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Details about Chris Brooks

Workplace:ICMA Centre for Financial Markets, Henley Business School, University of Reading, (more information at EDIRC)

Access statistics for papers by Chris Brooks.

Last updated 2016-02-08. Update your information in the RePEc Author Service.

Short-id: pbr256


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Working Papers

2015

  1. The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. The ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2014

  1. Commodity Risk Factors and the Cross-Section of Equity Returns
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  2. Did Purchasing Power Parity Hold in Medieval Europe?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2013

  1. Are Investors Guided by the News Disclosed by Companies or by Journalists?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Did Long-Short Investors Destabilize Commodity Markets?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. Does More Detailed Information Mean Better Performance? An Experiment in Information Explicitness
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Review of Behavioral Finance (2014)
  4. Forecasting Turning Points in Real Estate Yields
    ERES, European Real Estate Society (ERES) Downloads
  5. On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Journal of Real Estate Research (2014)
  6. Speculative Bubbles and the Cross-Sectional Variation in Stock Returns
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in International Review of Financial Analysis (2014)

2012

  1. Futures basis, inventory and commodity price volatility: An empirical analysis
    MPRA Paper, University Library of Munich, Germany Downloads View citations (10)
    See also Journal Article in Economic Modelling (2012)
  2. The interactive financial effects between corporate social responsibility and irresponsibility
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2011

  1. Housing and equity bubbles: Are they contagious to REITs?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market 1960-2009
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price
    Post-Print, HAL Downloads
    Also in ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University (2009) View citations (2)

    See also Journal Article in Applied Economics (2012)
  4. The Dynamics of Commodity Prices
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Quantitative Finance (2013)

2010

  1. A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market
    MPRA Paper, University Library of Munich, Germany Downloads
  2. The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market
    MPRA Paper, University Library of Munich, Germany Downloads

2009

  1. Testing for periodically collapsing rational speculative bubbles in US REITs
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Time Varying Volatility and the Cross-Section of Equity Returns
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. Transaction Costs, Trading Volume and Momentum Strategies
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2008

  1. Interest in medieval accounts: Examples from England, 1272-1340
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (4)

2007

  1. Low-Cost Momentum Strategies
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (3)
  2. The Integration of European and US Real Estate Markets
    ERES, European Real Estate Society (ERES) Downloads
  3. The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  4. The Value Premium and Time-Varying Unsystematic Risk
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2006

  1. Corporate Reputation and Stock Returns; are good firm good for investors?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Momentum Profits and Time-Varying Unsystematic Risk
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Journal of Banking & Finance (2008)
  3. Optimal Hedging with Higher Moments
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Journal of Futures Markets (2012)
  4. Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
    See also Journal Article in Journal of Empirical Finance (2010)
  5. The Stock Performance of America’s 100 Best Corporate Citizens
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
    See also Journal Article in The Quarterly Review of Economics and Finance (2009)

2005

  1. Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Cross Hedging with Single Stock Futures
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (3)
  3. Decomposing the P/E Ratio
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  4. Leger est aprendre mes fort est arendre;: Wool, Debt and the Dispersal of Pipewell Abbey (1280 - 1330)
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  5. The Extremes of the P/E Effect
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  6. The Long-Term P/E Radio
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)

2004

  1. Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)

2003

  1. Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (3)
  2. Measuring the Response of Macroeconomic Uncertainty to Shocks
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (5)
    See also Journal Article in The Review of Economics and Statistics (2005)
  3. Multivariate GARCH Models: Software Choice and Estimation Issues
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (20)
    See also Journal Article in Journal of Applied Econometrics (2003)

2002

  1. A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)
  2. Augoregressive Conditional Kurtosis
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Journal of Financial Econometrics (2005)
  3. Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2001

  1. A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  3. The Statistical Properties of Hedge Fund Index Returns
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (19)

2000

  1. An EVT Approach to calculating Risk Capital Requirements
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  2. The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market
    Department of Economics - Working Papers Series, The University of Melbourne Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2002)
  3. Value at Risk and Market Crashes
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (6)

1999

  1. Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article in Economics Letters (2000)
  2. Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia
    Department of Economics - Working Papers Series, The University of Melbourne View citations (1)
    See also Journal Article in Economic Modelling (2000)
  3. Optimal Hedging and the Value of News
    Department of Economics - Working Papers Series, The University of Melbourne View citations (4)

