Details about Jerry Coakley

Access statistics for papers by Jerry Coakley.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: pco48

Working Papers

2022

1. Corporate governance with crowd investors in innovative entrepreneurial finance: Nominee structure and coinvestment in equity crowdfunding
   Essex Finance Centre Working Papers, University of Essex, Essex Business School

2021

2. Enfranchising the crowd: Nominee account equity crowdfunding
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (2)

2006

3. Generalized variance ratio tests in the presence of statistical dependence
   Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)
   See also Journal Article Generalized Variance-Ratio Tests in the Presence of Statistical Dependence, Journal of Time Series Analysis, Wiley Blackwell (2015) (2015)
4. Long Memory and Structural Breaks in Commodity Futures Basis and Market
   Computing in Economics and Finance 2006, Society for Computational Economics
5. The Forward Premium Anomaly at Long Horizons
   Computing in Economics and Finance 2006, Society for Computational Economics
6. Threshold Autoregressive Models of the Commodities Futures Basis
   Computing in Economics and Finance 2006, Society for Computational Economics

2004

7. A new interpretation of the real exchange rate - yield differential nexus
   Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group
8. Comovement and FTSE 100 Index Changes
   Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group View citations (5)
   See also Journal Article Comovement and FTSE 100 index changes, International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd (2014) View citations (5) (2014)
9. Testing for Long Run Relative PPP in Europe
   Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group View citations (2)
10. The Feldstein-Horioka puzzle is not as bad as you think
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group View citations (9)
11. The overvaluation of PPP in Europe?
    Computing in Economics and Finance 2004, Society for Computational Economics
12. Unobserved Heterogeneity in Panel Time Series Models
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (14)
    See also Journal Article Unobserved heterogeneity in panel time series models, Computational Statistics & Data Analysis, Elsevier (2006) View citations (133) (2006)

2003

13. A New Interpretation of the Exchange Rate - Yield Differential Nexus
    Computing in Economics and Finance 2003, Society for Computational Economics
    See also Journal Article A new interpretation of the exchange rate-yield differential nexus, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2004) (2004)

2002

14. A Principal Components Approach to Cross-Section Dependence in Panels
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data View citations (71)
15. An MTAR Test for Stock Market Bubbles
    Computing in Economics and Finance 2002, Society for Computational Economics
16. Exchange Rate Overshooting and the Forward Premium Puzzle
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (1)

2001

17. Between-Group Dependence in PPP Equations and its Causes: A Principal Components Approach
    Computing in Economics and Finance 2001, Society for Computational Economics
18. Bootstrap LR Tests for Sign and Amplitude Asymmetries
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (2)
19. Small sample properties of panel time-series estimators with I(1) errors
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (34)

2000

20. A NUMERICAL ALGORITHM FOR THE EFFICIENT ESTIMATION OF BAND-TAR MODELS
    Computing in Economics and Finance 2000, Society for Computational Economics
21. Evaluating The Persistence And Structuralist Theories Of Unemployment
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)

1996

22. Saving, Investment and Capital Mobility in LDCs
    Archive Discussion Papers, Birkbeck, Department of Economics, Mathematics & Statistics View citations (3)
    See also Journal Article Saving, Investment, and Capital Mobility in LDCs, Review of International Economics, Wiley Blackwell (1999) View citations (49) (1999)

Journal Articles

2024

1. The S&P 500 index inclusion effect: Evidence from the options market
   International Journal of Finance & Economics, 2024, 29, (1), 1157-1171

2023

2. P2P lending and outside entrepreneurial finance
   The European Journal of Finance, 2023, 29, (13), 1520-1537 View citations (1)

2022

3. Exchange rate forecasting using economic models and technical trading rules
   The European Journal of Finance, 2022, 28, (10), 997-1018
4. Index tracking and beta arbitrage effects in comovement
   International Review of Financial Analysis, 2022, 83, (C) View citations (1)
5. Seasoned equity crowdfunded offerings
   Journal of Corporate Finance, 2022, 77, (C) View citations (2)
6. Strategic entrepreneurial choice between competing crowdfunding platforms
   The Journal of Technology Transfer, 2022, 47, (6), 1794-1824 View citations (2)

2021

7. New Developments in Equity Crowdfunding: A Review
   Review of Corporate Finance, 2021, 1, (3-4), 341-405 View citations (18)

2020

8. Banks and financial markets in times of uncertainty
   The European Journal of Finance, 2020, 26, (10), 893-896
9. Serial SEOs and capital structure
   International Review of Financial Analysis, 2020, 71, (C) View citations (1)

