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ICMA Centre Discussion Papers in Finance

From Henley Business School, Reading University
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icma-dp2018-01: Assessing Macro-Forecaster Herding: Modelling versus Testing Downloads
Michael Clements
icma-dp2017-10: Model Risk of Expected Shortfall Downloads
Emese Lazar and Ning Zhang
icma-dp2017-09: Harmful Diversification: Evidence from Alternative Investments Downloads
Emmanouil Platanakis, Athanasios Sakkas and Charles Sutcliffe
icma-dp2017-08: Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes Downloads
Emmanouil Platanakis and Charles Sutcliffe
icma-dp2017-07: Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes? Downloads
Emmanouil Platanakis, Athanasios Sakkas and Charles Sutcliffe
icma-dp2017-06: Investment Horizon and Corporate Social Performance: The Virtuous Circle of Long-Term Institutional Ownership and Responsible Firm Conduct Downloads
Ioannis Oikonomou, Chao Yin and Lei Zhao
icma-dp2017-05: Economic Crises and Globalisation as Drivers of Pension Privatisation: an Empirical Analysis Downloads
Markus Leibrecht and Joelle H. Fiong
icma-dp2017-04: Financial Crises and the Composition of Public Finances: Evidence from OECD Countries Downloads
Markus Leibrecht and Johann Scharler
icma-dp2017-03: Do forecasters target first or later releases of national accounts data? Downloads
Michael Clements
icma-dp2017-02: Tweeting About Sustainability: Can Emotional Nowcasting Discourage Greenwashing? Downloads
Andreas Hoepner, Savio Dimatteo, Joe Schauld, Pei-Shan Yi and Mirco Musolesi
icma-dp2017-01: Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables Downloads
Michael Clements and Ana Galvão
icma-dp2016-09: Sir Clive W.J. Granger's Contributions to Forecasting Downloads
Michael Clements
icma-dp2016-08: Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency Downloads
Michael Clements
icma-dp2016-07: Pension Funds and the Principles for Responsible Investment: Multiplying Stakeholder Salience? Downloads
Andreas Hoepner and Arleta Majoch
icma-dp2016-06: Multivariate Elliptical Truncated Moments Downloads
Juan Arismendi Zambrano and Simon Broda
icma-dp2016-05: Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System Downloads
Miguel Rivera-Castro, Andrea Ugolini and Juan Arismendi Z
icma-dp2016-04: Which Sentiment Indicators Matter? An Analysis of the European Commercial Real Estate Market Downloads
Steffen Heinig, Anupam Nanda and Sotiris Tsolacos
icma-dp2016-03: Corporate Carbon Emission and Financial Performance: Does Carbon Disclosure Mediate the Relationship in the UK? Downloads
Yang Stephanie Liu, Xiaoyan Zhou, Jessica Yang and Andreas Hoepner
icma-dp2016-02: Are Macroeconomic Density Forecasts Informative? Downloads
Michael Clements
icma-dp2015-09: Forecasters' Disagreement about How the Economy Operates, and the Role of Long-run Relationships
Michael Clements
icma-dp2015-07: The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story Downloads
Chris Godfrey and Chris Brooks
icma-dp2015-06: Red versus Blue: Do Political Dimensions Influence the Investment Preferences of State Pension Funds? Downloads
Andreas Hoepner and Lisa Schopohl
icma-dp2015-05: Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011 Downloads
Emmanouil Platanakis and Charles Sutcliffe
icma-dp2015-04: Does Corporate Financial Risk Management Add Value? Evidence from Cross-Border Mergers and Acquisitions Downloads
Zhon Chen, Bo Han and Yeqin Zeng
icma-dp2015-03: 'Buying and Selling of Money for Time': Foreign Exchange and Interest Rates in Medieval Europe Downloads
Adrian Bell, Chris Brooks and Tony K. Moore
icma-dp2015-02: Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision Downloads
Michael Clements
icma-dp2015-01: The ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe Downloads
Adrian Bell, Chris Brooks and Tony K. Moore
icma-dp2014-19: Risk-adjusted Valuation of the Real Option to Invest Downloads
Carol Alexander and Xi Chen
icma-dp2014-18: Corporate Governance, Bank Mergers and Executive Compensation Downloads
Yan Liu, Carol Padgett and Simone Varotto
icma-dp2014-17: Systemic Risk and Bank Size Downloads
Simone Varotto and Lei Zhao
icma-dp2014-16: The Equity-like Behaviour of Sovereign Bonds Downloads
Alfonso Dufour, Andrei Stancu and Simone Varotto
icma-dp2014-15: Liquidity Risk Premia in the International Shipping Derivatives Market Downloads
Amir Alizadeh, Konstantina Kappou, Dimitris Tsouknidis and Ilias Visvikis
icma-dp2014-14: The Effects of Corporate and Country Sustainability Characteristics on the Cost of Debt: An International Investigation Downloads
Andreas Hoepner, Ioannis Oikonomou, Bert Scholtens and Michael Schröder
icma-dp2014-13: Sources of Stakeholder Salience in the Responsible Investment Movement: Why Do Investors Sign the Principles for Responsible Investment? Downloads
Arleta Majoch, Andreas Hoepner and Tessa Hebb
icma-dp2014-12: Assessing the Evidence of Macro- Forecaster Herding: Forecasts of Inflation and Output Growth Downloads
Michael Clements
icma-dp2014-11: Variety is the Spice of Life - and Boardrooms Downloads
Carol Padgett
icma-dp2014-10: Do US Macroeconomic Forecasters Exaggerate Their Differences? Downloads
Michael Clements
icma-dp2014-09: Commodity Risk Factors and the Cross-Section of Equity Returns Downloads
Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre and Ogonna Nneji
icma-dp2014-08: Monte Carlo Approximate Tensor Moment Simulations Downloads
Juan Arismendi Zambrano and Herbert Kimura
icma-dp2014-07: An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options Downloads
Juan Arismendi Zambrano and Marcel Prokopczuk
icma-dp2014-06: Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets Downloads
Michael Clements
icma-dp2014-05: Real-Time Factor Model Forecasting and the Effects of Instability Downloads
Michael Clements
icma-dp2014-04: Measuring Macroeconomic Uncertainty: US Inflation and Output Growth Downloads
Michael Clements and Ana Beatriz Galvão
icma-dp2014-03: A Multi-Asset Option Approximation for General Stochastic Processes Downloads
Juan Arismendi Zambrano
icma-dp2014-02: Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment Downloads
Michael Clements
icma-dp2014-01: Did Purchasing Power Parity Hold in Medieval Europe? Downloads
Adrian Bell, Chris Brooks and Tony K. Moore
icma-dp2013-09: Operating Inflexibility, Profitability and Capital Structure Downloads
Nicholas Zhiyao Chen, Jarrad Harford and Avraham Kamara
icma-dp2013-08: Contingent Claim-Based Expected Stock Returns Downloads
Nicholas Zhiyao Chen and Ilya A. Strebulaev
icma-dp2013-07: Liquidity Shocks and Stock Bubbles Downloads
Ogonna Nneji
icma-dp2013-06: Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios Downloads
Charles Sutcliffe
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