Dr Shamim Ahmed

Senior Lecturer in Finance (Associate Professor in Finance) Finance and Accounting

    Publications

    2020

    The impact of US macroeconomic news announcements on Chinese commodity futures (Journal article)

    Cai, H., Ahmed, S., Jiang, Y., & Liu, X. (2020). The impact of US macroeconomic news announcements on Chinese commodity futures. QUANTITATIVE FINANCE, 20(12), 1927-1966. doi:10.1080/14697688.2020.1814006

    DOI: 10.1080/14697688.2020.1814006

    Do stress tests affect bank liquidity creation? (Journal article)

    Nguyen, T. V. H., Ahmed, S., Chevapatrakul, T., & Onali, E. (n.d.). Do stress tests affect bank liquidity creation?. Journal of Corporate Finance. doi:10.1016/j.jcorpfin.2020.101622

    DOI: 10.1016/j.jcorpfin.2020.101622

    Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns (Journal article)

    Ahmed, S., Bu, Z., & Ye, X. (2020). Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns.

    2019

    Best of the Best: A Comparison of Factor Models (Journal article)

    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

    DOI: 10.1017/s0022109018000947

    2018

    Does derivatives use reduce the cost of equity? (Journal article)

    Ahmed, S., Judge, A., & Mahmud, S. (2018). Does derivatives use reduce the cost of equity?. International Review of Financial Analysis, 60, 1-16. doi:10.1016/j.irfa.2018.09.004

    DOI: 10.1016/j.irfa.2018.09.004

    2017

    Volatility forecasting in the Chinese commodity futures market with intraday data (Journal article)

    Jiang, Y., Ahmed, S., & Liu, X. (2017). Volatility forecasting in the Chinese commodity futures market with intraday data. Review of Quantitative Finance and Accounting, 48(4), 1123-1173. doi:10.1007/s11156-016-0570-4

    DOI: 10.1007/s11156-016-0570-4

    2016

    The predictive performance of commodity futures risk factors (Journal article)

    Ahmed, S., & Tsvetanov, D. (2016). The predictive performance of commodity futures risk factors. Journal of Banking & Finance, 71, 20-36. doi:10.1016/j.jbankfin.2016.06.011

    DOI: 10.1016/j.jbankfin.2016.06.011

    Can currency-based risk factors help forecast exchange rates? (Journal article)

    Ahmed, S., Liu, X., & Valente, G. (2016). Can currency-based risk factors help forecast exchange rates?. International Journal of Forecasting, 32(1), 75-97. doi:10.1016/j.ijforecast.2015.01.010

    DOI: 10.1016/j.ijforecast.2015.01.010

    2015

    Understanding the price of volatility risk in carry trades (Journal article)

    Ahmed, S., & Valente, G. (2015). Understanding the price of volatility risk in carry trades. Journal of Banking & Finance, 57, 118-129. doi:10.1016/j.jbankfin.2015.04.002

    DOI: 10.1016/j.jbankfin.2015.04.002

    2008

    The impact of sales taxation on internet commerce — An empirical analysis (Journal article)

    Ahmed, S., & Wirjanto, T. S. (2008). The impact of sales taxation on internet commerce — An empirical analysis. Economics Letters, 99(3), 557-560. doi:10.1016/j.econlet.2007.10.001

    DOI: 10.1016/j.econlet.2007.10.001