1998

  1. Macroeconomic Influences on Property Returns
    ERES, European Real Estate Society (ERES) Downloads

Journal Articles

2016

  1. Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets
    Cliometrica, Journal of Historical Economics and Econometric History, 2016, 10, (1), 5-30 Downloads

2015

  1. Booms and Busts in Commodity Markets: Bubbles or Fundamentals?
    Journal of Futures Markets, 2015, 35, (10), 916-938 Downloads View citations (1)
  2. Speculative Bubble Spillovers across Regional Housing Markets
    Land Economics, 2015, 91, (3), 516-535 Downloads

2014

  1. Does more detailed information mean better performance? An experiment in information explicitness
    Review of Behavioral Finance, 2014, 6, (2), 86-103 Downloads
    See also Working Paper (2013)
  2. Gender and the evaluation of research
    Research Policy, 2014, 43, (6), 990-1001 Downloads View citations (3)
  3. On the Predictive Content of Leading Indicators: The Case of U.S. Real Estate Markets
    Journal of Real Estate Research, 2014, 36, (4), 541-574 Downloads
    See also Working Paper (2013)
  4. On the performance of the tick test
    The Quarterly Review of Economics and Finance, 2014, 54, (1), 42-50 Downloads View citations (2)
  5. Speculative bubbles and the cross-sectional variation in stock returns
    International Review of Financial Analysis, 2014, 35, (C), 20-31 Downloads View citations (4)
    See also Working Paper (2013)
  6. The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings
    The Financial Review, 2014, 49, (1), 49-75 Downloads View citations (6)
  7. The Financial Effects of Uniform and Mixed Corporate Social Performance
    Journal of Management Studies, 2014, 51, (6), 898-925 Downloads View citations (2)
  8. The credit relationship between Henry III and merchants of Douai and Ypres, 1247–70
    Economic History Review, 2014, 67, (1), 123-145 Downloads
  9. The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market
    Annals of Finance, 2014, 10, (3), 457-480 Downloads
  10. The long-run performance of IPOs: the case of the Stock Exchange of Mauritius
    Applied Financial Economics, 2014, 24, (17), 1123-1145 Downloads

2013

  1. Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs?
    Urban Studies, 2013, 50, (12), 2496-2516 Downloads View citations (2)
  2. Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage
    The Quarterly Review of Economics and Finance, 2013, 53, (1), 73-85 Downloads View citations (5)
  3. Do long-short speculators destabilize commodity futures markets?
    International Review of Financial Analysis, 2013, 30, (C), 230-240 Downloads View citations (4)
  4. House price dynamics and their reaction to macroeconomic changes
    Economic Modelling, 2013, 32, (C), 172-178 Downloads View citations (9)
  5. Idiosyncratic volatility and the pricing of poorly-diversified portfolios
    International Review of Financial Analysis, 2013, 30, (C), 78-85 Downloads View citations (2)
  6. Intrinsic and Rational Speculative Bubbles in the US Housing Market: 1960-2011
    Journal of Real Estate Research, 2013, 35, (2), 121-152 Downloads View citations (6)
  7. The dynamics of commodity prices
    Quantitative Finance, 2013, 13, (4), 527-542 Downloads View citations (14)
    See also Working Paper (2011)
  8. The performance effects of composition changes on sector specific stock indices: The case of European listed real estate
    International Review of Financial Analysis, 2013, 29, (C), 132-142 Downloads

2012

  1. Futures basis, inventory and commodity price volatility: An empirical analysis
    Economic Modelling, 2012, 29, (6), 2651-2663 Downloads View citations (12)
    See also Working Paper (2012)
  2. Hot and cold IPO markets: The case of the Stock Exchange of Mauritius
    Journal of Multinational Financial Management, 2012, 22, (4), 168-192 Downloads
  3. Optimal hedging with higher moments
    Journal of Futures Markets, 2012, 32, (10), 909-944 View citations (6)
    See also Working Paper (2006)
  4. Over the moon or sick as a parrot? The effects of football results on a club's share price
    Applied Economics, 2012, 44, (26), 3435-3452 Downloads View citations (5)
    See also Working Paper (2011)
  5. The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis
    Financial Management, 2012, 41, (2), 483-515 Downloads View citations (35)
  6. The underpricing of IPOs on the Stock Exchange of Mauritius
    Research in International Business and Finance, 2012, 26, (2), 281-303 Downloads View citations (1)

