Research Repository

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Does derivatives use reduce the cost of equity? (2018)
Journal Article
Ahmed, S., Judge, A., & Mahmud, S. E. (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. ISSN 1057-5219

This paper examines the impact of hedging on the cost of equity capital. Using handcollected data on derivatives use for a sample of German non-financial firms, we find that user firms have a 109 basis point lower industry-adjusted cost of equity tha... Read More

Infrared spectroscopy of NaCl(CH3OH)n complexes in helium nanodroplets (2016)
Journal Article
Sadoon, A. M., Sarma, G., Cunningham, E. M., Tandy, J., Hanson-Heine, M. W., Besley, N. A., …Ellis, A. M. (2016). Infrared spectroscopy of NaCl(CH3OH)n complexes in helium nanodroplets. Journal of Physical Chemistry A, 120(41), doi:10.1021/acs.jpca.6b06227. ISSN 1089-5639

Infrared (IR) spectra of complexes between NaCl and methanol have been recorded for the first time. These complexes were formed in liquid helium nanodroplets by consecutive pick-up of NaCl and CH3OH molecules. For the smallest NaCl(CH3OH)n complexes... Read More

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

This paper investigates the time-series predictability of commodity futures excess returns from factor models that exploit two risk factors – the equally weighted average excess return on long positions in a universe of futures contracts and the retu... Read More

Volatility forecasting in the Chinese commodity futures market with intraday data (2016)
Journal Article
Ying, J., Shamin, A., & Xiaoquan, L. (in press). Volatility forecasting in the Chinese commodity futures market with intraday data. Review of Quantitative Finance and Accounting, doi:10.1007/s11156-016-0570-4. ISSN 0924-865X

Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically explore... Read More

Can currency-based risk factors help forecast exchange rates? (2015)
Journal Article
Ahmed, S., Liu, X., & Valente, G. (in press). Can currency-based risk factors help forecast exchange rates?. International Journal of Forecasting, 32(1), doi:10.1016/j.ijforecast.2015.01.010. ISSN 0169-2070

This paper examines time-series predictability of bilateral exchange rates from linear factor models that utilize unconditional and conditional expectations of three currency-based risk factors. Exploiting a comprehensive set of statistical criteria,... Read More

Understanding the price of volatility risk in carry trades (2015)
Journal Article
Ahmed, S., & Valente, G. (2015). Understanding the price of volatility risk in carry trades. Journal of Banking and Finance, 57, doi:10.1016/j.jbankfin.2015.04.002. ISSN 0378-4266

This paper investigates the cross-sectional pricing ability of the short- and long-run components of global foreign exchange (FX) volatility for carry trade returns. We find a negative and statistically significant factor risk price for the long-run... Read More