Students Staff
University of Essex

Academic Staff

Professor Jerry Coakley

Position in departmentDeputy Director of Business and Local Government (BLG) Data Research Centre
Staff positionProfessor in Finance
Emailjcoakley@essex.ac.uk
Telephone01206 872455
RoomEBS 3.51
Office hoursYou can find details of Academic office hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911
Biography

Membership of Editorial Boards

Associate Editor European Journal of Finance 2012-

Associate Editor Review of Behavioural Finance 2009-

Associate Editor Applied Financial Economics 2006-

Associate Editor Applied Economics and Applied Economics Letters 2001-

Qualifications

BA (Hons); Dip TP; Dip RDP; MSc (Econ); PhD

Current research

Role of crowdfunded debt in the financing of SMEs (with Winifred Huang-Meier and Daniel Tsvetanov).

Secondary equity offerings by SMEs on London’s Alternative Investment Market (with Sofia Stamou and Hardy Thomas).

Comovement in Stock Markets (with George Dotsis, Neil Kellard, Yixin Liao and others).

Research interests
  • Crowdfunding and the financing of SMEs
  • SEOs and IPOs on AIM
  • Behavioural finance
  • Earnings management anomalies

Teaching responsibilities
Publications

Recent Publications:

Property, Plant and Equipment and Future Returns: The UK Evidence. Journal of Business, Finance and Accounting Forthcoming 2017 (with N Petrovic and S Manson).

The impact of mispricing and growth on UK M&As European Journal of Finance Forthcoming 2017 (with H Gazzaz and H Thomas).

How profitable are FX technical trading rules? International Review of Financial Analysis 45, 273-282, 2016 (with M Marzano and J Nankervis)

Bubbling over! The behaviour of oil futures along the yield curve. Journal of Empirical Finance 38, 516-533, 2016 (with D Tsvetanov and N Kellard).

Commodity futures returns: More memory than you might think! European Journal of Finance Forthcoming 2016 (with J Chen and N Kellard).

Generalised Variance Ratio Tests under Statistical Dependence. Journal of Time Series Analysis 36, 687-705, 2015 (with J Nankervis and P Kougoulis).

The European Sovereign Debt Market: From Integration to Segmentation. European Journal of Finance 21, 111-128, 2015 (with A Cipollini and H-C Lee).

Option Pricing Kernels for Interest Rate Futures. European Journal of Finance 21, 93-110, 2015 (with H Liu and JM Kuo).

Investor Sentiment and Value and Growth Index Options. European Journal of Finance 20, 1211-1229, 2014 (with G Dotsis, H Liu, and J Zhai).

Does the Forward Premium Puzzle Disappear over the Horizon? Journal of Banking and Finance 37, 3681-3693, 2013 (with N Kellard and S Snaith).

Earnings Management and IPO Anomalies in China. Review of Quantitative Finance and Accounting 42, 69-93, 2013 (with N Instfjord and Z Shen).

Investor Participation and Underpricing in Lottery-allocated Chinese IPOs. Pacific Basin Finance Journal 25, 294-314, 2013 (with N Instfjord and Z Shen).

The School’s Out Effect: A New Seasonal Anomaly! British Accounting Review 133-143, 2012 (with JM Kuo and A Wood). 

Long Memory and Structural Breaks in Commodity Futures Markets, Journal of Futures Markets 31:1076–1113, 2011 (with J Dollery and N Kellard).

The Lunar Moon Festival and the Dark Side of the Moon, Applied Financial Economics 20, 1565-1575, 2010 (with JM Kuo and A Wood).

Misvaluation and UK Mergers 1986-2002, Applied Financial Economics 20, 201-211, 2010 (with L Fu and H Thomas).

UK IPO Underpricing: Venture Capitalists, High Prestige Underwriters and the Bubble Period, European Journal of Finance 18, 421-435, 2009 (with L Hadass and A Wood).

Does Volatility Improve UK Earnings Forecasts? Journal of Business, Finance and Accounting 36, 1148–1179 (with S Manson and N Petrovic).

Markov-switching GARCH Modelling of Value-at-Risk. Studies in Nonlinear Dynamics and Econometrics 12, Number 3, 2008 (with JC Nankervis and R Sajjad).

Hot IPOs Can Damage your Long Run Wealth. Applied Financial Economics 18, 1111-1120, 2008 (with L Hadass and A Wood).

The Role of Long Memory in Hedging Effectiveness. Computational Statistics and Data Analysis 52, 3075-3082, 2008 (with J Dollery and N Kellard).

The short-run wealth effects of foreign divestitures by UK firms. Applied Financial Economics 18, 173-184, 2008 (with H Thomas and H-M Wang).

Selected Other Publications:

Post-IPO Operating Performance, Venture Capitalists and Market Timing. Journal Business, Finance and Accounting 34, 1423-1446, 2007 (with L Hadass and A Wood).

Valuation Ratios and Price Deviations from Fundamentals. Journal of Banking and Finance 30, 2325-2346, 2006 (with AM Fuertes).

CEO Compensation for Bidders in UK M&As. European Financial Management 12, 609-631, 2006 (with S Iliopoulou).

Testing for Sign and Amplitude Asymmetries Using Threshold Autoregressions. Journal of Economic Dynamics and Control 30, 623-654, 2006 (with AM Fuertes).

Unobserved Heterogeneity in Panel Time Series. Computational Statistics and Data Analysis 50, 2361-2380, 2006 (with AM Fuertes and R Smith).

Long Run Purchasing Power Parity and the Theory of General Relativity. Journal of International Money and Finance 24, 293-316, 2005 (with R Flood, AM Fuertes and MP Taylor)

The PPP Debate: Price Matters! Economics Letters 88, 209-213, 2005 (with N Kellard and S Snaith)

Is the Feldstein-Horioka Puzzle History? Manchester School 72, 569-590, 2004 (with AM Fuertes and F Spagnolo).

Numerical Issues in Threshold Autoregressive Modelling of Time Series, Journal of Economic Dynamics and Control 27, 2219-2242, 2003 (with AM Fuertes and MT Perez).

A Nonlinear Analysis of Excess Foreign Exchange Returns, Manchester School 69, 623-642, 2001 (with AM Fuertes)

An Efficient Rational Interpolation Approach to Least Squares Estimation for Band-TARs. Lecture Notes in Computer Science No 1988, Special Issue on Numerical Analysis and Its Applications, 198-206, 2001 (with AM Fuertes and MT Perez).

Short Run Dynamics of Real Exchange Rates. Manchester School 68, Special Issue on Macroeconometrics, 461-475, 2000 (with AM Fuertes).

The Feldstein-Horioka Puzzle and Capital Mobility: A Review. International Journal of Finance and Economics 3, 169-188, 1998 (with F Kulasi and R Smith).

New Panel Unit Root Tests of PPP. Economics Letters 57, 17-22, 1997 (with AM Fuertes).

The Cointegration of Long Run Saving and Investment. Economics Letters 54, 1-6, 1997 (with F Kulasi). Lead article.

Current Account Solvency and the Feldstein-Horioka Puzzle. Economic Journal 106, 620-627, 19966 (with F Kulasi and R Smith).

The Integration of Property and Financial Markets. Environment and Planning A 6, 697-713, 1994.

Additional information

Membership of Learned Societies:

  • American Economic Association
  • American Finance Association
  • Econometric Society
  • European Finance Association
  • Royal Economic Society
  • Society for Nonlinear Dynamics and Econometrics

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