Accounting and Finance


Accounting and Finance

The Accounting and Finance Group, led by Professors Charlie CaiChris FlorackisOlan HenryAlex Kostakis, Claire MallanaphyCostas Milas and Phil Ormrod, conducts world class empirical research in the areas of asset pricing, corporate finance and governance, macro-finance, and market-based accounting.

Members of the group regularly publish in a range of top scholarly journals such as the Review of Financial Studies, Journal of Financial Economics, Journal of Accounting and Economics, Management Science, Journal of Financial and Quantitative Analysis, Review of Finance, Journal of Money, Credit and Banking, Journal of Econometrics, and Journal of Corporate Finance.

The group delivers specialist postgraduate and undergraduate programmes, including Accounting and Finance MSc, Finance MSc, Accounting and Finance BA, Finance BSc, as well as contributing to the Schools general management programmes. Teaching is research-led and supported by an excellent student-focussed professional services team.

Within the Management School, the McKenzie Trading Suite is one of the largest Bloomberg labs in the UK. Bloomberg is integrated into many modules at both undergraduate and postgraduate level.

Members of the group enjoy a collaborative and collegiate working environment, which values and supports excellence in both research and teaching, and also supports a thriving community of PhD students, including students co-supervised with our colleagues at our partner university in China, XJTLU.


Asset Pricing and Investment

Prof Charlie Cai has worked on various areas of asset pricing, banking and market microstructure. His recent research focus has been in the areas of fintech, pricing anomalies, and sustainable investing.

Prof Alex Kostakis works on empirical asset pricing and investment performance evaluation, examining topics such as the value of option-implied information, stock return predictability, and the performance of consumption-based vs. factor pricing models.

Dr Shamim Ahmed works on asset pricing with applications to equity market and foreign exchange markets.

Dr Davide Avino works on credit risk modelling and management as well as the interlinkages between the equity, credit, and options market.

Dr Minjoo Kim works in the area of financial econometrics, developing novel techniques for risk measurement and modelling the behaviour of various macro and financial indicators.

Mr Jason Laws develops tools for forecasting foreign exchange and equity market volatility and examines the behaviour of commodity and financial spreads.

Dr Michalis Stamatogiannis, works in the area of time series econometrics and has developed a novel testing procedure for stock return predictability.

Dr Chardin Wese Simen has worked on various areas of asset pricing, high-frequency financial econometrics, and derivatives markets. 

Dr Yung Chiang Yang is specially interested in exploring the role of information and liquidity risks in the equity market.

Dr Xiaoxia Ye’s research focuses on the fixed income and credit markets, modelling the behaviour of bond yields and CDS spreads.

Dr Adelphe Ekponon's research is at the juncture of asset pricing, corporate finance, and macro-finance. His current interests are oriented toward developing theoretical and empirical approaches to demonstrate how macroeconomic conditions can improve our understanding of issues in asset pricing and corporate finance.

Dr Xi Fu’s research examines the informational content of option prices for future stock returns.

Dr Adnan Gazi’s research interests are in the areas of theoretical and empirical asset pricing. His recent works include studying the early exercise feature of American options and its implications for the cross-sections of stock and option returns.


Corporate Finance and Accounting

Prof Chris Florackis mainly works in the area of corporate governance, particularly on how suboptimal governance practices destroy shareholder value. He currently serves as an Editor for the journal Corporate Governance: an International Review.

Dr Jannine Poletti-Hughes works on corporate governance in Latin America as well as gender issues in boards of directors.

Yang Zhao works in the area of corporate finance and corporate governance. He studies the effect of corporate and individual networks on insider tradings, M&As and executive compensation.

Dr John Zhang conducts research in auditing, in the context of financial accounting and banking practices.

Dr Sardar Ahmad’s research interests lie in the areas of corporate governance, business ethics, earnings management and the value relevance of accounting.

Dr Steven Chen's main research interests lie in the areas of market-based accounting research, corporate governance and corporate social responsibility. 

Dr Kostas Pappas conducts research in the area of market based account, including earnings quality, debt contracting, and corporate disclosure.

Dr Helen Ren’s research interest lies in capital market research in accounting and empirical corporate finance, with a particular focus on corporate disclosures, risk management, derivatives, financial analysts, and tax avoidance.

Dr Sushil Sainani works on issues related to corporate governance and risk management, mergers and acquisitions, and earnings management.

Dr Ping Sun studies the issuance of corporate securities, examining the effect of short selling and corporate social responsibility.

Dr Jiali Yan’s interests are in empirical corporate finance and span corporate social responsibility, corporate governance, financial misconduct, and institutional investors.


International Financial Markets and the Macroeconomy

Prof Costas Milas works on sovereign debt and credit rating issues, the impact of social media on financial markets, as well as international monetary policy. He has been a member of the Monetary Policy Roundtable organised by the Bank of England’s Monetary Policy Committee and an ESRC and CEPR sponsored Centre For Macroeconomics (CFM) survey expert since 2014.

The research of Prof Olan Henry examines the time series behaviour of macro and financial indicators as well as issues related to short selling.