2019

10. Credit default swaps and the UK 2008–09 short sales ban
    The European Journal of Finance, 2019, 25, (14), 1328-1349
11. The effect of the interest coverage covenants on classification shifting of revenues
    The European Journal of Finance, 2019, 25, (16), 1572-1590 View citations (6)

2018

12. Earnings management using classification shifting of revenues
    The British Accounting Review, 2018, 50, (3), 291-305 View citations (13)
13. Prospect theory and IPO returns in China
    Journal of Corporate Finance, 2018, 48, (C), 726-751 View citations (16)

2017

14. FX technical trading rules can be profitable sometimes!
    International Review of Financial Analysis, 2017, 49, (C), 113-127 View citations (16)
15. The impact of mispricing and growth on UK M&As
    The European Journal of Finance, 2017, 23, (13), 1219-1237 View citations (1)

2016

16. Bubbling over! The behaviour of oil futures along the yield curve
    Journal of Empirical Finance, 2016, 38, (PB), 516-533 View citations (13)
17. Changes in Non-current Assets and in Property, Plant and Equipment and Future Stock Returns: The UK Evidence
    Journal of Business Finance & Accounting, 2016, 43, (9-10), 1142-1196 View citations (2)
18. Commodity futures returns: more memory than you might think!
    The European Journal of Finance, 2016, 22, (14), 1457-1483 View citations (1)
19. How profitable are FX technical trading rules?
    International Review of Financial Analysis, 2016, 45, (C), 273-282 View citations (11)
20. Is news related to GDP growth a risk factor for commodity futures returns?
    Quantitative Finance, 2016, 16, (12), 1887-1899 View citations (2)

2015

21. A pricing kernel approach to valuing options on interest rate futures
    The European Journal of Finance, 2015, 21, (2), 93-110 View citations (1)
22. Generalized Variance-Ratio Tests in the Presence of Statistical Dependence
    Journal of Time Series Analysis, 2015, 36, (5), 687-705
    See also Working Paper Generalized variance ratio tests in the presence of statistical dependence, Computing in Economics and Finance 2006 (2006) View citations (1) (2006)
23. Introduction to the JTSA John Nankervis Memorial Issue
    Journal of Time Series Analysis, 2015, 36, (5), 601-602
24. The European sovereign debt market: from integration to segmentation
    The European Journal of Finance, 2015, 21, (2), 111-128 View citations (22)

2014

25. Comovement and FTSE 100 index changes
    International Journal of Behavioural Accounting and Finance, 2014, 4, (2), 93-112 View citations (5)
    See also Working Paper Comovement and FTSE 100 Index Changes, Money Macro and Finance (MMF) Research Group Conference 2004 (2004) View citations (5) (2004)
26. Earnings management and IPO anomalies in China
    Review of Quantitative Finance and Accounting, 2014, 42, (1), 69-93 View citations (14)
27. Investor sentiment and value and growth stock index options
    The European Journal of Finance, 2014, 20, (12), 1211-1229 View citations (4)

2013

28. Does the forward premium puzzle disappear over the horizon?
    Journal of Banking & Finance, 2013, 37, (9), 3681-3693 View citations (5)
29. Investor participation and underpricing in lottery-allocated Chinese IPOs
    Pacific-Basin Finance Journal, 2013, 25, (C), 294-314 View citations (5)

2012

30. The School’s Out effect: A new seasonal anomaly!
    The British Accounting Review, 2012, 44, (3), 133-143 View citations (1)

2011

31. Long memory and structural breaks in commodity futures markets
    Journal of Futures Markets, 2011, 31, (11), 1076-1113 View citations (12)

2010

32. Misvaluation and UK mergers 1986-2002
    Applied Financial Economics, 2010, 20, (3), 201-211 View citations (1)
33. The lunar moon festival and the dark side of the moon
    Applied Financial Economics, 2010, 20, (20), 1565-1575 View citations (2)

2009

34. Does Volatility Improve UK Earnings Forecasts?
    Journal of Business Finance & Accounting, 2009, 36, (9‐10), 1148-1179 View citations (1)
35. UK IPO underpricing and venture capitalists
    The European Journal of Finance, 2009, 15, (4), 421-435 View citations (11)

2008

36. Hot IPOs can damage your long-run wealth!
    Applied Financial Economics, 2008, 18, (14), 1111-1120 View citations (6)
37. Markov-Switching GARCH Modelling of Value-at-Risk
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 31 View citations (12)
38. The MSCI-Canada index rebalancing and excess comovement
    Applied Financial Economics, 2008, 18, (16), 1277-1287 View citations (1)
39. The role of long memory in hedging effectiveness
    Computational Statistics & Data Analysis, 2008, 52, (6), 3075-3082 View citations (12)

2007

40. Post‐IPO Operating Performance, Venture Capital and the Bubble Years
    Journal of Business Finance & Accounting, 2007, 34, (9‐10), 1423-1446 View citations (16)
41. The short-run wealth effects of foreign divestitures by UK firms
    Applied Financial Economics, 2007, 18, (3), 173-184

2006

42. Bidder CEO and Other Executive Compensation in UK M&As
    European Financial Management, 2006, 12, (4), 609-631 View citations (17)
43. Testing for sign and amplitude asymmetries using threshold autoregressions
    Journal of Economic Dynamics and Control, 2006, 30, (4), 623-654 View citations (1)
44. Testing for symmetry and proportionality in a European panel
    Applied Financial Economics, 2006, 16, (1-2), 63-71 View citations (7)
    Also in Applied Financial Economics, 2005, 15, (11), 745-752 (2005) View citations (5)
45. Unobserved heterogeneity in panel time series models
    Computational Statistics & Data Analysis, 2006, 50, (9), 2361-2380 View citations (133)
    See also Working Paper Unobserved Heterogeneity in Panel Time Series Models, Birkbeck Working Papers in Economics and Finance (2004) View citations (14) (2004)
46. Valuation ratios and price deviations from fundamentals
    Journal of Banking & Finance, 2006, 30, (8), 2325-2346 View citations (36)

2005

47. Purchasing power parity and the theory of general relativity: the first tests
    Journal of International Money and Finance, 2005, 24, (2), 293-316 View citations (51)
48. The PPP debate: Price matters!
    Economics Letters, 2005, 88, (2), 209-213 View citations (16)

2004

49. A new interpretation of the exchange rate-yield differential nexus
    International Journal of Finance & Economics, 2004, 9, (3), 201-218
    See also Working Paper A New Interpretation of the Exchange Rate - Yield Differential Nexus, Computing in Economics and Finance 2003 (2003) (2003)
50. Is the Feldstein–Horioka Puzzle History?
    Manchester School, 2004, 72, (5), 569-590 View citations (80)

2003

51. Numerical issues in threshold autoregressive modeling of time series
    Journal of Economic Dynamics and Control, 2003, 27, (11), 2219-2242 View citations (26)
    Also in Journal of Economic Dynamics and Control, 2003, 27, (11-12), 2219-2242 (2003) View citations (25)

2002

52. Asymmetric dynamics in UK real interest rates
    Applied Financial Economics, 2002, 12, (6), 379-387 View citations (12)

2001

53. A Non‐Linear Analysis of Excess Foreign Exchange Returns
    Manchester School, 2001, 69, (6), 623-642 View citations (9)
54. Border costs and real exchange rate dynamics in Europe
    Journal of Policy Modeling, 2001, 23, (6), 669-676 View citations (11)
55. Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 25 View citations (19)
56. Nonparametric cointegration analysis of real exchange rates
    Applied Financial Economics, 2001, 11, (1), 1-8 View citations (24)

2000

57. Is There a Base Currency Effect in Long-Run PPP?
    International Journal of Finance & Economics, 2000, 5, (4), 253-63 View citations (14)
58. Short‐run Real Exchange Rate Dynamics
    Manchester School, 2000, 68, (4), 461-475

1999

59. Saving, Investment, and Capital Mobility in LDCs
    Review of International Economics, 1999, 7, (4), 632-40 View citations (49)
    See also Working Paper Saving, Investment and Capital Mobility in LDCs, Archive Discussion Papers (1996) View citations (3) (1996)

1998

60. The Feldstein-Horioka Puzzle and Capital Mobility: A Review
    International Journal of Finance & Economics, 1998, 3, (2), 169-88 View citations (153)

1997

61. Cointegration of long span saving and investment
    Economics Letters, 1997, 54, (1), 1-6 View citations (56)
62. New panel unit root tests of PPP
    Economics Letters, 1997, 57, (1), 17-22 View citations (68)

1996

63. Current Account Solvency and the Feldstein-Horioka Puzzle
    Economic Journal, 1996, 106, (436), 620-27 View citations (161)

1994

64. The Integration of Property and Financial Markets
    Environment and Planning A, 1994, 26, (5), 697-713 View citations (38)