Symeonidis, L., Prokopczuk, M., Brooks, C. and Lazar, E. (2012) Futures basis, inventory and commodity price volatility: an empirical analysis. Economic Modelling, 29 (6). pp. 2651-2663. ISSN 0264-9993 doi:10.1016/j.econmod.2012.07.016 (http://www.sciencedirect.com/science/journal/02649993)

Brooks, C., Cerny, A. and Miffre, J. (2012) Optimal hedging with higher moments. Journal of Futures Markets. ISSN 1096-9934 doi: 10.1002/fut.20542 (In Press)

Oikonomou, I., Brooks, C. and Pavelin, S. (2012) The impact of corporate social performance on financial risk and utility: a longitudinal analysis. Financial Management, 41 (2). pp. 483-515. ISSN 1755-053X doi: 10.1111/j.1755-053X.2012.01190.x

Agathee, U.S., Sannassee, R.V. and Brooks, C. (2012) The underpricing of IPOs on the stock exchange of Mauritius.Research in International Business and Finance. ISSN 0275-5319 doi: 10.1016/j.bbr.2011.03.031 (In Press)

Anderson, K., Brooks, C. and Tsolacos, S. (2011) Testing for periodically collapsing rational speculative bubbles in US REITs. Journal of Real Estate Portfolio Management, 17 (3). pp. 227-241. ISSN 1083-5547

Nneji, O., Brooks, C. and Ward, C. (2011) Intrinsic and rational speculative bubbles in the U.S. housing market 1960-2009.Journal of Real Estate Research. ISSN 0896-5803 (In Press)

Bell, A. R., Brooks, C., Matthews, D. and Sutcliffe, C. (2011) Over the moon or sick as a parrot? The effects of football results on a club's share price. Applied Economics, 44 (26). pp. 3435-3452. ISSN 1466-4283 doi:10.1080/00036846.2011.577017

Kappou, K., Brooks, C. and Ward, C. (2010) The S&P500 index effect reconsidered: evidence from overnight and intraday stock price performance and volume. Journal of Banking & Finance, 34 (1). pp. 116-126. ISSN 0378-4266 doi:10.1016/j.jbankfin.2009.07.008

Anderson, K., Brooks, C. and Katsaris, A. (2010) Speculative bubbles in the S&P 500: was the tech bubble confined to the tech sector? Journal of Empirical Finance, 17 (3). pp. 345-361. ISSN 0927-5398 doi: 10.1016/j.jempfin.2009.12.004

Ashton, D., Beattie, V., Broadbent, J., Brooks, C., Draper, P., Ezzamel, M., Gwilliam, D., Hodgkinson, R., Hoskin, K., Pope, P. and Stark, A. (2009) British research in accounting and finance (2001–2007): the 2008 research assessment exercise.The British Accounting Review, 41 (4). pp. 199-207. ISSN 0890-8389 doi: 10.1016/j.bar.2009.10.003

Bell, A. R., Brooks, C. and Moore, T. K. (2009) Interest in Medieval accounts: examples from England, 1272-1340. History, 94 (316). pp. 411-433. ISSN 1468-229X doi: 10.1111/j.1468-229X.2009.00464.x

Brammer, S., Brooks, C. and Pavelin, S. (2009) The stock performance of America's 100 best corporate citizens. The Quarterly Review of Economics and Finance, 49 (3). pp. 1065-1080. ISSN 1062-9769 doi: 10.1016/j.qref.2009.04.001

Li, X., Brooks, C. and Miffre, J. (2009) The value premium and time-varying volatility. Journal of Business Finance and Accounting, 36 (9-10). pp. 1252-1272. ISSN 1468-5957 doi: 10.1111/j.1468-5957.2009.02163.x

Brooks, C. and Tsolacos, S. (2008) Integration of international office markets and signal extraction. Journal of Real Estate Portfolio Management, 14 (3). pp. 351-362. ISSN 1083-5547

