Dennis Philip

Durham University | DU · Durham University Business School

This paper establishes a sizeable negative effect of poor mental health on individuals’ net worth. In a representative panel of U.S. households, we find that a one standard deviation (or four unit) increase in Kessler’s K6 psychological distress level decreases net worth by 13.2 percent and increases by 5 percent the baseline risk of being in defic...

This paper establishes a sizeable negative effect of poor mental health on individuals' net worth. In a representative panel of U.S. households, we find that a one standard deviation (or four unit) increase in Kessler's K6 psychological distress level decreases net worth by 13 percent and increases by 5 percent the baseline risk of being in deficit...

We study consumers’ reactions in response to material privacy violations. Exploring privacy breach incidences of U.S. banks, where personally identifiable information (social security numbers, addresses, names) is exposed to unauthorized parties, we find that depositors reallocate significant wealth holdings away from breached banks – we note a 12%...

We suggest that forward guidance, via publicly committing the central bank to future actions and creating associated expectations, fundamentally affects bank lending decisions independently of other forms of monetary policy. To test this hypothesis, we build a forward guidance measure based on the language used in the Federal Open Market Committee...

We suggest that forward guidance, via publicly committing the central bank to future actions and creating associated expectations, fundamentally affects bank lending decisions independently of other forms of monetary policy. To test this hypothesis, we build a forward guidance measure based on the language used in the Federal Open Market Committee...

Using India's national benchmark survey for financial literacy and inclusion, we observe a step change in financially literate women, who possess higher levels of sole and joint responsibility with their spouse to manage their households' finances. Considering ownership information in eighteen different financial products, alternative investments (...

This paper provides evidence on the impact of transient (short‐term) institutional investors on a firm's thrust to compete. A firm's thrust to compete, as an attribute of corporate culture, captures the relative importance of corporate values that push a firm to achieve shareholder value in the short term by emphasizing goal achievement, fast respo...

This article provides evidence on the impact of transient (short-term) institutional investors on a firm’s thrust to compete. A firm’s thrust to compete, as an attribute of corporate culture, captures the relative importance of corporate values that push a firm to achieve shareholder value in the short-term by emphasizing goal achievement, fast res...

We examine the consistency of several prominent multifactor models from the empirical asset pricing literature with the arbitrage pricing theory (APT) framework. We follow the APT-related literature and estimate the common factor structure from a rich cross-section (associated with 42 major CAPM anomalies) by employing the asymptotic principal comp...

This article examines for the first time the property tax compliance behavior of homeowners who rent out part of their own home to tenants. This increasingly popular occupancy arrangement typically arises due to the financial constraints of homeowners. Currently little is known about the property tax compliance behavior of homeowners in this shared...

This article examines for the first time the property tax compliance behavior of homeown-ers who rent out part of their own home to tenants. This increasingly popular occupancy arrangement typically arises due to the financial constraints of homeowners. Currently little is known about the property tax compliance behavior of homeowners in this share...

This document outlines a text-based firm-level measure of organizational culture, parsing information from 214,910 annual 10-K filings of publicly-listed US firms over the period 1994-2017. We utilize the Organizational Culture Assessment Instrument (OCAI) to construct a dictionary of the culture-related keywords and use the bag-of-words model to m...

Market‐oriented firms are committed to understanding their customers’ evolving expectations and meeting their needs, while outwitting competitors, to achieve a sustainable competitive advantage and improve performance. This paper develops a measure for market orientation based on textual analysis of 10‐K filings. It utilizes a bag‐of‐words method t...

We estimate the term structures of risk-neutral forward variance and skewness, and examine their predictive power for equity market excess returns and variance. We use Partial Least Squares to extract a single predictive factor from each term structure that is motivated by the theoretical implications of affine no-arbitrage models. The empirical an...

Who is better at detecting fraud? This paper finds that more financially knowledgeable individuals have a higher propensity to detect fraud: a one standard deviation increase in financial knowledge increases fraud detection probabilities by 3 percentage points. The result is not driven by individuals' higher financial product usage and is observed...

We provide strong evidence that the dispersion of individual stock options trading volume across moneynesses (IDISP) contains valuable information about future stock returns. Stocks with high IDISP consistently underperform those with low IDISP by more than 1% per month. In line with the idea that IDISP reflects dispersion in investors’ beliefs, we...

We show that economic activity plays an important role in explaining momentum-based anomalies. A simple two-factor model containing the market and alternative indicators of economic activity as risk factors—industrial production, capacity utilization rate, retail sales, and a broad economic index—offers considerable explanatory power for the cross-...

This study examines the impact of CEO duality on firms’ internal capital allocation efficiency. We observe that when the CEO is also chair of the board, diversified firms make inefficient investments, as they allocate more capital to business segments with relatively low growth opportunities over segments with high growth opportunities. The adverse...

The study is the first attempt to examine financial literacy, financial aptitude and behaviour among university students in Cyprus. The student survey covers 881 Cypriot students, aged 18-24 years old, across the five biggest universities in Cyprus. The financial knowledge scale used in the survey measures the understanding of basic concepts includ...

Banks that follow conditional conservatism in their loan loss accounting treatments benefit from a reduction in crash risk. The key discretionary loan loss accounting channels are provisions and allowances. We show that conditional conservatism reduces crash risk of small banks during periods of credit contraction and boom. Interestingly, for large...

Banks are believed to be opaque to outsiders, since opacity is a property of the assets that theyhold. A social planner would like banks to be transparent, riskless and highly efficient intermedi-ators of liquidity. However, these goals appear to be conflicting. Whether and how opacity andintermediation are connected is an important question of rel...

