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Professor Chris Brooks

Professor in Finance

Chris Brooks

Specialisms

  • Financial Econometrics, 
  • Investment Management, 
  • Asset Pricing, 
  • Historical Finance

Location

ICMA Centre, Whiteknights Campus

Chris Brooks is Professor of Finance 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, behavioural finance, financial history, and econometric analysis and modelling in finance and real estate. He has published widely in these areas, and has over a hundred articles in leading academic and practitioner journals.

Chris is Associate Editor of several journals, including the JBFA and the British Accounting Review. He was a member of the RAE2008 Accounting and Finance sub-panel and of the REF2014 Business and Management sub-panel. Chris has secured over a million pounds of competitive grant funding and acts as consultant for various banks, corporations and professional bodies in the fields of finance, real estate, and econometrics.

Chris developed a wide range of modules delivered at the ICMA Centre, has taught undergraduates, postgraduates and executives, and has supervised more than 25 PhD students through to successful completion. He is also a Senior Fellow of the Higher Education Academy but is probably best known as author of the first introductory-level econometrics textbook targeted at finance students, “Introductory Econometrics for Finance“ (2014, Cambridge University Press), which is now in its third edition and has now sold over 60,000 copies worldwide.

Reference: Hillenbrand, C. , Saraeva, A. , Money, K. and Brooks, C. (2019) To invest or not to invest? The roles of product information, attitudes towards finance and life variables in retail investor propensity to engage with financial products. British Journal of Management. ISSN 1467-8551 doi: https://doi.org/10.1111/1467-8551.12348
Reference: Bell, A. R. , Brooks, C. and Killick, H. (2019) Medieval property investors, ca. 1300-1500. Enterprise and Society, 20 (3). pp. 575-612. ISSN 1467-2235 doi: https://doi.org/10.1017/eso.2018.92
Reference: Brooks, C. , Fenton, E. , Schopohl, L. and Walker, J. (2019) Why does research in finance have so little impact? Critical Perspectives on Accounting, 58. pp. 24-52. ISSN 1045-2354 doi: https://doi.org/10.1016/j.cpa.2018.04.005
Reference: Bell, A. R. and Brooks, C. (2019) Is there a ‘magic link’ between research activity, professional teaching qualifications and student satisfaction? Higher Education Policy, 32 (2). pp. 227-248. ISSN 1740-3863 doi: https://doi.org/10.1057/s41307-018-0081-0
Reference: Bell, A. , Brooks, C. and Killick, H. (2019) A reappraisal of the freehold property market in late medieval England. Continuity and Change. ISSN 1469-218X (In Press)
Reference: Brooks, C. , Sangiorgi, I. , Hillenbrand, C. and Money, K. (2019) Experience wears the trousers: exploring gender and attitude to financial risk. Journal of Economic Behavior & Organization, 163. pp. 483-515. ISSN 0167-2681 doi: https://doi.org/10.1016/j.jebo.2019.04.026
Reference: Rocciolo, F., Gheno, A. and Brooks, C. (2019) Optimism, volatility and decision-making in stock markets. International Review of Financial Analysis. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2019.05.007 (In Press)
Reference: Brooks, C. , Hoepner, A. G. F., McMillan, D., Vivian, A. and Wese Simen, C. (2019) Financial data science: the birth of a new financial research paradigm complementing econometrics? European Journal of Finance, 25 (17). pp. 1627-1636. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847x.2019.1662822
Reference: Brooks, C. and Schopohl, L. (2018) Topics and trends in finance research: what is published, who publishes it and what gets cited? The British Accounting Review, 50 (6). pp. 615-637. ISSN 0890-8389 doi: https://doi.org/10.1016/j.bar.2018.02.001
Reference: Brooks, C. , Sangiorgi, I. , Hillenbrand, C. and Money, K. (2018) Why are older investors less willing to take financial risks? International Review of Financial Analysis, 56. pp. 52-72. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2017.12.008
Reference: Brooks, C. and Oikonomou, I. (2018) The effects of environmental, social and governance disclosures and performance on firm value: a review of the literature in accounting and finance. The British Accounting Review, 50 (1). pp. 1-15. ISSN 0890-8389 doi: https://doi.org/10.1016/j.bar.2017.11.005
Reference: Brooks, C. , Chen, Z. and Zeng, Y. (2018) Institutional cross-ownership and corporate strategy: the case of mergers and acquisitions. Journal of Corporate Finance, 48. pp. 187-216. ISSN 0929-1199 doi: https://doi.org/10.1016/j.jcorpfin.2017.11.003
Reference: Bell, A. R. and Brooks, C. (2018) What makes students satisfied? A discussion and analysis of the UK’s national student survey. Journal of Further and Higher Education, 42 (8). pp. 1118-1142. ISSN 1469-9486 doi: https://doi.org/10.1080/0309877X.2017.1349886

