Outputs (36)

Same same but different – Stylized facts of CTA sub strategies (2021)
Journal Article
Erdős, P., Li, Y., Liu, R., & Mende, A. (2021). Same same but different – Stylized facts of CTA sub strategies. International review of financial analysis, 74, Article 101657. https://doi.org/10.1016/j.irfa.2021.101657

Using a unique dataset of daily returns of 89 programmes of Commodity Trading Advisors (CTA), we investigate the distributional properties of CTA strategies including trend following, fundamental and contrarian strategies. We find that daily data exh... Read More about Same same but different – Stylized facts of CTA sub strategies.

CEO Overconfidence and the Probability of Corporate Failure: Evidence from the United Kingdom (2021)
Journal Article
Leng, J., Ozkan, A., Ozkan, N., & Trzeciakiewicz, A. (in press). CEO Overconfidence and the Probability of Corporate Failure: Evidence from the United Kingdom. The European journal of finance, https://doi.org/10.1080/1351847X.2021.1876131

This paper investigates the impact of CEO overconfidence on the probability of corporate bankruptcy. Using a large dataset of UK firms, we find that firms with overconfident CEOs face a greater risk of failure. The presence of overconfident CEOs lead... Read More about CEO Overconfidence and the Probability of Corporate Failure: Evidence from the United Kingdom.

Stock market volatility and jumps in times of uncertainty (2021)
Journal Article
Megaritis, A., Vlastakis, N., & Triantafyllou, A. (2021). Stock market volatility and jumps in times of uncertainty. Journal of International Money and Finance, 113, Article 102355. https://doi.org/10.1016/j.jimonfin.2021.102355

In this paper we examine the predictive power of latent macroeconomic uncertainty on US stock market volatility and jump tail risk. We find that increasing macroeconomic uncertainty predicts a subsequent rise in volatility and price jumps in the US e... Read More about Stock market volatility and jumps in times of uncertainty.

Bayesian Value-at-Risk backtesting: The case of annuity pricing (2021)
Journal Article
Leung, M., Li, Y., Pantelous, A. A., & Vigne, S. A. (in press). Bayesian Value-at-Risk backtesting: The case of annuity pricing. European journal of operational research, https://doi.org/10.1016/j.ejor.2020.12.051

We propose new Unconditional, Independence and Conditional Coverage VaR-forecast backtests for the case of annuity pricing under a Bayesian framework that significantly minimise the direct and indirect effects of p-hacking or other biased outcomes in... Read More about Bayesian Value-at-Risk backtesting: The case of annuity pricing.

Order book price impact in the Chinese soybean futures market (2021)
Journal Article
Jin, M., Kearney, F., Li, Y., & Yang, Y. C. (in press). Order book price impact in the Chinese soybean futures market. International journal of finance & economics : IJFE, https://doi.org/10.1002/ijfe.2439

We study the price impact of order flow in the world's largest soybean meal futures markets. Our intraday results indicate that incoming orders can be used to explain and predict future price changes. Our results are shown to be robust to various ord... Read More about Order book price impact in the Chinese soybean futures market.

Equilibrating ripple effect, disturbing information cascade effect and regional disparity – A perspective from China's tiered housing markets (2021)
Journal Article
Xiao, Q. (2023). Equilibrating ripple effect, disturbing information cascade effect and regional disparity – A perspective from China's tiered housing markets. International journal of finance & economics : IJFE, 28(1), 858-875. https://doi.org/10.1002/ijfe.2453

The current study investigates the role of the tier-one cities of China in affecting regional disparities within and across its five mega-city clusters, through the lens of housing market. For that purpose, an equilibrating ripple effect is different... Read More about Equilibrating ripple effect, disturbing information cascade effect and regional disparity – A perspective from China's tiered housing markets.