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Financial and corporate social performance in the UK listed firms: the relevance of non-linearity and lag effects (2018)
Journal Article
Adegbite, E., Guney, Y., Kwabi, F., & Tahir, S. (2019). Financial and corporate social performance in the UK listed firms: the relevance of non-linearity and lag effects. Review of Quantitative Finance and Accounting, 52(1), 105-158. https://doi.org/10.1007/s11156-018-0705-x

Using environmental, social and governance scores compiled by Reuters Datas-tream for each company's corporate social performance (CSP), we examine the relationship between CSP and corporate financial performance (CFP) of 314 UK listed companies over... Read More about Financial and corporate social performance in the UK listed firms: the relevance of non-linearity and lag effects.

Asset allocation with time series momentum and reversal (2018)
Journal Article
He, X.-Z., Li, K., & Li, Y. (2018). Asset allocation with time series momentum and reversal. Journal of Economic Dynamics and Control, 91, 441-457. https://doi.org/10.1016/j.jedc.2018.02.004

To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining marke... Read More about Asset allocation with time series momentum and reversal.

Dealing with endogeneity bias: The generalized method of moments (GMM) for panel data (2018)
Journal Article
Ullah, S., Akhtar, P., & Zaefarian, G. (2018). Dealing with endogeneity bias: The generalized method of moments (GMM) for panel data. Industrial marketing management, 71, 69-78. https://doi.org/10.1016/j.indmarman.2017.11.010

Endogeneity bias can lead to inconsistent estimates and incorrect inferences, which may provide misleading conclusions and inappropriate theoretical interpretations. Sometimes such bias can even lead to coefficients having the wrong sign. Although th... Read More about Dealing with endogeneity bias: The generalized method of moments (GMM) for panel data.

Financial stress relationships among Euro area countries: an R-vine copula approach (2018)
Journal Article
Zhang, D., Yan, M., & Tsopanakis, A. (2018). Financial stress relationships among Euro area countries: an R-vine copula approach. The European journal of finance, 24(17), 1587-1608. https://doi.org/10.1080/1351847X.2017.1419273

One of the biggest challenges of keeping Euro area financial stability is the negative co-movement between the vulnerability of public finance, the financial sector, security markets stresses as well as economic growth, especially in peripheral econo... Read More about Financial stress relationships among Euro area countries: an R-vine copula approach.

Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches (2018)
Journal Article
Fan, M., Li, Y., & Liu, J. (2018). Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches. Research in international business and finance, 46, 131-140. https://doi.org/10.1016/j.ribaf.2017.12.004

We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility scaling approach of Barroso and Santa-Clara (2015), and (ii) the dynamic volatility scaling method of Daniel and Moskowitz (2016). We per... Read More about Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches.

The culpability of accounting practice in promoting bribery and corruption in developing countries (2017)
Journal Article
Khair, A. H. A., Lauwo, S., & Otusanya, O. J. (2017). The culpability of accounting practice in promoting bribery and corruption in developing countries. International Journal of Economics and Accounting, 8(2), 106. https://doi.org/10.1504/ijea.2017.089387

Bribery and corruption are increasing in the developing countries. It has been estimated that some $400 billion of bribe is paid to political elite in developing countries. Such huge amounts of money cannot be successfully executed without the active... Read More about The culpability of accounting practice in promoting bribery and corruption in developing countries.

U.S. stocks in the presence of oil price risk: Large cap vs. small cap (2017)
Journal Article
Swaray, R., Salisu, A. A., & Oloko, T. (2017). U.S. stocks in the presence of oil price risk: Large cap vs. small cap. Economics and business letters, 6(4), 116-124. https://doi.org/10.17811/ebl.6.4.2017.116-124

This study queries the act of making generalization about the dynamics of returns and volatility spillovers between oil price and U.S. stocks by merely considering only large cap stocks. It argues that this kind of generalization may be misleading, a... Read More about U.S. stocks in the presence of oil price risk: Large cap vs. small cap.

Liquidity skewness in the London Stock Exchange (2017)
Journal Article
Hsieh, T. H., Li, Y., McKillop, D. G., & Wu, Y. (2018). Liquidity skewness in the London Stock Exchange. International review of financial analysis, 56, 12-18. https://doi.org/10.1016/j.irfa.2017.12.006

We study liquidity on the London Stock Exchange. We find that the average bid-ask spread declines, but that the skewness of the spread increases. These results are robust to firm size, trading volume and price level. Our findings hold when the bid-as... Read More about Liquidity skewness in the London Stock Exchange.

Founders and board structure: evidence from UK IPO firms (2017)
Journal Article
Wu, C. Y.-H., & Hsu, H. H. (2018). Founders and board structure: evidence from UK IPO firms. International review of financial analysis, 56, 19-31. https://doi.org/10.1016/j.irfa.2017.12.002

This study investigates whether a company's founders affect the combination of executive, grey and independent directors on its board at the time of initial public offering (IPO) in the UK. Particularly, we analyse how venture capitalists are associa... Read More about Founders and board structure: evidence from UK IPO firms.

