nottingham Trent University, Xfi, University of Exeter, affiliation not provided to SSRN and University of Exeter Business School, University of Exeter
Downloads 305 (98,409)

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Enterprise Risk Management, Derivative exposure, multinationals

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 Garcia-Ares
University of Exeter Business School, University of Exeter and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 212 (142,941)
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
University of Exeter Business School, University of Exeter and National Taiwan University
Downloads 200 (150,937)
Citation 2

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

12.

Overcoming Arbitrage Limits: Option Trading and Momentum Returns

Number of pages: 82 Posted: 24 Jul 2018 Last Revised: 08 May 2019
Abhay Abhyankar, Ilias Filippou, Pedro Garcia-Ares and Ozkan Haykir
University of Exeter Business School, University of Exeter, 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 188 (159,889)

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Momentum Returns, Stock Option Trading, Short-Sale Constraints

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
University of Exeter Business School, University of Exeter, University of Aberdeen - Business School and University of Edinburgh
Downloads 182 (164,634)

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

14.

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

Downloads 170 (174,903)

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 125 (225,711)

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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, University of Exeter Business School, University of Exeter and University of Aberdeen - Business School
Downloads 45 (411,233)

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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
University of Exeter Business School, University of Exeter and University of Edinburgh
Downloads 168 (176,710)

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Bond market, Asset pricing model, Variance decomposition

16.

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 Institute for Monetary and Financial Research (HKIMR)
Downloads 26 (485,326)
Citation 1
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Foreign exchange, monetary fundamentals, forecasting, parameter uncertainty, optimal portfolio

17.

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

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E21, E27

18.

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

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19.

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

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20.

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

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21.

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

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22.

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

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23.

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

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Other Papers (1)

Total Downloads: 326
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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, University of Exeter Business School, University of Exeter and University of Warwick - Finance Group
Downloads 326

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return predictability, asset management