Details about Chris Brooks

Homepage:	https://www.icmacentre.ac.uk/people/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 2024-08-18. Update your information in the RePEc Author Service.

Short-id: pbr256

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Working Papers

2015

1. 'Buying and Selling of Money for Time': Foreign Exchange and Interest Rates in Medieval Europe
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
   Also in ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2015) View citations (2)
2. The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)

2014

3. Commodity Risk Factors and the Cross-Section of Equity Returns
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
4. Did Purchasing Power Parity Hold in Medieval Europe?
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
   See also Journal Article Did Purchasing Power Parity Hold in Medieval Europe?, Manchester School, University of Manchester (2017) (2017)

2013

5. Are Investors Guided by the News Disclosed by Companies or by Journalists?
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
   See also Journal Article Are investors guided by the news disclosed by companies or by journalists?, Journal of Behavioral and Experimental Finance, Elsevier (2014) (2014)
6. Did Long-Short Investors Destabilize Commodity Markets?
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (3)
7. Does More Detailed Information Mean Better Performance? An Experiment in Information Explicitness
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
   See also Journal Article Does more detailed information mean better performance? An experiment in information explicitness, Review of Behavioral Finance, Emerald Group Publishing Limited (2014) (2014)
8. Forecasting Turning Points in Real Estate Yields
   ERES, European Real Estate Society (ERES)
9. On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
   See also Journal Article On the Predictive Content of Leading Indicators: The Case of U.S. Real Estate Markets, Journal of Real Estate Research, American Real Estate Society (2014) (2014)
10. Speculative Bubbles and the Cross-Sectional Variation in Stock Returns
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
    See also Journal Article Speculative bubbles and the cross-sectional variation in stock returns, International Review of Financial Analysis, Elsevier (2014) View citations (9) (2014)

2012

11. Futures basis, inventory and commodity price volatility: An empirical analysis
    MPRA Paper, University Library of Munich, Germany View citations (44)
    See also Journal Article Futures basis, inventory and commodity price volatility: An empirical analysis, Economic Modelling, Elsevier (2012) View citations (46) (2012)
12. The interactive financial effects between corporate social responsibility and irresponsibility
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (3)

2011

13. Housing and equity bubbles: Are they contagious to REITs?
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
14. Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market 1960-2009
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
15. Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price
    Post-Print, HAL View citations (2)
    Also in ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2009) View citations (4)
    See also Journal Article Over the moon or sick as a parrot? The effects of football results on a club's share price, Applied Economics, Taylor & Francis Journals (2012) View citations (15) (2012)
16. The Dynamics of Commodity Prices
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
    See also Journal Article The dynamics of commodity prices, Quantitative Finance, Taylor & Francis Journals (2013) View citations (55) (2013)

2010

17. A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market
    MPRA Paper, University Library of Munich, Germany
18. The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market
    MPRA Paper, University Library of Munich, Germany
19. The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (9)
    See also Journal Article The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis, Financial Management, Financial Management Association International (2012) View citations (226) (2012)

2009

20. Testing for periodically collapsing rational speculative bubbles in US REITs
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
    See also Journal Article Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs, Journal of Real Estate Portfolio Management, Taylor & Francis Journals (2011) View citations (1) (2011)
21. Time Varying Volatility and the Cross-Section of Equity Returns Â
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
22. Transaction Costs, Trading Volume and Momentum Strategies
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)

2008

23. Interest in medieval accounts: Examples from England, 1272-1340
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (6)

2007

24. Low-Cost Momentum Strategies
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (3)
    See also Journal Article Low-cost momentum strategies, Journal of Asset Management, Palgrave Macmillan (2009) View citations (10) (2009)
25. The Integration of European and US Real Estate Markets
    ERES, European Real Estate Society (ERES) View citations (1)
26. 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, University of Reading
27. The Value Premium and Time-Varying Unsystematic Risk
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading

2006

28. Corporate Reputation and Stock Returns; are good firm good for investors?
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
29. Momentum Profits and Time-Varying Unsystematic Risk
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
    See also Journal Article Momentum profits and time-varying unsystematic risk, Journal of Banking & Finance, Elsevier (2008) View citations (37) (2008)
30. Optimal Hedging with Higher Moments
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (8)
    See also Journal Article Optimal hedging with higher moments, Journal of Futures Markets, John Wiley & Sons, Ltd. (2012) View citations (17) (2012)
31. 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, University of Reading View citations (4)
    See also Journal Article Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?, Journal of Empirical Finance, Elsevier (2010) View citations (33) (2010)
32. The Stock Performance of America's 100 Best Corporate Citizens
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
    See also Journal Article The stock performance of America's 100 Best Corporate Citizens, The Quarterly Review of Economics and Finance, Elsevier (2009) View citations (18) (2009)

2005

33. Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
34. Cross Hedging with Single Stock Futures
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (4)
35. Decomposing the P/E Ratio
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
36. 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, University of Reading View citations (1)
37. The Extremes of the P/E Effect
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
38. The Long-Term P/E Radio
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)

2004

39. Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)

2003

40. 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, University of Reading View citations (4)
41. Measuring the Response of Macroeconomic Uncertainty to Shocks
    Department of Economics - Working Papers Series, The University of Melbourne View citations (5)
    See also Journal Article Measuring the Response of Macroeconomic Uncertainty to Shocks, The Review of Economics and Statistics, MIT Press (2005) View citations (32) (2005)
42. Multivariate GARCH Models: Software Choice and Estimation Issues
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (34)
    See also Journal Article Multivariate GARCH models: software choice and estimation issues, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2003) View citations (33) (2003)

2002

43. 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, University of Reading View citations (2)
44. Augoregressive Conditional Kurtosis
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
    See also Journal Article Autoregressive Conditional Kurtosis, Journal of Financial Econometrics, Oxford University Press (2005) View citations (75) (2005)
45. 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, University of Reading

2001

46. A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
47. 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, University of Reading View citations (1)
48. The Statistical Properties of Hedge Fund Index Returns
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (36)

2000

49. An EVT Approach to calculating Risk Capital Requirements
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (3)
50. 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
    See also Journal Article The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2002) View citations (13) (2002)
51. Value at Risk and Market Crashes
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (8)

1999

52. 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 Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models, Economics Letters, Elsevier (2000) View citations (15) (2000)
53. 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 Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia, Economic Modelling, Elsevier (2000) View citations (28) (2000)
54. Optimal Hedging and the Value of News
    Department of Economics - Working Papers Series, The University of Melbourne View citations (4)

1998

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

Journal Articles

2024

1. Are English football players overvalued?
   Applied Economics, 2024, 56, (21), 2568-2584
2. CEO overcaution and capital structure choices
   The Financial Review, 2024, 59, (3), 719-743
3. People are people: A comparative analysis of risk attitudes across Europe
   International Journal of Finance & Economics, 2024, 29, (3), 3545-3566

2023

4. Comparing perceptions of the impact of journal rankings between fields
   CRITICAL PERSPECTIVES ON ACCOUNTING, 2023, 90, (C) View citations (2)
5. Do you follow your head or your heart? The simultaneous impact of framing effects and incidental emotions on investment decisions
   Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2023, 107, (C)
6. The importance of staying positive: The impact of emotions on attitude to risk
   International Journal of Finance & Economics, 2023, 28, (3), 3232-3261 View citations (4)

2022

7. Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM
   International Review of Financial Analysis, 2022, 82, (C)
8. The first real estate bubble? Land prices and rents in medieval England c. 1300–1500
   Research in International Business and Finance, 2022, 62, (C) View citations (1)
9. When it comes to the crunch: Retail investor decision-making during periods of market volatility
   International Review of Financial Analysis, 2022, 80, (C)
10. Why have UK universities become more indebted over time?
    International Review of Economics & Finance, 2022, 82, (C), 771-783 View citations (3)

2021

11. The impact of personality traits on attitude to financial risk
    Research in International Business and Finance, 2021, 58, (C) View citations (3)
12. The impacts of emotions and personality on borrowers’ abilities to manage their debts
    International Review of Financial Analysis, 2021, 74, (C) View citations (2)
13. Tomorrow's fish and chip paper? Slowly incorporated news and the cross-section of stock returns
    The European Journal of Finance, 2021, 27, (8), 774-795

2020

14. When is a MAX not the MAX? How news resolves information uncertainty
    Journal of Empirical Finance, 2020, 57, (C), 33-51 View citations (3)

