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Chris Brooks

Personal Details

First Name:Chris
Middle Name:
Last Name:Brooks
Suffix:
RePEc Short-ID:pbr256
[This author has chosen not to make the email address public]
https://www.icmacentre.ac.uk/people/chris-brooks

Affiliation

ICMA Centre for Financial Markets
Henley Business School
University of Reading

Reading, United Kingdom
https://www.icmacentre.ac.uk
RePEc:edi:isrdguk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Adrian R. Bell & Chris Brooks & Tony K. Moore, 2015. "The ‘Buying and Selling of Money for Time’: Foreign Exchange and Interest Rates in Medieval Europe," ICMA Centre Discussion Papers in Finance icma-dp2015-01, Henley Business School, University of Reading.
  2. Chris Godfrey & Chris Brooks, 2015. "The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story," ICMA Centre Discussion Papers in Finance icma-dp2015-07, Henley Business School, University of Reading.
  3. Chris Brooks & Adrian Fernandez-Perez & Joëlle Miffre & Ogonna Nneji, 2014. "Commodity Risk Factors and the Cross-Section of Equity Returns," ICMA Centre Discussion Papers in Finance icma-dp2014-09, Henley Business School, University of Reading.
  4. Adrian R. Bell & Chris Brooks & Tony K. Moore, 2014. "Did Purchasing Power Parity Hold in Medieval Europe?," ICMA Centre Discussion Papers in Finance icma-dp2014-01, Henley Business School, University of Reading.
  5. Zilu Shang & Chris Brooks & Rachel McCloy, 2013. "Does More Detailed Information Mean Better Performance? An Experiment in Information Explicitness," ICMA Centre Discussion Papers in Finance icma-dp2013-05, Henley Business School, University of Reading.
  6. Zilu Shang & Chris Brooks & Rachel McCloy, 2013. "Are Investors Guided by the News Disclosed by Companies or by Journalists?," ICMA Centre Discussion Papers in Finance icma-dp2013-04, Henley Business School, University of Reading.
  7. Joëlle Miffre & Chris Brooks, 2013. "Did Long-Short Investors Destabilize Commodity Markets?," ICMA Centre Discussion Papers in Finance icma-dp2013-03, Henley Business School, University of Reading, revised Sep 2013.
  8. Sotiris Tsolacos & Chris Brooks, 2013. "Forecasting Turning Points in Real Estate Yields," ERES eres2013_219, European Real Estate Society (ERES).
  9. Sotiris Tsolacos & Chris Brooks & Ogonna Nneji, 2013. "On the Predictive Content of Leading Indicators: The Case of US Real Estate Markets," ICMA Centre Discussion Papers in Finance icma-dp2013-02, Henley Business School, University of Reading, revised Jun 2013.
  10. Chris Brooks & Keith Anderson, 2012. "Speculative Bubbles and the Cross-Sectional Variation in Stock Returns," ICMA Centre Discussion Papers in Finance icma-dp2013-01, Henley Business School, University of Reading, revised Nov 2013.
  11. Ioannis Oikonomou & Chris Brooks & Stephen Pavelin, 2012. "The interactive financial effects between corporate social responsibility and irresponsibility," ICMA Centre Discussion Papers in Finance icma-dp2012-02, Henley Business School, University of Reading.
  12. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper 39903, University Library of Munich, Germany.
  13. Ogonna Nneji & Chris Brooks & Charles Ward, 2011. "Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market 1960-2009," ICMA Centre Discussion Papers in Finance icma-dp2011-01, Henley Business School, University of Reading.
  14. Adrian Bell & Chris Brooks & David Matthews & Charles Sutcliffe, 2011. "Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price," Post-Print hal-00709557, HAL.
  15. Chris Brooks & Marcel Prokopczuk, 2011. "The Dynamics of Commodity Prices," ICMA Centre Discussion Papers in Finance icma-dp2011-09, Henley Business School, University of Reading.
  16. Ogonna Nneji & Chris Brooks & Charles Ward, 2011. "Housing and equity bubbles: Are they contagious to REITs?," ICMA Centre Discussion Papers in Finance icma-dp2011-11, Henley Business School, University of Reading.
  17. Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris, 2010. "A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market," MPRA Paper 23380, University Library of Munich, Germany.
  18. Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris, 2010. "The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market," MPRA Paper 23381, University Library of Munich, Germany.
  19. Ioannis Oikonomou & Chris Brooks & Stephen Pavelin, 2010. "The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis," ICMA Centre Discussion Papers in Finance icma-dp2010-12, Henley Business School, University of Reading.
  20. Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009. "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance icma-dp2009-11, Henley Business School, University of Reading.
