Discussion Papers

The ICMA Centre is dedicated to high quality academic research in all financial markets, broadly defined. Well over 100 discussion papers are available to download (see menu on left). 

2015 Series

All discussion papers are downloadable on the SSRN website.

Does Corporate Financial Risk Management Add Value? Evidence from Cross-Border Mergers and Acquisitions

Reference: 2015
Authors: Zhong Chen ICMA Centre, Henley Business School, University of Reading Bo Han Central Washington University Yeqin Zeng ICMA Centre, Henley Business School, University of Reading

We study the effect of financial hedging on firm performance, using a sample of 1369 cross-border mergers and acquisitions (M&As) initiated by S&P 1500 firms between 2000 and 2014. Our results show that derivatives users have higher acquirer cumulative abnormal returns (CARs) around deal announcements than non-users, which translates into a $174.3 million shareholder gain for an average acquirer. TheContinue reading

Creating More Stable and Diversified Socially Responsible Investment Portfolios

Reference: 2015-3
Authors: Ioannis Oikonomou University of Reading - ICMA Centre; Emmanouil Platanakis, University of Reading - ICMA Centre; Charles Sutcliffe, University of Reading - ICMA Centre.

This study is the first to apply a robust estimation technique when constructing Socially Responsible Investing (SRI) portfolios and to highlight that the selection of the optimisation process in this industry matters. We go beyond the mean-variance Markowitz framework in order to bypass issues surrounding the significant estimation risk that causes unstable, poorly diversified and suboptimal portfolios. Using data from MSCI KLD on theContinue reading

Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision

Reference: 2015-2
Authors: Michael P. Clements ICMA Centre Henley Business School

Model-based estimates of future uncertainty are generally based on the in-sample fit of the model, as when Box-Jenkins prediction intervals are calculated. However, this approach will generate biased uncertainty estimates in real time when there are data revisions. A simple remedy is suggested, and used to generate more accurate prediction intervals for 25 macroeconomic variables, in line with the theory. AContinue reading

The ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe

Reference: 2015-1
Authors: Adrian R. Bell, Chris Brooks and Tony K. Moore

This paper argues that the relatively voluminous surviving records about foreign exchange (FX) rates in the Middle Ages can help to illuminate the much murkier question of medieval interest rates. We first explain how the medieval FX market operated and its links to the money market. Next, we set out the sources of our data on medieval exchange rates andContinue reading