Kappou, K., Brooks, C. and Ward, C. (2008) A re-examination of the index effect: gambling on additions to and deletions from the S&P 500's ‘gold seal’. Research in International Business and Finance, 22 (3). pp. 325-350. ISSN 0275-5319 doi:10.1016/j.ribaf.2007.12.001

Li, X., Miffre, J., Brooks, C. and O'Sullivan, N. (2008) Momentum profits and time-varying unsystematic risk. Journal of Banking & Finance, 32 (4). pp. 541-558. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2007.03.014

Bell, A. R., Brooks, C. and Dryburgh, P. R. (2007) Interest rates and efficiency in medieval wool forward contracts. Journal of Banking & Finance, 31 (2). pp. 361-380. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2006.04.006

Brooks, C., Davies, R. J. and Kim, S. S. (2007) Cross hedging with single stock futures. Assurances et gestion des risques, 74 (4). pp. 473-504. ISSN 1705-7299

Anderson, K. and Brooks, C. (2007) Extreme returns from extreme value stocks: enhancing the value premium. The Journal of Investing, 16 (1). pp. 69-81. ISSN 1068-0896 doi: 10.3905/joi.2007.681825

Brammer, S., Brooks, C. and Pavelin, S. (2006) Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial Management, 35 (3). pp. 97-116. ISSN 1755-053X doi: 10.1111/j.1755-053X.2006.tb00149.x

Bell, A. R., Brooks, C. and Dryburgh, P. R. (2006) ‘Leger est aprendre mes fort est arendre’: wool, debt, and the dispersal of Pipewell Abbey (1280-1330). Journal of Medieval History, 32 (3). pp. 187-211. ISSN 0304-4181 doi:10.1016/j.jmedhist.2006.07.001

Brooks, C. and Hinich, M. J. (2006) Detecting intraday periodicities with application to high frequency exchange rates.Journal of the Royal Statistical Society: Series C (Applied Statistics), 55 (2). pp. 241-259. ISSN 1467-9876 doi:10.1111/j.1467-9876.2006.00534.x

Anderson, K. and Brooks, C. (2006) The long-term price-earnings ratio. Journal of Business Finance and Accounting, 33 (7-8). pp. 1063-1086. ISSN 1468-5957 doi: 10.1111/j.1468-5957.2006.00621.x

Brooks, C. and Katsaris, A. (2005) A three-regime model of speculative behaviour: modelling the evolution of the S&P 500 composite index. The Economic Journal, 115 (505). pp. 767-797. ISSN 1468-0297 doi: 10.1111/j.1468-0297.2005.01019.x

Shields, K., Olekalns, N., Henry, Ó. T. and Brooks, C. (2005) Measuring the response of macroeconomic uncertainty to shocks. Review of Economics and Statistics, 87 (2). pp. 362-370. ISSN 1530-9142 doi: 10.1162/0034653053970276

Brooks, C., Clare, A. D., Dalle Molle, J. W. and Persand, G. (2005) A comparison of extreme value theory approaches for determining value at risk. Journal of Empirical Finance, 12 (2). pp. 339-352. ISSN 0927-5398 doi:10.1016/j.jempfin.2004.01.004

Brooks, C., Burke, S. P., Heravi, S. and Persand, G. (2005) Autoregressive conditional kurtosis. Journal of Financial Econometrics, 3 (3). pp. 399-421. ISSN 1479-8417 doi: 10.1093/jjfinec/nbi018

Brooks, C. and Katsaris, A. (2005) Trading rules from forecasting the collapse of speculative bubbles for the S&P 500 composite index. Journal of Business, 78 (5). pp. 2003-2036. ISSN 0740-9168

Bell, A. R., Brooks, C. and Dryburgh, P. (2004) Modern finance in the Middle Ages? Advance contracts with Cistercian abbeys for the supply of wool c. 1270-1330: a summary of findings. Cîteaux: Commentarii cistercienses, 55 (3-4). pp. 339-343. ISSN 0009-7497

Brooks, C. and Katsaris, A. (2003) Rational speculative bubbles: an empirical investigation of the London Stock Exchange.Bulletin of Economic Research, 55 (4). pp. 319-346. ISSN 1467-8586 doi: 10.1111/1467-8586.00179

