Professor Chris Brooks
Professor in Finance
Director of Research
T: +44 (0)118 378 8239
Specialisms: Financial Econometrics, Investment Management, Asset Pricing, Historical Finance
Biography
Chris Brooks is Professor of Finance and Director of Research at the ICMA Centre. He was formerly Professor of Finance at the Cass Business School, London. He holds a PhD and a BA in Economics and Econometrics, both from the University of Reading. His areas of research interest include asset pricing, fund management, statistical issues in risk management, and econometric analysis and modelling in finance and real estate. He has published widely in these areas, and has over sixty articles in leading academic and practitioner journals including the Journal of Business, Economic Journal, Financial Analysts Journal, Journal of Banking and Finance, and Journal of Empirical Finance. Chris is Associate Editor of several journals, including the JBFA and the International Journal of Forecasting. He is also a member of the RAE 2008 Accounting and Finance sub-panel has and acts as consultant for various banks and professional bodies in the fields of finance, real estate, and econometrics.
He is Course Convenor of the Portfolio Management and Introductory Finance modules on the undergraduate degree, and also teaches on the MSc and PhD programmes.
Chris is also author of the first introductory econometrics textbook targeted at finance students, "Introductory Econometrics for Finance" (2002, Cambridge University Press), which is now in its second edition and has now sold over 20,000 copies worldwide.
Books
Introductory Econometrics for Finance 2nd Edition2008, Cambridge University Press |  |
Introductory Econometrics for Finance2002, Cambridge University Press |
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Grants
Credit Finance in the Middle Ages: Loans to the English Crown c. 1272-1340
The Economic and Social Research Council (ESRC) have awarded Dr Adrian Bell and Professor Chris Brooks a major research grant worth just over £350,000 to investigate the early and innovative use of credit finance by a succession of English medieval monarchs.
The study will examine in detail the credit finance arrangements used by Edward I, II and III from both a historical perspective and also utilise the approaches and models developed recently for modern-day sovereign borrowings. The project will employ one Research Assistant for three years, and the team will work on a number of publications as well as the production of the transcriptions and translations of many original sources
Modern Finance in the Middle Ages? Advance contracts for the supply of wool
Dr Adrian Bell and Professor Chris Brooks were awarded £45,000 from the ESRC for a unique interdisciplinary project. Their research attempted to push back the boundaries for modern finance into the middle ages - by investigating forward contracts between Cistercian monasteries in England and Italian Merchant Banks during the later half of the thirteenth century. The monasteries frequently sold their wool up to ten years in advance for prices agreed on the date that the contract was signed. These contracts were written by hand and in medieval latin and have survived in governmental records, housed today in the National Archives at Kew. This was the first time that such contracts have been subjected to the rigours of the techniques of modern finance. Could it be that today's financial market whizkids have a thing or two to learn from their ecclesiastical predecessors? The project analysed how efficient these early financial markets were and also produced an edition of the sources to stimulate further research into this fascinating history.
Further details on the award and of the outputs can be found by looking at UK Data Archive, study number 5325: http://www.data-archive.ac.uk/
2000 £2,900 - Forecasting Models for Real Estate Rents University of Reading Research Endowment Trust with S. Tsolacos and S. Lee
1999 £5,000 A Review of and Commentary upon Academic Research Related to Banking Competition Barclays with C. Keating
1999 £10,000 - Can Profitable Trading Rules be developed from Investment Bestsellers? Institute for Quantitative Investment Research with C.W.R. Ward
1998 £10,000 The Effect of Monetary Union on Credit Ratings Methodologies and its Implications for the Risk-free Rate European Bond Commission with F. Skinner
Publications
"Integration of International Office Markets and Signal Extraction" with S. Tsolacos Journal of Real Estate Portfolio Management forthcoming
"The Gross Truth about Hedge Fund Performance and Risk: The Impact of Incentive Fees" with A.D. Clare and N.E. Motson Journal of Financial Transformation forthcoming
"Low-Cost Momentum Strategies" with X. Li and J. Miffre Journal of Asset Management forthcoming
"Momentum Profits and Time-Varying Unsystematic Risk" with X.Li and J. Miffre (2008) Journal of Banking and Finance 32(4), 541-558.
"A Re-Examination of the Index Effect: Gambling on Additions to and Deletions from the S&P 500's ‘Gold Seal'" with N. Kappou and C.W.R. Ward (2008) Review of International Business and Finance 22, 325-250.
"Introductory Econometrics for Finance" - May 2008, 2nd edition, Cambridge University Press (ISBN: 052169468X)
"RATS Handbook to Accompany Introductory Econometrics for Finance" - November 2008, Cambridge University Press (ISBN: 0521721687)
"The English Wool Market c. 1250-1350" (2007) with A.R. Bell and P.R Dryburgh, Cambridge University Press.