2010

  1. Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?
    Journal of Empirical Finance, 2010, 17, (3), 345-361 Downloads View citations (13)
    See also Working Paper (2006)
  2. The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume
    Journal of Banking & Finance, 2010, 34, (1), 116-126 Downloads View citations (10)

2009

  1. The Value Premium and Time-Varying Volatility
    Journal of Business Finance & Accounting, 2009, 36, (9-10), 1252-1272 Downloads View citations (9)
  2. The stock performance of America's 100 Best Corporate Citizens
    The Quarterly Review of Economics and Finance, 2009, 49, (3), 1065-1080 Downloads View citations (5)
    See also Working Paper (2006)

2008

  1. A re-examination of the index effect: Gambling on additions to and deletions from the S&P 500's [`]gold seal'
    Research in International Business and Finance, 2008, 22, (3), 325-350 Downloads View citations (3)
  2. Momentum profits and time-varying unsystematic risk
    Journal of Banking & Finance, 2008, 32, (4), 541-558 Downloads View citations (26)
    See also Working Paper (2006)

2007

  1. Interest rates and efficiency in medieval wool forward contracts
    Journal of Banking & Finance, 2007, 31, (2), 361-380 Downloads View citations (1)

2006

  1. Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures
    Financial Management, 2006, 35, (3) View citations (60)
    Also in Financial Management, 2006, 35, (3), 97-116 (2006) Downloads View citations (65)
  2. Detecting intraday periodicities with application to high frequency exchange rates
    Journal of the Royal Statistical Society Series C, 2006, 55, (2), 241-259 Downloads View citations (3)
  3. The Long-Term Price-Earnings Ratio
    Journal of Business Finance & Accounting, 2006, 33, (7-8), 1063-1086 Downloads View citations (8)

2005

  1. A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index
    Economic Journal, 2005, 115, (505), 767-797 Downloads View citations (13)
  2. A comparison of extreme value theory approaches for determining value at risk
    Journal of Empirical Finance, 2005, 12, (2), 339-352 Downloads View citations (23)
  3. Autoregressive Conditional Kurtosis
    Journal of Financial Econometrics, 2005, 3, (3), 399-421 Downloads View citations (45)
    See also Working Paper (2002)
  4. Measuring the Response of Macroeconomic Uncertainty to Shocks
    The Review of Economics and Statistics, 2005, 87, (2), 362-370 Downloads View citations (17)
    See also Working Paper (2003)
  5. Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index
    The Journal of Business, 2005, 78, (5), 2003-2036 Downloads View citations (7)

2003

  1. Information criteria for GARCH model selection
    The European Journal of Finance, 2003, 9, (6), 557-580 Downloads View citations (6)
  2. International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks
    Journal of Property Research, 2003, 20, (2), 133-155 Downloads View citations (4)
  3. Multivariate GARCH models: software choice and estimation issues
    Journal of Applied Econometrics, 2003, 18, (6), 725-734 Downloads View citations (18)
    See also Working Paper (2003)
  4. Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange
    Bulletin of Economic Research, 2003, 55, (4), 319-346 Downloads View citations (31)
  5. Volatility forecasting for risk management
    Journal of Forecasting, 2003, 22, (1), 1-22 Downloads View citations (48)

2002

  1. A Note on Estimating Market-Based Minimum Capital Risk Requirements: A Multivariate GARCH Approach
    Manchester School, 2002, 70, (5), 666-81 Downloads
  2. A model for exchange rates with crawling bands--an application to the Colombian peso
    Journal of Economics and Business, 2002, 54, (5), 483-503 Downloads View citations (4)
  3. Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?
    Applied Financial Economics, 2002, 12, (1), 25-31 Downloads View citations (10)
  4. Modelling the Implied Volatility of Options on Long Gilt Futures
    Journal of Business Finance & Accounting, 2002, 29, (1&2), 111-137 Downloads View citations (10)
  5. Selecting from amongst Non-nested Conditional Variance Models: Information Criteria and Portfolio Determination
    Manchester School, 2002, 70, (6), 747-67 Downloads
  6. Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors
    Computational Economics, 2002, 20, (3), 157-76 Downloads View citations (5)
  7. Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates
    Economic Modelling, 2002, 19, (1), 65-90 Downloads View citations (2)
  8. The Effect of Asymmetries on Optimal Hedge Ratios
    The Journal of Business, 2002, 75, (2), 333-352 Downloads View citations (62)
  9. The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market
    Oxford Bulletin of Economics and Statistics, 2002, 64, (5), 487-507 Downloads View citations (7)
    See also Working Paper (2000)