  21. Chris Brooks & Xiafei Li & Joelle Miffre, 2009. "Time Varying Volatility and the Cross-Section of Equity Returns Â," ICMA Centre Discussion Papers in Finance icma-dp2009-01, Henley Business School, University of Reading.
  22. Xiafei Li & Chris Brooks & Joelle Miffre, 2009. "Transaction Costs, Trading Volume and Momentum Strategies," ICMA Centre Discussion Papers in Finance icma-dp2009-04, Henley Business School, University of Reading.
  23. Adrian R. Bell & Chris Brooks & Tony Moore, 2008. "Interest in medieval accounts: Examples from England, 1272-1340," ICMA Centre Discussion Papers in Finance icma-dp2008-07, Henley Business School, University of Reading.
  24. Xiafei Li & Chris Brooks & Jöelle Miffre, 2007. "Low-Cost Momentum Strategies," ICMA Centre Discussion Papers in Finance icma-dp2007-12, Henley Business School, University of Reading.
  25. Chris Brooks & Xiafei Li & Joelle Miffre, 2007. "The Value Premium and Time-Varying Unsystematic Risk," ICMA Centre Discussion Papers in Finance icma-dp2007-03, Henley Business School, University of Reading.
  26. Sotiris Tsolacos & Chris Brooks, 2007. "The Integration of European and US Real Estate Markets," ERES eres2007_186, European Real Estate Society (ERES).
  27. Chris Brooks & Konstantina Kappou & Charles Ward, 2007. "The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance," ICMA Centre Discussion Papers in Finance icma-dp2007-05, Henley Business School, University of Reading.
  28. Stephen Brammer & Chris Brooks & Stephen Pavelin, 2006. "Corporate Reputation and Stock Returns; are good firm good for investors?," ICMA Centre Discussion Papers in Finance icma-dp2006-05, Henley Business School, University of Reading.
  29. Xiafei Li & Chris Brooks & Joelle Miffre, 2006. "Momentum Profits and Time-Varying Unsystematic Risk," ICMA Centre Discussion Papers in Finance icma-dp2006-09, Henley Business School, University of Reading, revised Sep 2006.
  30. Stephen Brammer & Chris Brooks & Stephen Pavelin, 2006. "The Stock Performance of America's 100 Best Corporate Citizens," ICMA Centre Discussion Papers in Finance icma-dp2006-06, Henley Business School, University of Reading.
  31. Chris Brooks & Apostolos Katsaris, 2006. "Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?," ICMA Centre Discussion Papers in Finance icma-dp2006-07, Henley Business School, University of Reading.
  32. Chris Brooks & A.Cerny & J. Miffre, 2006. "Optimal Hedging with Higher Moments," ICMA Centre Discussion Papers in Finance icma-dp2006-12, Henley Business School, University of Reading.
  33. Chris Brooks & Ryan J. Davies & Sang Soo Kim, 2005. "Cross Hedging with Single Stock Futures," ICMA Centre Discussion Papers in Finance icma-dp2004-15, Henley Business School, University of Reading.
  34. Keith Anderson & Chris Brooks, 2005. "Decomposing the P/E Ratio," ICMA Centre Discussion Papers in Finance icma-dp2005-03, Henley Business School, University of Reading.
  35. Adrian Bell & Chris Brooks & Paul Dryburgh, 2005. "Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?," ICMA Centre Discussion Papers in Finance icma-dp2005-01, Henley Business School, University of Reading, revised Nov 2005.
  36. Keith Anderson & Chris Brooks, 2005. "The Extremes of the P/E Effect," ICMA Centre Discussion Papers in Finance icma-dp2005-04, Henley Business School, University of Reading.
  37. Adrian Bell & Chris Brooks & Paul Dryburgh, 2005. "Leger est aprendre mes fort est arendre;: Wool, Debt and the Dispersal of Pipewell Abbey (1280 - 1330)," ICMA Centre Discussion Papers in Finance icma-dp2005-08, Henley Business School, University of Reading.
  38. Keith Anderson & Chris Brooks, 2005. "The Long-Term P/E Radio," ICMA Centre Discussion Papers in Finance icma-dp2005-02, Henley Business School, University of Reading.
  39. Chris Brooks & Konstantina Kappou & Charles Ward, 2004. "Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect," ICMA Centre Discussion Papers in Finance icma-dp2004-04, Henley Business School, University of Reading.
  40. Chris Brooks & Simon Burke & Gita Persand, 2003. "Multivariate GARCH Models: Software Choice and Estimation Issues," ICMA Centre Discussion Papers in Finance icma-dp2003-07, Henley Business School, University of Reading.