Corporate tax: what do stakeholders expect?

 Professor Chris Brooks, Carola Hillenbrand, Kevin G. Money, Nicole Tovstiga
Reference: Hillenbrand, C. , Money, K. G. , Brooks, C. and Tovstiga, N. (2017) Corporate tax: what do stakeholders expect? Journal of Business Ethics. ISSN 1573-0697 doi: https://doi.org/10.1007/s10551-017-3700-6
Reference: Brooks, C. , Balatti, M. and Kappou, K. (2017) Fundamental indexation revisited: new evidence on alpha. International Review of Financial Analysis, 51. pp. 1-15. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2017.02.010
Reference: Brooks, C. (2017) The impact of foreign real estate investment on land prices: evidence from Mauritius. Review of Development Economics, 21 (4). e131-e146. ISSN 1467-9361 doi: https://doi.org/10.1111/rode.12316
Reference: Bell, A. R. , Brooks, C. and Moore, T. K. (2017) Did purchasing power parity hold in medieval Europe? The Manchester School, 85 (6). pp. 682-709. ISSN 1467-9957 doi: https://doi.org/10.1111/manc.12167
Reference: Bell, A. R. , Brooks, C. and Moore, T. K. (2017) Cambium non est mutuum: exchange and interest rates in medieval Europe. The Economic History Review, 70 (2). pp. 373-396. ISSN 1468-0289 doi: https://doi.org/10.1111/ehr.12374
Reference: Bell, A. , Brooks, C. and Moore, T. (2017) The non-use of money in the Middle Ages. In: Mayhew, N. (ed.) Peter Spufford's Money and its Use in Medieval Europe - Twenty-five Years On. Royal Numismatic Society Special Publication (52). Royal Numismatic Society, pp. 137-151. ISBN 0901405698

