Details about Richard D. F. Harris

Access statistics for papers by Richard D. F. Harris.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pha750

Working Papers

2019

1. Have FSRs got news for you? Evidence from the impact of Financial Stability Reports on market activity
   Bank of England working papers, Bank of England View citations (3)

2016

2. Financial market volatility, macroeconomic fundamentals and investor sentiment
   Bank of England working papers, Bank of England View citations (3)
   See also Journal Article Financial market Volatility, macroeconomic fundamentals and investor Sentiment, Journal of Banking & Finance, Elsevier (2018) View citations (36) (2018)
3. Systematic tail risk
   Bank of England working papers, Bank of England
4. The dynamic Black-Litterman approach to asset allocation
   Bank of England working papers, Bank of England
   See also Journal Article The dynamic Black–Litterman approach to asset allocation, European Journal of Operational Research, Elsevier (2017) View citations (5) (2017)

2015

5. Extreme downside risk and financial crises
   Bank of England working papers, Bank of England View citations (2)

2010

6. A Cyclical Model of Exchange Rate Volatility
   Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK View citations (1)
   See also Journal Article A cyclical model of exchange rate volatility, Journal of Banking & Finance, Elsevier (2011) View citations (10) (2011)

2005

7. Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension
   Working Papers, Queen Mary University of London, School of Economics and Finance

2002

8. Stock Returns Following Profit Warnings: A Test of Models of Behavioural Finance
   Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (2)

1999

9. Does Job Matching Explain Job Satisfaction? Evidence for UK Graduates
   Discussion Papers, University of Exeter, Department of Economics

1998

10. A Test of the Expectations Hypothesis of the Term Structure Using Cross-Section Data
    Discussion Papers, University of Exeter, Department of Economics View citations (4)
11. Inference for Unit Roots in Dynamic Panels with Heteroscedastic and Serially Correlated Errors
    Discussion Papers, University of Exeter, Department of Economics
12. The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns
    Discussion Papers, University of Exeter, Department of Economics
    See also Journal Article The Gilt‐Equity Yield Ratio and the Predictability of UK and US Equity Returns, Journal of Business Finance & Accounting, Wiley Blackwell (2000) View citations (1) (2000)

1997

13. Analyst Optimism and the Magnitude of Earnings Growth
    Discussion Papers, University of Exeter, Department of Economics View citations (1)
14. Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends
    Discussion Papers, University of Exeter, Department of Economics
15. Tests of the Expectations Hypothesis of the Term Structure in a Model with Bayesian Learning
    Discussion Papers, University of Exeter, Department of Economics View citations (2)

1996

16. Irrational Analysts' Expectations as a Cause of Excess Volatility in Stock Prices
    Discussion Papers, University of Exeter, Department of Economics View citations (7)
    See also Journal Article Irrational Analysts' Expectations as a Cause of Excess Volatility in Stock Prices, Economic Journal, Royal Economic Society (1997) View citations (24) (1997)
17. Why Does the Ratio of Book to Market Value of Equity Explain Cross-Section Stock Returns?
    Discussion Papers, University of Exeter, Department of Economics View citations (1)

Journal Articles

2019

1. Extreme downside risk and market turbulence
   Quantitative Finance, 2019, 19, (11), 1875-1892 View citations (2)
2. Model-based earnings forecasts vs. financial analysts' earnings forecasts
   The British Accounting Review, 2019, 51, (4), 424-437 View citations (2)
3. Option‐implied betas and the cross section of stock returns
   Journal of Futures Markets, 2019, 39, (1), 94-108 View citations (2)
4. Systematic extreme downside risk
   Journal of International Financial Markets, Institutions and Money, 2019, 61, (C), 128-142 View citations (17)

2018

5. Financial market Volatility, macroeconomic fundamentals and investor Sentiment
   Journal of Banking & Finance, 2018, 92, (C), 130-145 View citations (36)
   See also Working Paper Financial market volatility, macroeconomic fundamentals and investor sentiment, Bank of England working papers (2016) View citations (3) (2016)

2017

6. Dynamic factor long memory volatility
   Quantitative Finance, 2017, 17, (8), 1205-1221
7. Soft power and exchange rate volatility
   International Finance, 2017, 20, (3), 271-288 View citations (2)
8. The dynamic Black–Litterman approach to asset allocation
   European Journal of Operational Research, 2017, 259, (3), 1085-1096 View citations (5)
   See also Working Paper The dynamic Black-Litterman approach to asset allocation, Bank of England working papers (2016) (2016)
9. The intrinsic value of gold: An exchange rate-free price index
   Journal of International Money and Finance, 2017, 79, (C), 203-217 View citations (10)

2015

10. Ambiguity aversion and stock market participation: An empirical analysis
    Journal of Banking & Finance, 2015, 58, (C), 57-70 View citations (39)
11. Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?
    Journal of Banking & Finance, 2015, 58, (C), 179-193 View citations (6)

2013

12. Dynamic hedge fund portfolio construction: A semi-parametric approach
    Journal of Banking & Finance, 2013, 37, (1), 139-149 View citations (13)
13. Long memory conditional volatility and asset allocation
    International Journal of Forecasting, 2013, 29, (2), 258-273 View citations (11)

