Working Papers

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

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2024

WP No.	Author/s	Title	Date
01/24	Ines Chaieb, Vihang Errunza, Lucie Y. Lu	Who Invests in What? Public Firms Ownership Around the World (PDF 4.9 MB)	January 2024
02/24	Antonio Gargano, Alberto G. Rossi	Fighting Climate Change with FinTech (PDF 3.1 MB)	February 2024

2023

WP No.	Author/s	Title	Date
01/23	Jan Ericsson, Kristoffer Glover, Alexandre Jeanneret, Lucie Y. Lu	Default Risk Linkages in a Structural Credit Model (PDF 2.3 MB)	November 2023

2021

WP No.	Author/s	Title	Date
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, Xiaoquan Zhu	Investor Sentiment and the Pricing of Macro Risks for Hedge Funds (PDF 2.0 MB)	Mar 2021 Revised
06/21	Xi Li , Andrea Lu and Huijun Wang	Weather Induced Employment Growth Surprises and the Cross-Section of Local Stock Returns (PDF 1.5 MB)	May 2021 Revised
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 2.0 MB)	Aug 2021 Revised
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

2020

WP No.	Author/s	Title	Date
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 Verwijmeren	The Earnings Expectations Game and the Dispersion Anomaly (PDF 663.7 KB)	Dec 2020
10/20	Zhuo Chen, Andrea Lu, Huili Xiao, Xiaoquan Zhu	Local Political-Turnover-Induced Uncertainty and Bond Market Pricing (PDF 1.5 MB)	2020 Revised
11/20	Zhuo Chen, Jinyu Liu, Andrea Lu, Libin Tao	Carbon Dioxide and Asset Pricing: Evidence from International Stock Markets (PDF 1.7 MB)	Dec 2020 Revised
12/20	Zhuo Chen, Bibo Liu, Huijun Wang, Zhengwei Wang, Jianfeng Yu	Characteristics-Based Factors (PDF 655.7 KB)	Nov 2020
13/20	Zhuo Chen, Bibo Liu, Huijun Wang, Zhengwei Wang, Jianfeng Yu	Investor Sentiment and the Pricing of Characteristic-Based Factors (PDF 513.3 KB)	Feb 2020
14/20	James Brugler, Carole Comerton-Forde and Terrence Hendershott	Does Financial Market Structure Impact the Cost of Raising Capital? (PDF 2.3 MB)	Feb 2020
15/20	James Brugler, Minsoo Kim and Zhuo Zhong	Liquidity shocks and pension fund performance: Evidence from the Early Release Scheme (PDF 719.4 KB)	Dec 2020
16/20	Anthony W. Lynch and Oliver Randall	Fast-moving Habit: Implications for Equity Returns (PDF 2.1 MB)	Jun 2020
17/20	Xin Gao and Federico Nardari	Investing in Mutual Funds: Exploiting the Cross-sectional Predictability in Fund Performance (PDF 571.2 KB)	Jul 2020