Commodity risks and the cross-section of equity returns

 Professor Chris Brooks, Adrian Fernandez-Perez, Joelle Miffre, Ogonna Nneji
Reference: Brooks, C. , Fernandez-Perez, A., Miffre, J. and Nneji, O. (2016) Commodity risks and the cross-section of equity returns. The British Accounting Review, 48 (2). pp. 134-150. ISSN 0890-8389 doi: https://doi.org/10.1016/j.bar.2016.03.001
Reference: Brooks, C. , Godfrey, C. , Hillenbrand, C. and Money, K. (2016) Do investors care about corporate tax? Journal of Corporate Finance, 38. pp. 218-248. ISSN 0929-1199 doi: https://doi.org/10.1016/j.jcorpfin.2016.01.013
Reference: Brooks, C. , Burke, S. P. and Stanescu, S. (2016) Finite sample weighting of recursive forecast errors. International Journal of Forecasting, 32 (2). pp. 458-474. ISSN 0169-2070 doi: https://doi.org/10.1016/j.ijforecast.2015.05.003
Reference: Bell, A. R. , Brooks, C. and Taylor, N. (2016) Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets. Cliometrica Journal of Historical Economics and Econometric History, 10 (1). pp. 5-30. ISSN 1863-2505 doi: https://doi.org/10.1007/s11698-014-0120-z
Reference: Bell, A. , Brooks, C. and Moore, T. (2015) Le credit au Moyen Age: les prets a la couronne D'Angleterre entre 1272 et 1345. In: Resources publiques et contstruction étatique en Europe XIII-XVIII siecle, 2-3 July 2012, Colloque organise par l'IGPDE avec l'Université Paris 1 Pantheon-Sorbonne et ses laboratoires (IDHE, LAMOP, EA 127, SAMM) et le laboratoire d'excellence ReFi (heSam), pp. 117-130. (Colloque des 2 et 3 juillet 2012 sous la direction de Katia Beguin)
Reference: Brooks, C. , Prokopczuk, M. and Wu, Y. (2015) Booms and busts in commodity markets: bubbles or fundamentals? Journal of Futures Markets, 35 (10). pp. 916-938. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.21721
Reference: Nneji, O. , Brooks, C. and Ward, C. (2015) Speculative bubble spillovers across regional housing markets. Land Economics, 91 (3). pp. 516-535. ISSN 1543-8325 doi: https://doi.org/10.3368/le.91.3.516
Reference: Perlin, M., Dufour, A. and Brooks, C. (2014) The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market. Annals of Finance, 10 (3). pp. 457-480. ISSN 1614-2454 doi: https://doi.org/10.1007/s10436-013-0242-5
Reference: Tsolacos, S. , Brooks, C. and Nneji, O. (2014) On the predictive content of leading indicators: the case of U.S. real estate markets. Journal of Real Estate Research, 36 (4). pp. 541-573. ISSN 0896-5803
Reference: Brooks, C. (2014) Introductory econometrics for finance. 3rd edition. Cambridge University Press, Cambridge, pp740. ISBN 9781107661455
Reference: Agathee, U. S., Sannassee, R. V. and Brooks, C. (2014) The long-run performance of IPOs: the case of the Stock Exchange of Mauritius. Applied Financial Economics, 24 (17). pp. 1123-1145. ISSN 0960-3107 doi: https://doi.org/10.1080/09603107.2014.924294
Reference: Anderson, K. and Brooks, C. (2014) Speculative bubbles and the cross-sectional variation in stock returns. International Review of Financial Analysis, 35. pp. 20-31. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2014.07.004
Reference: Shang, Z., Brooks, C. and McCloy, R. (2014) Does more detailed information mean better performance? An experiment in information explicitness. Review of Behavioural Finance, 6 (2). pp. 86-103. ISSN 1940-5979 doi: https://doi.org/10.1108/RBF-10-2013-0036