Pedler, M., Burgoyne, J. G. and Brooks, C. (2003) Call for informants on action learning practice: researching the growth and variety of action learning. Management Learning, 34 (1). pp. 158-160. ISSN 1461-7307 doi:10.1177/1350507603341014

Brooks, C. and Persand, G. (2003) Volatility forecasting for risk management. Journal of Forecasting, 22 (1). pp. 1-22. ISSN 1099-131X doi: 10.1002/for.841

Brooks, C. and Karsaris, A. (2003) Has the UK equity bubble burst completely? Professional Investor. pp. 28-29.

Brooks, C. and Tsolacos, S. (2003) International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks. Journal of Property Research, 20 (2). pp. 133-155. ISSN 1466-4453 doi:10.1080/0959991032000109517

Brooks, C. and Persand, G. (2003) The effect of asymmetries on stock index return value-at-risk estimates. Journal of Risk Finance, 4 (2). pp. 29-42. ISSN 1526-5943 doi: 10.1108/eb022959

Brooks, C. and Burke, S. (2002) Selecting from amongst non–nested conditional variance models: information criteria and portfolio determination. The Manchester School, 70 (6). pp. 747-767. ISSN 1467-9957 doi: 10.1111/1467-9957.00323

Brooks, C. and Rew, A. (2002) Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors. Computational Economics, 20 (3). pp. 151-176. ISSN 1572-9974 doi: 10.1023/A:1020945428824

Brooks, C. and Henry, O.T. (2002) The impact of news on measures of undiversifiable risk: evidence from the UK stock market. Oxford Bulletin of Economics and Statistics, 64 (5). pp. 487-507. ISSN 1468-0084 doi: 10.1111/1468-0084.00274

Brooks, C., Clare, A.D. and Persand, G. (2002) A note on estimating market–based minimum capital risk requirements: a multivariate GARCH approach. The Manchester School, 70 (5). pp. 666-681. ISSN 1467-9957 doi: 10.1111/1467-9957.00319

Brooks, C. and Rew, A. (2002) Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates. Economic Modelling, 19 (1). pp. 65-90. ISSN 0264-9993 doi:10.1016/S0264-9993(00)00061-4

Brooks, C. and Garrett, I. (2002) Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?Applied Financial Economics, 12 (1). pp. 25-31. ISSN 1466-4305 doi: 10.1080/09603100110087996

Brooks, C. and Persand, G. (2002) Model choice and value-at-risk performance. Financial Analysts Journal, 58 (5). pp. 87-97. doi: 10.2469/faj.v58.n5.2471

Brooks, C. and Oozeer, M.C. (2002) Modelling the implied volatility of options on long gilt futures. Journal of Business Finance and Accounting, 29 (1-2). pp. 111-137. ISSN 1468-5957 doi: 10.1111/1468-5957.00426

Brooks, C. and Kataris, A. (2002) Speculative bubbles in asset prices: hot topic or hot air? Banking 2020, 1. pp. 52-54.

Brooks, C., Henry, O.T. and Persand, G. (2002) The effect of asymmetries on optimal hedge ratios. Journal of Business , 75 (2). pp. 333-352.

Brooks, C., Clare, A.D. and Persand, G. (2002) An extreme value theory approach to calculating minimum capital risk requirements. Journal of Risk Finance, 3 (2). pp. 22-33. ISSN 1526-5943 doi: 10.1108/eb043485

Brooks, C. and Revéiz, A. (2002) A model for exchange rates with crawling bands: an application to the Colombian peso.Journal of Economics and Business, 54 (5). pp. 483-503. ISSN 0148-6195 doi: 10.1016/S0148-6195(02)00103-0

Brooks, C. and Kat, H.M. (2002) The statistical properties of hedge fund index returns and their implications for investors.The Journal of Alternative Investments, 5 (2). pp. 26-44. ISSN 1520-3255 doi: 10.3905/jai.2002.319053

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 RateEuropean Bond Commission with F. Skinner