  41. Kalvinder Shields & Nilss Olekalns & Ólan T. Henry & Chris Brooks, 2003. "Measuring the Response of Macroeconomic Uncertainty to Shocks," Department of Economics - Working Papers Series 870, The University of Melbourne.
  42. Chris Brooks & Melvin. J. Hinich & Douglas M. Patterson, 2003. "Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange," ICMA Centre Discussion Papers in Finance icma-dp2003-14, Henley Business School, University of Reading.
  43. Chris Brooks & Simon P. Burke & Gita Persand, 2002. "Augoregressive Conditional Kurtosis," ICMA Centre Discussion Papers in Finance icma-dp2002-05, Henley Business School, University of Reading.
  44. Chris Brooks & Apostolos Katsaris, 2002. "Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance icma-dp2002-04, Henley Business School, University of Reading.
  45. Chris Brooks & Apostolos Katsaris, 2002. "A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance icma-dp2002-14, Henley Business School, University of Reading.
  46. Chris Brooks & Harry. M Kat, 2001. "The Statistical Properties of Hedge Fund Index Returns," ICMA Centre Discussion Papers in Finance icma-dp2001-09, Henley Business School, University of Reading.
  47. Chris Brooks & Sotiris Tsolacos, 2001. "International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks," ICMA Centre Discussion Papers in Finance icma-dp2001-08, Henley Business School, University of Reading.
  48. Chris Brooks & Melvin J. Hinich, 2001. "A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates," ICMA Centre Discussion Papers in Finance icma-dp2001-04, Henley Business School, University of Reading.
  49. Brooks, C. & Henry, O.T., 2000. "The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market," Department of Economics - Working Papers Series 733, The University of Melbourne.
  50. Chris Brooks & Gita Persand & Andrew D. Clare, 2000. "An EVT Approach to calculating Risk Capital Requirements," ICMA Centre Discussion Papers in Finance icma-dp2000-07, Henley Business School, University of Reading.
  51. Chris Brooks & Gita Persand, 2000. "Value at Risk and Market Crashes," ICMA Centre Discussion Papers in Finance icma-dp2000-01, Henley Business School, University of Reading.
  52. Brooks, C. & Henry, O.T., 1999. "Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia," Department of Economics - Working Papers Series 676, The University of Melbourne.
  53. Brooks, C. & Henry, O.T., 1999. "Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models," Department of Economics - Working Papers Series 723, The University of Melbourne.
  54. Brooks, C. & Henry, O.T. & Persand, G., 1999. "Optimal Hedging and the Value of News," Department of Economics - Working Papers Series 717, The University of Melbourne.
  55. Sotiris Tsolacos & Chris Brooks, 1998. "Macroeconomic Influences on Property Returns," ERES eres1998_157, European Real Estate Society (ERES).

Articles

  1. Adrian R. Bell & Chris Brooks & Rohan Brooks, 2024. "Are English football players overvalued?," Applied Economics, Taylor & Francis Journals, vol. 56(21), pages 2568-2584, May.
  2. Francesco Rocciolo & Andrea Gheno & Chris Brooks, 2024. "CEO overcaution and capital structure choices," The Financial Review, Eastern Finance Association, vol. 59(3), pages 719-743, August.
  3. Chris Brooks & Louis Williams, 2024. "People are people: A comparative analysis of risk attitudes across Europe," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3545-3566, July.
  4. Brooks, Chris & Schopohl, Lisa & Walker, James T., 2023. "Comparing perceptions of the impact of journal rankings between fields," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 90(C).
  5. Chris Brooks & Ivan Sangiorgi & Anastasiya Saraeva & Carola Hillenbrand & Kevin Money, 2023. "The importance of staying positive: The impact of emotions on attitude to risk," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3232-3261, July.
  6. Cantarella, Simona & Hillenbrand, Carola & Brooks, Chris, 2023. "Do you follow your head or your heart? The simultaneous impact of framing effects and incidental emotions on investment decisions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 107(C).
  7. Rocciolo, Francesco & Gheno, Andrea & Brooks, Chris, 2022. "Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM," International Review of Financial Analysis, Elsevier, vol. 82(C).
  8. Bell, Adrian R. & Brooks, Chris & Urquhart, Andrew, 2022. "Why have UK universities become more indebted over time?," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 771-783.
  9. Brooks, Chris & Williams, Louis, 2022. "When it comes to the crunch: Retail investor decision-making during periods of market volatility," International Review of Financial Analysis, Elsevier, vol. 80(C).
  10. Bell, Adrian R. & Brooks, Chris & Killick, Helen, 2022. "The first real estate bubble? Land prices and rents in medieval England c. 1300–1500," Research in International Business and Finance, Elsevier, vol. 62(C).
