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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

22

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5,378

CITATIONS
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SSRN RANKINGS

Top 10,197

in Total Papers Citations

42

Scholarly Papers (22)

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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 683 (28,465)

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 (35,493)

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 (35,837)

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 (41,640)
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 505 (44,988)
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 (42,933)
Citation 2

Abstract:

7.

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

Downloads 381 ( 63,608)
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
University of Exeter Business School, University of Exeter and National Taiwan University
Downloads 242 (105,091)
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 (175,880)
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 (81,500)
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
Paul J. M. Klumpes, Pengguo Wang, Liyan Tang and Abhay Abhyankar
Nottingham Trent University, Xfi, University of Exeter, University of Kent, Canterbury and University of Exeter Business School, University of Exeter
Downloads 250 (88,073)

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 (129,223)
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 (144,045)

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 (130,408)

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 (150,226)
Citation 2

Abstract:

Bond market, Asset pricing model, Variance decomposition

14.

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

Downloads 155 (160,157)
Citation 1

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 (201,505)
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 (377,555)
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 (418,767)
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: 318    Citations: 10
Actions:
Email selected abstracts
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 (44,988)
Citation 10

Abstract:

return predictability, asset management

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