The UCD Centre for Financial Markets (CFM) is Ireland’s leading centre dedicated to fundamental research relating to financial markets, how they work and how agents interact with them. The CFM provides a forum for research training, networking and dissemination and was established in 2003.

The aim of the UCD Centre for Financial Markets (CFM) is to facilitate and promote financial research of the highest international standard. Research activities of the CFM cover the full gamut of empirical and theoretical exploration of financial markets.

The research agenda of the CFM is relevant to financial institutions and practitioners, and the Centre aims to foster strong links between industry and faculty. CFM researchers work with industry partners on applied research projects, providing state-of-the-art solutions for financial institutions.

The Centre embraces a range of activities, from producing and publishing research of the highest international standard, organising international events and training finance graduates. The CFM supports and develops a research ethos that allows academics to develop their research through a regular research seminar series. Furthermore, the CFM develops collaborative research through visits by internationally renowned researchers. A central pillar of the CFM is the training of MSc and PhD students in research methodologies and development.

Featured Publications

Affiliated Staff Members

Centre for Financial Markets (CFM) Research Seminar Series - Past & Present

Semester 2

Seminar Date:

17 May

Speaker:

Erwin Morellec (Swiss Finance Institute)

Title:

TBA

 

Seminar Date:

26 April

Speaker:

Zacharias Sautner (Frankfurt School of Finance & Management)

Title:

TBA

  

Seminar Date:

19 April

Speaker:

Francesco Franzoni (SFI Lugano)

Title:

TBA

  

Seminar Date:

05 April

Speaker:

Andreas Hoepner (UCD)

Title:

TBA

  

Seminar Date:

29 March

Speaker:

Paul McGuinness (Chinese University of Hong Kong)

Title:

TBA

 

Seminar Date:

15 March

Speaker:

Bige Kahraman (University of Oxford)

Title:

TBA

  

Seminar Date:

08 March

Speaker:

Graeme Acheson (University of Stirling)

Title:

TBA

 

Seminar Date:

01 March

Speaker:

Georgy Chabakauri (London School of Economics) 

Title:

TBA

 

Seminar Date:

22 February

Speaker:

Cristina Amado (University of Minho)

Title:

TBA

 

Seminar Date:

15 February

Speaker:

Philipp Krueger (SFI Geneva)

Title:

TBA

 

Seminar Date:

08 February

Speaker:

Alberto Martin Utrera (Lancaster University)

Title:

TBA

 

Seminar Date:

01 February

Speaker:

Paul Devereaux (UCD)

Title

TBA

 

 Semester 1

Seminar Date:

07 December

Speaker:

Rustam Ibragimov (Imperial College London)

Title:

TBA

 

Seminar Date:

30 November

Speaker:

Aneel Keswani (CASS Business School)

Title:

TBA

 

Seminar Date:

23 November

Speaker:

Irena Zviadadze (Stockholm School of Economics)

Title:

TBA

 

Seminar Date:

16 November

Speaker:

David McMillan (University of Stirling)

Title:

TBA

 

Seminar Date:

09 November

Speaker:

Eva Lutkebohmert-Holtz (University of Freiburg)

Title:

Calculating Capital Charges for Sector Concentration Risk 

 

Seminar Date:

02 November

Event:

PhD Symposium

Speaker / Title:

Martina Assereto - Volatility Modelling using GARCH as an input for real options:  the case of solar energy in the U.S.

Speaker / Title:

Mohamad Faour - Investor anticipation and the stock price reaction to dividend initiations and omissions

 

 

Seminar Date:

26 October

Speaker:

Cormac McFhionnlaoich (UCD)

Title:

When Economists Learn to Trust: Lessons from Nobel Prize Winners

 

Seminar Date:

05 October

Speaker:

Niamh Brennan (UCD)

Title:

Performance Measures in CEO Annual Incentive Plans: New Evidence from the Compensation Discussion and Analysis

 

Seminar Date:

28 September

Speaker:

Chris Brooks (University of Reading)

Title:

Gender and attitude to financial risk: Is what is good for the goose good for the gander?

 

Seminar Date:

21 September

Speaker:

Jacquelyn Humphrey (University of Queensland)

Title:

To what extent to environmental rating schemes capture climate goals?

