Publications

Adams, R & Xu, J 2023, 'The Inequality of Finance', Review of Corporate Finance, vol. 3, no. 1–2, pp. 35-68.
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Alfeus, M, Nikitopoulos, CS & Overbeck, L 2023, 'Implied roughness in the term structure of oil market volatility', Quantitative Finance, pp. 1-17.
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Almaskati, N, Bird, R, Yeung, D & Lu, Y 2023, 'Corporate governance, market conditions and investors’ reaction to information signals', Australian Journal of Management, vol. 48, no. 1, pp. 38-66.
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We examine and compare the extent to which the reaction of investors to earnings announcements is influenced by a firm’s governance profile and prevailing market conditions. We find that firms with better governance characteristics experience a larger initial reaction to both good and bad earnings announcements regardless of the prevailing sentiment and uncertainty conditions. However, the influence of governance is constrained to the announcement period. We demonstrate that changes in market uncertainty and/or investor sentiment are related to the post-earnings announcement drift. We also find that a major channel through which greater corporate governance influences the market response to unexpected earnings news is by lowering information uncertainty and so providing greater clarity of the implication of the news for firm value. Finally, we establish that two types of uncertainties (market and information) have very different influence on investor’s response to information signals. JEL Classification: D81, G10, G14, G30, G32

Buckner, D, Dowd, K & Hulley, H 2023, 'A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages', Journal of Demographic Economics, vol. 89, no. 3, pp. 349-372.
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AbstractThis paper provides a new market consistent approach to the valuation of no negative equity guarantees and equity release mortgages. The paper provides a new approach to the estimation of volatility inputs. The proposed approach to volatility produces a volatility term structure that is dependent on the age and gender of the borrower. Illustrative valuations are provided based on the Black ’76 put pricing formula and mortality projections based on the M5 Cairns–Blake–Dowd mortality model. Results show interesting ramifications for industry practice and prudential regulation.

Chen, S & Wang, J-X 2023, 'A New Channel for Global Volatility Propagation'.

Chen, XC, Jones, S, Hasan, MM, Zhao, R & Alam, N 2023, 'Does strategic deviation influence firms’ use of supplier finance?', Journal of International Financial Markets, Institutions and Money, vol. 85, pp. 101787-101787.
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Choi, S, Park, RJ & Xu, S 2023, 'The Strategic Use of Corporate Philanthropy: Evidence from Bank Donations', Review of Finance, vol. 27, no. 5, pp. 1883-1930.
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Abstract This article examines the strategic nature of banks’ charitable giving by studying bank donations to local nonprofit organizations. Relying on the application of antitrust rules in bank mergers as an exogenous shock to local deposit market competition, we find that local competition affects banks’ local donation decisions. Using county-level natural disaster shocks, we show that banks with disaster exposure reallocate donations away from nonshocked counties, where they operate branches, and toward shocked counties. The reallocation of donations represents an exogenous increase in the local share of donations in nonshocked counties for banks with no disaster exposure and leads to an increase in the local deposit market shares of such banks. Furthermore, banks can potentially earn greater profits from making donations and tend to donate to nonprofits that have the most social impact. Overall, our evidence suggests that banks participate in corporate philanthropy strategically to enhance performance.

Luong, TM, Scheule, H & Wanzare, N 2023, 'Impact of mortgage soft information in loan pricing on default prediction using machine learning', International Review of Finance, vol. 23, no. 1, pp. 158-186.
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AbstractWe analyze the impact of soft information on US mortgages for default prediction and provide a new measure for lender soft information that is based on the interest rates offered to borrowers and incremental to public hard information. Hard and soft information provide for a variation in annual default probabilities of approximately 3%. Soft information has a lesser impact over time and time since origination. Lenders rely more on soft information for high‐risk borrowers. Our study evidences the importance of soft information collected at loan origination.

