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Mark B. Shackleton

Personal Details

First Name:Mark
Middle Name:B.
Last Name:Shackleton
Suffix:
RePEc Short-ID:psh172
[This author has chosen not to make the email address public]
http://www.lancs.ac.uk/staff/shacklem
Accounting and Finance Lancaster University Bailrigg Lancaster LA1 4YX, UK.
44 1524 594131

Affiliation

Department of Accounting and Finance
Management School
Lancaster University

Lancaster, United Kingdom
http://www.lancaster.ac.uk/lums/our-departments/accounting-and-finance/
RePEc:edi:dflanuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2017. "Continuous Workout Mortgages: Efficient Pricing and Systemic Implications," Cowles Foundation Discussion Papers 2116, Cowles Foundation for Research in Economics, Yale University.
  2. Xi Fu & Eser Arisoy & Mark Shackleton & Mehmet Umutlu, 2016. "Option-Implied Volatility Measures and Stock Return Predictability," Post-Print hal-01484672, HAL.
  3. Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2011. "Continuous Workout Mortgages," NBER Working Papers 17007, National Bureau of Economic Research, Inc.

Articles

  1. Shackleton, Mark & Yan, Jiali & Yao, Yaqiong, 2022. "What drives a firm's ES performance? Evidence from stock returns," Journal of Banking & Finance, Elsevier, vol. 136(C).
  2. Mark Shackleton & Jiali Yan & Yaqiong Yao, 2020. "NAV inflation and impact on performance in China," European Financial Management, European Financial Management Association, vol. 26(1), pages 118-142, January.
  3. Sonika, Rohit & Shackleton, Mark B., 2020. "Buyback behaviour and the option funding hypothesis," Journal of Banking & Finance, Elsevier, vol. 114(C).
  4. Shiller, Robert J. & Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2019. "Continuous Workout Mortgages: Efficient pricing and systemic implications," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 244-274.
  5. Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2016. "Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 62-74.
  6. Xi Fu & Matteo Sandri & Mark B. Shackleton, 2016. "Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(11), pages 1029-1056, November.
  7. Umutlu, Mehmet & Shackleton, Mark B., 2015. "Stock-return volatility and daily equity trading by investor groups in Korea," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 43-70.
  8. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014. "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 443-459.
  9. Rohit Sonika & Nicholas F. Carline & Mark B. Shackleton, 2014. "The Option and Decision to Repurchase Stock," Financial Management, Financial Management Association International, vol. 43(4), pages 833-855, December.
  10. Shiller, Robert J. & Wojakowski, Rafał M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2013. "Mitigating financial fragility with Continuous Workout Mortgages," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 269-285.
  11. Argyro Panaretou & Mark B. Shackleton & Paul A Taylor, 2013. "Corporate Risk Management and Hedge Accounting," Contemporary Accounting Research, John Wiley & Sons, vol. 30(1), pages 116-139, March.
  12. Shackleton, Mark B. & Voukelatos, Nikolaos, 2013. "Hedging efficiency in the Greek options market before and after the financial crisis of 2008," Journal of Multinational Financial Management, Elsevier, vol. 23(1), pages 1-18.
  13. Andrianos E. Tsekrekos & Mark B. Shackleton & Rafał Wojakowski, 2012. "Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights," European Financial Management, European Financial Management Association, vol. 18(4), pages 543-575, September.
  14. Aretz, Kevin & Shackleton, Mark B., 2011. "Omitted debt risk, financial distress and the cross-section of expected equity returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1213-1227, May.
  15. Ebrahim, M. Shahid & Shackleton, Mark B. & Wojakowski, Rafal M., 2011. "Participating mortgages and the efficiency of financial intermediation," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3042-3054, November.
  16. Dias, José Carlos & Shackleton, Mark B., 2011. "Hysteresis effects under CIR interest rates," European Journal of Operational Research, Elsevier, vol. 211(3), pages 594-600, June.
  17. San‐Lin Chung & Kunyi Ko & Mark B. Shackleton & Chung‐Ying Yeh, 2010. "Efficient quadrature and node positioning for exotic option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(11), pages 1026-1057, November.