Semester 2

Seminar Date:

08 June

Speaker:

Bruce Grundy (University of Melbourne)

Title:

Can Socially Responsible Firms Survive Competition?  An Analysis of Corporate Employee Matching Grants

 

Seminar Date:

25 May

Speaker:

Ana-Marie Fuertes (Cass Business School)

Title:

Harvesting Commodity Risk Premia:  A Flexible Integration Framework

 

Seminar Date:

20 April

Event:

PhD Smyposium

Speaker / Title:

Yan Wang - Option implied tail risk: Known unknowns

Speaker / Title:

Houng Tran - Mergers and acquisitions: Exploring the role of product market competition

Speaker / Title: 

Mohamad Faour - Run-up returns prior to dividend omissions: Information leakage?

 

Seminar Date:

09 March

Speaker:

Dirk Brounen (Tilburg University)

Title:

The stock liquidity and return dialogue: Evidence from maturing REIT markets

 

Seminar Date:

23 February

Speaker:

Hans Degryse (KU Leuven)

Title:

The impact of clearing fees on market quality

 

Seminar Date:

16 February

Speaker:

Joel Shapiro (University of Oxford)

Title:

Blockholder Voting

 

Seminar Date:

09 February

Speaker:

Steven Ongena (University of Zurich)

Title:

Changes in the cost of bank equity and the supply of bank credit

 

Seminar Date:

02 February

Speaker:

Franco Fiordelisi (University of Rome III)  

Title:

Corporate culture and enforcement actions in banking

Semester 1 

Seminar Date:

14 December

Speaker:

Yung Chiang Yang (UCD)

Title:

Is information risk priced?  Evidence from abnormal idiosyncratic volatility

 

Seminar Date:

01 December

Speaker:

Barry Quinn (Queens University Belfast)

Title:

Irish Credit Unions – Differential Regulation based on Business Model Complexity

 

Seminar Date:

24 November

Speaker:

Christian Lundblad  (University of North Carolina)

Title:

Political Risk in Emerging Markets

 

Seminar Date:

17 November

Speaker:

Ranadeva Jayasekera (TCD) 

Title:

Quantifying the Value of Financial Flexibility

 

Seminar Date:

10 November

Speaker:

Alessandro Palandri (DCU)

Title:

Apophenia? The case of volatility leverage/feedback effects

 

Seminar Date:

03 November

Speaker:

Guglielmo Caporale (Brunel University)

Title:

Macro News and Bond Yield Spreads in the Euro Area

 

Seminar Date:

27 October

Speaker:

David Edelman (UCD)

Title:

Frontiers in Deep Learning for Finance

 

Seminar Date:

20 October

Speaker:

Fergal McCann (Central Bank of Ireland)

Title:

Housing Equity and Mortgage Default: Introducing the Missed Payment Bias

 

Seminar Date:

13 October

Speaker:

Neil Kellard (University of Essex)

Title:

Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures

 

Seminar Date:

06 October

Speaker:

John Cotter (UCD)

Title:

Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World

 

Seminar Date:

29 September

Speaker:

Marcel Prokopczuk (Leibniz University Hannover)  

Title:

The Determinants of Convenience Yields 

 

Seminar Date:

22 September

Speaker:

Maurizio Montone (Erasmus School of Economics) 

Title:

Investor Sentiment and Employment

 

Seminar Date:

15 September

Speaker:

Paul Van Rensburg (University of Cape Town)

Title:

Optimal Portfolio Leverage

Semester 2

Seminar Date:

23 April

Speaker:

Valerio Poti (UCD)

Title:

Private firms’ cash holding decisions: The role of risk attitudes

 

Seminar Date:

16 April

Speaker:

Marco Cassader  (Bergamo)

Title:

Tracking Error Means Square via Quantile Regression. A Dispersion Measure for the Index Tracking Problem

 

Seminar Date:

09 April

Speaker:

Keith Cuthbertson (CASS)

Title:

Diversification Returns, Rebalancing Returns and Volatility Pumping

 

Seminar Date:

02 April

Speaker:

Paul McGuinness (Chinese University of Hong Kong)

Title:

Voluntary Profit Forecast Disclosures, IPO Pricing Revisions and After-Market Earnings Drift

 

Seminar Date:

26 March

Speaker:

Marc Gronwald (Aberdeen)

Title:

Economics of Bitcoin

 

Seminar Date:

19 March

Speaker:

Chandler Lutz (Copenhagen)

Title:

The Impact of Unconventional Monetary Policy on Real Estate Markets

 

Seminar Date:

05 March

Speaker:

Henk von Eije (University of Gronigen)

Title:

Why do value effects differ at extreme dividend pay-out events

 

Seminar Date:

26 February

Speaker:

Lieven Baele (Tilburg University)

Title:

Flights to Safety

 

Seminar Date:

19 February

Speaker:

Ronan Powell (DCU)

Title:

The choice of method of payment in cross-border and domestic mergers and acquisitions

 

Seminar Date:

12 February

Speaker:

David Edelman (UCD)

Title:

Portfolio theory with minimal regret

 

Seminar Date:

05 February

Speaker:

Mahmoud Botshekan (UCD)

Title:

Cross-sectional asset pricing tests: Ex ante versus ex post approaches

 

Semester 1

Seminar Date:

27 November

Speaker:

PhD Research Symposium

Title:

 

Seminar Date:

20 November

Speaker:

Ronan Lyons (Trinity College Dublin)

Title:

A housing price index for Dublin 1900-2014

 

Seminar Date:

13 November

Speaker:

Richard Taffler (Warwick Business School)

Title:

Emotional Finance: Theory and Application

 

Seminar Date:

06 November

Speaker:

John Turner (Queens University Belfast) ** N302 @ 2pm

Title:

Banking in crisis: The rise and fall of British banking stability?

 

Seminar Date:

30 October

Speaker:

Phil Molyneux (Bangor University) ** N203 @ 2pm

Title:

Non-interest income activities and bank lending

 

Seminar Date:

23 October

Speaker:

Thomas Flavin (Maynooth University)

Title:

A regime-switching analysis of contagion from the US sub-prime mortgage-backed security market

 

Seminar Date:

16 October

Speaker:

Philip Bourke (UCD)

Title:

Bank business models and bank failure

 

Seminar Date:

09 October

Speaker:

Alexander McNeil (Heriot Watt University)

Title:

Multivariate economic scenario sets for stress testing

 

Seminar Date:

02 October

Speaker:

Lammertjan Dam (University of Groningen)

Title:

Market clearing and stock returns of levered firms when equity supply is fixed

 

Seminar Date:

30 September

Speaker:

Richard Levich (New York University) ***N202 @ 2pm

Title:

Should institutional investors take a new look at currency investing?

 

Seminar Date:

25 September

Speaker:

Raghavendra Rau (University of Cambridge)

Title:

What doesn't kill you only makes you more risk-loving: Early life disasters and CEO behavior

 

Seminar Date:

18 September

Speaker:

John Cotter (UCD)

Title:

Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust

Seminar Date:

24 April

Speaker:

Tom Conlon (UCD)

Title:

International Diversification and the Investor Horizon

 

Seminar Date:

17 April

Speaker:

Mathijs van Dijk (Erasmus University)

Title:

The Social Costs of Financial Crises

 

Seminar Date:

10 April

Speaker:

Julie Byrne (UCD)

Title:

Culture, Creditor Rights, and Dividend Policy

 

Seminar Date:

03 April

Speaker:

Ephraim Clark (Middlesex University)

Title:

The role of regulatory credibility in effective banking regulation

 

Seminar Date:

27 March

Speaker:

Michael McKenzie (University of Liverpool)

Title:

Hole in the wall: Informed short sellers ahead of private placements

 

Seminar Date:

20 March

Speaker:

Claudia Girardone (University of Essex)

Title:

Pay for no performance? Executive pay and performance in EU banks

 

Seminar Date:

06 March

Speaker:

Gareth Campbell (Queens University Belfast)

Title:

Corporate Ownership, Control, and Firm Performance: Evidence from a Nascent and Unregulated Market

 

Seminar Date:

03 March

Speaker:

Mark Davis (Imperial College London) **Monday 3rd - N202 @ 4pm

Title:

Risk-sensitive asset management via stochastic control

 

Seminar Date:

27 February

Speaker:

Luca Taschini (London School of Economics)

Title:

Pollution Permits, Strategic Trading, and Dynamic Technology Adoption

 

Seminar Date:

13 February

Speaker:

Betty Simkins (Oklahoma State University)

Title:

The microeconomics and value of non-cleared OTC derivatives: case study analyses of hedges by publicly traded nonfinancial firms