Estimating Equilibrium Real Exchange Rate And Misalignment In An Oil Exporting Country: Libya's Experience (2017)
Journal Article
Ben-Naser, A., Bhattarai, K., & Elheddad, M. M. (2018). Estimating Equilibrium Real Exchange Rate And Misalignment In An Oil Exporting Country: Libya's Experience. The journal of developing areas, 52(4), 249-267. https://doi.org/10.1353/jda.2018.0063

Exchange rate misalignments has attract a significant attention especially in developing economies; Libyan economy has witnessed a major economic and political changes. Libyan exchange rate has
been changed specifically after 2000, and political ins... Read More about Estimating Equilibrium Real Exchange Rate And Misalignment In An Oil Exporting Country: Libya's Experience.

CEO compensation and sustainability reporting assurance: Evidence from the UK (2017)
Journal Article
Al-Shaer, H., & Zaman, M. (2017). CEO compensation and sustainability reporting assurance: Evidence from the UK. Journal of Business Ethics, 158(1), 233–252. https://doi.org/10.1007/s10551-017-3735-8

© 2017 The Author(s) Companies are expected to monitor sustainable behaviour to help improve performance, enhance reputation and increase chances of survival. This paper examines the relationship between sustainability committees and independent exte... Read More about CEO compensation and sustainability reporting assurance: Evidence from the UK.

Impacts of Trump tax reforms on growth, inequality and debt (2017)
Journal Article
Bhattarai, K., Haughton, J. H., & Tuerck, D. (2017). Impacts of Trump tax reforms on growth, inequality and debt. 00 Journal not listed, 20-21

Reforming the tax system of the US has become a major policy agenda of the Trump administration. After months of negotiations the “Big Six”, including the Treasury Secretary, National Economic Director, Republicans in the House and the Senate are gra... Read More about Impacts of Trump tax reforms on growth, inequality and debt.

Firm performance, corporate governance and executive compensation in Pakistan (2017)
Journal Article
Sheikh, M. F., Shah, S. Z. A., & Akbar, S. (2018). Firm performance, corporate governance and executive compensation in Pakistan. Applied economics, 50(18), 2012-2027. https://doi.org/10.1080/00036846.2017.1386277

© 2017 Informa UK Limited, trading as Taylor & Francis Group This study examines the effects of firm performance and corporate governance on chief executive officer (CEO) compensation in an emerging market, Pakistan. Using a more robust Generalized... Read More about Firm performance, corporate governance and executive compensation in Pakistan.

Cyclical co-movements of private real estate, public real estate and equity markets: a cross-continental spectrum (2017)
Journal Article
Devaney, S., & Xiao, Q. (2017). Cyclical co-movements of private real estate, public real estate and equity markets: a cross-continental spectrum. Journal of Multinational Financial Management, 42-43, 132-151. https://doi.org/10.1016/j.mulfin.2017.10.002

Whether returns from investing in real estate shares reflect equity market or real estate market trends is an important question for investors seeking liquid, low cost exposure to real estate. We consider the relationship between real estate shares,... Read More about Cyclical co-movements of private real estate, public real estate and equity markets: a cross-continental spectrum.

Test of recent advances in extracting information from option prices (2017)
Journal Article
Healy, J. V., Gregoriou, A., & Hudson, R. (2018). Test of recent advances in extracting information from option prices. International review of financial analysis, 56, 292-302. https://doi.org/10.1016/j.irfa.2017.09.011

© 2017 Elsevier Inc. A large literature exists on techniques for extracting probability distributions for future asset prices from option prices. No definitive method has been developed however. The parametric 'mixture of normals', and non-parametric... Read More about Test of recent advances in extracting information from option prices.

The distributional effects of the Trump and Clinton tax proposals (2017)
Journal Article
Haughton, J., Bachman, P., Bhattarai, K., & Tuerck, D. G. (2017). The distributional effects of the Trump and Clinton tax proposals. Atlantic Economic Journal, 45(4), 453-472. https://doi.org/10.1007/s11293-017-9554-6

Hillary Clinton and Donald Trump, the Democratic and Republican candidates for President of the U.S. in 2016, proposed several changes in the federal tax code. Hillary Clinton would add a personal income tax surcharge of 4% on high annual incomes, li... Read More about The distributional effects of the Trump and Clinton tax proposals.

Tax plan debates in the US presidential election : a dynamic CGE analysis of growth and redistribution trade-offs (2017)
Journal Article
Bhattarai, K., Bachman, P., Conte, F., Haughton, J., Head, M., & Tuerck, D. G. (2018). Tax plan debates in the US presidential election : a dynamic CGE analysis of growth and redistribution trade-offs. Economic modelling, 68, 529-542. https://doi.org/10.1016/j.econmod.2017.08.031

The two major candidates in the 2016 presidential election made sharply different proposals for reforming the Federal tax code. Donald Trump proposed cutting taxes to provide “tax relief for middle-class Americans”, and lowering corporation taxes to... Read More about Tax plan debates in the US presidential election : a dynamic CGE analysis of growth and redistribution trade-offs.

R&D investments and credit lines (2017)
Journal Article
Guney, Y., Karpuz, A., & Ozkan, N. (2017). R&D investments and credit lines. Journal of Corporate Finance, 46, 261-283. https://doi.org/10.1016/j.jcorpfin.2017.07.011

Using data for 939 publicly listed firms from 17 European countries over the period from 2004 to 2013, we investigate the effect of used credit lines on R&D investments, controlling for other determinants of R&D investments, i.e., cash flows, cash ho... Read More about R&D investments and credit lines.