Reference: Brooks, C. , Fenton, E. M. and Walker, J. T. (2014) Gender and the evaluation of research. Research Policy, 43 (6). pp. 990-1001. ISSN 0048-7333 doi: https://doi.org/10.1016/j.respol.2013.12.005
Reference: Shang, Z., Brooks, C. and McCloy, R. (2014) Are investors guided by the news disclosed by companies or by journalists? Journal of behavioral and experimental finance, 1. pp. 45-60. ISSN 2214-6350 doi: https://doi.org/10.1016/j.jbef.2014.01.003
Reference: Oikonomou, I. , Brooks, C. and Pavelin, S. (2014) The effects of corporate social performance on the cost of corporate debt and credit ratings. Financial Review, 49 (1). pp. 49-75. ISSN 1540-6288 doi: https://doi.org/10.1111/fire.12025
Reference: Oikonomou, I. , Brooks, C. and Pavelin, S. (2014) The financial effects of uniform and mixed corporate social performance. Journal of Management Studies, 51 (6). pp. 898-925. ISSN 1467-6486 doi: https://doi.org/10.1111/joms.12064
Reference: Perlin, M., Brooks, C. and Dufour, A. (2014) On the performance of the tick test. Quarterly Review of Economics and Finance, 54 (1). pp. 42-50. ISSN 1062-9769 doi: https://doi.org/10.1016/j.qref.2013.07.009
Reference: Bell, A. R. , Brooks, C. and Moore, T. K. (2014) The credit relationship between Henry III and merchants of Douai and Ypres, 1247-70. Economic History Review, 67 (1). pp. 123-145. ISSN 1468-0289 doi: https://doi.org/10.1111/1468-0289.12013
Reference: Miffre, J. and Brooks, C. (2013) Do long-short speculators destabilize commodity futures markets? International Review of Financial Analysis, 30. pp. 230-240. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.09.002
Reference: Miffre, J., Brooks, C. and Li, X. (2013) Idiosyncratic volatility and the pricing of poorly-diversified portfolios. International Review of Financial Analysis, 30. pp. 78-85. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.05.007
Reference: Bell, A. , Brooks, C. and Moore, T. (2013) Medieval foreign exchange: a time series analysis. In: Casson, M. and Hashimzade, N. (eds.) Large Databases in Economic History: Research Methods and Case Studies. Routledge Explorations in Economic History. Routledge, Abingdon, pp. 97-123. ISBN 9780415820684
Reference: Brooks, C. , Kappou, K. , Stevenson, S. and Ward, C. (2013) The performance effects of composition changes on sector specific stock indices: The case of European listed real estate. International Review of Financial Analysis, 29. pp. 132-142. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.04.002
Reference: Bell, A. , Brooks, C. and Markham, T. (2013) Does managerial turnover affect football club share prices? Aestimatio, the IEB International Journal of Finance, 7. 02-21. ISSN 2173-0164
Reference: Nneji, O. , Brooks, C. and Ward, C. (2013) Commercial real estate and equity market bubbles: are they contagious to REITs? Urban Studies, 50 (12). pp. 2496-2516. ISSN 1360-063X doi: https://doi.org/10.1177/0042098013477700
Reference: Nneji, O. , Brooks, C. and Ward, C. W.R. (2013) House price dynamics and their reaction to macroeconomic changes. Economic Modelling, 32. pp. 172-178. ISSN 0264-9993 doi: https://doi.org/10.1016/j.econmod.2013.02.007
Reference: Brooks, C. and Prokopczuk, M. (2013) The dynamics of commodity prices. Quantitative Finance, 13 (4). pp. 527-542. ISSN 1469-7696 doi: https://doi.org/10.1080/14697688.2013.769689