 

Seminar Date:

06 February

Speaker:

David Edelman (UCD)

Title:

The Universal Portfolio as a Bayes Optimal Growth Portfolio, Growth-Optimal Completion of Markets

 

Seminar Date:

30 January

Speaker:

Valerio Poti (UCD)

Title:

GMM-based tests of efficient market learning and an application to testing for a small firm effect in equity pricing

 

Seminar Date:

23 January

Speaker:

Ronan Gallagher (University of Edinburgh)

Title:

The equity market implications of corporate pension deficits

 

Seminar Date:

21 November

Speaker:

Don Bredin (UCD)

Title:

Term Structure of the EU Emissions Trading Scheme

 

Seminar Date:

14 November

Speaker:

Michael Dowling (Dublin City University)

Title:

Refined Cultural Influences in the Financing Activities of EU SMEs

 

Seminar Date:

07 November

Speaker:

Conall O'Sullivan (UCD)

Title:

Trading profits and losses from false reporting to the LIBOR Bank Panel

 

Seminar Date:

31 October

Speaker:

John Garvey (University of Limerick)

Title:

The case for financial innovation in European agriculture

 

Seminar Date:

24 October

Speaker:

Rachel Carroll (UCD)

Title:

Asset Allocation with Correlation

 

Seminar Date:

17 October

Speaker:

Greg Swinand (London Economics)

Title:

Detecting price anomalies in Brent crude

 

Seminar Date:

10 October

Speaker:

Davide Avino (UCD)

Title:

Rethinking capital structure arbitrage: a price discovery perspective

 

Seminar Date:

26 September

Speaker:

Valeria Di Cosmo (ESRI)

Title:

Wind, CO2 emissions and electricity prices: the case of Ireland

 

Seminar Date:

02 May

Speaker:

Mark Cummins (Dublin City University)

Title:

EU ETS Market Interactions: A Multiple Hypothesis Testing Approach

   

Seminar Date:

26 April

Speaker:

Bernard Murphy (University of Limerick)

Title:

A Market Consistent Methodology for Pricing and Hedging Exotic Structured Products in the Middle Distillate Commodity Swap Markets

 

Seminar Date:

19 April

Speaker:

Richard Payne (Cass Business School)

Title:

Trading Anonymity and Predatory Behaviour

 

Seminar Date:

12 April

Speaker:

Richard Tol (University of Sussex)

Title:

Climate Policy and Corporate Behaviour

 

Seminar Date:

11 April

Speaker:

Eleanor Denny (Trinity College Dublin)

Title:

An Examination of Aspects of Irish Energy Policy

 

Seminar Date:

05 April

Speaker:

Richard Payne (Cass Business School)

Title:

Trading Anonymity and Predatory Behaviour

  

Seminar Date:

04 April

Speaker:

Andrew J. Vivian (Loughborough University)

Title:

The Aggregate Earnings-Return Relationship: A Global Perspective

 

Seminar Date:

02 April

Speaker:

Ekkehart Boehmer (EDHEC)

Title:

International Evidence on Algorithmic Trading

   

Seminar Date:

28 March

Speaker:

Fabrice Rousseau (NUI Maynooth)

Title:

Heterogeneous Beliefs and Imperfect Competition in Sequential Auction Markets

 

Seminar Date:

07 March

Speaker:

Albert J. Menkveld (VU University Amsterdam)

Title:

Middlemen Interaction and its Effect on Market Quality

 

Seminar Date:

23 February

Speaker:

Morgan Kelly (UCD)

Title:

The Economic Impact of the Little Ice Age

 

Seminar Date:

16 February

Speaker:

Simon Stevenson (Reading University)

Title:

The Probability of Sale and Risk Premiums in Residential Property Auctions

 

 

Seminar Date:

14 February

Speaker:

David Edelman (UCD), with Patrick O'Sullivan, Richard McGee, and Jing Dang

Title:

Three Topics in Optimal Dynamic Investment

 

Seminar Date:

24 January

Speaker:

Cal Muckley (UCD)

Title:

How do Payout Policy Initiations and Omissions Impact Firm Risks? 