2011

14. A cyclical model of exchange rate volatility
    Journal of Banking & Finance, 2011, 35, (11), 3055-3064 View citations (10)
    See also Working Paper A Cyclical Model of Exchange Rate Volatility, Bristol Economics Discussion Papers (2010) View citations (1) (2010)
15. Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets: Hong Kong, Shanghai and Shenzhen
    Applied Financial Economics, 2011, 21, (13), 917-929 View citations (9)
16. Revisiting the expectations hypothesis of the term structure of interest rates
    Journal of Banking & Finance, 2011, 35, (5), 1202-1212 View citations (10)

2010

17. Dynamic hedge fund portfolio construction
    International Review of Financial Analysis, 2010, 19, (5), 351-357 View citations (7)
18. Estimation of the conditional variance-covariance matrix of returns using the intraday range
    International Journal of Forecasting, 2010, 26, (1), 180-194 View citations (7)
19. Hedging and value at risk: A semi‐parametric approach
    Journal of Futures Markets, 2010, 30, (8), 780-794 View citations (13)
20. The Limits to Minimum‐Variance Hedging
    Journal of Business Finance & Accounting, 2010, 37, (5‐6), 737-761 View citations (4)

2009

21. A momentum trading strategy based on the low frequency component of the exchange rate
    Journal of Banking & Finance, 2009, 33, (9), 1575-1585 View citations (33)

2008

22. Retrieving seasonally adjusted quarterly growth rates from annual growth rates that are reported quarterly
    European Journal of Operational Research, 2008, 188, (3), 846-853 View citations (2)

2007

23. A simplified approach to modeling the co‐movement of asset returns
    Journal of Futures Markets, 2007, 27, (6), 575-598 View citations (15)

2006

24. Bias in the estimation of non-linear transformations of the integrated variance of returns
    Journal of Forecasting, 2006, 25, (7), 481-494 View citations (1)
25. Hedging and value at risk
    Journal of Futures Markets, 2006, 26, (4), 369-390 View citations (24)
26. Return and Volatility Spillovers Between Large and Small Stocks in the UK
    Journal of Business Finance & Accounting, 2006, 33, (9‐10), 1556-1571 View citations (31)

2004

27. Skewness in the conditional distribution of daily equity returns
    Applied Financial Economics, 2004, 14, (3), 195-202 View citations (18)
28. Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
    Econometric Reviews, 2004, 23, (2), 149-166 View citations (6)
29. The rational expectations hypothesis and the cross-section of bond yields
    Applied Financial Economics, 2004, 14, (2), 105-112 View citations (3)
30. Why does book-to-market value of equity forecast cross-section stock returns?
    International Review of Financial Analysis, 2004, 13, (2), 153-160 View citations (3)

2003

31. Contrarian Investment and Macroeconomic Risk
    Journal of Business Finance & Accounting, 2003, 30, (1‐2), 213-256 View citations (12)
32. Robust estimation of the optimal hedge ratio
    Journal of Futures Markets, 2003, 23, (8), 799-816 View citations (11)

2002

33. Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns
    International Journal of Forecasting, 2002, 18, (3), 409-419 View citations (27)
34. How well do theories of job matching explain variations in job satisfaction across education levels? Evidence for UK graduates
    Applied Economics, 2002, 34, (5), 535-548 View citations (57)

2001

35. An Analysis of Contrarian Investment Strategies in the UK
    Journal of Business Finance & Accounting, 2001, 28, (9‐10), 1192-1228 View citations (40)
36. Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
    European Journal of Operational Research, 2001, 134, (3), 481-492 View citations (1)
37. The Empirical Distribution of UK and US Stock Returns
    Journal of Business Finance & Accounting, 2001, 28, (5‐6), 715-740 View citations (7)
38. The empirical distribution of stock returns: evidence from an emerging European market
    Applied Economics Letters, 2001, 8, (6), 367-371 View citations (8)

2000

39. The Gilt‐Equity Yield Ratio and the Predictability of UK and US Equity Returns
    Journal of Business Finance & Accounting, 2000, 27, (3‐4), 333-357 View citations (1)
    See also Working Paper The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns, Discussion Papers (1998) (1998)

1999

40. Inference for unit roots in dynamic panels where the time dimension is fixed
    Journal of Econometrics, 1999, 91, (2), 201-226 View citations (668)
41. The Accuracy, Bias and Efficiency of Analysts’ Long Run Earnings Growth Forecasts
    Journal of Business Finance & Accounting, 1999, 26, (5‐6), 725-755 View citations (9)

1997

42. Irrational Analysts' Expectations as a Cause of Excess Volatility in Stock Prices
    Economic Journal, 1997, 107, (441), 359-71 View citations (24)
    See also Working Paper Irrational Analysts' Expectations as a Cause of Excess Volatility in Stock Prices, Discussion Papers (1996) View citations (7) (1996)
43. Stock markets and development: A re-assessment
    European Economic Review, 1997, 41, (1), 139-146 View citations (106)