Reference: Brooks, C. , Prokopczuk, M. and Wu, Y. (2013) Commodity futures prices: more evidence on forecast power, risk premia and the theory of storage. The Quarterly Review of Economics and Finance, 53 (1). pp. 73-85. ISSN 1062-9769 doi: https://doi.org/10.1016/j.qref.2013.01.003
Reference: Bell, A. , Brooks, C. and Markham, T. (2013) The performance of football club managers: skill or luck? Economics & Finance Research, 1 (1). pp. 19-30. ISSN 2164-9480 doi: https://doi.org/10.1080/21649480.2013.768829
Reference: Nneji, O. , Brooks, C. and Ward, C. (2013) Intrinsic and rational speculative bubbles in the U.S. housing market 1960-2011. Journal of Real Estate Research, 35 (2). pp. 121-151. ISSN 0896-5803
Reference: Subadar Agathee, U., Brooks, C. and Sannassee, R. V. (2012) Hot and cold IPO markets : the case of the stock exchange of Mauritius. Journal of Multinational Financial Management, 22 (4). pp. 168-192. ISSN 1042-444X doi: https://doi.org/10.1016/j.mulfin.2012.06.004
Reference: 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: https://doi.org/10.1016/j.econmod.2012.07.016 (http://www.sciencedirect.com/science/journal/02649993)
Reference: Brooks, C. , Cerny, A. and Miffre, J. (2012) Optimal hedging with higher moments. Journal of Futures Markets, 32 (10). pp. 909-944. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.20542
Reference: 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: https://doi.org/10.1111/j.1755-053X.2012.01190.x
Reference: 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, 26. pp. 281-303. ISSN 0275-5319 doi: https://doi.org/10.1016/j.ribaf.2012.01.001
Reference: 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
Reference: 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: https://doi.org/10.1080/00036846.2011.577017
Reference: Anderson, K., Brooks, C. and Katsaris, A. (2011) The transmission of speculative bubbles between sectors of the S&P 500 during the tech bubble. In: Kolb, R. W. (ed.) Financial contagion: the viral threat to the wealth of nations. Kolb series in finance: essential perspectives. Wiley, Hoboken, New Jersey, pp. 335-342. ISBN 9780470922385
Reference: Bell, A. R. , Brooks, C. and Moore, T. K. (2011) Credit finance in thirteenth-century England: the Ricciardi of Lucca and Edward I, 1272-1294. In: Burton, J., Lachaud, F., Schofield, P., Stöber, K. and Weiler, B. (eds.) Thirteenth-century England XIII: proceedings of the Paris conference, 2009. Thirteenth-century England (13). Boydell and Brewer, Woodbridge, pp. 101-116. ISBN 9781843836186
Reference: Brooks, C. and Tsolacos, S. (2010) Real estate modelling and forecasting. Cambridge University Press, Cambridge, pp474. ISBN 9780521873390
Reference: 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: https://doi.org/10.1016/j.jempfin.2009.12.004
Reference: 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: https://doi.org/10.1016/j.jbankfin.2009.07.008
Reference: Li, X., Brooks, C. and Miffre, J. (2009) Low-cost momentum strategies. Journal of Asset Management, 9 (6). pp. 366-379. ISSN 1470-8272 doi: https://doi.org/10.1057/jam.2008.28
Reference: 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: https://doi.org/10.1111/j.1468-229X.2009.00464.x
Reference: 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: https://doi.org/10.1111/j.1468-5957.2009.02163.x
Reference: Bell, A. , Brooks, C. and Moore, A. (2009) Accounts of the English Crown with Italian merchant societies, 1272-1345. Standard List, 331. The List and Index Society, Kew, pp306. ISBN 9781906875183

