Details about Richard Priestley

Access statistics for papers by Richard Priestley.

Last updated 2014-01-07. Update your information in the RePEc Author Service.

Short-id: ppr293

Working Papers

2012

1. Management compensation and market timing under portfolio constraints
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (1)
   Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2011)
   See also Journal Article Management compensation and market timing under portfolio constraints, Journal of Economic Dynamics and Control, Elsevier (2012) View citations (1) (2012)

2004

2. The Impact of Globalization on the Equity Cost of Capital
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)

1999

3. EMU and European Stock Market Integration
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (41)
   See also Journal Article EMU and European Stock Market Integration, The Journal of Business, University of Chicago Press (2006) View citations (214) (2006)

Undated

4. An asset pricing approach to estimating the persistence in expected returns
   CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
5. Calculating the probability of failure of the Norwegian banking sector
   CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
   See also Journal Article Calculating the probability of failure of the Norwegian banking sector, Journal of Multinational Financial Management, Elsevier (2002) View citations (11) (2002)
6. Common Factors and the Empirical Validity of the Arbitrage Pricing Theory
   CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
7. Do Assumptions about Factor Structure Matter in Identifying the Number of Significant Factors in Test of the APT ?
   CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
8. Expected Returns, Risk, and the Integration of International Bond Markets
   Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
   Also in CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
   See also Journal Article Expected returns, risk and the integration of international bond markets, Journal of International Money and Finance, Elsevier (2004) View citations (97) (2004)
9. Measuring the Excess Profits of the UK’s recently Privatised Utilities
   Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
10. Miller-Modigliani, Behavioural Models of Dividend Policy and the Dividend Behaviour of the Aggregate Stock Market: Some Evidence for the UK
    CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
11. Modelling the dividend behaviour of the aggregate US stock market
    CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
12. Reports of beta's death are premature: evidence from the UK
    CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article Reports of beta's death are premature: Evidence from the UK, Journal of Banking & Finance, Elsevier (1998) View citations (17) (1998)
13. Risk factors in the Malaysian stock market
    CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article Risk factors in the Malaysian stock market, Pacific-Basin Finance Journal, Elsevier (1998) View citations (14) (1998)
14. Seasonality, stock returns and the macroeconomy
    CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article Seasonality, Stock Returns and the Macroeconomy, Economic Journal, Royal Economic Society (1997) View citations (8) (1997)
15. The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news
    CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University

Journal Articles

2013

1. The World Business Cycle and Expected Returns
   Review of Finance, 2013, 17, (3), 1029-1064 View citations (36)

2012

2. Dividend Growth, Cash Flow, and Discount Rate News
   Journal of Financial and Quantitative Analysis, 2012, 47, (5), 1003-1028 View citations (20)
3. Dividend Smoothing and Predictability
   Management Science, 2012, 58, (10), 1834-1853 View citations (64)
4. Management compensation and market timing under portfolio constraints
   Journal of Economic Dynamics and Control, 2012, 36, (10), 1600-1625 View citations (1)
   See also Working Paper Management compensation and market timing under portfolio constraints, CFR Working Papers (2012) View citations (1) (2012)

2011

5. Real investment and risk dynamics
   Journal of Financial Economics, 2011, 101, (1), 182-205 View citations (46)

2009

6. Implications of Keeping‐Up‐with‐the‐Joneses Behavior for the Equilibrium Cross Section of Stock Returns: International Evidence
   Journal of Finance, 2009, 64, (6), 2703-2737 View citations (18)

2007

7. Linear and nonlinear exchange rate exposure
   Journal of International Money and Finance, 2007, 26, (6), 1016-1037 View citations (39)
8. The impact of EMU on the equity cost of capital
   Journal of International Money and Finance, 2007, 26, (2), 305-327 View citations (24)

2006

9. EMU and European Stock Market Integration
   The Journal of Business, 2006, 79, (1), 365-392 View citations (214)
   See also Working Paper EMU and European Stock Market Integration, CEPR Discussion Papers (1999) View citations (41) (1999)

2004

10. Exchange rate regimes and the price of exchange rate risk
    Economics Letters, 2004, 82, (2), 181-188 View citations (4)
11. Expected returns, risk and the integration of international bond markets
    Journal of International Money and Finance, 2004, 23, (1), 71-97 View citations (97)
    See also Working Paper Expected Returns, Risk, and the Integration of International Bond Markets, Economics and Finance Discussion Papers

2002

12. Calculating the probability of failure of the Norwegian banking sector
    Journal of Multinational Financial Management, 2002, 12, (1), 21-40 View citations (11)
    See also Working Paper Calculating the probability of failure of the Norwegian banking sector, CERF Discussion Paper Series

2001

13. Time-varying persistence in expected returns
    Journal of Banking & Finance, 2001, 25, (7), 1271-1286 View citations (4)

2000

14. Abnormal Stock Returns and Public Policy: The Case of the UK Privatised Electricity and Water Utilities
    International Journal of Finance & Economics, 2000, 5, (2), 93-106 View citations (3)
15. Dividend Behaviour and Dividend Signaling
    Journal of Financial and Quantitative Analysis, 2000, 35, (2), 173-189 View citations (32)

1999

16. Mean reversion in Southeast Asian stock markets
    Journal of Empirical Finance, 1999, 6, (4), 355-384 View citations (40)

1998

17. Calculating the equity cost of capital using the APT: the impact of the ERM
    Journal of International Money and Finance, 1998, 17, (6), 949-965 View citations (4)
18. Reports of beta's death are premature: Evidence from the UK
    Journal of Banking & Finance, 1998, 22, (9), 1207-1229 View citations (17)
    See also Working Paper Reports of beta's death are premature: evidence from the UK, CERF Discussion Paper Series
19. Risk factors in the Malaysian stock market
    Pacific-Basin Finance Journal, 1998, 6, (1-2), 103-114 View citations (14)
    See also Working Paper Risk factors in the Malaysian stock market, CERF Discussion Paper Series

1997

20. Is Beta dead? The role of alternative estimation methods
    Applied Economics Letters, 1997, 4, (9), 559-562 View citations (12)
21. Seasonality, Stock Returns and the Macroeconomy
    Economic Journal, 1997, 107, (445), 1742-50 View citations (8)
    See also Working Paper Seasonality, stock returns and the macroeconomy, CERF Discussion Paper Series
22. Stock return predictability or mismeasured risk?
    Applied Financial Economics, 1997, 7, (6), 679-687 View citations (1)
23. Technical analysis, trading volume and market efficiency: evidence from an emerging market
    Applied Financial Economics, 1997, 7, (4), 361-365 View citations (16)

1996

24. Estimating the cost of capital of the UK's newly privatized utilities
    Applied Economics Letters, 1996, 3, (10), 653-657
25. The arbitrage pricing theory, macroeconomic and financial factors, and expectations generating processes
    Journal of Banking & Finance, 1996, 20, (5), 869-890 View citations (27)