All Outputs (34)

Long memory in financial markets: A heterogeneous agent model perspective (2018)
Journal Article
Zheng, M., Liu, R., & Li, Y. (2018). Long memory in financial markets: A heterogeneous agent model perspective. International review of financial analysis, 58, 38-51. https://doi.org/10.1016/j.irfa.2018.04.001

During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model the... Read More about Long memory in financial markets: A heterogeneous agent model perspective.

Did long-memory of liquidity signal the European sovereign debt crisis? (2018)
Journal Article
Sun, Z., Hamill, P. A., Li, Y., Yang, Y. C., & Vigne, S. A. (2019). Did long-memory of liquidity signal the European sovereign debt crisis?. Annals of Operations Research, 282(1-2), 355-377. https://doi.org/10.1007/s10479-018-2850-y

This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the European sovereign bond markets before and during the European sovereign debt crisis for eleven countries. The Hill index, Generalized Hurst exponent and Dyn... Read More about Did long-memory of liquidity signal the European sovereign debt crisis?.

The role of country-level institutional factors in escaping the natural resource curse: Insights from Ghana (2018)
Journal Article
Adams, D., Ullah, S., Akhtar, P., Adams, K., & Saidi, S. (2019). The role of country-level institutional factors in escaping the natural resource curse: Insights from Ghana. Resources policy, 61, 433-440. https://doi.org/10.1016/j.resourpol.2018.03.005

Empirical research shows that developing countries that are rich in natural resources tend to suffer slow economic growth and development due to various factors such as quality of institutions, governance, among others. The phenomenon of slow growth... Read More about The role of country-level institutional factors in escaping the natural resource curse: Insights from Ghana.

Determinants of corporate cash holdings: An empirical study of Chinese listed firms (2018)
Journal Article
Ahmed, R., Qi, W., Ullah, S., & Kimani, D. (2018). Determinants of corporate cash holdings: An empirical study of Chinese listed firms. Corporate Ownership and Control, 15(3), 57-65. https://doi.org/10.22495/cocv15i3art5

This study explores the determinants of corporate cash holdings in the Chinese context. As one of the largest developing countries in the world, China offers an interesting opportunity to explore the role of corporate governance, and ownership struct... Read More about Determinants of corporate cash holdings: An empirical study of Chinese listed firms.

International evidence on the determinants of organizational ethical vulnerability (2018)
Journal Article
Ullah, S., Ahmad, S., Akbar, S., & Kodwani, D. (2019). International evidence on the determinants of organizational ethical vulnerability. British Journal of Management, 30(3), 668-691. https://doi.org/10.1111/1467-8551.12289

This paper proposes a model to explain what makes organisations ethically vulnerable. Drawing upon legitimacy, institutional, agency and individual moral reasoning theories we consider three sets of explanatory factors and examine their association w... Read More about International evidence on the determinants of organizational ethical vulnerability.

International evidence on the determinants of organisational ethical vulnerability (2018)
Journal Article
Ullah, S., Ahmad, S., Akbar, S., & Kodwani, D. (2019). International evidence on the determinants of organisational ethical vulnerability. British Journal of Management, 30(3), 668-691. https://doi.org/10.1111/1467-8551.12289

This paper proposes a model to explain what makes organisations ethically vulnerable. Drawing upon legitimacy, institutional, agency and individual moral reasoning theories we consider three sets of explanatory factors and examine their association w... Read More about International evidence on the determinants of organisational ethical vulnerability.

Credibility of sustainability reports: The contribution of audit committees (2018)
Journal Article
Al-Shaer, H., & Zaman, M. (2018). Credibility of sustainability reports: The contribution of audit committees. Business strategy and the environment : BSE, 27(7), 973-986. https://doi.org/10.1002/bse.2046

Concerns about the credibility of sustainability reports can be mitigated through assurance. Although audit committee remit encompasses monitoring of sustainability issues, there are potential complementary and substitution issues between governance... Read More about Credibility of sustainability reports: The contribution of audit committees.

Corporate governance, critical junctures and ethnic politics: Ownership and boards in Malaysia (2018)
Journal Article
Mohamad-Yusof, N. Z., Wickramasinghe, D., & Zaman, M. (2018). Corporate governance, critical junctures and ethnic politics: Ownership and boards in Malaysia. Critical Perspectives On Accounting, 55, 33-52. https://doi.org/10.1016/j.cpa.2017.12.006

Quotas and affirmative policies are often implicated in debates on corporate governance. This paper examines critical junctures and the role of willful actors in mobilizing their ethnic and political positions to affect governance reforms in Malaysia... Read More about Corporate governance, critical junctures and ethnic politics: Ownership and boards in Malaysia.

An analysis of liquidity skewness for European sovereign bond markets (2018)
Journal Article
Yan, W., Hamill, P., Li, Y., Vigne, S. A., & Waterworth, J. (2018). An analysis of liquidity skewness for European sovereign bond markets. Finance research letters, 26, 274-280. https://doi.org/10.1016/j.frl.2018.02.027

We examine liquidity skewness by providing an analysis of bid-ask spreads for a comprehensive high-frequency dataset comprising Eurozone countries’ sovereign bonds. European sovereign bond markets exhibited increasing positive skewness over the sampl... Read More about An analysis of liquidity skewness for European sovereign bond markets.

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., 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.