2019

15. Corporate Tax: What Do Stakeholders Expect?
    Journal of Business Ethics, 2019, 158, (2), 403-426 View citations (6)
16. Experience wears the trousers: Exploring gender and attitude to financial risk
    Journal of Economic Behavior & Organization, 2019, 163, (C), 483-515 View citations (19)
17. Financial data science: the birth of a new financial research paradigm complementing econometrics?
    The European Journal of Finance, 2019, 25, (17), 1627-1636 View citations (1)
18. Medieval Property Investors, ca. 1300–1500
    Enterprise & Society, 2019, 20, (3), 575-612 View citations (2)
19. Optimism, volatility and decision-making in stock markets
    International Review of Financial Analysis, 2019, 66, (C) View citations (3)
20. Why does research in finance have so little impact?
    CRITICAL PERSPECTIVES ON ACCOUNTING, 2019, 58, (C), 24-52 View citations (16)

2018

21. Institutional cross-ownership and corporate strategy: The case of mergers and acquisitions
    Journal of Corporate Finance, 2018, 48, (C), 187-216 View citations (47)
22. Topics and trends in finance research: What is published, who publishes it and what gets cited?
    The British Accounting Review, 2018, 50, (6), 615-637 View citations (11)
23. Why are older investors less willing to take financial risks?
    International Review of Financial Analysis, 2018, 56, (C), 52-72 View citations (23)

2017

24. Cambium non est mutuum: exchange and interest rates in medieval Europe
    Economic History Review, 2017, 70, (2), 373-396 View citations (5)
25. Did Purchasing Power Parity Hold in Medieval Europe?
    Manchester School, 2017, 85, (6), 682-709
    See also Working Paper Did Purchasing Power Parity Hold in Medieval Europe?, ICMA Centre Discussion Papers in Finance (2014) (2014)
26. Fundamental indexation revisited: New evidence on alpha
    International Review of Financial Analysis, 2017, 51, (C), 1-15 View citations (4)
27. The Impact of Foreign Real Estate Investment on Land Prices: Evidence from Mauritius
    Review of Development Economics, 2017, 21, (4), e131-e146 View citations (1)

2016

28. Commodity risks and the cross-section of equity returns
    The British Accounting Review, 2016, 48, (2), 134-150 View citations (3)
29. Do investors care about corporate taxes?
    Journal of Corporate Finance, 2016, 38, (C), 218-248 View citations (23)
30. Finite sample weighting of recursive forecast errors
    International Journal of Forecasting, 2016, 32, (2), 458-474
31. 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 View citations (4)

2015

32. Booms and Busts in Commodity Markets: Bubbles or Fundamentals?
    Journal of Futures Markets, 2015, 35, (10), 916-938 View citations (26)
33. Speculative Bubble Spillovers across Regional Housing Markets
    Land Economics, 2015, 91, (3), 516-535 View citations (11)

2014

34. Are investors guided by the news disclosed by companies or by journalists?
    Journal of Behavioral and Experimental Finance, 2014, 1, (C), 45-60
    See also Working Paper Are Investors Guided by the News Disclosed by Companies or by Journalists?, ICMA Centre Discussion Papers in Finance (2013) (2013)
35. Does more detailed information mean better performance? An experiment in information explicitness
    Review of Behavioral Finance, 2014, 6, (2), 86-103
    See also Working Paper Does More Detailed Information Mean Better Performance? An Experiment in Information Explicitness, ICMA Centre Discussion Papers in Finance (2013) (2013)
36. Gender and the evaluation of research
    Research Policy, 2014, 43, (6), 990-1001 View citations (16)
37. 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
    Also in Journal of Real Estate Research, 2014, 36, (4), 541-573 (2014)
    See also Working Paper On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets, ICMA Centre Discussion Papers in Finance (2013) (2013)
38. On the performance of the tick test
    The Quarterly Review of Economics and Finance, 2014, 54, (1), 42-50 View citations (4)
39. Speculative bubbles and the cross-sectional variation in stock returns
    International Review of Financial Analysis, 2014, 35, (C), 20-31 View citations (9)
    See also Working Paper Speculative Bubbles and the Cross-Sectional Variation in Stock Returns, ICMA Centre Discussion Papers in Finance (2013) (2013)
40. The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings
    The Financial Review, 2014, 49, (1), 49-75 View citations (149)
41. The Financial Effects of Uniform and Mixed Corporate Social Performance
    Journal of Management Studies, 2014, 51, (6), 898-925 View citations (20)
42. The credit relationship between Henry III and merchants of Douai and Ypres, 1247–70
    Economic History Review, 2014, 67, (1), 123-145
43. The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market
    Annals of Finance, 2014, 10, (3), 457-480 View citations (5)
44. The long-run performance of IPOs: the case of the Stock Exchange of Mauritius
    Applied Financial Economics, 2014, 24, (17), 1123-1145 View citations (2)