"Reducing Basis Risk for Stocks by Cross Hedging with Matched Futures" with R. Davies and S.S. Kim (2007) Assurances et Gestions des Risques74(4), 473-504.
"Interest rates and efficiency in medieval wool forward contracts" with A.R. Bell and P.R. Dryburgh (2007) Journal of Banking and Finance 31(2), 361-380.
"Extreme returns from extreme value stocks: enhancing the value premium" with K. Anderson (2007) Journal of Investing 16(1): 69-81
"Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures" with S. Brammer and S. Pavelin (2006) Financial Management 35(3), 97-116.
Brooks, C. and K. Anderson (2006) ‘The Long-Term Price-Earnings Ratio' Journal of Business Finance and Accounting 33 (7) & (8), 1063-1086.
Brooks, C., A.R. Bell and P.R. Dryburgh (2006) ‘‘Leger est aprendre mes fort est arendre?: Wool, Debt, and the Dispersion of Pipewell Abbey (1288-1328).' Journal of Medieval History 32, 187-211.
Brooks, C. (2006) ‘Multivariate Volatility Models' in Palgrave Handbook of Econometrics Volume 1: Econometric Theory Terence C. Mills and Kerry Patterson (eds.) Palgrave Macmillan, London, 765-783.
Brooks, C., S. Brammer and S. Pavelin(2006) ‘Corporate Reputation and Stock Returns: Are Good Firms Good for Investors?' Professional Investor October, 21-25.
Brooks, C., A. Katsaris and G. Persand (2006) ‘Timing is Everything: A Comparison and Evaluation of Market Timing Strategies' Professional Investor June, 14-19.
Brooks, C. and K. Anderson (2006) ‘Decomposing the Price-Earnings Ratio' Journal of Asset Management 6(6), 456-469.
Brooks, C. and K. Anderson (2006) ‘Constructing Value by Deconstructing the P/E Ratio' Professional Investor February, 22-25.
Brooks, C. and M.J.Hinich (2006) ‘Detecting intraday periodicities with application to high frequency exchange rates' Journal of the Royal Statistical Society, Series C 55(2), 241-259.
K. Shields, N. Olekalns, Ó.T. Henry, and Brooks, C. (2005) ‘Measuring the Response of Macroeconomic Uncertainty to Shocks' Review of Economics and Statistics 87(2), 362-370.
Brooks, C., S.P. Burke and G. Persand (2005) ‘Autoregressive Conditional Kurtosis' Journal of Financial Econometrics 3(3), 399-421.
Brooks, C. and K. Anderson (2005) ‘Are growing earnings desirable?' Professional Investor May, 12-16.
Brooks, C., A.R. Bell and P.R. Dryburgh (2005) ‘Why forwards really came from the past' Professional Investor April, 22-26.
Brooks, C. and A. Katsaris (2005) ‘Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index' Journal of Business 78(5), 2003-2036.
Brooks, C. and A. Katsaris (2005) ‘A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index' Economic Journal 115(505), 767-797.
Brooks, C., A.D. Clare, J.W. Dalle Molle, and G. Persand (2005) ‘A Comparison of Extreme Value Approaches for Determining Value at Risk' Journal of Empirical Finance 12, 339-352.
Brooks, C. and K. Anderson (2004) ‘The Long-term P/E Effect' Professional Investor October 20-22.
Brooks, C. and G. Persand (2003) ‘The Effect of Asymmetries on Stock Index Return Value at Risk Estimates' Journal of Risk Finance 4(2), 29-42.
Brooks, C. and A. Katsaris (2003) ‘Has the UK Equity Bubble Burst Completely?' Professional Investor May, 28-29.
Brooks, C. and S.P. Burke (2003) ‘Information Criteria for GARCH Model Selection: An Application to High Frequency Financial Data' European Journal of Finance 9(6), 557-580.
Brooks, C. and A. Katsaris (2003) ‘Rational Speculative Bubbles: An Investigation of the London Stock Exchange' Bulletin of Economic Research 55(4), 319-346.
Brooks, C. and S. Tsolacos (2003) ‘International Evidence on the Predictability of Prices of Securitised Real Estate Assets: Econometric Models versus Neural Networks' Journal of Property Research 20(2), 133-156.
Brooks, C. and G. Persand (2003) ‘Volatility Forecasting for Risk Management' Journal of Forecasting 22, 1-22.
Brooks, C., S.P. Burke and G. Persand ‘Multivariate GARCH Models: Software Choice and Estimation Issues', (2003) Journal of Applied Econometrics 18, 725-734.
Brooks, C., O.T. Henry (2002) ‘The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market' Oxford Bulletin of Economics and Statistics 64(5), 487-508.
Brooks, C., O.T. Henry and G. Persand (2002) ‘The Effect of Asymmetries on Optimal Hedge Ratios' Journal of Business, 75(2), 333-352.