2001

  1. A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate
    Journal of Forecasting, 2001, 20, (2), 135-43 View citations (27)
  2. Benchmarks and the accuracy of GARCH model estimation
    International Journal of Forecasting, 2001, 17, (1), 45-56 Downloads View citations (30)
  3. Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting
    Journal of Forecasting, 2001, 20, (3), 181-96 View citations (5)
  4. Linkages between property asset returns and interest rates: evidence for the UK
    Applied Economics, 2001, 33, (6), 711-719 Downloads View citations (3)
  5. Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects
    Applied Economics Letters, 2001, 8, (3), 155-158 Downloads View citations (34)
  6. The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models
    Journal of Futures Markets, 2001, 21, (11), 1043-1069 Downloads
  7. The trading profitability of forecasts of the gilt-equity yield ratio
    International Journal of Forecasting, 2001, 17, (1), 11-29 Downloads View citations (12)

2000

  1. A word of caution on calculating market-based minimum capital risk requirements
    Journal of Banking & Finance, 2000, 24, (10), 1557-1574 Downloads View citations (16)
  2. Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models
    Economics Letters, 2000, 67, (3), 245-251 Downloads View citations (13)
    See also Working Paper (1999)
  3. Does orthogonalization really purge equitybased property valuations of their general stock market influences?
    Applied Economics Letters, 2000, 7, (5), 305-309 Downloads
  4. Forecasting models of retail rents
    Environment and Planning A, 2000, 32, (10), 1825-1839 Downloads View citations (5)
  5. Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia
    Economic Modelling, 2000, 17, (4), 497-513 Downloads View citations (20)
    See also Working Paper (1999)
  6. What will be the risk-free rate and benchmark yield curve following European monetary union?
    Applied Financial Economics, 2000, 10, (1), 59-69 Downloads View citations (2)

1999

  1. An alternative approach to investigating lead-lag relationships between stock and stock index futures markets
    Applied Financial Economics, 1999, 9, (6), 605-613 Downloads View citations (1)
  2. Cross-correlations and cross-bicorrelations in Sterling exchange rates
    Journal of Empirical Finance, 1999, 6, (4), 385-404 Downloads View citations (16)
  3. Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods
    Computational Economics, 1999, 13, (3), 249-63 Downloads View citations (5)
  4. The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test
    Computational Economics, 1999, 13, (2), 147-62 Downloads View citations (16)
  5. The impact of economic and financial factors on UK property performance
    Journal of Property Research, 1999, 16, (2), 139-152 Downloads View citations (10)
  6. Threshold autoregressive and Markov switching models: an application to commercial real estate
    Journal of Property Research, 1999, 16, (1), 1-19 Downloads View citations (6)

1998

  1. Chaos in Foreign Exchange Markets: A Sceptical View
    Computational Economics, 1998, 11, (3), 265-81 Downloads View citations (5)
  2. Forecasting exchange rate volatility using conditional variance models selected by information criteria
    Economics Letters, 1998, 61, (3), 273-278 Downloads View citations (9)

Books

2014

  1. Introductory Econometrics for Finance
    Cambridge Books, Cambridge University Press View citations (18)

2010

  1. Real Estate Modelling and Forecasting
    Cambridge Books, Cambridge University Press View citations (7)

2008

  1. RATS Handbook to Accompany Introductory Econometrics for Finance
    Cambridge Books, Cambridge University Press View citations (29)
    Also in Cambridge Books, Cambridge University Press (2008) View citations (29)

Edited books

2013

  1. Handbook of Research Methods and Applications in Empirical Finance
    Books, Edward Elgar Publishing Downloads

Chapters

2013

  1. Testing for speculative bubbles in asset prices
    Chapter 3 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 73-94 Downloads
 
Page updated 2017-08-18