Items where Author is "Shackleton, Mark"

Journal Article

Shackleton, Mark and Yao, Chelsea and Zuo, Ziran (2025) Corporate social responsibility and insider horizon. Journal of Corporate Finance, 90: 102696. ISSN 0929-1199

Swade, Alexander and Lohre, Harald and Nolte, Sandra and Shackleton, Mark and Swinkels, Laurens (2024) A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles. Journal of Portfolio Management, 50 (5). pp. 37-56. ISSN 0095-4918

Swade, Alexander and Nolte, Sandra and Shackleton, Mark and Lohre, Harald (2023) Why do equally weighted portfolios beat value-weighted ones? Journal of Portfolio Management, 49 (5). pp. 167-187. ISSN 0095-4918

Shackleton, Mark and Yan, Jiali and Yao, Yaqiong (2022) What Drives a Firm's ES Performance? : Evidence from Stock Returns. Journal of Banking and Finance, 136: 106304. ISSN 0378-4266

Swade, Alexander and Lohre, Harald and Shackleton, Mark and Nolte, Sandra and Hixon, Scott and Raol, Jay (2022) Macro Factor Investing with Style. Journal of Portfolio Management, 48 (2). pp. 80-104. ISSN 0095-4918

Sonika, Rohit and Shackleton, Mark (2020) Buyback behaviour and the option funding hypothesis. Journal of Banking and Finance. ISSN 0378-4266

Umutlu, Mehmet and Shackleton, Mark (2015) Stock-return volatility and daily equity trading by investor groups in Korea. Pacific-Basin Finance Journal, 34. pp. 43-70. ISSN 0927-538X

Gilder, Dudley and Shackleton, Mark and Taylor, S. J. (2014) Cojumps in stock prices : empirical evidence. Journal of Banking and Finance, 40. pp. 443-459. ISSN 0378-4266

Shackleton, Mark and Liu, Xiaoquan and Zhang, Yuanyuan and Pong, Shiuyan (2014) Option-implied volatilities and stock returns : evidence from industry-neutral portfolios. Journal of Portfolio Management, 41 (1). pp. 65-77. ISSN 0095-4918

Sonika, Rohit and Carline, Nicholas and Shackleton, Mark (2014) The option and decision to repurchase stock. Financial Management, 43 (4). pp. 833-855. ISSN 0046-3892

Shackleton, Mark and Voukelatos, Nikolaos (2013) Hedging efficiency in the Greek options market before and after the financial crisis of 2008. Journal of Multinational Financial Management, 23 (1-2). pp. 1-18. ISSN 1042-444X

Shiller, Robert J. and Wojakowski, Rafal and Ebrahim, Shahid and Shackleton, Mark (2013) Mitigating financial fragility with Continuous Workout Mortgages. Journal of Economic Behavior and Organization, 85. pp. 269-285. ISSN 0167-2681

Shackleton, Mark and Gager, Philip (2011) A snakes and ladders representation of stock prices and returns. Mathematical Gazette, 95 (533).

Shiller, Robert J. and Wojakowski, Rafal and Ebrahim, Shahid and Shackleton, Mark (2011) Continuous Workout Mortgages. NBER Working Papers: 17007. ISSN 0898-2937

Shackleton, Mark and Liu, Helena and Taylor, Stephen and Xu, Gary (2009) Empirical pricing kernels obtained from the UK index options market. Applied Economics Letters, 16 (10). pp. 989-993. ISSN 1350-4851

Hung, Daniel Chi Hsiou and Shackleton, Mark and Xu, Xinzhong (2004) CAPM, higher co-moment and factor models of UK stock returns. Journal of Business Finance and Accounting, 31 (1-2). pp. 87-112. ISSN 1468-5957

Shackleton, Mark and Wojakowski, Rafał (2001) On the expected payoff and true probability of exercise of European options. Applied Economics Letters, 8 (4). pp. 269-271. ISSN 1350-4851

Contribution in Book/Report/Proceedings

Tsai, Ping-Chen and Shackleton, Mark (2016) Detecting jumps in high-frequency prices under stochastic volatility : a data-driven approach. In: Handbook of high-frequency trading and modeling in finance :. John Wiley, Chichester, pp. 137-165. ISBN 9781118443989

Monograph

Shackleton, Mark and Yao, Chelsea and Zuo, Ziran (2024) Corporate Social Responsibility and Insider Horizon. Other. UNSPECIFIED.

Swade, Alexander and Nolte, Sandra and Shackleton, Mark and Lohre, Harald (2022) Why do equally weighted portfolios beat value-weighted ones? Working Paper. Portfolio Management Research. (In Press)

Shackleton, Mark and Umutlu, Mehmet (2014) Stock-return volatility and daily equity trading by investor groups in Korea. Working Paper. Lancaster University, Lancaster.

Thesis

Swade, Alexander and Shackleton, Mark and Nolte, Sandra (2024) Essays in Factor Investing. PhD thesis, Lancaster University.

Luo, Cheng and Shackleton, Mark and Pawlina, Grzegorz (2016) Discrete capacity choice problems in repeated and scaled investment. Masters thesis, Lancaster University.

Fu, Xi and Shackleton, Mark (2016) Empirical essays on option-implied information and asset pricing. PhD thesis, Lancaster University.