Working Papers

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

Want to stay up to date with the latest Finance Working Papers? Sign up for alerts

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, 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

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 428.7 KB)	2020
11/20	Zhuo Chen, Jinyu Liu, Andrea Lu	Carbon Dioxide and Asset Pricing: Evidence from International Stock Markets (PDF 620.8 KB)	Dec 2020
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