British research in accounting and finance (2001–2007): the 2008 research assessment exercise

 Professor Chris Brooks, D. Ashton, V. Beattie, J. Broadbent, P. Draper, M. Ezzamel, D. Gwilliam, R. Hodgkinson, K. Hoskin, P. Pope, A. Stark
Reference: 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: https://doi.org/10.1016/j.bar.2009.10.003
Reference: 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: https://doi.org/10.1016/j.qref.2009.04.001
Reference: 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: https://doi.org/10.1016/j.ribaf.2007.12.001
Reference: 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
Reference: Brooks, C. (2008) RATS handbook to accompany introductory econometrics for finance. Cambridge University Press, pp213. ISBN 9780521721684
Reference: Brooks, C. (2008) Introductory econometrics for finance. 2nd edition. Cambridge University Press. ISBN 9780521694681
Reference: 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: https://doi.org/10.1016/j.jbankfin.2007.03.014
Reference: 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: https://doi.org/10.3905/joi.2007.681825
Reference: 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: https://doi.org/10.1016/j.jbankfin.2006.04.006
Reference: Bell, A. R. , Brooks, C. and Dryburgh, P. R. (2007) The English wool market, c.1230-1327. Cambridge University Press, Cambridge, pp214. ISBN 9780521859417
Reference: 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
Reference: Brooks, C. (2006) Multivariate stochastic volatility model. In: Mills, T. C. and Patterson, K. (eds.) Palgrave handbook of econometrics: econometric theory. Palgrave MacMillan, pp. 765-783. ISBN 9781403941558
Reference: 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: https://doi.org/10.1111/j.1468-5957.2006.00621.x
Reference: 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: https://doi.org/10.1016/j.jmedhist.2006.07.001
Reference: 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: https://doi.org/10.1111/j.1467-9876.2006.00534.x
Reference: 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: https://doi.org/10.1111/j.1755-053X.2006.tb00149.x
Reference: Bell, A. , Brooks, C. and Dryburgh, P. R. (2006) Advance contracts for sale of wool c.1200-c.1327. List and Index Society, 315. List and Index Society, Kew, pp244.
Reference: 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: https://doi.org/10.1162/0034653053970276
Reference: 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
Reference: 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: https://doi.org/10.1111/j.1468-0297.2005.01019.x
Reference: 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: https://doi.org/10.1016/j.jempfin.2004.01.004
Reference: 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: https://doi.org/10.1093/jjfinec/nbi018
Reference: 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
Reference: Brooks, C. and Karsaris, A. (2003) Has the UK equity bubble burst completely? Professional Investor. pp. 28-29.
Reference: 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: https://doi.org/10.1080/0959991032000109517
Reference: Brooks, C. and Persand, G. (2003) Volatility forecasting for risk management. Journal of Forecasting, 22 (1). pp. 1-22. ISSN 1099-131X doi: https://doi.org/10.1002/for.841
Reference: 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: https://doi.org/10.1108/eb022959
Reference: 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: https://doi.org/10.1111/1467-8586.00179
Reference: 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: https://doi.org/10.1023/A:1020945428824
Reference: 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: https://doi.org/10.1016/S0264-9993(00)00061-4
Reference: 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: https://doi.org/10.1016/S0148-6195(02)00103-0
Reference: 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: https://doi.org/10.1111/1467-9957.00323
Reference: Brooks, C. and Kataris, A. (2002) Speculative bubbles in asset prices: hot topic or hot air? Banking 2020, 1. pp. 52-54.
Reference: 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: https://doi.org/10.1108/eb043485
Reference: 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: https://doi.org/10.3905/jai.2002.319053
Reference: Brooks, C. and Persand, G. (2002) Model choice and value-at-risk performance. Financial Analysts Journal, 58 (5). pp. 87-97. doi: https://doi.org/10.2469/faj.v58.n5.2471
