Details about Philip Alexander Stork

Access statistics for papers by Philip Alexander Stork.

Last updated 2024-01-05. Update your information in the RePEc Author Service.

Short-id: pst361

Working Papers

2018

1. Implied Volatility Sentiment: A Tale of Two Tails
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2017)
   See also Journal Article Implied volatility sentiment: a tale of two tails, Quantitative Finance, Taylor & Francis Journals (2020) View citations (2) (2020)
2. Predictable biases in macroeconomic forecasts and their impact across asset classes
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
3. Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See also Journal Article Single Stock Call Options as Lottery Tickets: Overpricing and Investor Sentiment, Journal of Behavioral Finance, Taylor & Francis Journals (2019) View citations (3) (2019)

2017

4. Single stock call options as lottery tickets
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (2)

2015

5. Investing in Systematic Factor Premiums
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Investing in Systematic Factor Premiums, European Financial Management, European Financial Management Association (2016) View citations (5) (2016)

2014

6. The 2011 European Short Sale Ban: An Option Market Perspective
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (3)

2013

7. Short-Selling, Leverage and Systemic Risk
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
8. The 2011 European short sale ban on financial stocks: A cure or a curse?
   CFS Working Paper Series, Center for Financial Studies (CFS)

2011

9. Risk Measures for Autocorrelated Hedge Fund Returns
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2011)
   See also Journal Article Risk Measures for Autocorrelated Hedge Fund Returns, Journal of Financial Econometrics, Oxford University Press (2015) View citations (1) (2015)

1994

10. Between Realignments and Intervention: the Belgian Franc in the European Monetary System
    Working Papers, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER)

1991

11. Policy Optimization Using a Lexicographic Preference Ordering
    Working Papers, Erasmus University of Rotterdam - Institute for Economic Research

Journal Articles

2023

1. Technical trading rules, loss avoidance, and the business cycle
   Pacific-Basin Finance Journal, 2023, 82, (C)

2021

2. Behavioral heterogeneity in return expectations across equity style portfolios
   International Review of Finance, 2021, 21, (4), 1225-1250 View citations (1)
3. Strategic bias and popularity effect in the prediction of economic surprises
   Journal of Forecasting, 2021, 40, (6), 1095-1117

2020

4. Implied volatility sentiment: a tale of two tails
   Quantitative Finance, 2020, 20, (5), 823-849 View citations (2)
   See also Working Paper Implied Volatility Sentiment: A Tale of Two Tails, Tinbergen Institute Discussion Papers (2018) (2018)

2019

5. Single Stock Call Options as Lottery Tickets: Overpricing and Investor Sentiment
   Journal of Behavioral Finance, 2019, 20, (4), 385-407 View citations (3)
   See also Working Paper Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment, Tinbergen Institute Discussion Papers (2018) (2018)

2016

6. Investing in Systematic Factor Premiums
   European Financial Management, 2016, 22, (2), 193-234 View citations (5)
   See also Working Paper Investing in Systematic Factor Premiums, CEPR Discussion Papers (2015) (2015)
7. The 2011 European short sale ban: A cure or a curse?
   Journal of Financial Stability, 2016, 25, (C), 115-131 View citations (8)

2015

8. Risk Measures for Autocorrelated Hedge Fund Returns
   Journal of Financial Econometrics, 2015, 13, (4), 868-895 View citations (1)
   See also Working Paper Risk Measures for Autocorrelated Hedge Fund Returns, Tinbergen Institute Discussion Papers (2011) (2011)

2013

9. Bank Size and Systemic Risk
   European Financial Management, 2013, 19, (3), 429-451 View citations (47)
10. When a celebrity endorser is disgraced: A twenty-five-year event study
    Marketing Letters, 2013, 24, (2), 131-141 View citations (2)

2012

11. Asymmetric extreme tails and prospective utility of momentum returns
    Economics Letters, 2012, 117, (1), 295-297 View citations (3)
12. Short-selling bans and contagion risk
    Journal of Financial Transformation, 2012, 35, 109-122 View citations (4)

2011

13. Contagion risk in the Australian banking and property sectors
    Journal of Banking & Finance, 2011, 35, (3), 681-697 View citations (32)
14. The intertemporal mechanics of European stock price momentum
    Studies in Economics and Finance, 2011, 28, (3), 217-232
15. The value of celebrity endorsements: A stock market perspective
    Marketing Letters, 2011, 22, (2), 147-163 View citations (20)

1998

16. An EMS target zone model in discrete time
    Journal of Applied Econometrics, 1998, 13, (1), 31-48 View citations (16)

1995

17. New evidence on the effectiveness of foreign exchange market intervention
    European Economic Review, 1995, 39, (3-4), 501-508 View citations (3)

1994

18. Should we care? psychological barriers in stock markets
    Economics Letters, 1994, 44, (4), 427-432 View citations (32)

1992

19. Differences between foreign exchange rate regimes: The view from the tails
    Journal of International Money and Finance, 1992, 11, (5), 462-473 View citations (38)
20. Policy optimization by lexicographic preference ordering
    Journal of Policy Modeling, 1992, 14, (5), 655-673