Outputs (40)

Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX (2019)
Journal Article
Andrikopoulos, A., Dassiou, X., & Zheng, M. (2020). Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX. International review of financial analysis, 68, Article 101437. https://doi.org/10.1016/j.irfa.2019.101437

This paper studies the impact of the United Kingdom's June 2016 referendum to withdraw from European Union membership (“Brexit”) on foreign exchange (FX) exposures. We collect weekly data from 26 FTSE100, 10 IBEX35, and 17 DAX30 nonfinancial multinat... Read More about Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX.

How did order-flow impact bond prices during the European Sovereign Debt Crisis? (2019)
Journal Article
Lin, Z., Hamill, P. A., Li, Y., Sun, Z., & Waterworth, J. (2020). How did order-flow impact bond prices during the European Sovereign Debt Crisis?. International Review of Economics and Finance, 67, 13-24. https://doi.org/10.1016/j.iref.2019.12.008

The impact of trades on price dynamics in the European sovereign debt markets is of significant importance to policy makers and market participants. This paper uses high-frequency quote and transaction data from the MTS European sovereign bond inter-... Read More about How did order-flow impact bond prices during the European Sovereign Debt Crisis?.

Spatial scale and product mix economies in U.S. banking with simultaneous spillover regimes (2019)
Journal Article
Glass, A. J., Kenjegaliev, A., & Kenjegalieva, K. (2020). Spatial scale and product mix economies in U.S. banking with simultaneous spillover regimes. European journal of operational research, 284(2), 693-711. https://doi.org/10.1016/j.ejor.2019.12.036

© 2019 Elsevier B.V. The literature on bank scale economies focuses on the familiar type of returns to scale that are internal to the firm. Using a spatial approach, we analyze returns to scale for banks that are made up of external (i.e., spillover)... Read More about Spatial scale and product mix economies in U.S. banking with simultaneous spillover regimes.

Social media effect, investor recognition and the cross-section of stock returns (2019)
Journal Article
Meng, X., Zhang, W., Li, Y., Cao, X., & Feng, X. (2020). Social media effect, investor recognition and the cross-section of stock returns. International review of financial analysis, https://doi.org/10.1016/j.irfa.2019.101432

Investor recognition affects cross-sectional stock returns. In informationally incomplete markets, investors have limited recognition of all securities, and their holding of stocks with low recognition requires compensation for being imperfectly dive... Read More about Social media effect, investor recognition and the cross-section of stock returns.

Intraday time-series momentum: Evidence from China (2019)
Journal Article
Jin, M., Kearney, F., Li, Y., & Yang, Y. C. (in press). Intraday time-series momentum: Evidence from China. Journal of Futures Markets, https://doi.org/10.1002/fut.22084

This study conducts an investigation of intraday time‐series momentum across four Chinese commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate that the first half‐hour return positively predicts the last half‐ho... Read More about Intraday time-series momentum: Evidence from China.

The effects of ownership structure, sub-optimal cash holdings and investment inefficiency on dividend policy: evidence from Indonesia (2019)
Journal Article
Moin, A., Guney, Y., & El Kalak, I. (2020). The effects of ownership structure, sub-optimal cash holdings and investment inefficiency on dividend policy: evidence from Indonesia. Review of Quantitative Finance and Accounting, https://doi.org/10.1007/s11156-019-00862-z

We investigate how a firm's decision to hold excessive cash or to overinvest could influence its dividend payout policy in Indonesia. Additionally, we examine the association between corporate ownership structure and cash dividends. Using a data set... Read More about The effects of ownership structure, sub-optimal cash holdings and investment inefficiency on dividend policy: evidence from Indonesia.

Enterprise risk management and firm performance: Role of the risk committee (2019)
Journal Article
Malik, M. F., Zaman, M., & Buckby, S. (2020). Enterprise risk management and firm performance: Role of the risk committee. Journal of Contemporary Accounting and Economics, 16(1), Article 100178. https://doi.org/10.1016/j.jcae.2019.100178

In recent years, there have been increasing efforts in the corporate world to invest in risk management and governance processes. In this paper, we examine the impact of Enterprise Risk Management (ERM) on firm performance by examining whether firm p... Read More about Enterprise risk management and firm performance: Role of the risk committee.

Private management and governance styles in a Japanese public hospital: A story of west meets east (2019)
Journal Article
Uddin, S., Mori, Y., & Shahadat, K. (2020). Private management and governance styles in a Japanese public hospital: A story of west meets east. Social science & medicine, 245, Article 112719. https://doi.org/10.1016/j.socscimed.2019.112719

This paper examines a case of healthcare governance reform in a Japanese hospital to demonstrate how and why physicians may resist NPM ideals in healthcare. We find that the governance reform departed significantly from its idealized form. The intend... Read More about Private management and governance styles in a Japanese public hospital: A story of west meets east.

A note on the Gao et al. (2019) uniform mixture model in the case of regression (2019)
Journal Article
Tsionas, M. G., & Andrikopoulos, A. (2020). A note on the Gao et al. (2019) uniform mixture model in the case of regression. Annals of Operations Research, 289(2), 495-501. https://doi.org/10.1007/s10479-019-03475-w

© 2019, The Author(s). We extend the uniform mixture model of Gao et al. (Ann Oper Res, 2019. https://doi.org/10.1007/s10479-019-03236-9) to the case of linear regression. Gao et al. (Ann Oper Res, 2019. https://doi.org/10.1007/s10479-019-03236-9) pr... Read More about A note on the Gao et al. (2019) uniform mixture model in the case of regression.

Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods (2019)
Journal Article
Stafylas, D., & Andrikopoulos, A. (2020). Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods. Research in international business and finance, 52, Article 101130. https://doi.org/10.1016/j.ribaf.2019.101130

We analyse the drivers of hedge fund performance, focusing simultaneously on fund size, age, lockup period, fund strategies, business cycles and different market conditions, dealing with the omitted variable bias. We use exogenous break points and a... Read More about Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods.