Details about Mark B. Shackleton

Access statistics for papers by Mark B. Shackleton.

Last updated 2022-10-05. Update your information in the RePEc Author Service.

Short-id: psh172

Working Papers

2017

1. Continuous Workout Mortgages: Efficient Pricing and Systemic Implications
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
   See also Journal Article Continuous Workout Mortgages: Efficient pricing and systemic implications, Journal of Economic Behavior & Organization, Elsevier (2019) (2019)

2016

2. Option-Implied Volatility Measures and Stock Return Predictability
   Post-Print, HAL View citations (6)

2011

3. Continuous Workout Mortgages
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) View citations (6)

Journal Articles

2022

1. What drives a firm's ES performance? Evidence from stock returns
   Journal of Banking & Finance, 2022, 136, (C) View citations (4)

2020

2. Buyback behaviour and the option funding hypothesis
   Journal of Banking & Finance, 2020, 114, (C)
3. NAV inflation and impact on performance in China
   European Financial Management, 2020, 26, (1), 118-142 View citations (2)

2019

4. Continuous Workout Mortgages: Efficient pricing and systemic implications
   Journal of Economic Behavior & Organization, 2019, 157, (C), 244-274
   See also Working Paper Continuous Workout Mortgages: Efficient Pricing and Systemic Implications, Cowles Foundation Discussion Papers (2017) View citations (2) (2017)

2016

5. Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures
   Journal of Futures Markets, 2016, 36, (11), 1029-1056 View citations (6)
6. Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages
   Journal of Banking & Finance, 2016, 71, (C), 62-74 View citations (4)

2015

7. Stock-return volatility and daily equity trading by investor groups in Korea
   Pacific-Basin Finance Journal, 2015, 34, (C), 43-70 View citations (11)

2014

8. Cojumps in stock prices: Empirical evidence
   Journal of Banking & Finance, 2014, 40, (C), 443-459 View citations (55)
9. The Option and Decision to Repurchase Stock
   Financial Management, 2014, 43, (4), 833-855 View citations (1)

2013

10. Corporate Risk Management and Hedge Accounting
    Contemporary Accounting Research, 2013, 30, (1), 116-139 View citations (10)
11. Hedging efficiency in the Greek options market before and after the financial crisis of 2008
    Journal of Multinational Financial Management, 2013, 23, (1), 1-18 View citations (1)
12. Mitigating financial fragility with Continuous Workout Mortgages
    Journal of Economic Behavior & Organization, 2013, 85, (C), 269-285 View citations (16)

2012

13. Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights
    European Financial Management, 2012, 18, (4), 543-575 View citations (10)

2011

14. Hysteresis effects under CIR interest rates
    European Journal of Operational Research, 2011, 211, (3), 594-600 View citations (8)
15. Omitted debt risk, financial distress and the cross-section of expected equity returns
    Journal of Banking & Finance, 2011, 35, (5), 1213-1227 View citations (1)
16. Participating mortgages and the efficiency of financial intermediation
    Journal of Banking & Finance, 2011, 35, (11), 3042-3054 View citations (8)

2010

17. A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices
    Journal of Banking & Finance, 2010, 34, (11), 2678-2693 View citations (35)
18. Efficient quadrature and node positioning for exotic option valuation
    Journal of Futures Markets, 2010, 30, (11), 1026-1057 View citations (2)
19. Harvesting and recovery decisions under uncertainty
    Journal of Economic Dynamics and Control, 2010, 34, (12), 2533-2546 View citations (3)

2009

20. Durable vs. disposable equipment choice under interest rate uncertainty
    The European Journal of Finance, 2009, 15, (2), 157-167 View citations (1)
21. Empirical pricing kernels obtained from the UK index options market
    Applied Economics Letters, 2009, 16, (10), 989-993 View citations (4)

2008

22. Distinguishing short and long memory volatility specifications
    Econometrics Journal, 2008, 11, (3), 617-637 View citations (7)
23. Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits
    Journal of Banking & Finance, 2008, 32, (5), 643-653 View citations (9)

2007

24. Closed-form transformations from risk-neutral to real-world distributions
    Journal of Banking & Finance, 2007, 31, (5), 1501-1520 View citations (47)
25. Finite maturity caps and floors on continuous flows
    Journal of Economic Dynamics and Control, 2007, 31, (12), 3843-3859 View citations (22)
26. Generalised Geske‐‐Johnson Interpolation of Option Prices
    Journal of Business Finance & Accounting, 2007, 34, (5‐6), 976-1001 View citations (1)

2006

27. How real option disinvestment flexibility augments project NPV
    European Journal of Operational Research, 2006, 168, (1), 240-252 View citations (21)

2005

28. On the errors and comparison of Vega estimation methods
    Journal of Futures Markets, 2005, 25, (1), 21-38
29. On the use and improvement of Hull and White's control variate technique
    Applied Financial Economics, 2005, 15, (16), 1171-1179
30. Smooth pasting as rate of return equalization
    Economics Letters, 2005, 89, (2), 200-206 View citations (18)

2004

31. CAPM, Higher Co‐moment and Factor Models of UK Stock Returns
    Journal of Business Finance & Accounting, 2004, 31, (1‐2), 87-112 View citations (26)
32. Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models
    Journal of Banking & Finance, 2004, 28, (10), 2541-2563 View citations (141)
33. Pricing options with American-style average reset features
    Quantitative Finance, 2004, 4, (3), 292-300 View citations (2)
34. Strategic entry and market leadership in a two-player real options game
    Journal of Banking & Finance, 2004, 28, (1), 179-201 View citations (21)

2003

35. The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield
    Applied Economics Letters, 2003, 10, (11), 709-716 View citations (2)

2002

36. The Binomial Black–Scholes model and the Greeks
    Journal of Futures Markets, 2002, 22, (2), 143-153 View citations (2)
37. The Expected Return and Exercise Time of Merton‐style Real Options
    Journal of Business Finance & Accounting, 2002, 29, (3‐4), 541-555 View citations (18)

2001

38. On the expected payoff and true probability of exercise of European options
    Applied Economics Letters, 2001, 8, (4), 269-271 View citations (3)

2000

39. Valuing the strategic option to sell life insurance business: Theory and evidence
    Journal of Banking & Finance, 2000, 24, (10), 1681-1702

1998

40. Discussion Of Arbitrage‐Free Valuation of Exhaustible Resource Firms
    Journal of Business Finance & Accounting, 1998, 25, (9‐10), 1391-1395