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, 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.

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, Vermont, 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.


Members of the group collaborate with academics from all over the world. Recent visitors to the group include:

  • Professor Deborah W. Gregory (Bentley University, USA), March 2014.
  • Professor John Elder (Colorado State University), January 2013.
  • Professor Charles Cho (Concordia University, Canada), October 2010.
  • Professor Lenos Trigeorgis (University of Cyprus), April 2010.

The following Group members are involved in research in this area:

The research interests of members of the Finance group include the theoretical and empirical modelling of asset prices in financial and derivatives markets.  Our aim is to be at the forefront of knowledge in understanding pricing behaviour.  Our findings have important implications for financial regulation and decision making as they provide insights on the limits that can be imposed on the idea that financial assets are fairly priced.  

Members of the Finance group have worked within the private and public sectors.  They have undertaken consultancy work for organisations, such as Virgin Direct Investment Management, H.M.Treasury’s Debt Management Office and the Bank of England. For example, Professor Steeley's research work on yield curve estimation procedures has been incorporated in the yield estimates published by the Bank of England and H.M. Treasury.  His work has assisted the H.M.Treasury in obtaining the best value for its new debt issues.  Dr Tsiaras has also ben engaged with the World Bank, commissioned work in Ethiopia, and the UK Prime Minister's Implementation Unit at the Cabinet Office.

Other areas of research have been supported by the Leverhulme Trust, the British Academy, INQUIRE-UK, and H.M. Treasury.

Research Themes

The wide ranging interests of the group are reflected in the following research themes which represent the substantive areas of research the group is working on: 

  • 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 (Steeley, Joseph, Gilder). 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.
  • For Time-series forecasting, we investigate the forecasting performance of a variety of econometric specification for exchange rates, interest rates, and term-structure of short-term interest rates to determine the informational efficiency of those financial prices (Steeley, Joseph, Gilder; Tsiaras). 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 (Gilder; Tsiaras).
  •  For Corporate finance, we focus on the characteristics of initial public offerings (IPOs), the determinants of corporate cash holdings, mergers and acquisitions (M&As) and long-term financial performance (Colaco; Huang-Meier).  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 (Joseph).
  • For Financial risk management, we investigate the motives for corporate hedging and the associated stock market response (Joseph). 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 students benefit from the expertise we are able to offer at both undergraduate and postgraduate level.



Contributions are also made to other degree programmes. 

To students taking the Market Microstructure module (MSc Finance & Investments), the experience of a simulated trading floor is also offered.

All members of the group are research active and strive to publish in leading international journals, as well as author academic textbooks and professional reports. A selection of recent publications is provided below.

Journal Articles


  • Solomon, J. F., Solomon, A., Joseph, N., Norton, S. D. “Impression management, myth creation and fabrication in private social and environmental reporting: insights from Erving Goffman”. Accounting, Organizations and Society 38(3), 195-213


  • Bangassa, K., Su, C., Joseph, N. Selectivity and timing performance of UK investment trusts. Journal of International Financial Markets, Institutions and Money 22, 1149-1175.


  • Hugh Colaco, Paul Myers, and Mindell Nitkin, “Pathways to Leadership: Board Independence, Diversity, and the Emerging Pipeline in the U.S. for Women Directors,” International Journal of Disclosure & Governance, May 2011, pp. 122-147.
  • Høg, Esben and Leonidas Tsiaras, 2011, “Crude-oil Density Forecasts Using Option-Implied and ARCH-type Models”, Journal of Future Markets, Vol. 31, 8, 727-754.


  • Steeley, J.M. and Y. Li, “Sticky Credit Spreads, Macroeconomic Activity and Equity Market Volatility, Journal of Current Issues in Finance, Business and Economics, 3 (2-3), Jan 2010, pp. 243-274. 


  • Hugh Colaco, Chinmoy Ghosh, John Knopf, and John Teall, “IPOs, clustering, indirect learning and filing independently,” Journal of Banking and Finance, November 2009, pp. 2070-2079. 
  • Mazouz, K., Joseph, N, Joulmer, J. Price reaction following large one-day price changes: U.K. evidence. Journal of Banking & Finance, 33(10), 1481-1493.


Book Chapter

  • Hugh Colaco and Shantaram P. Hegde (2013), “Underwriter reputation, bookbuilding and IPO duration,” book chapter in Handbook of Research on IPOs, Edward Elgar publishing. 

Group administrators: 

Rosaleen Shirley

Email: r.shirley@aston.ac.uk 
Room: ABS404
Phone: +44(0)121 204 3238

Shereen Awan

Email: s.fawan@aston.ac.uk 
Room: ABS404
Phone: +44(0)121 204 3360

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