Reference: 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: https://doi.org/10.1080/09603100110087996
Reference: 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: https://doi.org/10.1111/1468-5957.00426
Reference: 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: https://doi.org/10.1111/1467-9957.00319
Reference: 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. ISSN 0740-9168
Reference: 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: https://doi.org/10.1111/1468-0084.00274
Reference: Brooks, C. , Chow, W. and Ward, C. (2001) Can profitable trading strategies be derived from investment best-sellers? Journal of Asset Management, 2 (2). pp. 162-179. ISSN 1470-8272 doi: https://doi.org/10.1057/palgrave.jam.2240042
Reference: Brooks, C. and Hinich, M. J. (2001) Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting. Journal of Forecasting, 20 (3). pp. 181-196. ISSN 1099-131X doi: https://doi.org/10.1002/1099-131X(200104)20:3<181::AID-FOR781>3.0.CO;2-R
Reference: Brooks, C. (2001) A Double-threshold GARCH Model for the French Franc/Deutschmark exchange rate. Journal of Forecasting, 20 (2). pp. 135-143. ISSN 1099-131X doi: https://doi.org/10.1002/1099-131X(200103)20:2<135::AID-FOR780>3.0.CO;2-R
Reference: Brooks, C. and Tsolacos, S. (2001) Linkages between property asset returns and interest rates: evidence for the UK. Applied Economics, 33 (6). pp. 711-719. ISSN 1466-4283 doi: https://doi.org/10.1080/00036840122812
Reference: Brooks, C. and Tsolacos, S. (2001) Forecasting real estate returns using financial spreads. Journal of Property Research, 18 (3). pp. 235-248. ISSN 1466-4453 doi: https://doi.org/10.1080/09599910110060037
Reference: Brooks, C. , Katsaris, A., McGough, T. and Tsolacos, S. (2001) Testing for bubbles in indirect property price cycles. Journal of Property Research, 18 (4). pp. 341-356. ISSN 1466-4453 doi: https://doi.org/10.1080/09599910110079640
Reference: Brooks, C. and Persand, G. (2001) Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects. Applied Economics Letters, 8 (3). pp. 155-158. ISSN 1466-4291 doi: https://doi.org/10.1080/13504850150504504
Reference: Brooks, C. , Burke, S. and Persand, G. (2001) Benchmarks and the accuracy of GARCH model estimation. International Journal of Forecasting, 17 (1). pp. 45-56. ISSN 0169-2070 doi: https://doi.org/10.1016/S0169-2070(00)00070-4
Reference: Brooks, C. , Rew, A. G. and Ritson, S. (2001) A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100. International Journal of Forecasting, 17 (1). pp. 31-44. ISSN 0169-2070 doi: https://doi.org/10.1016/S0169-2070(00)00062-5
Reference: Brooks, C. and Persand, G. (2001) The trading profitability of forecasts of the gilt–equity yield ratio. International Journal of Forecasting, 17 (1). pp. 11-29. ISSN 0169-2070 doi: https://doi.org/10.1016/S0169-2070(00)00060-1
Reference: Brooks, C. and Chong, J. (2001) The cross-currency hedging performance of implied versus statistical forecasting models. Journal of Futures Markets, 21 (11). pp. 1043-1069. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.2104
Reference: Brooks, C. and Henry, Ó. T. (2000) Can portmanteau nonlinearity tests serve as general mis-specification tests? Economics Letters, 67 (3). pp. 245-251. ISSN 0165-1765 doi: https://doi.org/10.1016/S0165-1765(00)00212-3
Reference: Brooks, C. and Henry, Ó. T. (2000) Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia. Economic Modelling, 17 (4). pp. 497-513. ISSN 0264-9993 doi: https://doi.org/10.1016/S0264-9993(99)00035-8
Reference: Brooks, C. and Tsolacos, S. (2000) Does orthogonalization really purge equity based property valuations of their general stock market influences? Applied Economics Letters, 7 (5). pp. 305-309. ISSN 1466-4291 doi: https://doi.org/10.1080/135048500351447
Reference: Brooks, C. and Tsolacos, S. (2000) Forecasting models of retail rents. Environment and Planning A, 32 (10). pp. 1825-1839. ISSN 0308-518X doi: https://doi.org/10.1068/a3332
Reference: Brooks, C. , Tsolacos, S. and Lee, S. (2000) The cyclical relations between traded property stock prices and aggregate time-series. Journal of Property Investment & Finance, 18 (6). pp. 540-564. ISSN 1463-578X doi: https://doi.org/10.1108/14635780010357532