  11. Rendall, Stella & Brooks, Chris & Hillenbrand, Carola, 2021. "The impacts of emotions and personality on borrowers’ abilities to manage their debts," International Review of Financial Analysis, Elsevier, vol. 74(C).
  12. Brooks, Chris & Williams, Louis, 2021. "The impact of personality traits on attitude to financial risk," Research in International Business and Finance, Elsevier, vol. 58(C).
  13. Ran Tao & Chris Brooks & Adrian Bell, 2021. "Tomorrow's fish and chip paper? Slowly incorporated news and the cross-section of stock returns," The European Journal of Finance, Taylor & Francis Journals, vol. 27(8), pages 774-795, May.
  14. Tao, Ran & Brooks, Chris & Bell, Adrian R., 2020. "When is a MAX not the MAX? How news resolves information uncertainty," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 33-51.
  15. Rocciolo, Francesco & Gheno, Andrea & Brooks, Chris, 2019. "Optimism, volatility and decision-making in stock markets," International Review of Financial Analysis, Elsevier, vol. 66(C).
  16. Carola Hillenbrand & Kevin Guy Money & Chris Brooks & Nicole Tovstiga, 2019. "Corporate Tax: What Do Stakeholders Expect?," Journal of Business Ethics, Springer, vol. 158(2), pages 403-426, August.
  17. Brooks, Chris & Sangiorgi, Ivan & Hillenbrand, Carola & Money, Kevin, 2019. "Experience wears the trousers: Exploring gender and attitude to financial risk," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 483-515.
  18. Bell, Adrian R. & Brooks, Chris & Killick, Helen, 2019. "Medieval Property Investors, ca. 1300–1500," Enterprise & Society, Cambridge University Press, vol. 20(3), pages 575-612, September.
  19. Chris Brooks & Andreas G. F. Hoepner & David McMillan & Andrew Vivian & Chardin Wese Simen, 2019. "Financial data science: the birth of a new financial research paradigm complementing econometrics?," The European Journal of Finance, Taylor & Francis Journals, vol. 25(17), pages 1627-1636, November.
  20. Brooks, Chris & Fenton, Evelyn & Schopohl, Lisa & Walker, James, 2019. "Why does research in finance have so little impact?," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 58(C), pages 24-52.
  21. Brooks, Chris & Schopohl, Lisa, 2018. "Topics and trends in finance research: What is published, who publishes it and what gets cited?," The British Accounting Review, Elsevier, vol. 50(6), pages 615-637.
  22. Brooks, Chris & Chen, Zhong & Zeng, Yeqin, 2018. "Institutional cross-ownership and corporate strategy: The case of mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 187-216.
  23. Brooks, Chris & Sangiorgi, Ivan & Hillenbrand, Carola & Money, Kevin, 2018. "Why are older investors less willing to take financial risks?," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 52-72.
  24. Adrian R. Bell & Chris Brooks & Tony K. Moore, 2017. "Did Purchasing Power Parity Hold in Medieval Europe?," Manchester School, University of Manchester, vol. 85(6), pages 682-709, December.
  25. Adrian R. Bell & Chris Brooks & Tony K. Moore, 2017. "Cambium non est mutuum: exchange and interest rates in medieval Europe," Economic History Review, Economic History Society, vol. 70(2), pages 373-396, May.
  26. Chris Brooks & Matthew Lamport & Kesseven Padachi & Vinesh Sannassee & Keshav Seetah & Boopen Seetanah, 2017. "The Impact of Foreign Real Estate Investment on Land Prices: Evidence from Mauritius," Review of Development Economics, Wiley Blackwell, vol. 21(4), pages 131-146, November.
  27. Balatti, Mirco & Brooks, Chris & Kappou, Konstantina, 2017. "Fundamental indexation revisited: New evidence on alpha," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 1-15.
  28. Brooks, Chris & Fernandez-Perez, Adrian & Miffre, Joëlle & Nneji, Ogonna, 2016. "Commodity risks and the cross-section of equity returns," The British Accounting Review, Elsevier, vol. 48(2), pages 134-150.
  29. Brooks, Chris & Godfrey, Chris & Hillenbrand, Carola & Money, Kevin, 2016. "Do investors care about corporate taxes?," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 218-248.
  30. Brooks, Chris & Burke, Simon P. & Stanescu, Silvia, 2016. "Finite sample weighting of recursive forecast errors," International Journal of Forecasting, Elsevier, vol. 32(2), pages 458-474.
  31. Adrian R. Bell & Chris Brooks & Nick Taylor, 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, Association Française de Cliométrie (AFC), vol. 10(1), pages 5-30, january.
  32. Chris Brooks & Marcel Prokopczuk & Yingying Wu, 2015. "Booms and Busts in Commodity Markets: Bubbles or Fundamentals?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(10), pages 916-938, October.
  33. Ogonna Nneji & Chris Brooks & Charles W. R. Ward, 2015. "Speculative Bubble Spillovers across Regional Housing Markets," Land Economics, University of Wisconsin Press, vol. 91(3), pages 516-535.
  34. Marcelo Perlin & Alfonso Dufour & Chris Brooks, 2014. "The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market," Annals of Finance, Springer, vol. 10(3), pages 457-480, August.
  35. Ioannis Oikonomou & Chris Brooks & Stephen Pavelin, 2014. "The Financial Effects of Uniform and Mixed Corporate Social Performance," Journal of Management Studies, Wiley Blackwell, vol. 51(6), pages 898-925, September.
  36. Ioannis Oikonomou & Chris Brooks & Stephen Pavelin, 2014. "The Effects of Corporate Social Performance on the Cost of Corporate Debt and Credit Ratings," The Financial Review, Eastern Finance Association, vol. 49(1), pages 49-75, February.
  37. Shang, Zilu & Brooks, Chris & McCloy, Rachel, 2014. "Are investors guided by the news disclosed by companies or by journalists?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 1(C), pages 45-60.
  38. Brooks, Chris & Fenton, Evelyn M. & Walker, James T., 2014. "Gender and the evaluation of research," Research Policy, Elsevier, vol. 43(6), pages 990-1001.
  39. Sotiris Tsolacos & Chris Brooks & Ogonna Nneji, 2014. "On the Predictive Content of Leading Indicators: The Case of U.S. Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 36(4), pages 541-574.
  40. Zilu Shang & Chris Brooks & Rachel McCloy, 2014. "Does more detailed information mean better performance? An experiment in information explicitness," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 6(2), pages 86-103, November.
  41. Perlin, Marcelo & Brooks, Chris & Dufour, Alfonso, 2014. "On the performance of the tick test," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 42-50.
  42. Adrian R. Bell & Chris Brooks & Tony K. Moore, 2014. "The credit relationship between Henry III and merchants of Douai and Ypres, 1247–70," Economic History Review, Economic History Society, vol. 67(1), pages 123-145, February.
  43. Anderson, Keith & Brooks, Chris, 2014. "Speculative bubbles and the cross-sectional variation in stock returns," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 20-31.
  44. Nneji, Ogonna & Brooks, Chris & Ward, Charles W.R., 2013. "House price dynamics and their reaction to macroeconomic changes," Economic Modelling, Elsevier, vol. 32(C), pages 172-178.
  45. Ogonna Nneji & Chris Brooks & Charles Ward, 2013. "Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs?," Urban Studies, Urban Studies Journal Limited, vol. 50(12), pages 2496-2516, September.
  46. Brooks, Chris & Prokopczuk, Marcel & Wu, Yingying, 2013. "Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 73-85.
  47. Miffre, Joëlle & Brooks, Chris & Li, Xiafei, 2013. "Idiosyncratic volatility and the pricing of poorly-diversified portfolios," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 78-85.
  48. Chris Brooks & Marcel Prokopczuk, 2013. "The dynamics of commodity prices," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 527-542, March.
  49. Brooks, Chris & Kappou, Konstantina & Stevenson, Simon & Ward, Charles, 2013. "The performance effects of composition changes on sector specific stock indices: The case of European listed real estate," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 132-142.
  50. Miffre, Joëlle & Brooks, Chris, 2013. "Do long-short speculators destabilize commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 230-240.
  51. Ogonna Nneji & Chris Brooks & Charles Ward, 2013. "Intrinsic and Rational Speculative Bubbles in the US Housing Market: 1960-2011," Journal of Real Estate Research, American Real Estate Society, vol. 35(2), pages 121-152.
  52. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
  53. Agathee, Ushad Subadar & Sannassee, Raja Vinesh & Brooks, Chris, 2012. "The underpricing of IPOs on the Stock Exchange of Mauritius," Research in International Business and Finance, Elsevier, vol. 26(2), pages 281-303.
  54. Subadar Agathee, Ushad & Brooks, Chris & Sannassee, Raja Vinesh, 2012. "Hot and cold IPO markets: The case of the Stock Exchange of Mauritius," Journal of Multinational Financial Management, Elsevier, vol. 22(4), pages 168-192.
  55. Ioannis Oikonomou & Chris Brooks & Stephen Pavelin, 2012. "The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis," Financial Management, Financial Management Association International, vol. 41(2), pages 483-515, June.
  56. Adrian R. Bell & Chris Brooks & David Matthews & Charles Sutcliffe, 2012. "Over the moon or sick as a parrot? The effects of football results on a club's share price," Applied Economics, Taylor & Francis Journals, vol. 44(26), pages 3435-3452, September.
  57. Chris Brooks & Alešs Černý & Joëlle Miffre, 2012. "Optimal hedging with higher moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(10), pages 909-944, October.
  58. Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2011. "Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 17(3), pages 227-241, January.
  59. Anderson, Keith & Brooks, Chris & Katsaris, Apostolos, 2010. "Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 345-361, June.
  60. Kappou, Konstantina & Brooks, Chris & Ward, Charles, 2010. "The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 116-126, January.
  61. Xiafei Li & Chris Brooks & Joëlle Miffre, 2009. "Low-cost momentum strategies," Journal of Asset Management, Palgrave Macmillan, vol. 9(6), pages 366-379, February.
  62. Xiafei Li & Chris Brooks & Joëlle Miffre, 2009. "The Value Premium and Time‐Varying Volatility," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9‐10), pages 1252-1272, November.
  63. Brammer, Stephen & Brooks, Chris & Pavelin, Stephen, 2009. "The stock performance of America's 100 Best Corporate Citizens," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1065-1080, August.
  64. Adrian P. Bell & Brooks, Chris & Moore, Tony, 2009. "The credit crisis of 1294: causes, consequences and results," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 3, pages 94-97, June.
  65. Li, Xiafei & Miffre, Joëlle & Brooks, Chris & O'Sullivan, Niall, 2008. "Momentum profits and time-varying unsystematic risk," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 541-558, April.
  66. Kappou, Konstantina & Brooks, Chris & Ward, Charles W.R., 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, Elsevier, vol. 22(3), pages 325-350, September.
  67. Chris Brooks & Sotiris Tsolacos, 2008. "Integration of International Office Markets and Signal Extraction," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 14(4), pages 351-362, January.
  68. Bell, Adrian R. & Brooks, Chris & Dryburgh, Paul, 2007. "Interest rates and efficiency in medieval wool forward contracts," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 361-380, February.
  69. Stephen Brammer & Chris Brooks & Stephen Pavelin, 2006. "Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures," Financial Management, Financial Management Association International, vol. 35(3), pages 97-116, September.
  70. Chris Brooks & Melvin J. Hinich, 2006. "Detecting intraday periodicities with application to high frequency exchange rates," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 55(2), pages 241-259, April.
  71. Keith Anderson & Chris Brooks, 2006. "The Long‐Term Price‐Earnings Ratio," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7‐8), pages 1063-1086, September.
  72. Keith Anderson & Chris Brooks, 2006. "Decomposing the price-earnings ratio," Journal of Asset Management, Palgrave Macmillan, vol. 6(6), pages 456-469, March.
  73. Chris Brooks & Apostolos Katsaris, 2005. "Trading Rules from Forecasting the Collapse of Speculative Bubbles for the S&P 500 Composite Index," The Journal of Business, University of Chicago Press, vol. 78(5), pages 2003-2036, September.
  74. Brooks, C. & Clare, A.D. & Dalle Molle, J.W. & Persand, G., 2005. "A comparison of extreme value theory approaches for determining value at risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 339-352, March.
  75. Chris Brooks & Apostolos Katsaris, 2005. "A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index," Economic Journal, Royal Economic Society, vol. 115(505), pages 767-797, July.
  76. Kalvinder Shields & Nilss Olekalns & Ãlan T. Henry & Chris Brooks, 2005. "Measuring the Response of Macroeconomic Uncertainty to Shocks," The Review of Economics and Statistics, MIT Press, vol. 87(2), pages 362-370, May.
  77. Chris Brooks, 2005. "Autoregressive Conditional Kurtosis," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 399-421.
  78. Gita Persand & Chris Brooks, 2003. "Volatility forecasting for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 1-22.
  79. Gita Persand & Chris Brooks & Simon P. Burke, 2003. "Multivariate GARCH models: software choice and estimation issues," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 725-734.
  80. Chris Brooks & Gita Persand, 2003. "The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 4(2), pages 29-42, January.
  81. Chris Brooks & Sotiris Tsolacos, 2003. "International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks," Journal of Property Research, Taylor & Francis Journals, vol. 20(2), pages 133-155, January.
  82. Chris Brooks & Apostolos Katsaris, 2003. "Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange," Bulletin of Economic Research, Wiley Blackwell, vol. 55(4), pages 319-346, October.
  83. Chris Brooks & Simon Burke, 2003. "Information criteria for GARCH model selection," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 557-580.
  84. Chris Brooks & Simon P. Burke, 2002. "Selecting From Amongst Non–Nested Conditional Variance Models: Information Criteria and Portfolio Determination," Manchester School, University of Manchester, vol. 70(6), pages 747-767, December.
  85. Chris Brooks & Olan T. Henry & Gita Persand, 2002. "The Effect of Asymmetries on Optimal Hedge Ratios," The Journal of Business, University of Chicago Press, vol. 75(2), pages 333-352, April.
  86. Chris Brooks & Andrew D. Clare & Gita Persand, 2002. "An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 3(2), pages 22-33, January.
  87. Chris Brooks & Gita Persand, 2002. "Model Choice and Value-at-Risk Performance," Financial Analysts Journal, Taylor & Francis Journals, vol. 58(5), pages 87-97, September.
  88. Chris Brooks & Ólan T. Henry, 2002. "The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 487-507, December.
  89. Chris Brooks & M. Currim Oozeer, 2002. "Modelling the Implied Volatility of Options on Long Gilt Futures," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 29(1‐2), pages 111-137.
  90. Brooks, Chris & Rew, Alistair G, 2002. "Testing for a Unit Root in a Process Exhibiting a Structural Break in the Presence of GARCH Errors," Computational Economics, Springer;Society for Computational Economics, vol. 20(3), pages 157-176, December.
  91. C. Brooks & A. D. Clare & G. Persand, 2002. "A Note on Estimating Market–based Minimum Capital Risk Requirements: A Multivariate GARCH Approach," Manchester School, University of Manchester, vol. 70(5), pages 666-681, September.
  92. Brooks, Chris & Reveiz, Alejandro H., 2002. "A model for exchange rates with crawling bands--an application to the Colombian peso," Journal of Economics and Business, Elsevier, vol. 54(5), pages 483-503.
  93. Brooks, Chris & Rew, Alistair G., 2002. "Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates," Economic Modelling, Elsevier, vol. 19(1), pages 65-90, January.
  94. C Brooks & W Chow & CWR Ward, 2001. "Can profitable trading strategies be derived from investment best-sellers?," Journal of Asset Management, Palgrave Macmillan, vol. 2(2), pages 162-179, September.
  95. Brooks, Chris, 2001. "A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 135-143, March.
  96. Chris Brooks & James Chong, 2001. "The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(11), pages 1043-1069, November.
  97. Chris Brooks & Gita Persand, 2001. "Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects," Applied Economics Letters, Taylor & Francis Journals, vol. 8(3), pages 155-158.
  98. Chris Brooks & Apostolos Katsaris & Tony McGough & Sotiris Tsolacos, 2001. "Testing for bubbles in indirect property price cycles," Journal of Property Research, Taylor & Francis Journals, vol. 18(4), pages 341-356.
  99. Brooks, Chris & Hinich, Melvin J, 2001. "Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(3), pages 181-196, April.
  100. Brooks, Chris & Persand, Gita, 2001. "The trading profitability of forecasts of the gilt-equity yield ratio," International Journal of Forecasting, Elsevier, vol. 17(1), pages 11-29.
  101. Chris Brooks & Sotiris Tsolacos, 2001. "Linkages between property asset returns and interest rates: evidence for the UK," Applied Economics, Taylor & Francis Journals, vol. 33(6), pages 711-719.
  102. Brooks, Chris & Burke, Simon P. & Persand, Gita, 2001. "Benchmarks and the accuracy of GARCH model estimation," International Journal of Forecasting, Elsevier, vol. 17(1), pages 45-56.
  103. Chris Brooks & Sotiris Tsolacos, 2001. "Forecasting real estate returns using financial spreads," Journal of Property Research, Taylor & Francis Journals, vol. 18(3), pages 235-248.
  104. Chris Brooks & Sotiris Tsolacos, 2000. "Forecasting Models of Retail Rents," Environment and Planning A, , vol. 32(10), pages 1825-1839, October.
  105. Brooks, Chris & Henry, Olan T., 2000. "Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia," Economic Modelling, Elsevier, vol. 17(4), pages 497-513, December.
  106. Brooks, C. & Clare, A. D. & Persand, G., 2000. "A word of caution on calculating market-based minimum capital risk requirements," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1557-1574, October.
  107. Brooks, Chris & Henry, Olan T., 2000. "Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models," Economics Letters, Elsevier, vol. 67(3), pages 245-251, June.
  108. Chris Brooks & Sotiris Tsola Cos, 2000. "Does orthogonalization really purge equitybased property valuations of their general stock market influences?," Applied Economics Letters, Taylor & Francis Journals, vol. 7(5), pages 305-309.
  109. Chris Brooks & Sotiris Tsolacos & Stephen Lee, 2000. "The cyclical relations between traded property stock prices and aggregate time‐series," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 18(6), pages 540-564, December.
