Working Papers

The Department of Finance Working Papers Series presents the results of research projects undertaken by our academic staff.

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WP No.Author/sTitleDate
01/21 Les Coleman Issues relating to the ontology, epistemology and philosophy of equity pricing research (PDF 530.0 KB)May 2021
02/21 Antonio Gargano,
Alberto G. Rossi
Correcting Present Bias in Saving Decisions with FinTech (PDF 5.6 MB) May 2021
03/21 Antonio Gargano,
Marco Giacoletti
Cooling Auction Fever: Underquoting Laws in the Housing Market (PDF 1.5 MB) Apr 2021
04/21 Shisheng Qu, Libo Sun, Garry Twite Failed Bank Asset Recovery: The Influence of Deposits and Loan Exposure (PDF 756.8 KB) Jan 2021
05/21 Zhuo Chen, Andrea Lu, Ziaoquan Zhu Investor Sentiment and the Pricing of Macro Risks for Hedge Funds (PDF 1.8 MB) Mar 2021
06/21 Xi Li , Andrea Lu and Huijun Wang Weather and Cross-Section of Stock Returns (PDF 1.3 MB) May 2021
07/21 James Brugler, Carole Comerton-Forde and J. Spencer Martin Secondary market transparency and corporate bond issuing costs (PDF 623.5 KB) Mar 2021
08/21 Jonathan Brogaard, James Brugler and Dominik Rösch Competition and Exchange Data Fees (PDF 607.1 KB) Apr 2021
09/21 Phuong L. Nguyen, Neal Galpin and Garry Twite New Active Blockholders and Adjustment of CEO relative incentive ratios (PDF 1.0 MB) Sep 2021
10/21 Joachim Inkmann Estimating industry-specific human capital from a dynamic portfolio choice model (PDF 3.6 MB) Nov 2021
11/21 James Brugler, Joachim Inkmann and Adrian Rizzo Did background risk hedging demands change over the Great Recession? (PDF 875.9 KB) Nov 2021
12/21 Joachim Inkmann, Alexander Michaelides and Yuxin Zhang Family Portfolio Choice over the Life Cycle (PDF 1.1 MB) Nov 2021
13/21 Jin Roc Lv, Emma Schultz,
Garry Twite
Investor-Level Taxes and Corporate Dividend Policy: Evident from a Quasi-natural Experiment (PDF 584.9 KB) Dec 2021
14/21 Hae Won (Henny) Jung, Dalida Kadyrzhanova, Ajay Subramanian Capital Structure under Imperfect Product Market Competition: Theory and Evidence (PDF 777.2 KB) Nov 2021
15/21 Jonathan Dark The underdamped oscillation MIDAS model (PDF 794.3 KB) Aug 2021
16/21 Jonathan Dark An adaptive conditional correlation model (PDF 1.1 MB) Dec 2021
17/21 Maurice McCourt, Qi Zeng Time-varying Skill Managing Mutual Fund Returns to Scale (PDF 5.8 MB) Nov 2021
18/21 Federico Nardari, Bochen Wu, Qi Zeng Idiosyncratic Skewness Co-Movement and Aggregate Stock Returns (PDF 907.1 KB) Nov 2021
19/21 Miriam Schwartz-Ziv,
Ekaterina Volkova
Is Blockholder Diversity Detrimental? (PDF 2.2 MB) May 2021
20/21 Joseph Kalmenovitz, Michelle Lowry, Ekaterina Volkova The Government Agenda and the Effects of Regulatory Dispersion (PDF 1.3 MB) Jul 2021


WP No.Author/sTitleDate
01/20 Giovanni Cespa, Antonio Gargano, Steven J. Riddiough, Lucio Sarno Foreign Exchange Volume (PDF 1.8 MB)Apr 2020
02/20 Antonio Gargano, Juan Sotes-Paladino, Patrick Verwijmeren Short of Capital: Stock Market Implications of Short Sellers' Losses (PDF 880.1 KB)Mar 2020
03/20 Antonio Gargano, Juan Sotes-Paladino, Patrick Verwijmeren Out of Sync:Dispersed Short Selling and the Correction of Mispricing (PDF 780.6 KB) Feb 2020
04/20 Antonio Gargano, Marco Giacoletti, Elvis Jarnecic Local Experiences, Attention and Spillovers in the Housing Market (PDF 1.6 MB) Oct 2020
05/20 Jonathan Cohn, Sheridan Titman, Garry Twite Capital Structure and Investor-Level Taxes: Evidence from a Natural Experiment in Europe (PDF 804.4 KB) Dec 2020
06/20 Jedrzej Bialkowski, Sheridan Titman, Garry Twite The Determinants of Office Rental Yields: The International Evidence (PDF 852.9 KB) Dec 2020
07/20 Sjoerd van Bekkum, Bruce D. Grundy, Patrick Verwijmeren The Importance of Sovereign Bond Benchmarks for Corporate Debt  Issuance: Mind the Gap (PDF 558.4 KB) Oct 2020
08/20 Renée Adams, Roman Kräussl,
Marco Navone, Patrick Verwijmeren
Gendered Prices (PDF 2.6 MB) Nov 2020
09/20 David Veenman, Patrick VerwijmerenThe Earnings Expectations Game and the Dispersion Anomaly (PDF 663.7 KB) Dec 2020
10/20Zhuo Chen,  Andrea Lu,  Huili  Xiao,  Xiaoquan ZhuLocal Political-Turnover-Induced  Uncertainty and Bond  Market Pricing (PDF 428.7 KB)2020
11/20Zhuo Chen, Jinyu Liu, Andrea LuCarbon Dioxide and Asset Pricing: Evidence  from International Stock Markets (PDF 620.8 KB)Dec 2020
12/20Zhuo Chen, Bibo Liu, Huijun Wang, Zhengwei Wang, Jianfeng YuCharacteristics-Based Factors (PDF 655.7 KB)Nov 2020
13/20Zhuo Chen, Bibo Liu, Huijun Wang, Zhengwei Wang, Jianfeng YuInvestor Sentiment and the Pricing of Characteristic-Based  Factors (PDF 513.3 KB)Feb 2020
14/20James Brugler, Carole Comerton-Forde and Terrence HendershottDoes Financial Market Structure Impact the Cost of Raising Capital? (PDF 2.3 MB)Feb 2020
15/20James Brugler, Minsoo Kim and Zhuo ZhongLiquidity shocks and pension fund performance: Evidence from the Early Release Scheme (PDF 719.4 KB)Dec 2020
16/20Anthony W. Lynch and Oliver RandallFast-moving Habit: Implications for Equity Returns (PDF 2.1 MB)Jun 2020
17/20Xin Gao and Federico NardariInvesting in Mutual Funds: Exploiting the Cross-sectional Predictability in Fund Performance (PDF 571.2 KB)Jul 2020