Accounting and Finance Group

2024

Banerjee, S., Dasgupta, S., Shi, R. U. I., & Yan, J. (2024). 'Information Complementarities and the Dynamics of Transparency Shock Spillovers', Journal of Accounting Research, 62(1), 55-99.

• DOI: 10.1111/1475-679x.12510

2023

Cai, X., De Cesari, A., Gao, N. and Peng, N. (2023). ‘Acquisitions and Technology Value Revision’, Management Science, 0(0).

• DOI: 10.1287/mnsc.2023.4890

Cai, C. X., Keasey, K., Li, P. and Zhang, Q. (2023). ‘Market Development, Information Diffusion and the Global Anomaly Puzzle’, Journal of Financial and Quantitative Analysis, 58(1): 104–147.

• DOI: 10.1017/S0022109022000643

Ellington, M., Martin, C. and Wang, B. (2023). ‘Revisiting Real Wage Rigidity’, Journal of Money, Credit and Banking.

• DOI: https://doi.org/10.1111/jmcb.13056

Florackis, C., Louca, C., Michaely, R. and Weber, M. (2023). ‘Cybersecurity Risk’, The Review of Financial Studies, 36(1), 351-407.

• DOI: 10.1093/rfs/hhac024

Gazi, A. and Aretz, K. (2023). ‘The Early Exercise Risk Premium’, Management Science.

• DOI: 10.2139/ssrn.3465453

Kostakis, A., Magdalinos, T. and Stamatogiannis, M. P. (2023). ‘Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable?’, Journal of Econometrics, 237(2).

• DOI: 10.1016/j.jeconom.2022.10.009 

2022

Barunik, J., Bevilacqua, M., and Tunaru, R. (2022). ‘Asymmetric Network Connectedness of Fears’, The Review of Economics and Statistics, 104(6): 1304–1316.

• DOI: 10.1162/rest_a_01003

2021

Avino, D.E., Stancu, A. and Wese Simen, C. (2021). 'The Predictive Power of the Dividend Risk Premium', Journal of Financial and Quantitative Analysis, 56(8): 2843-2869.

• DOI: 10.1017/S0022109020000733

Avino, D. E., Stancu, A. and Wese Simen, C. (2021). 'Dissecting Macroeconomic News', Journal of Money, Credit and Banking, 53: 1047-1077.

• DOI: 10.1111/jmcb.12804

Ellington, M. (2021). ‘The Empirical Relevance of the Shadow Rate and the Zero Lower Bound’, Journal of Money, Credit and Banking, 54: 1605-1635.

• DOI: 10.1111/jmcb.12881

Milas, C., Panagiotidis, T. and Dergiades, T. (2021). 'Does It Matter Where You Search? Twitter versus Traditional News Media', Journal of Money, Credit and Banking, 53, 1757-1795.

• DOI: 10.1111/jmcb.12805

2020

Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2020) 'The Conditional CAPM Revisited: Evidence From High-Frequency Betas', Management Science, 66: 2291-2299.

• DOI: 10.1287/mnsc.2019.3317

Hollstein, F. and Wese Simen, C. (2020). 'Variance Risk: A Bird's Eye View', Journal of Econometrics, 215: 517-535.

•  DOI: 10.1016/j.jeconom.2019.09.006

Yang, Y. C., Zhang, B. and Zhang, C. (2020). 'Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility', Journal of Financial Economics, 135, 528-554.

• DOI: 10.1016/j.jfineco.2019.06.013

2019

Ahmed, S., Bu, Z. and Tsvetanov, D. (2019). 'Best of the Best: A Comparison of Factor Models', Journal of Financial and Quantitative Analysis, 54(4): 1713-1758.

• DOI: 10.1017/S0022109018000947

Aretz, K., Banerjee, S., & Pryshchepa, O. (2019). 'In the Path of the Storm: Does Distress Risk Cause Industrial Firms to Risk-Shift?'. Review of Finance, 23(6), 1115-1154.

• DOI: 10.1093/rof/rfy028

Delikouras, S. and Kostakis, A. (2019). 'A Single-Factor Consumption-Based Asset Pricing Model', Journal of Financial and Quantitative Analysis, 54(2): 789-827.

• DOI: 10.1017/S0022109018000819

2018

Aretz, K., Florackis, C. and Kostakis, A. (2018). 'Do Stock Returns Really Decrease with Default Risk? New International Evidence', Management Science, 64(8): 3821-3842.

• DOI: 10.1287/mnsc.2016.2712

2016

Stilger, P. S., Kostakis, A. and Poon, S. H. (2016). 'What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?', Management Science, 63(6): 1814-1834.

• DOI: 10.1287/mnsc.2015.2379

2015

Kostakis, A., Magdalinos, T. and Stamatogiannis, M. P. (2015). 'Robust Econometric Inference for Stock Return Predictability', Review of Financial Studies, 28(5): 1506-1553.

• DOI: 10.1093/rfs/hhu139

Zhang, Q., Vallascas, F., Keasey, K. and Cai, C. X. (2015). 'Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?', Journal of Money, Credit and Banking, 47: 1403-1442.

•  DOI: 10.1111/jmcb.12249

This research subgroup is at the forefront of exploring a wide array of topics, each playing a pivotal role in enhancing our understanding of financial markets and their societal implications.

As well as academically enriching, research in this area has far-reaching implications for the practical world of finance, influencing investment strategies, policy formulation, and the overall health and efficiency of financial markets.

Empirical asset pricing and performance evaluation

Academics focusing on this subtopic study option-implied information, stock return predictability and the comparative analysis of various asset pricing models, including consumption-based and factor models.

The research conducted here is vital for developing more refined and accurate asset pricing models.

These models serve as essential tools for investors and policymakers in making well-informed financial decisions.

In addition, the study of information and liquidity risks in equity markets, as well as the informational value of option prices for predicting future stock returns, is also significant.

These studies are key to understanding the intricacies of market dynamics and investor behaviour, ultimately shaping investment strategies and market performance.

Investment technology, ethics and strategy

A key focus of studies on this subtopic is the integration of technological innovations with traditional asset pricing models.

This is not merely a reflection of the evolving financial landscape, but also a potential catalyst for revolutionising investment strategies and enhancing market efficiency.

Equally crucial is the exploration of pricing anomalies and the principles of sustainable investing.

These areas are instrumental in fostering ethical investment practices and in dissecting the complexities of market inefficiencies.

Equity and other asset classes

The investigation into asset pricing in relation to equity, foreign exchange markets, and commodity derivatives offers profound insights into the functioning of different market segments.

This research is crucial for a comprehensive understanding of global financial interactions.

Aditionally, the focus on credit risk modelling and the interplay between equity, credit and options markets is essential for identifying and mitigating financial risks, thereby contributing to the overall stability of financial systems.

Financial econometrics and machine learning

The subgroup is also pioneering in the field of financial econometrics, developing innovative techniques for risk measurement and modelling various macro and financial indicators.

These advancements are instrumental in forecasting and managing financial risks, thus bolstering the stability and resilience of financial markets.

The development of machine learning algorithms for predicting market volatility and analysing commodity and financial spreads is another area of focus.

These tools are invaluable for deciphering market behaviour and enhancing risk management strategies.

Academics in this research subgroup conduct pivotal studies that significantly enhance our understanding of corporate dynamics and their impact on the economy and society.

This subgroup's work offers valuable insights into corporate finance and accounting, significantly influencing corporate practices, regulatory policies and ethical standards, as well as shaping a more transparent, responsible and sustainable business environment.

Corporate governance and shareholder value

Research in this area critically analyses corporate governance practices, with a especial focus on their effects on shareholder value and the negative impacts of suboptimal governance.

Our academic contribution spans various geographical and cultural contexts, including Latin America, and examines the role of gender diversity in boardrooms.

These studies aim to improve governance structures, thereby enhancing corporate performance and ethical standards, and extend to mergers, acquisitions, corporate innovations and patents.

Corporate finance, networks and insider trading

Research on this topic investigates the relationship between corporate finance and governance, particularly the effects of corporate and individual networks on insider trading, mergers and acquisitions, and executive compensation.

This research is key to understanding corporate decision-making and the ethical challenges involved.

Market-based accounting research and corporate transparency

Research in this area focuses on the relationship between accounting practices and market perceptions, influencing corporate strategies in debt contracting and earnings quality.

It encompasses corporate disclosures, risk management, derivatives, financial analysts and tax avoidance, all crucial for corporate communication with investors and risk management.

Our research also examines earnings management and the value relevance of accounting information, vital for financial reporting transparency and investor confidence.

Sustainability, corporate social responsibility (CSR) and environmental, social and governance (ESG)

Research on this area addresses a range of topics related to global sustainability, including the determinants of ESG performance in firms, market reactions to ESG disclosures, and the social aspects of ESG.

