Loughborough University
Leicestershire, UK
LE11 3TU
+44 (0)1509 263171
Loughborough University

Loughborough University Research Publications


Publications for Andrew Vivian

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Journal Articles

Tan, X, Sirichand, K, Vivian, A, Wang, X (2020) How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics, Energy Economics, 90, 104870, ISSN: 0140-9883. DOI: 10.1016/j.eneco.2020.104870.

Lu, Q and Vivian, A (2019) Domestically formed international diversification, Journal of International Money and Finance, 103(May 2020), 102131, ISSN: 0261-5606. DOI: 10.1016/j.jimonfin.2019.102131.

Brooks, C, Hoepner, A, McMillan, D, Vivian, A, Simen, CW (2019) Financial data science: the birth of a new financial research paradigm complementing econometrics?, The European Journal of Finance, 25(17), pp.1627-1636, ISSN: 1351-847X. DOI: 10.1080/1351847X.2019.1662822.

Ma, J, Vivian, A, Wohar, ME (2019) What drives commodity returns? Market, sector or idiosyncratic factors?, Oxford Bulletin of Economics and Statistics, 82(2), pp.311-330, ISSN: 0305-9049. DOI: 10.1111/obes.12334.

Kumsta, R-C and Vivian, A (2019) The financial strength anomaly in the UK: Information uncertainty or liquidity?, The European Journal of Finance, 26(10), pp.925-957, ISSN: 1351-847X. DOI: 10.1080/1351847X.2019.1641532.

Bataa, E, Vivian, A, Wohar, M (2019) Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014, Bulletin of Economic Research, 71(4), pp.616-640, ISSN: 0307-3378. DOI: 10.1111/boer.12199.

Ataullah, A, Vivian, A, Xu, B (2018) Optimistic disclosure tone and conservative debt policy, Abacus, 54(4), pp.445-484, ISSN: 0001-3072. DOI: 10.1111/abac.12140.

Gupta, R, Pierdzioch, C, Vivian, A, Wohar, M (2018) The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests, Finance Research Letters, ISSN: 1544-6123. DOI: 10.1016/j.frl.2018.08.013.

Ma, J, Vivian, A, Wohar, M (2018) Global factors and equity market valulations: Do country characteristics matter?, International Journal of Finance and Economics, 23(4), pp.427-441, ISSN: 1076-9307. DOI: 10.1002/ijfe.1630.

Olson, E, Vivian, A, Wohar, M (2018) What is a better cross-hedge for energy: Equities or other commodities?, Global Finance Journal, 42, 100417, ISSN: 1044-0283. DOI: 10.1016/j.gfj.2018.02.003.

Vivian, A and Xu, B (2017) Time-varying managerial overconfidence and pecking order preference, Review of Quantitative Finance and Accounting, 50(3), ISSN: 0924-865X. DOI: 10.1007/s11156-017-0647-8.

Olson, E, Vivian, A, Wohar, M (2017) Do commodities make effective hedges for equity investors?, Research in International Business and Finance, 42, ISSN: 0275-5319. DOI: 10.1016/j.ribaf.2017.07.064.

Jordan, SJ, Vivian, A, Wohar, M (2017) Stock returns forecasting with metals: Sentiment vs. fundamentals, The European Journal of Finance, 24(6), pp.458-477, ISSN: 1466-4364. DOI: 10.1080/1351847X.2017.1323770.

Song, X, Tippett, MJ, Vivian, A (2017) Assessing abnormal returns: the case of Chinese M&A acquiring firms, Research in International Business and Finance, 42, pp.191-207, ISSN: 0275-5319. DOI: 10.1016/j.ribaf.2017.05.009.

Valcarcel, VJ, Vivian, A, Wohar, M (2017) Predictability and underreaction in industry-level returns: Evidence from commodity markets, Journal of Commodity Markets, 6, ISSN: 2405-8513. DOI: 10.1016/j.jcomm.2017.02.003.