  110. Chris Brooks & Sotiris Tsolacos, 1999. "The impact of economic and financial factors on UK property performance," Journal of Property Research, Taylor & Francis Journals, vol. 16(2), pages 139-152, January.
  111. James K. Maitland-Smith & Chris Brooks, 1999. "Threshold autoregressive and Markov switching models: an application to commercial real estate," Journal of Property Research, Taylor & Francis Journals, vol. 16(1), pages 1-19, January.
  112. Brooks, Chris, 1999. "Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods," Computational Economics, Springer;Society for Computational Economics, vol. 13(3), pages 249-263, June.
  113. Brooks, Chris & Hinich, Melvin J., 1999. "Cross-correlations and cross-bicorrelations in Sterling exchange rates," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 385-404, October.
  114. Brooks, Chris & Heravi, Saeed M, 1999. "The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test," Computational Economics, Springer;Society for Computational Economics, vol. 13(2), pages 147-162, April.
  115. O. Ap Gwilym & C. Brooks & A. Clare & S. Thomas, 1999. "Tests of non‐linearity using LIFFE futures transactions price data," Manchester School, University of Manchester, vol. 67(2), pages 167-186, March.
  116. Brooks, Chris, 1998. "Chaos in Foreign Exchange Markets: A Sceptical View," Computational Economics, Springer;Society for Computational Economics, vol. 11(3), pages 265-281, June.
  117. Brooks, Chris & Burke, Simon P., 1998. "Forecasting exchange rate volatility using conditional variance models selected by information criteria," Economics Letters, Elsevier, vol. 61(3), pages 273-278, December.
    RePEc:taf:apfiec:v:9:y:1999:i:6:p:605-613 is not listed on IDEAS
    RePEc:taf:apfiec:v:12:y:2002:i:1:p:25-31 is not listed on IDEAS
    RePEc:taf:apfiec:v:24:y:2014:i:17:p:1123-1145 is not listed on IDEAS
    RePEc:taf:apfiec:v:10:y:2000:i:1:p:59-69 is not listed on IDEAS

Chapters

  1. Keith Anderson & Chris Brooks & Apostolos Katsaris, 2013. "Testing for speculative bubbles in asset prices," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 3, pages 73-94, Edward Elgar Publishing.

Books

  1. Brooks,Chris, 2019. "Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9781108436823, October.
  2. Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), 2013. "Handbook of Research Methods and Applications in Empirical Finance," Books, Edward Elgar Publishing, number 14545.
  3. Brooks,Chris & Tsolacos,Sotiris, 2010. "Real Estate Modelling and Forecasting," Cambridge Books, Cambridge University Press, number 9780521873390, October.
  4. Brooks,Chris, 2008. "RATS Handbook to Accompany Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9780521721684, October.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works
  4. Number of Distinct Works, Weighted by Number of Authors
  5. Number of Citations
  6. Number of Citations, Discounted by Citation Age
  7. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  8. Number of Citations, Weighted by Number of Authors
  9. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  10. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  11. h-index
  12. Number of Registered Citing Authors
  13. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  14. Number of Journal Pages
  15. Number of Journal Pages, Weighted by Simple Impact Factor
  16. Number of Journal Pages, Weighted by Number of Authors
  17. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  18. Number of Abstract Views in RePEc Services over the past 12 months
  19. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  20. Euclidian citation score
  21. Breadth of citations across fields
  22. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 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-MST: Market Microstructure (3) 2010-06-26 2010-06-26 2014-08-20
  2. NEP-FMK: Financial Markets (2) 2010-06-26 2014-11-07
  3. NEP-FOR: Forecasting (2) 2014-08-02 2014-08-16
  4. NEP-HIS: Business, Economic and Financial History (2) 2014-07-28 2015-04-02
  5. NEP-OPM: Open Economy Macroeconomics (2) 2014-07-28 2015-04-02
  6. NEP-RMG: Risk Management (2) 2014-08-20 2014-11-07
  7. NEP-AGR: Agricultural Economics (1) 2012-07-14
  8. NEP-CBE: Cognitive and Behavioural Economics (1) 2014-08-20
  9. NEP-CFN: Corporate Finance (1) 2014-08-20
  10. NEP-CTA: Contract Theory and Applications (1) 2014-08-20
  11. NEP-EEC: European Economics (1) 2010-06-26
  12. NEP-EXP: Experimental Economics (1) 2014-08-20
  13. NEP-NEU: Neuroeconomics (1) 2014-08-20
  14. NEP-UPT: Utility Models and Prospect Theory (1) 2016-01-29
  15. NEP-URE: Urban and Real Estate Economics (1) 2014-08-16

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