Dr Bill Kallinterakis develops novel methodologies to examine herding behaviour in financial markets.

Dr Kenbata Bangassa has conducted research on the performance of initial public offerings, mutual funds and bankruptcy risk.

The focus of Dr Michael Ellington’s research is on modelling and forecasting financial markets and monetary policy using Bayesian and non-linear techniques.

Dr Marcin Michalski works on issues related to macro-financial policy, systemic risk, and interbank market contagion.

    Seminars

    Seminar Series and Workshops in Accounting and Finance

     

    Upcoming Seminars

    Professor Fan Yu (Claremont McKenna College)

    19 March 2020

    Professor Guofo Zhou (Washington University in St. Louis)

    1 April 2020 


    Dr Michael Weber (University of Chicago)

    30 April 2020


    Professor Emanuele Borgonovo (Bocconi University)

    13 May 2020


    Professor Amit Goyal (University of Lausanne)

    21 May 2020


    Professor Jeffrey Ng (Hong Kong Polytechnic University)

    12 June 2020
     

    Past Seminars

    Professor Sabri Boubaker (EM Normandie Business School)

    20 February 2020

    Professor Vasso Ioannidou (Lancaster University)

    21 November 2019 

    Professor Lakshmanan Shivakumar (London Business School)

    14 November 2019

    Professor Stephan Siegel (University of Washington)

    17 October 2019
     

    Dr Claudia Custodio (Imperial College London)

    10 October 2019
     

    Dr Jennie Bai (Georgetown University)

    3 October 2019


    Prof Alex Michaelides
     (
    Imperial College London)

    To run a publishing workshop for Accounting and Finance staff members

    29-30 April 2019


    Dr Maria Kalli 
    (University of Kent)

    Wednesday March 13 2019

    Bayesian nonparametric vector autoregressive models

    13 March 2019
     

    Dr. Tomislav Ladika (University of Amsterdam). Details of the talk are as follows:

    Creating Intangible Capital

    25 January 2019

    Selected recent publications:

    (ULMS STAFF in bold)

    Delikouras, S., & Kostakis, A. (forthcoming). A Single-Factor Consumption-Based Asset Pricing Model. Journal of Financial and Quantitative Analysis.

    Chun, A. L., Namvar, E., Ye, X., & Yu, F. (forthcoming). Modeling Municipal Yields With (and Without) Bond Insurance. Management Science.

    Dutordoir, M., Strong, N., & Sun, P. (forthcoming). Shelf versus Traditional Seasoned Equity Offerings: The Impact of Potential Short Selling. Journal of Financial and Quantitative Analysis.

    Jarrow, R., Li, H., Ye, X., & Hu, M. (forthcoming). Exploring Mispricing in the Term Structure of CDS Spreads. Review of Finance.

    Hollstein, F., Prokopczuk, M. and Wese Simen, C.  (2019) The Conditional CAPM Revisited: Evidence From High-Frequency Betas. Management Science.

    Hollstein, F. and Wese Simen, C.  (2019) Variance Risk: A Bird's Eye View. Journal of Econometrics.

    Avino, DE , Stancu, A. and Wese Simen, C.  (2019) The Predictive Power of the Dividend Risk Premium. Journal of Financial and Quantitative Analysis.

    Ahmed, S., Bu, Z., & 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

    Avino, DE , Stancu, Andrei and Wese Simen, C  (2019) Dissecting Macroeconomic News. Journal of Money, Credit and Banking.

    Goergen, M., Renneboog, L., & Zhao, Y. (2019). Insider trading and networked directors. Journal of Corporate Finance, 56, 152-175. doi:10.1016/j.jcorpfin.2019.02.001

    Renneboog, L., & Zhao, Y. (2014). Director networks and takeovers. Journal of Corporate Finance, 28, 218-234. doi:10.1016/j.jcorpfin.2013.11.012

    Renneboog, L., & Zhao, Y. (2011). Us knows us in the UK: On director networks and CEO compensation. Journal of Corporate Finance, 17(4), 1132-1157. doi:10.1016/j.jcorpfin.2011.04.011

    Florakis, C., & Sainani, S. (forthcoming). How Do Chief Financial Officers Influence Corporate Cash Policies?. Journal of Corporate Finance.

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

    Ding, S., Kim, M., & Zhang, X. (2018). Do firms care about investment opportunities? Evidence from China. Journal of Corporate Finance, 52, 214-237.

    Dutordoir, M., Strong, N. C., & Sun, P. (2018). Corporate social responsibility and seasoned equity offerings. Journal of Corporate Finance, 50, 158-179.

    Stilger, P. S., Kostakis, A., & Poon, S.H. (2017). What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?. Management Science, 63(6), 1814-1834.

    Kostakis, A., Magdalinos, T., & Stamatogiannis, M.P. (2015). Robust Econometric Inference for Stock Return Predictability. Review of Financial Studies, 28(5), 1506-1553.

    Zhang, Q., Vallascas, F., Keasey, K., & 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(7), 1403-1442.

    Research Impact: