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Surprise vs anticipated information announcements : are prices affected differently? An investigation in the context of stock splits

Hwang, Soosung; Keswani, Aneel; Shackleton, Mark B. - In: Journal of banking & finance 32 (2008) 5, pp. 643-653

Persistent link: https://www.econbiz.de/10003702578

Downside risk and asset pricing

Post, Thierry; Vliet, Pim van - In: Journal of banking & finance 30 (2006) 3, pp. 823-849

Persistent link: https://www.econbiz.de/10003300393

Participating mortgages and the efficiency of financial intermediation

Ebrahim, Muhammed Shahid; Shackleton, Mark B.; … - In: Journal of banking & finance 35 (2011) 11, pp. 3042-3054

Persistent link: https://www.econbiz.de/10009374629

Downside risk aversion, fixed-income exposure, and the value premium puzzle

Baltussen, Guido; Post, Thierry; Vliet, Willem Nicolaas van - In: Journal of banking & finance 36 (2012) 12, pp. 3382-3398

Persistent link: https://www.econbiz.de/10009660448

Cojumps in stock prices : empirical evidence

Gilder, Dudley; Shackleton, Mark B.; Taylor, Stephen - In: Journal of banking & finance 40 (2014), pp. 443-459

Persistent link: https://www.econbiz.de/10010404700

Forecasting currency volatility : a comparison of implied volatilities and AR(FI)MA models

Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 28 (2004) 10, pp. 2541-2563

Persistent link: https://www.econbiz.de/10002233147

Strategic entry and market leadership in a two-player real options game

Shackleton, Mark B.; Tsekrekos, Andrianos E.; … - In: Journal of banking & finance 28 (2004) 1, pp. 179-201

Persistent link: https://www.econbiz.de/10001857284

Valuing the strategic option to sell life insurance business : theory and evidence

Klumpes, Paul J. M.; Shackleton, Mark B. - In: Journal of banking & finance 24 (2000) 10, pp. 1681-1702

Persistent link: https://www.econbiz.de/10001511634

Continuous Workout Mortgages, Refinancing and Prepayments

Ebrahim, Muhammed Shahid - 2011

We model Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulae for...

Persistent link: https://www.econbiz.de/10013132395

The memory of beta

Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - In: Journal of banking & finance 124 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012816442