Finance Group

IMC ABS MSc Finance

The research in our Finance Group focuses on the workings of financial markets and the corporate financial policies of firms. The objective is to influence financial and regulatory policies and to provide a focused and structured understanding of the behaviour of financial prices within the associated legal, regulatory and economic environments. Our approach to research in finance is entirely quantitative. The four main areas that we research are: asset pricing, market microstructure, corporate finance, and financial risk management. We use several databases to explore these research areas including CRSP, Compustat, Datastream, Thomson ONE, and Thomson Reuters Eikon.

  • For Asset pricing, we focus on the empirical modelling of financial market prices for all asset classes including bonds, stocks, futures, foreign exchange, and options. We use several asset pricing models to research this area. We examine market liquidity, pricing efficiency as well as return continuations, momentum behaviour and spill-over effects. Our recent work includes the use of high-frequency data to improve the measurement and forecasting performance of volatility and covariance matrices. We also use high frequency data to identify jumps and co-jumps in asset prices, and identify the sources of the information that cause them. We find that market-level news can generate co-jumps in both market returns and individual stock returns.
  • For Market microstructure, we investigate the effects that arise from changes to trading platforms and trading rules, the use of experimental laboratories to model price discovery, and the associated investor behaviour. Our recent work includes the effects of changing trading systems on market quality and market architecture. Most of this work has focused on the London Stock Exchange. We also investigate the dynamics of the bid-ask spread, forecasting exchange rate changes, and exchange traded fund performance.
  • For Corporate finance, we focus on the characteristics of initial public offerings (IPOs), the decisions by firms to repurchase their own shares, the determinants of corporate cash holdings, mergers and acquisitions (M&As) and long-term financial performance. Recent research on payout policy highlights the impact of ownership structure and executive compensation on cash dividends and stock repurchases. As regards IPOs, we have recently found that retail investor attention (as captured by Google Trends) impacts IPO valuation. The work on M&As indicates that prior results on the abnormal returns around M&A announcements are sensitive to the specification of the pricing model as well as the tests used to infer statistical significance. Given an appropriate pricing model, the abnormal returns of both targets and acquirers are significant around the announcement period, in line with expectation.
  • For Financial risk management, we investigate the motives for corporate hedging and the associated stock market response. We find that a variety of financial characteristics of firms affect hedging decisions but firm hedge primarily to minimise the effects of exchange rate changes on operational cash flows. Furthermore, most of the observed effects of exchange rate and interest rate changes in stock returns can be explained away, using a reasonably well-specified pricing model.

Our research findings have appeared in the national press and leading peer reviewed journals including Journal of Financial and Quantitative Analysis, Journal of Money, Credit and Banking, Journal of Banking and Finance, Journal of Corporate Finance, Journal of Financial Research, Journal of Futures Markets, Journal of International Financial Markets, Institutions and Money, European Financial Management, and Journal of International Money and Finance. Our group members sit on the editorial boards of a wide range of academic journals. These include Journal of Banking and Finance, Finance Letters, International Quarterly Journal in Finance, Studies in Economics and Finance, International Journal of Behavioural Accounting and Finance, and the academic journal of the Chartered Institute of Securities and Investment. One of our group members is also the Co-Editor of the British Accounting Review.

Our Group has strong international links. Our group members regularly visit international academic institutions and present their research at international conferences. We have active research links with the universities of Cincinnati, Central Florida, Colorado State, and Connecticut. Members of our group have acted as advisors to organisations such as the Bank of England, H. M. Treasury, Prime Minister’s Implementation Unit (PMIU), Cabinet Office, Ethiopian Ministry of Finance, Virgin Direct, and the Bank of Austria.

We use our research findings to enhance the learning experience of our students. We have gained external professional recognition for both our undergraduate and postgraduate programmes. Our MSc Finance and Investments and MSc Investment Analysis programmes have gained University Recognition Program status with CFA® Institute. As a result, we are able to offer five CFA Program Awareness Scholarships every year to take the CFA examinations. These scholarships are offered to the outstanding students of both programmes. One of our group members is a CFA charterholder. We are also a Centre of Excellence in Financial Education for the Chartered Institute of Securities and Investment (CISI). Our MSc Finance and Investments and MSc Investment Analysis programmes are also accredited by the CISI, and our graduates obtain maximum exemptions from the CISI’s membership exams. Our BSc in Finance was awarded the “IMC Advantage” recognition by the CFA Society of the UK, which means that our syllabus covers at least 70% of the syllabus for the Investment Management Certificate examinations. Being an IMC Advantage partner, we are able to award two full scholarships for the IMC exam each year.

As the Head of Group, Professor Nathan Lael Joseph welcomes you to the Finance Group. Please explore our website for more details on our degree programmes. The contact details of our degree programme directors are also on our website. Our programme directors will be happy to answer any questions that you may have.

Employable Graduates; Exploitable Research