  18. Shackleton, Mark B. & Sødal, Sigbjørn, 2010. "Harvesting and recovery decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2533-2546, December.
  19. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
  20. Jose Carlos Dias & Mark Shackleton, 2009. "Durable vs. disposable equipment choice under interest rate uncertainty," The European Journal of Finance, Taylor & Francis Journals, vol. 15(2), pages 157-167.
  21. Xiaoquan Liu & Mark Shackleton & Stephen Taylor & Xinzhong Xu, 2009. "Empirical pricing kernels obtained from the UK index options market," Applied Economics Letters, Taylor & Francis Journals, vol. 16(10), pages 989-993.
  22. Shiuyan Pong & Mark B. Shackleton & Stephen J. Taylor, 2008. "Distinguishing short and long memory volatility specifications," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 617-637, November.
  23. Hwang, Soosung & Keswani, Aneel & Shackleton, Mark B., 2008. "Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 643-653, May.
  24. San–Lin Chung & Mark B. Shackleton, 2007. "Generalised Geske‐‐Johnson Interpolation of Option Prices," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 976-1001, June.
  25. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
  26. Shackleton, Mark B. & Wojakowski, Rafal, 2007. "Finite maturity caps and floors on continuous flows," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3843-3859, December.
  27. Keswani, Aneel & Shackleton, Mark B., 2006. "How real option disinvestment flexibility augments project NPV," European Journal of Operational Research, Elsevier, vol. 168(1), pages 240-252, January.
  28. San-Lin Chung & Mark Shackleton, 2005. "On the use and improvement of Hull and White's control variate technique," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1171-1179.
  29. Shackleton, Mark B. & Sodal, Sigbjorn, 2005. "Smooth pasting as rate of return equalization," Economics Letters, Elsevier, vol. 89(2), pages 200-206, November.
  30. San‐Lin Chung & Mark Shackleton, 2005. "On the errors and comparison of Vega estimation methods," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(1), pages 21-38, January.
  31. Chuang-Chang Chang & San-Lin Chung & Mark Shackleton, 2004. "Pricing options with American-style average reset features," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 292-300.
  32. Pong, Shiuyan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2004. "Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2541-2563, October.
  33. Shackleton, Mark B. & Tsekrekos, Andrianos E. & Wojakowski, Rafal, 2004. "Strategic entry and market leadership in a two-player real options game," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 179-201, January.
  34. Daniel Chi‐Hsiou Hung & Mark Shackleton & Xinzhong Xu, 2004. "CAPM, Higher Co‐moment and Factor Models of UK Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(1‐2), pages 87-112, January.
  35. San-Lin Chung & Mark Shackleton, 2003. "The simplest American and Real Option approximations: Geske-Johnson interpolation in maturity and yield," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 709-716.
  36. San‐Lin Chung & Mark Shackleton, 2002. "The Binomial Black–Scholes model and the Greeks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(2), pages 143-153, February.
  37. Mark Shackleton & Rafal Wojakowski, 2002. "The Expected Return and Exercise Time of Merton‐style Real Options," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 29(3‐4), pages 541-555, April.
  38. Mark Shackleton & Rafal Wojakowski, 2001. "On the expected payoff and true probability of exercise of European options," Applied Economics Letters, Taylor & Francis Journals, vol. 8(4), pages 269-271.
  39. Klumpes, Paul J. M. & Shackleton, Mark B., 2000. "Valuing the strategic option to sell life insurance business: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1681-1702, October.
  40. Mark B. Shackleton, 1998. "Discussion Of Arbitrage‐Free Valuation of Exhaustible Resource Firms," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(9‐10), pages 1391-1395, November.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-URE: Urban and Real Estate Economics (3) 2011-04-30 2011-05-14 2018-04-16
  2. NEP-RMG: Risk Management (1) 2011-04-30

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