2013

45. Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs?
    Urban Studies, 2013, 50, (12), 2496-2516 View citations (12)
46. 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 View citations (12)
47. Do long-short speculators destabilize commodity futures markets?
    International Review of Financial Analysis, 2013, 30, (C), 230-240 View citations (19)
48. House price dynamics and their reaction to macroeconomic changes
    Economic Modelling, 2013, 32, (C), 172-178 View citations (31)
49. Idiosyncratic volatility and the pricing of poorly-diversified portfolios
    International Review of Financial Analysis, 2013, 30, (C), 78-85 View citations (4)
50. Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market: 1960-2011
    Journal of Real Estate Research, 2013, 35, (2), 121-152
    Also in Journal of Real Estate Research, 2013, 35, (2), 121-152 (2013) View citations (17)
51. The dynamics of commodity prices
    Quantitative Finance, 2013, 13, (4), 527-542 View citations (55)
    See also Working Paper The Dynamics of Commodity Prices, ICMA Centre Discussion Papers in Finance (2011) View citations (2) (2011)
52. 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 View citations (1)

2012

53. Futures basis, inventory and commodity price volatility: An empirical analysis
    Economic Modelling, 2012, 29, (6), 2651-2663 View citations (46)
    See also Working Paper Futures basis, inventory and commodity price volatility: An empirical analysis, MPRA Paper (2012) View citations (44) (2012)
54. Hot and cold IPO markets: The case of the Stock Exchange of Mauritius
    Journal of Multinational Financial Management, 2012, 22, (4), 168-192 View citations (1)
55. Optimal hedging with higher moments
    Journal of Futures Markets, 2012, 32, (10), 909-944 View citations (17)
    See also Working Paper Optimal Hedging with Higher Moments, ICMA Centre Discussion Papers in Finance (2006) View citations (8) (2006)
56. 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 View citations (15)
    See also Working Paper Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price, Post-Print (2011) View citations (2) (2011)
57. The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis
    Financial Management, 2012, 41, (2), 483-515 View citations (226)
    See also Working Paper The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis, ICMA Centre Discussion Papers in Finance (2010) View citations (9) (2010)
58. The underpricing of IPOs on the Stock Exchange of Mauritius
    Research in International Business and Finance, 2012, 26, (2), 281-303 View citations (4)

2011

59. Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs
    Journal of Real Estate Portfolio Management, 2011, 17, (3), 227-241 View citations (1)
    See also Working Paper Testing for periodically collapsing rational speculative bubbles in US REITs, ICMA Centre Discussion Papers in Finance (2009) (2009)

2010

60. 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 View citations (33)
    See also Working Paper Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?, ICMA Centre Discussion Papers in Finance (2006) View citations (4) (2006)
61. 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 View citations (21)

2009

62. Low-cost momentum strategies
    Journal of Asset Management, 2009, 9, (6), 366-379 View citations (10)
    See also Working Paper Low-Cost Momentum Strategies, ICMA Centre Discussion Papers in Finance (2007) View citations (3) (2007)
63. The Value Premium and Time‐Varying Volatility
    Journal of Business Finance & Accounting, 2009, 36, (9‐10), 1252-1272 View citations (4)
64. The credit crisis of 1294: causes, consequences and results
    Ekonomicheskaya Politika / Economic Policy, 2009, 3, 94-97
65. The stock performance of America's 100 Best Corporate Citizens
    The Quarterly Review of Economics and Finance, 2009, 49, (3), 1065-1080 View citations (18)
    See also Working Paper The Stock Performance of America's 100 Best Corporate Citizens, ICMA Centre Discussion Papers in Finance (2006) View citations (2) (2006)