Market-oriented firms are committed to understanding both their customers’ evolving expectations and meeting their needs, while outwitting competitors, in order to create superior value for customers and achieve a sustainable competitive advantage. This paper develops a measure for market orientation based on textual analysis of the management’s di...

This paper proposes a Markov regime switching framework for modeling carbon emission (CO2) allowances that combines a regime switching behavior and disequilibrium adjustments in the mean process, along with a state-dependent dynamic volatility process. We find that all regime switching based hedging strategies significantly outperform single regime...

This study investigates the impact of managerial ability on banks' liquidity creation and risk-taking behavior. We find that higher ability managers create more liquidity and take more risk. During financial crisis times, however, higher ability bank managers reduce liquidity creation as a way to de-leverage their balance sheets. Our findings infor...

We conduct a decomposition for the stock market return by incorporating the information from 124 macro variables. Using factor analysis, we estimate six common factors and run a VAR containing these factors and financial variables like the market dividend yield and the T-bill rate. Including the macro factors does not have a significant impact in t...

This paper studies the impact of the April allowance submissions mandate under the European Union emission trading scheme (EU ETS) in carbon emission markets. Using intraday order flow data, we test for the cross-market efficiency of spot-futures dynamics and find that the equilibrium level, adjustment speed and no-arbitrage boundaries of the spot...

This paper examines whether tone (positive and negative) and volume of firm-specific news media content provide valuable information about future stock returns, using UK news media data from 1981–2010. We find that both tone and volume (proxied by high media coverage) of positive and negative media content significantly predict next period abnormal...

We propose a measure of dispersion in options traders' expectations about future stock returns by using dispersion in trading volume across strike prices. We find that an increased dispersion in expectations forecasts lower subsequent excess market returns at both short and long horizons. Trading strategies based on the dispersion measure reveal si...

This article studies the importance of stock market literacy and trust for stock ownership decisions. We find that these two distinct channels simultaneously explain not only the probability of participation, but, conditional on participation, also explain the share of investment in stocks. Once we account for stock market literacy, sociability is...

We evaluate whether macroeconomic variables are valid risk factors that help to explain cross-sectional equity risk premia within the Merton's ICAPM framework. We use "pure" economic activity variables and employ information from a large panel of macro variables by estimating four common factors with principal component analysis. The macroeconomic...

We propose a measure of dispersion in options traders’ expectations about future stock returns by using dispersion in trading volume across strike prices. We …find that an increased dispersion in expectations forecasts lower subsequent excess market returns at both short and long horizons. Trading strategies based on the dispersion measure reveal s...

This paper explores the impact of investor sentiment on the risk-neutral skewness of S&P 500 index options over the period 1990 to 2011. We decompose the aggregate investor sentiment into an economic fundamentals component that captures investors' rational updating of beliefs and an error in beliefs component that captures investors' expectations n...

We provide strong evidence that differences in expectations (DiE) among options investors, measured from the dispersion of equity options trading volume across moneyness levels, contain valuable information about future stock returns. Stocks with high DiE consistently underperform on average those with low DiE by more than 1% per month, with the ne...

We study the determinants of dividend payout policy and examine the role of liquidity, risk and catering in explaining the changes in propensity to pay. Our results indicate that risk plays a major role in firms’ dividend policy. The evidence substantiates from a large sample of firms representing eighteen countries over the sample period from 1989...

We conduct a comprehensive analysis of the forecasting role of stock market indicators for macroeconomic variables. The results from in-sample long-horizon regressions show that the contribution of the equity variables to predict the macro factors is especially relevant at long horizons. Several aggregate financial ratios -- dividend yield, stock-b...

We propose generalized frontier analysis (GFA), a simple and computationally efficient method for estimating economic frontiers. While previous research assumes that the production function under which firms operate is either parametric or deterministic in nature, we apply the theory of asymmetric loss functions in combination with a nonparametric...

We re-investigate the relationship between investor sentiment and the risk-neutral skewness extracted from index options by considering both a rational and an irrational component of institutional and individual sentiment for the period 1992:8 - 2009:6. In order to implement the sentiment decomposition, we summarize the information associated with...

Previous studies have examined the separate effects of the tone and volume of news media on stock returns. We incorporate both these aspects into our study and examine their combined effect on stock returns using UK news media data over the period 1981–2010. We find that high media coverage predicts low stock returns and that both positive and nega...

This paper studies the spot and futures cross-market efficiency implications of the regulatory short-selling constraints imposed during the 2008-2009 financial crisis. We find the equilibrium position for the basis during the ban is below that normally seen, with the spot price higher relative to the futures price. This suggests that holding the sp...

This paper is the first to determine the effect that media sentiment has on stock returns for UK companies and tests whether there is any return predictability contained in the UK media sentiment data. We show that measures of positive and negative media sentiment have significant relationships with stock returns on the day news articles are publis...

We study the determinants of dividend payout policy and examine the role of liquidity, risk and catering in explaining the changes in propensity to pay. Our results indicate that risk plays a major role in firms’ dividend policy. The evidence substantiates from a large sample of firms representing eighteen countries over the sample period from 1989...

This paper studies the importance of accounting for term structure maturity clusters while estimating latent factors, for the purpose of forecasting yield curves. The maturity clusters are identified using a hierarchical clustering algorithm. We then propose a new block dynamic Nelson-Siegel model to account for the separate dynamics driving the di...

A widely relied upon but a formally untested consideration is the issue of stability in actors underlying the term structure of interest rates. In testing for stability, practitioners as well as academics have employed ad yhoc techniques such as splitting the sample into a few sub-periods and determining whether the factor loadings have appeared to...