Publications
2023
Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns
Ahmed, S., Bu, Z., & Ye, X. (2023). Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns. REVIEW OF ASSET PRICING STUDIES, 13(3), 440-480. doi:10.1093/rapstu/raad001
Which factor model? A systematic return covariation perspective
Ahmed, S., Bu, Z., Symeonidis, L., & Tsvetanov, D. (2023). Which factor model? A systematic returncovariation perspective. Journal of International Money and Finance. doi:10.1016/j.jimonfin.2023.102865
Illiquidity, R&D Investment, and Stock Returns
Ahmed, S., Bu, Z., & Ye, X. (2023). Illiquidity, R&D Investment, and Stock Returns. JOURNAL OF MONEY CREDIT AND BANKING. doi:10.1111/jmcb.13053
2020
The impact of US macroeconomic news announcements on Chinese commodity futures
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
Do stress tests affect bank liquidity creation?
Nguyen, T. V. H., Ahmed, S., Chevapatrakul, T., & Onali, E. (2020). Do stress tests affect bank liquidity creation?. Journal of Corporate Finance. doi:10.1016/j.jcorpfin.2020.101622
2019
Best of the Best: A Comparison of Factor Models
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
2018
Does derivatives use reduce the cost of equity?
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
2017
Volatility forecasting in the Chinese commodity futures market with intraday data
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
2016
The predictive performance of commodity futures risk factors
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
Can currency-based risk factors help forecast exchange rates?
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
2015
Understanding the price of volatility risk in carry trades
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
2008
The impact of sales taxation on internet commerce — An empirical analysis
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