Our academic contribution also covers the use of alternative data in climate change response, ESG performance implications, and its integration into risk and investment management, as well as its impact on advertising, market value, and asset pricing.

These activities contribute to new knowledge and drive significant economic, social, and cultural change.

Research within this subgroup is organised into key subareas, each dissecting unique yet interrelated facets of global financial dynamics and macroeconomic relationships.

Each of these subareas collectively contribute to a holistic understanding of the intricate interplay between international financial markets and macroeconomic factors.

The insights produced by our academics are invaluable for policymakers, financial practitioners and the global economy, offering a comprehensive perspective on the forces shaping today's financial landscape.

Sovereign debt and international monetary policy

Research In this area delves into the complexities of sovereign debt and the nuances of credit rating systems, both pivotal for gauging global financial stability and the role of credit in international economies.

Additionally, it encompasses a thorough examination of international monetary policy, scrutinising its profound effects on global financial markets.

This includes an analysis of how policy decisions shape market dynamics, influence international trade and drive economic growth.

Time series analysis of macro and financial indicators

Our academic contribution to this topic is centred on the detailed study of macroeconomic and financial indicators over time.

It is instrumental in decoding market movements, identifying trends and understanding their wider economic consequences.

This area also extends to the development and analysis of novel financial risk indicators, especially those derived from options, to elucidate their interplay with the broader macroeconomy.

Such research is crucial for effective risk assessment and management in financial markets.

Furthermore, our research incorporates the use of sophisticated Bayesian and non-linear techniques for modelling and forecasting financial markets.

These contributions enhance the precision and dependability of financial market predictions, which are essential for informed economic policy-making and financial market analysis.

Impact of social media on financial markets

Research on this topic investigates the increasingly significant role of social media platforms in shaping financial market behaviour.

It focuses on how digital communication channels impact market trends, influence investor behaviour and alter the dissemination of financial news.

This line of research is particularly relevant in the digital age, where information flow and its effects on markets are rapidly evolving.

Research by this subgroup covers several cutting-edge areas, each addressing key aspects of the rapidly evolving FinTech landscape and its implications for the financial sector.

Payment technologies and the future of money

Our academic contribution in area focuses on the advancements and dynamics of payment technologies, with a particular emphasis on cryptocurrencies and stable coin pricing.

Research on this topic is crucial for understanding the evolving nature of digital currencies and their potential to reshape the future of money, finance and global payment systems.

Explainable artificial intelligence (AI) in financial services

The focus in this area is the application of explainable artificial AI in financial services.

This includes enhancing and automating decision-making processes in areas such as mortgage lending, small business loans and insurance claim handling.

Research in on this topic especially concentrates on AI explainability, as it aims to make AI-driven decisions more transparent and understandable, thereby fostering trust and efficiency in financial services.

Integration of FinTech and big data in financial markets and sustainable finance

This area explores the intersection of fintech with big data analytics within financial markets and sustainable finance.

Research is centred on how fintech and big data can be leveraged to drive innovation, efficiency and sustainability in financial markets.

This includes understanding how these technologies can aid in the development of more sustainable financial practices and products.

2024

Option Trade Classification

• Professor Philipp Schuster, University of Stuttgart (Germany)
• Wednesday 4 December

0DTE Index Options and Market Volatility: How Large is Their Impact? 

• Dr Aurelio Vasquez, ITAM (Mexico) 
• Tuesday 19 November

PhD Talk: Pitching Research and Responsible Science

• Professor Robert Faff, Bond University (Australia)
• Wednesday 30 October

 Politically Motivated Capital Expenditures: Evidence from Banking

• Professor Wanli Zhao, Bocconi University (Italy) 
• Wednesday 30 October

Public Employee Complaints, Whistleblowing, and Regulatory Activity: Evidence from Workplace Safety Inspections

• Dr Jeroen Koenraadt, London School of Economics (England)
• Wednesday 23 October

A Greenwashing Index

• Dr Elise Gourier, ESSEC Business School (France)
• Wednesday 9 October

The Chilling Effect of Anti-ESG Laws

• Dr Alper Darendeli, Nanyang Technological University Singapore (Singapore)
• 2 October 2024

Is history repeating itself? The (un)predictable past of ESG ratings

• Dr Kornelia Fabisik, University of Bern (Switzerland)
• 25 September 2024

Competition and New Product Introductions: Evidence from the Pharmaceutical Industry

• Professor Sudipto Dasgupta, The Chinese University of Hong Kong (Hong Kong)
• 17 September 2024

What do Interest Rates Reveal about the Stock Market? A Noisy Rational Expectations Model of Stock and Bond Markets

• Dr Adrian Buss, INSEAD (France)
• 17 April 2024

Lease Reporting and Credit Markets

• Dr Maria Correia, London School of Economics (England)
• 20 March 2024

Voluntary Disclosure and the Earnings Announcement Premium

• Dr Amir Amel-Zadeh, Saïd Business School, University of Oxford (England)
• 6 March 2024

More nonlinear or more factors?