2008

66. 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 View citations (5)
67. Integration of International Office Markets and Signal Extraction
    Journal of Real Estate Portfolio Management, 2008, 14, (4), 351-362
68. Momentum profits and time-varying unsystematic risk
    Journal of Banking & Finance, 2008, 32, (4), 541-558 View citations (37)
    See also Working Paper Momentum Profits and Time-Varying Unsystematic Risk, ICMA Centre Discussion Papers in Finance (2006) (2006)

2007

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

2006

70. Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures
    Financial Management, 2006, 35, (3), 97-116 View citations (328)
    Also in Financial Management, 2006, 35, (3) (2006) View citations (272)
71. Decomposing the price-earnings ratio
    Journal of Asset Management, 2006, 6, (6), 456-469 View citations (9)
72. Detecting intraday periodicities with application to high frequency exchange rates
    Journal of the Royal Statistical Society Series C, 2006, 55, (2), 241-259 View citations (4)
73. The Long‐Term Price‐Earnings Ratio
    Journal of Business Finance & Accounting, 2006, 33, (7‐8), 1063-1086 View citations (1)

2005

74. A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index
    Economic Journal, 2005, 115, (505), 767-797 View citations (39)
75. A comparison of extreme value theory approaches for determining value at risk
    Journal of Empirical Finance, 2005, 12, (2), 339-352 View citations (42)
76. Autoregressive Conditional Kurtosis
    Journal of Financial Econometrics, 2005, 3, (3), 399-421 View citations (75)
    See also Working Paper Augoregressive Conditional Kurtosis, ICMA Centre Discussion Papers in Finance (2002) (2002)
77. Measuring the Response of Macroeconomic Uncertainty to Shocks
    The Review of Economics and Statistics, 2005, 87, (2), 362-370 View citations (32)
    See also Working Paper Measuring the Response of Macroeconomic Uncertainty to Shocks, Department of Economics - Working Papers Series (2003) View citations (5) (2003)
78. 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 View citations (12)

2003

79. Information criteria for GARCH model selection
    The European Journal of Finance, 2003, 9, (6), 557-580 View citations (20)
80. 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 View citations (9)
81. Multivariate GARCH models: software choice and estimation issues
    Journal of Applied Econometrics, 2003, 18, (6), 725-734 View citations (33)
    See also Working Paper Multivariate GARCH Models: Software Choice and Estimation Issues, ICMA Centre Discussion Papers in Finance (2003) View citations (34) (2003)
82. Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange
    Bulletin of Economic Research, 2003, 55, (4), 319-346 View citations (46)
83. The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates
    Journal of Risk Finance, 2003, 4, (2), 29-42 View citations (3)
84. Volatility forecasting for risk management
    Journal of Forecasting, 2003, 22, (1), 1-22 View citations (92)

2002

85. A Note on Estimating Market–based Minimum Capital Risk Requirements: A Multivariate GARCH Approach
    Manchester School, 2002, 70, (5), 666-681 View citations (4)
86. A model for exchange rates with crawling bands--an application to the Colombian peso
    Journal of Economics and Business, 2002, 54, (5), 483-503 View citations (5)
87. An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements
    Journal of Risk Finance, 2002, 3, (2), 22-33
88. Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?
    Applied Financial Economics, 2002, 12, (1), 25-31 View citations (17)
89. Model Choice and Value-at-Risk Performance
    Financial Analysts Journal, 2002, 58, (5), 87-97 View citations (1)
90. Modelling the Implied Volatility of Options on Long Gilt Futures
    Journal of Business Finance & Accounting, 2002, 29, (1‐2), 111-137 View citations (15)
91. Selecting From Amongst Non–Nested Conditional Variance Models: Information Criteria and Portfolio Determination
    Manchester School, 2002, 70, (6), 747-767
92. 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 View citations (8)
93. 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 View citations (2)
94. The Effect of Asymmetries on Optimal Hedge Ratios
    The Journal of Business, 2002, 75, (2), 333-352 View citations (103)
95. 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 View citations (13)
    See also Working Paper The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market, Department of Economics - Working Papers Series (2000) (2000)