Brooks, C., A.D. Clare and G. Persand (2002) ‘Estimating Market-Based Minimum Capital Risk Requirements: A Multivariate GARCH Approach' Manchester School 70(5), 666-681.
Brooks, C. and M.C. Oozeer (2002) ‘Modelling the Implied Volatility of Options on Long Gilt Futures' Journal of Business Finance and Accounting 29(1), 111-137
Brooks, C. and I. Garrett (2002) ‘Can We Explain the Dynamics of the UK FTSE 100 Stock and Stock Index Futures Markets?' Applied Financial Economics 12, 25-31
Brooks, C. and G. Persand (2002) ‘Model choice and value at risk performance' Financial Analysts Journal 58(5), 87-97.
Brooks, C. and H.M. Kat (2002) ‘The statistical properties of hedge fund index returns and their implications for investors' Journal of Alternative Investments 5(2), 26-44
Brooks, C., A.D. Clare and G. Persand (2002) ‘An Extreme Value Approach to Calculating Minimum Capital Risk Requirements' Journal of Risk Finance 3(2), 22 - 33
Brooks, C. and A. Katsaris (2002) ‘Speculative Bubbles in Asset Prices: Hot Topic or Hot Air?' Banking 2000, 1, 52-54.
Brooks, C. and S.P. Burke (2002) ‘Selecting From Amongst Non-nested Conditional Variance Models: Information Criteria and Portfolio Determination' Manchester School 70(6), 747-767.
Brooks, C. and A. Reveiz (2002) ‘A Model for Exchange Rates with Crawling Bands: An Application to the Colombian Peso' Journal of Economics and Business 54(5), 483-503
Brooks, C. and A.G. Rew (2002) ‘Testing the Order of Integration of Sterling Euro-Currency Rates Allowing for Structural Breaks' Economic Modelling 19, 65-90
Brooks, C. and A.G. Rew (2002) ‘Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors' Computational Economics 20, 156-176.
Brooks, C. (2002) ‘Introductory Econometrics for Finance?, Cambridge University Press, pp701, ISBN: 052179367-X (paperback), 0521790182 (hardback).
Brooks, C., S.P. Burke and G. Persand (2001) ‘Benchmarks and the Accuracy of GARCH Model Estimation' International Journal of Forecasting 17, 45-56
Brooks, C., O.T. Henry (2001) ‘Linear and Non-Linear Transmission of Equity Return Volatility: Evidence from the US, Japan, and Australia' Economic Modelling 17(4), 497-513
Brooks, C. (2001) ‘A Double Threshold GARCH Model for the French Frank / German Mark Exchange Rate' Journal of Forecasting 20, 135-143
Brooks, C. M.J. Hinich (2001) ‘Bicorrelations and Cross-Bicorrelations as Tests for Nonlinearity and as Forecasting Tools' Journal of Forecasting 20, 181-196
Brooks, C., W. Chow and C.W.R. Ward (2001) ‘Can Profitable Trading Strategies be Derived from Investment Bestsellers?' Journal of Asset Management 2(2), 162-179
Brooks, C., J. Chong (2001) ‘The Cross-Currency Hedging Performance of Implied versus Statistical Forecasting Models' Journal of Futures Markets 21(11), 1043-1069
Brooks, C. and G. Persand (2001) ‘The Trading Profitability of Forecasts of the Gilt-Equity Yield Ratio' International Journal of Forecasting 17, 11-29
Brooks, C., A.G. Rew and S. Ritson (2001) ‘A Trading Strategy Based on the Lead-Lag Relationship between the FTSE 100 Spot Index and the LIFFE Traded FTSE Futures Contract' International Journal of Forecasting 17, 31-44
Brooks, C., G. Persand (2001) ‘Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-of-the-Week Effects' Applied Economics Letters 8, 155-158
Brooks, C., A. Katsaris, T. McGough, and S. Tsolacos (2001) ‘Testing for Bubbles in Real Estate Price Cycles' Journal of Property Research 18(4), 341-346.
Brooks, C. and S. Tsolacos (2001) ‘Forecasting Real Estate Returns using Financial Spreads' Journal of Property Research 18(3), 235-248.