• Professor Paul Schneider, Universita’ della Svizzera Italiana (USI) Lugano (Switzerland)
• 21 February 2024

Market Returns Dormant in Options Panels

• Dr Soohun Kim, KAIST College of Business (Korea)
• 14 February 2024

What explains price momentum and 52-week high momentum when they really work?

• Dr Pedro Barroso, Católica-Lisbon School of Business and Economics (Portugal)
• 31 January 2024

2023

Long-Run Consumption and Inflation Risks in Stock and Bond Markets

• Dr Marta Szymanowska, Rotterdam School of Management – Erasmus University (The Netherlands)
• 13 December 2023

Increased Market Response to Earnings Announcements: The Role of Information Acquisition Costs

Trading Fees and Intermarket Competition

0DTE option pricing

Asset Allocation with Factor-Based Covariance Matrices

• Professor John Cotter, University College Dublin (Ireland)
• 25 October 2023

Measuring Firm-Level Tax Audit Risks with Generative AI

• Dr Ga-Young Choi, Bayes Business School (England)
• 18 October 2023

Global Business Networks

• Professor Sebastian Muller, Technical University of Munich School of Management (Germany)
• 11 October 2023

Big Brother is Watching You: The Effect of the CSISC Shareholding Program on Insider Trading

• Professor Marc Goergen, IE University (Spain)
• 4 October 2023

Pension Fund Flows, Exchange Rates, and Covered Interest Rate Parity

• Professor Zhi Da, University of Notre Dame, Mendoza College of Business (USA)
• 27 September 2023

Promoting digitalization without subsidies

• Professor Maria-Teresa Marchica, University of Manchester (England)
• 4 May 2023

Family to firm expansion: How does the CEO children number affect corporate investment?

• Professor Grzegorz Pawlina, Lancaster University (England)
• 4 May 2023

Political connections cause resource misallocation: Evidence from the fall of fascism in Italy

• Professor Mara Faccio, Purdue University (USA)
• 4 May 2023

The sustainability wage gap

• Professor Philipp Kruger, University of Geneva (Switzerland)
• 25 April 2022

FX option volume

• Professor Pasquale Della Corte, Imperial College London (England)
• 27 March 2023

Skewness premia in currency markets

• Professor Lucio Sarno, University of Cambridge (England)
• 27 March 2023

Do Analysts’ Revenue Forecasts Reflect Brand Performance Data? 

• Professor Mark Clatworthy, University of Bristol (England)
• 1 March 2023

Hazed and confused: Prenatal pollutant exposure and CEO risk-taking

• Professor Raghu Rau, University of Cambridge (England)
• 22 February 2022 

2022

The Pricing Kernel in Options

• Professor Kris Jacobs, Bauer College of Business, University of Houston (USA)
• 7 December 2022 2022

Arbitrage Bounds on Cross Currency Options

• Professor Roman Kozhan, University of Warwick (England)
• 23 November 2022

Sterling Flash Crash (SFC): Risk attitudes and biases for retail traders

• Professor Andreas Milidonis, University of Cyprus (Cyprus)
• 26 October 2022

Bond Volatility and CDS Auctions

• Professor Fan Yu, Claremont McKenna College (USA)
• 19 October 2022

The Asset Durability Premium

• Dr Chi-Yang Tsou, University of Manchester (England)
• 12 October 2022

Currency Risk Premiums Redux

• Professor Lucio Sarno, University of Cambridge (England)
• 28 June 2022

Who is Entrepreneurial? Evidence from Late Bloomer Firms with M&A strategies

• Dr Sofia Johan, Florida Atlantic University (USA)
• 22 June 2022

Women in the Financial Sector

• Professor Maria-Teresa Marchica, University of Manchester (England)
• 15 June 2022

Can stock market noise promote economic efficiency? Evidence from industry mispricings

• Professor Aneel Keswani, Bayes Business School (England)
• 25 May 2022

The Lost Capital Asset Pricing Model

• Dr Mungo Wilson, University of Oxford (England)
• 9 March 2022