2001

96. A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate
    Journal of Forecasting, 2001, 20, (2), 135-43 View citations (46)
97. Benchmarks and the accuracy of GARCH model estimation
    International Journal of Forecasting, 2001, 17, (1), 45-56 View citations (45)
98. Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting
    Journal of Forecasting, 2001, 20, (3), 181-96 View citations (10)
99. Can profitable trading strategies be derived from investment best-sellers?
    Journal of Asset Management, 2001, 2, (2), 162-179
100. Forecasting real estate returns using financial spreads
     Journal of Property Research, 2001, 18, (3), 235-248 View citations (9)
101. Linkages between property asset returns and interest rates: evidence for the UK
     Applied Economics, 2001, 33, (6), 711-719 View citations (7)
102. Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects
     Applied Economics Letters, 2001, 8, (3), 155-158 View citations (58)
103. Testing for bubbles in indirect property price cycles
     Journal of Property Research, 2001, 18, (4), 341-356 View citations (24)
104. The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models
     Journal of Futures Markets, 2001, 21, (11), 1043-1069 View citations (7)
105. The trading profitability of forecasts of the gilt-equity yield ratio
     International Journal of Forecasting, 2001, 17, (1), 11-29 View citations (29)

2000

106. A word of caution on calculating market-based minimum capital risk requirements
     Journal of Banking & Finance, 2000, 24, (10), 1557-1574 View citations (20)
107. Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models
     Economics Letters, 2000, 67, (3), 245-251 View citations (15)
     See also Working Paper Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models, Department of Economics - Working Papers Series (1999) (1999)
108. Does orthogonalization really purge equitybased property valuations of their general stock market influences?
     Applied Economics Letters, 2000, 7, (5), 305-309
109. Forecasting Models of Retail Rents
     Environment and Planning A, 2000, 32, (10), 1825-1839 View citations (7)
110. Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia
     Economic Modelling, 2000, 17, (4), 497-513 View citations (28)
     See also Working Paper Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia, Department of Economics - Working Papers Series (1999) View citations (1) (1999)
111. The cyclical relations between traded property stock prices and aggregate time‐series
     Journal of Property Investment & Finance, 2000, 18, (6), 540-564
112. What will be the risk-free rate and benchmark yield curve following European monetary union?
     Applied Financial Economics, 2000, 10, (1), 59-69 View citations (2)

1999

113. An alternative approach to investigating lead-lag relationships between stock and stock index futures markets
     Applied Financial Economics, 1999, 9, (6), 605-613 View citations (7)
114. Cross-correlations and cross-bicorrelations in Sterling exchange rates
     Journal of Empirical Finance, 1999, 6, (4), 385-404 View citations (23)
115. Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods
     Computational Economics, 1999, 13, (3), 249-63 View citations (5)
116. Tests of non‐linearity using LIFFE futures transactions price data
     Manchester School, 1999, 67, (2), 167-186
117. The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test
     Computational Economics, 1999, 13, (2), 147-62 View citations (22)
118. The impact of economic and financial factors on UK property performance
     Journal of Property Research, 1999, 16, (2), 139-152 View citations (38)
119. Threshold autoregressive and Markov switching models: an application to commercial real estate
     Journal of Property Research, 1999, 16, (1), 1-19 View citations (18)

1998

120. Chaos in Foreign Exchange Markets: A Sceptical View
     Computational Economics, 1998, 11, (3), 265-81 View citations (6)
121. Forecasting exchange rate volatility using conditional variance models selected by information criteria
     Economics Letters, 1998, 61, (3), 273-278 View citations (19)

Books

2019

1. Introductory Econometrics for Finance
   Cambridge Books, Cambridge University Press View citations (85)

2010

2. Real Estate Modelling and Forecasting
   Cambridge Books, Cambridge University Press View citations (15)

2008

3. RATS Handbook to Accompany Introductory Econometrics for Finance
   Cambridge Books, Cambridge University Press View citations (184)
   Also in Cambridge Books, Cambridge University Press (2008) View citations (184)

Edited books

2013

1. Handbook of Research Methods and Applications in Empirical Finance
   Books, Edward Elgar Publishing View citations (38)

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