Semester 2

Seminar Date:

28 April

Speaker:

Sohnke Bartram (Lancaster)

Title:

Post-Retirement Benefits, Leverage and Real Investment 

 

Seminar Date:

21 April

Speaker:

David McCarthy (Imperial)

Title:

First Estimates of UK National Transfer Accounts

 

Seminar Date:

14 April

Speaker:

Cal Muckley (UCD)

Title:

Corporate Payout Policy in Japan

 

Seminar Date:

31 March

Speaker:

Christophe Perigon (HEC)

Title:

The Risk Map: A New Tool for Backtesting Value-at-Risk Models

 

Seminar Date:

24 March

Speaker:

Michael Moore (QUB)

Title:

Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set

 

Seminar Date:

03 March

Speaker:

Tom Conlon (UCD)

Title:

An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition

 

Seminar Date:

27 January

Speaker:

John Cotter (UCD)

Title:

A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics

 

Semester 1

Seminar Date:

25 November

Speaker:

Donal Gallagher (Eudaemon Consulting)

Title:

TBA

 

Seminar Date:

18 November

Speaker:

Cormac O'Grada (UCD)

Title:

TBA

 

Seminar Date:

04 November

Speaker:

Don Bredin (UCD)

Title:

Investigating Sources of Unanticipated Exposure in Industry Stock Returns

 

Seminar Date:

21 October

Speaker:

David Edelman (UCD)

Title:

TBA

 

Seminar Date:

07 October

Speaker:

Abhinav Goyal (UCD)

Title:

TBA

 

Seminar Date:

30 September

Speaker:

Niall O'Sullivan (UCC)

Title:

Performance Persistence in Mutual Funds: the Case of the UK

Affiliated PhD Students

Student NamePhD Thesis TitleSubject AreaSupervisor
Martina Assereto  Evaluating and mitigating the financial risks of renewable energy integration systems: a real options approach Banking & Finance Dr Julie Byrne
Xuyanyu Yue Investment Strategies for companies for Low-carbon Development Policy in China Banking & Finance Dr Julie Byrne
Simon Spencer  Energy and Food Price Interactions and Hedging Issues Banking & Finance Professor Don Bredin
Emmanuel Eyiah-Donkor  Essays on return predictability & portfolio choice Banking & Finance Dr John Cotter  
Prasoon Sinha The study the movement in financial markets for a developing and developed country by factoring in intrinsic and extrinsic externalities affecting an economy Banking & Finance Dr John Cotter 
Chenglu Jin  Essays on Asset Pricing & the Horizon Effect  Banking & Finance Dr John Cotter, Dr Valerio Poti
Mohamad Faour Essays in Market Microstructure and Financial Econometrics Banking & Finance Professor John Cotter & Dr Cal Muckley
Illia Kovalenko  Tail risk estimator and future returns forecast Banking & Finance  DrTom Conlon & Professor John Cotter 
Eketerina Goryagina  Asset Liability Management Banking & Finance Dr David Edelman
Yumeng Gao The price impacts of media-expressed sentiment and investor attention in social media Banking & Finance Professor Andrea Hoepner & Dr Sha Hiu
Fiona Hickey The Origins of & reasons for different country effects to the Financial Crisis Banking & Finance Dr Cormac MacFhionnlaoich & Dr Tom Conlon
Ee Lin Goh Debt in internet Start-ups- why can't internet firms mount takeovers with debt? Banking & Finance Dr Cormac MacFhionnlaoich
Liqun (David) Cao A Study of the Market Efficiency Impact by Financial Stock Markets Prediction Using Deep Neural Networks Banking & Finance Dr Cal Muckley
Mohamad Faour  A microstructure study on market liquidity Banking & Finance Dr Cal Muckley
Shivam Agarwal  Regulatory risk in financial institutions  Banking & Finance  Dr Cal Muckley 
Yan Wang Size and Book-to-Market Value Effect in Option Market Banking & Finance Dr Conall O'Sullivan
Brian Healy Are Cross-sectional differences in ex-dividend day abnormal returns priced by the options market? Banking & Finance Dr Conall O’Sullivan
Tianshu Jiang  A study of the expected returns of individual equity options and a pricing model Bamking & Finance  Dr Conall O'Sulivan 
Wael Almaqoushi Audit Committee Indices : Application for Financial Reporting Quality and Merger & Acquisition Outcomes Banking & Finance Professor Ronan Powell
Huong Tran  Three Papers under the Theme of Innovation & Finance Banking & Finance Professor Ronan Powell

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