Ataullah, A, Vivian, A, Xu, B (2017) Time-varying managerial overconfidence and corporate debt maturity structure, The European Journal of Finance, 24(2), pp.157-181, ISSN: 1466-4364. DOI: 10.1080/1351847X.2016.1274266.

Jordan, SJ, Vivian, A, Wohar, M (2016) Forecasting market returns: bagging or combining?, International Journal of Forecasting, (forthcoming), ISSN: 0169-2070. DOI: 10.1016/j.ijforecast.2016.07.003.

Jordan, SJ, Vivian, A, Wohar, M (2015) Can commodity returns forecast Canadian sector stock returns?, International Review of Economics and Finance, 41, pp.172-188, ISSN: 1059-0560. DOI: 10.1016/j.iref.2015.08.013.

Sousa, RM, Vivian, A, Wohar, M (2015) Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors, International Review of Economics and Finance, 41, pp.122-143, ISSN: 1059-0560. DOI: 10.1016/j.iref.2015.09.001.

Shinozawa, Y and Vivian, A (2015) Determinants of money flows into investment trusts in Japan, Journal of International Financial Markets, Institutions and Money, In(Press), ISSN: 1042-4431. DOI: 10.1016/j.intfin.2015.02.005.

Sirichand, K, Vivian, A, Wohar, M (2015) Examining real interest parity: which component reverts quickest and in which regime?, International Review of Financial Analysis, In(Press), ISSN: 1057-5219. DOI: 10.1016/j.irfa.2015.01.007.

Jordan, SJ, Vivian, A, Wohar, M (2015) Location, location, location: currency effects and return predictability?, Applied Economics, ISSN: 0003-6846. DOI: 10.1080/00036846.2014.1000537.

Jordan, SJ, Vivian, A, Wohar, M (2014) Forecasting returns: new European evidence, Journal of Empirical Finance, 26, pp.76-95, DOI: 10.1016/j.jempfin.2014.02.001.

Olson, E, Vivian, A, Wohar, M (2014) The relationship between energy and equity markets: evidence from volatility impulse response functions, Energy Economics, 43, pp.297-305, DOI: 10.1016/j.eneco.2014.01.009.

Jordan, SJ, Vivian, A, Wohar, M (2014) Sticky prices or economically-linked economies: the case of forecasting the Chinese Stock Market, Journal of International Money and Finance, 41, pp.95-109, ISSN: 0261-5606. DOI: 10.1016/j.jimonfin.2013.11.001.

Vivian, AJ and Wohar, ME (2013) The Output Gap and Stock Returns: Do Cyclical Fluctuations Predict Portfolio Returns?, International Review of Financial Analysis, 26, pp.40-50, ISSN: 1057-5219. DOI: 10.1016/j.irfa.2012.05.002.

Vivian, AJ (2012) Did expected returns fall? Evidence from UK size portfolios, The European Journal of Finance, 18(5), pp.439-468, ISSN: 1351-847X. DOI: 10.1080/1351847X.2011.601662.

Vivian, AJ and Wohar, ME (2012) Commodity Volatility Breaks, Journal of International Financial Markets, Institutions and Money, 22(2), pp.395-422, ISSN: 1042-4431. DOI: 10.1016/j.intfin.2011.12.003.

Vivian, AJ and Wohar, ME (2010) UK stock price effects of permanent and transitory shocks, The European Journal of Finance, 16(7), pp.p. 641-656, ISSN: 1351-847X. DOI: 10.1080/13518471003638682.

Vivian, AJ (2007) The UK Equity Premium: 1901-2004, Journal of Business Finance and Accounting, 34(9/10), pp.p. 1496-1527, ISSN: 1468-5957. DOI: 10.1111/j.1468-5957.2007.02065.x.



Chapters

Vivian, A (2016) Stock index return predictability in frontier markets: Is it there?. In Handbook of Frontier Markets, Elsevier, pp.193-216.



School/Dept Working Papers

Sirichand, K, Vivian, A, Wohar, ME (2014) Examining real interest parity: which component reverts quickest and in which regime?.



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