Brooks, C. and S. Tsolacos (2001) ‘Linkages between Property Asset Returns and Interest Rates: Evidence for the UK' Applied Economics 33, 711-719
Brooks, C., S. Tsolacos and S. Lee (2000) ‘The Cyclical Relations between Traded Property Stock Prices and Aggregate Time Series' Journal of Property Investment and Finance 18(6), 540-564
Brooks, C. and S. Tsolacos (2000) ‘Forecasting Models of Retail Rents' Environment and Planning A 32(10), 1825-1839
Brooks, C. and S. Tsolacos (2000) ‘Does Orthogonalisation Really Purge Equity-Based Property Valuations of their General Stock Market Influences?' Applied Economics Letters 7, 305-309
Brooks, C., A.D. Clare and G. Persand (2000) ‘A Word of Caution on Calculating Market-Based Minimum Capital Risk Requirements' Journal of Banking and Finance 14(10), 1557-1574
Brooks, C. and F. Skinner (2000) ‘What will be the Risk-Free Rate and Benchmark Yield Curve following European Monetary Union?' Applied Financial Economics 10, 59-69
Brooks, C. and C. Keating (2000) ‘Corporate Decisions and General Insurance: Beyond the Frontier: A Discussion' British Actuarial Journal 6(2), 294-296
Brooks, C. and G. Persand (2000) ‘Value at Risk and Market Crashes' Journal of Risk 2(4), 5-26
Brooks, C. and G. Persand (2000) ‘The Pitfalls of VaR Estimates' Risk 13(5), 63-66
Brooks, C. and O.T. Henry (2000) ‘Can Portmanteau Model Nonlinearity Tests Serve as General Model Mis-specification Diagnostics? Evidence form Symmetric and Asymmetric GARCH Models' Economics Letters 67, 245-251
Brooks, C., M.J. Hinich and R. Molyneux (2000) ‘Episodic Nonlinear Event Detection: Political Epochs in Exchange Rates' in Political Complexity: Political Epochs in Exchange Rates edited by D. Richards, 83-98, Michigan University Press, ISBN: 0-472-10964-2
Brooks, C., M.J. Hinich and M.J. Smith (1999) ‘Nonlinear Evolution in High Frequency U.K. Stock Returns and Volume' in Nonlinear Time Series Analysis of Economic and Financial Data edited by P. Rothman, Chapter 8, pp 165-178.
Brooks, C. (1999) ‘Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods' Computational Economics 13(3), 249-263
Brooks, C. and S.P. Burke (1999) ‘Forecasting Exchange Rate Volatility using Conditional Variance Models Selected by Information Criteria' Economics Letters 61, 273-278
Brooks, C. and S.M. Heravi (1999) ‘The Effect of Mis-Specified GARCH Filters on the Finite Sample Distribution of the BDS Test' Computational Economics 13, 147-162
Brooks, C., O. ap Gwilym, A.D. Clare, S. Thomas (1999) ‘Non-linearity in high Frequency London Financial Futures Contracts' Manchester School 67(2) 167-186
Brooks, C. and M.J. Hinich (1999) ‘Cross-Correlations and Cross-Bicorrelations in Sterling Exchange Rates' Journal of Empirical Finance 6(4), 385-404
Brooks, C., I. Garrett and M.J. Hinich (1999) ‘An Alternative Approach to Investigating Lead-lag Relationships Between Stock Index and Stock Index Futures Markets' Applied Financial Economics 9, 605-613
Brooks, C. and S. Tsolacos (1999) ‘The Impact of Economic and Financial Factors on UK Property Performance', Journal of Property Research 16(2), 139-152
Brooks, C. and J.K. Maitland-Smith (1999) ‘Threshold Autoregressive and Markov Switching Models: An Application to Commercial Real Estate' Journal of Property Research 16(1), 1-19.
Brooks, C. and M.J. Hinich (1998) ‘Evidence of Episodic Nonstationarity in Exchange Rates' Applied Economics Letters 5, 719-722
Brooks, C. (1998) ‘Chaos in Foreign Exchange Markets: A Sceptical View' Computational Economics 11(3), 265-281
Brooks, C. (1998) ‘Forecasting Stock Return Volatility: Does Volume Help?' Journal of Forecasting 17, 59-80
Brooks, C. and M.J. Hinich (1998) ‘Forecasting High Frequency Exchange Rates Using Cross Bicorrelations' Decision Technologies for Computational Finance: Proceedings of the Fifth Computational Finance Conference A-P. N. Refenes, A.N. Burgess, and J.E. Moody, Kluwer Academic Publishers, London, pp61-72.
Brooks, C., P.C. Cheshire, A.W. Evans, and M.J. Stabler (1997) ‘The Economic and Social Value of the Conservation of Historic Buildings and Areas,' in Evaluation of the Built Environment for Sustainability, Barandon, Lombardi and Bentivenga (eds)., 276-294.
Brooks, C. (1997) ‘Linear and Nonlinear (Non-) Forecastability of Daily Sterling Exchange Rates' Journal of Forecasting 16, 125-145
Brooks, C. (1997) ‘GARCH Modelling in Finance: A review of the Software Options', Economic Journal 107(443) 1271-1276.
Brooks, C. (1996) ‘Testing for Nonlinearity in Daily Pound Exchange Rates' Applied Financial Economics 6, 307-317
Brooks, C. (1995) ‘A Measure of Persistence in Daily Pound Exchange Rates' Applied Economics Letters 2, 428-431.