Menkveld, AJ, Dreber, A, Holzmeister, F, Huber, J, Johannesson, M, Kirchler, M, Razen, M, Weitzel, U, Abad, D, Abudy, MM, Adrian, T, Ait-Sahalia, Y, Akmansoy, O, Alcock, J, Alexeev, V, Aloosh, A, Amato, L, Amaya, D, Angel, J, Bach, A, Baidoo, E, Bakalli, G, Barbon, A, Bashchenko, O, Bindra, PC, Bjonnes, GH, Black, J, Black, BS, Bohorquez, S, Bondarenko, O, Bos, CS, Bosch-Rosa, C, Bouri, E, Brownlees, CT, Calamia, A, Cao, VN, Capelle-Blancard, G, Capera, L, Caporin, M, Carrion, A, Caskurlu, T, Chakrabarty, B, Chernov, M, Cheung, WM, Chincarini, LB, Chordia, T, Chow, SC, Clapham, B, Colliard, J-E, Comerton-Forde, C, Curran, E, Dao, T, Dare, W, Davies, RJ, De Blasis, R, De Nard, G, Declerck, F, Deev, O, Degryse, H, Deku, S, Desagre, C, van Dijk, MA, Dim, C, Dimpfl, T, Dong, Y, Drummond, P, Dudda, TL, Dumitrescu, A, Dyakov, T, Dyhrberg, AH, Dzieliński, M, Eksi, A, El Kalak, I, ter Ellen, S, Eugster, N, Evans, MDD, Farrell, M, Félez-Viñas, E, Ferrara, G, FERROUHI, EM, Flori, A, Fluharty-Jaidee, J, Foley, S, Fong, KYL, Foucault, T, Franus, T, Franzoni, FA, Frijns, B, Frömmel, M, Fu, S, Füllbrunn, S, Gan, B, Gehrig, T, Gerritsen, D, Gil-Bazo, J, Glosten, LR, Gomez, T, Gorbenko, A, Güçbilmez, U, Grammig, J, Gregoire, V, Hagströmer, B, Hambuckers, J, Hapnes, E, Harris, JH, Harris, L, Hartmann, S, Hasse, J-B, Hautsch, N, He, X, Heath, D, Hediger, S, Hendershott, T, Hibbert, AM, Hjalmarsson, E, Hoelscher, SA, Hoffmann, P, Holden, CW, Horenstein, AR, Huang, W, Huang, D, Hurlin, C, Ivashchenko, A, Iyer, SR, Jahanshahloo, H, Jalkh, N, Jones, CM, Jurkatis, S, Jylha, P, Kaeck, A, Kaiser, G, Karam, A, Karmaziene, E, Kassner, B, Kaustia, M, Kazak, E, Kearney, F, van Kervel, V, Khan, S, Khomyn, M, Klein, T, Klein, O, Klos, A, Koetter, M, Krahnen, JP, Kolokolov, A, Korajczyk, RA, Kozhan, R, Kwan, A, Lajaunie, Q, Lam, FYE, Lambert, M, Langlois, H, Lausen, J, Lauter, T, Leippold, M, Levin, V, Li, Y, Li, MH, Liew, CY, Lindner, T, Linton, OB, Liu, J, Liu, A, Llorente, G, Lof, M, Lohr, A, Longstaff, FA, Lopez-Lira, A, Mankad, S, Mano, N, Marchal, A, Martineau, C, Mazzola, F, Meloso, D, Mihet, R, Mohan, V, Moinas, S, Moore, D, Mu, L, Muravyev, D, Murphy, D, Neszveda, G, Neumeier, C, Nielsson, U, Nimalendran, M, Nolte, S, Norden, LL, O'Neill, P, Obaid, K, Ødegaard, BA, Östberg, P, Painter, M, Palan, S, Palit, I, Park, A, Pascual, R, Pasquariello, P & et al. 2023, 'Non-Standard Errors'.

Phua, K, Tham, M & Wei, C 2023, 'Peer Effects in Equity Research', Journal of Financial and Quantitative Analysis, vol. 58, no. 2, pp. 647-676.
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AbstractWe study the importance of peer effects among sell-side analysts who work at the same brokerage house, but cover different firms. By mapping the information network within each brokerage, we identify analysts who occupy central positions in the network. Central analysts incorporate more information from their coworkers and produce better research. Using shocks to network structures around brokerage mergers, we identify the influence of peer effects and the importance of industry expertise on analysts’ performance. A portfolio strategy that exploits the forecast revisions of central analysts earns up to 24% per annum.

Spiropoulos, H & Zhao, R 2023, 'Stock liquidity, cash flow sensitivity and the value of cash', International Review of Economics & Finance, vol. 88, pp. 1565-1581.
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Suggett, DJ, Edwards, M, Cotton, D, Hein, M & Camp, EF 2023, 'An integrative framework for sustainable coral reef restoration', One Earth, vol. 6, no. 6, pp. 666-681.
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Alfeus, M, Nikitopoulos Sklibosios, C & Overbeck, L 1970, 'Implied Roughness in the Term Structure of Oil Markets Volatility', 6th Symposium of Quantitative Finance and Risk Analysis, Crete, Greece.

Alfeus, M, Nikitopoulos Sklibosios, C & Overbeck, L 1970, 'Implied Roughness in the Term Structure of Oil Markets Volatility', Interdisciplinary Statistics Colloquium of the Universities of Gießen and Marburg, Giessen, Germany.

Marupanthorn, P, Nikitopoulos Sklibosios, C, Ofosu-hene, E, Peters, G & Richards, K-A 1970, 'Mechanisms to incentivise fossil fuel divestment and implications to investors risk and returns', Accounting and Finance Association of Australia & New Zealand Annual Conference, Gold Coast, Australia.

Nikitopoulos Sklibosios, C, Thomas, A & Wang, J 1970, 'Liquidity provision channels and oil price volatility', Commodity and Energy Markets Annual Meeting, Budapest, Hungary.

Nikitopoulos Sklibosios, C, Thomas, A & Wang, J 1970, 'Liquidity provision channels and oil price volatility', International Commodities Research Symposium of J.P. Morgan Center for Commodities & Energy Management, Denver, USA.

Alfeus, M, Sklibosios Nikitopoulos, C & Overbeck, L 2023, 'Dynamic Roughness in the Term Structure of Oil Markets Volatility'.

Barbopoulos, LG, Dai, R, Putniņš, TJ & Saunders, A 2023, 'Market Efficiency When Machines Access Information'.

Eglīte, E, Štaermans, D, Patel, V & Putniņš, TJ 2023, 'Using ETFs to Conceal Insider Trading'.

Katona, K, Sklibosios Nikitopoulos, C & Schlögl, E 2023, 'A Price Mechanism Survey of the Australian National Electricity Market', SSRN.

Liu, L, Sojli, E & Tham, WW 2023, 'CEO Experience and Value Creation: Evidence from Green Lab Locations', SSRN.

Marupanthorn, P, Peters, G, Ofosu-Hene, E, Sklibosios Nikitopoulos, C & Richards, K-A 2023, 'DivFolio: A Shiny Application for Portfolio Divestment in Green Finance Wealth Management'.

Mwampashi, MM & Sklibosios Nikitopoulos, C 2023, 'Beyond the Mean: Examining Electricity Spot Price Distribution in Australia', SSRN.