Reference: Brooks, C. and Skinner, F. (2000) What will be the risk-free rate and benchmark yield curve following European monetary union? Applied Financial Economics, 10 (1). pp. 59-69. ISSN 0960-3107 doi: https://doi.org/10.1080/096031000331932
Reference: Brooks, C. , Clare, A. D. and Persand, G. (2000) A word of caution on calculating market-based minimum capital risk requirements. Journal of Banking & Finance, 24 (10). pp. 1557-1574. ISSN 0378-4266 doi: https://doi.org/10.1016/S0378-4266(99)00092-8
Reference: Ap Gwilym, O., Brooks, C. , Clare, A. and Thomas, S. (1999) Tests of non-linearity using LIFFE futures transactions price data. The Manchester School, 67 (2). pp. 167-186. ISSN 1467-9957 doi: https://doi.org/10.1111/1467-9957.00140
Reference: Brooks, C. and Heravi, S. M. (1999) The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test. Computational Economics, 13 (2). pp. 147-162. ISSN 1572-9974 doi: https://doi.org/10.1023/A:1008612905284
Reference: Brooks, C. (1999) Portmanteau model diagnostics and tests for nonlinearity: a comparative Monte Carlo study of two alternative methods. Computational Economics, 13 (3). pp. 249-263. ISSN 1572-9974 doi: https://doi.org/10.1023/A:1008666700953
Reference: Maitland-Smith, J. K. and Brooks, C. (1999) Threshold autoregressive and Markov switching models: an application to commercial real estate. Journal of Property Research, 16 (1). pp. 1-19. ISSN 1466-4453 doi: https://doi.org/10.1080/095999199368238
Reference: Brooks, C. and Tsolacos, S. (1999) The impact of economic and financial factors on UK property performance. Journal of Property Research, 16 (2). pp. 139-152. ISSN 1466-4453 doi: https://doi.org/10.1080/095999199368193
Reference: Brooks, C. , Garrett, I. and Hinich, M. J. (1999) An alternative approach to investigating lead-lag relationships between stock and stock index futures markets. Applied Financial Economics, 9 (6). pp. 605-613. ISSN 0960-3107 doi: https://doi.org/10.1080/096031099332050
Reference: Brooks, C. and Hinich, M. J. (1999) Cross-correlations and cross-bicorrelations in Sterling exchange rates. Journal of Empirical Finance, 6 (4). pp. 385-404. ISSN 0927-5398 doi: https://doi.org/10.1016/S0927-5398(99)00007-9
Reference: Brooks, C. (1998) Predicting stock index volatility: can market volume help? Journal of Forecasting, 17 (1). pp. 59-80. ISSN 1099-131X doi: https://doi.org/10.1002/(SICI)1099-131X(199801)17:1<59::AID-FOR676>3.0.CO;2-H
Reference: Brooks, C. (1998) Chaos in foreign exchange markets: a sceptical view. Computational Economics, 11 (3). pp. 265-281. ISSN 1572-9974 doi: https://doi.org/10.1023/A:1008650024944
Reference: Brooks, C. and Hinich, M. J. (1998) Episodic nonstationarity in exchange rates. Applied Economics Letters, 5 (11). pp. 719-722. ISSN 1466-4291 doi: https://doi.org/10.1080/135048598354203
Reference: Brooks, C. and Burke, S. (1998) Forecasting exchange rate volatility using conditional variance models selected by information criteria. Economics Letters, 61 (3). pp. 273-278. ISSN 0165-1765 doi: https://doi.org/10.1016/S0165-1765(98)00178-5
Reference: Brooks, C. (1997) Linear and non-linear (non-)forecastability of high-frequency exchange rates. Journal of Forecasting, 16 (2). pp. 125-145. ISSN 1099-131X doi: https://doi.org/10.1002/(SICI)1099-131X(199703)16:2<125::AID-FOR648>3.0.CO;2-T
Reference: Brooks, C. (1997) GARCH modelling in finance: a review of the software options. The Economic Journal, 107 (443). pp. 1271-1276. ISSN 1468-0297
Reference: Brooks, C. (1996) Testing for non-linearity in daily sterling exchange rates. Applied Financial Economics, 6 (4). pp. 307-317. ISSN 0960-3107 doi: https://doi.org/10.1080/096031096334105
Reference: Brooks, C. (1995) A measure of persistence in daily pound exchange rates. Applied Economics Letters, 2 (11). pp. 428-431. ISSN 1466-4291 doi: https://doi.org/10.1080/135048595356998

Past Events

17th January 2018 ❘ University of Kent

Conference of Professors of Accounting and Finance

5th September 2016 ❘ Birmingham

Seminar presentation at University of Stirling

5th October 2016 ❘ University of Stirling, Stirling FK9 4LA

PTC Education Agency Talk

3rd August 2016 ❘ Beau Bassin, Mauritius

Essex Finance Centre (EFiC) 2016 Conference in Banking and Finance

8th July 2016 ❘ University of Essex, Colchester

Studies in Economics and Finance conference presentation

4th July 2016 ❘ Brunel University, West London
4th July 2016 ❘ Brunel University, Uxbridge

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