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Professor Mark Shackleton

Professor

  1. 2021
  2. E-pub ahead of print

    What Drives a Firm's ES Performance? Evidence from Stock Returns

    Shackleton, M., Yan, J. & Yao, Y., 5/09/2021, In: Journal of Banking and Finance. 19 p.

    Research output: Contribution to journalJournal articlepeer-review

  3. 2020
  4. E-pub ahead of print

    Buyback behaviour and the option funding hypothesis

    Sonika, R. & Shackleton, M., 3/03/2020, In: Journal of Banking and Finance.

    Research output: Contribution to journalJournal articlepeer-review

  5. Published

    NAV Inflation and Impact on Performance in China

    Shackleton, M. B., Yan, J. & Yao, Y., 1/01/2020, In: European Financial Management. 26, 1, p. 118-142 25 p.

    Research output: Contribution to journalJournal articlepeer-review

  6. 2019
  7. Published

    Continuous Workout Mortgages: Efficient Pricing and Systemic Implications

    Shiller, R. J., Wojakowski, R., Ebrahim, S. & Shackleton, M. B., 1/01/2019, In: Journal of Economic Behavior and Organization. 157, p. 244-274 31 p.

    Research output: Contribution to journalJournal articlepeer-review

  8. 2016
  9. Published

    Asymmetric effects of volatility risk on stock returns: evidence from VIX and VIX futures

    Fu, X., Sandri, M. & Shackleton, M. B., 11/2016, In: Journal of Futures Markets. 36, 11, p. 1029-1056 28 p.

    Research output: Contribution to journalJournal articlepeer-review

  10. Published

    Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages

    Wojakowski, R., Ebrahim, S. & Shackleton, M. B., 10/2016, In: Journal of Banking and Finance. 71, p. 62-74 13 p.

    Research output: Contribution to journalJournal articlepeer-review

  11. Published

    Option implied volatility measures and stock return predictability

    Fu, X., Arisoy, Y. E., Shackleton, M. B. & Umutlu, M., 1/08/2016, In: Journal of Derivatives. 24, 1, p. 58-78 21 p.

    Research output: Contribution to journalJournal articlepeer-review

  12. Published

    Detecting jumps in high-frequency prices under stochastic volatility: a data-driven approach

    Tsai, P-C. & Shackleton, M., 05/2016, Handbook of high-frequency trading and modeling in finance. Florescu, I., Mariani, M. C., Stanley, H. E. & Viens, F. G. (eds.). Chichester: John Wiley, p. 137-165 39 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter (peer-reviewed)peer-review

  13. 2015
  14. Published

    Stock-return volatility and daily equity trading by investor groups in Korea

    Umutlu, M. & Shackleton, M., 1/09/2015, In: Pacific-Basin Finance Journal. 34, p. 43-70 28 p.

    Research output: Contribution to journalJournal articlepeer-review

  15. 2014
  16. Published

    Cojumps in stock prices: empirical evidence

    Gilder, D., Shackleton, M. & Taylor, S. J., 2014, In: Journal of Banking and Finance. 40, p. 443-459 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  17. Published

    Option-implied volatilities and stock returns: evidence from industry-neutral portfolios

    Shackleton, M., Liu, X., Zhang, Y. & Pong, S., 2014, In: Journal of Portfolio Management. 41, 1, p. 65-77 13 p.

    Research output: Contribution to journalJournal articlepeer-review

  18. Published

    Stock-return volatility and daily equity trading by investor groups in Korea

    Shackleton, M. & Umutlu, M., 2014, Lancaster: Lancaster University, 54 p. (Department of Accounting and Finance Working Paper Series; no. AF2014/15WP03).

    Research output: Working paper

  19. Published

    The option and decision to repurchase stock

    Sonika, R., Carline, N. & Shackleton, M., 2014, In: Financial Management. 43, 4, p. 833-855 21 p.

    Research output: Contribution to journalJournal articlepeer-review

  20. 2013
  21. Published

    Hedging efficiency in the Greek options market before and after the financial crisis of 2008

    Shackleton, M. & Voukelatos, N., 04/2013, In: Journal of Multinational Financial Management. 23, 1-2, p. 1-18 18 p.

    Research output: Contribution to journalJournal articlepeer-review

  22. Published

    Corporate risk management and hedge accounting

    Panaretou, A., Shackleton, M. B. & Taylor, P. A., 03/2013, In: Contemporary Accounting Research. 30, 1, p. 116-139 24 p.

    Research output: Contribution to journalJournal articlepeer-review

  23. Published

    Mitigating financial fragility with Continuous Workout Mortgages

    Shiller, R. J., Wojakowski, R., Ebrahim, S. & Shackleton, M., 01/2013, In: Journal of Economic Behavior and Organization. 85, p. 269-285 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  24. 2012
  25. Published

    Evaluating natural resource investments under different model dynamics: managerial insights

    Tsekrekos, A. E., Shackleton, M. B. & Wojakowski, R. M., 09/2012, In: European Financial Management. 18, 4, p. 543-575 33 p.

    Research output: Contribution to journalJournal articlepeer-review

  26. 2011
  27. Published

    Participating mortgages and the efficiency of financial intermediation

    Ebrahim, S., Shackleton, M. B. & Wojakowski, R. M., 11/2011, In: Journal of Banking and Finance. 35, 11, p. 3042-3054 13 p.

    Research output: Contribution to journalJournal articlepeer-review

  28. Published

    A snakes and ladders representation of stock prices and returns

    Shackleton, M. & Gager, P., 07/2011, Mathematical Gazette, 95, 533.

    Research output: Contribution to specialist publicationLetter

  29. Published

    Hysteresis effects under CIR interest rates

    Dias, J. C. & Shackleton, M. B., 16/06/2011, In: European Journal of Operational Research. 211, 3, p. 594-600 7 p.

    Research output: Contribution to journalJournal articlepeer-review

  30. Published

    Continuous Workout Mortgages

    Shiller, R. J., Wojakowski, R., Ebrahim, S. & Shackleton, M., 05/2011, In: NBER Working Papers. 41 p., 17007.

    Research output: Contribution to journalJournal article

  31. Published

    Hysteresis effects under stochastic interest rates

    Shackleton, M. B. & Dias, J. C., 2011, In: European Journal of Operational Research. 211, p. 594-600 7 p.

    Research output: Contribution to journalJournal articlepeer-review

  32. Published

    Omitted debt risk, financial distress and the cross-section of expected equity returns

    Aretz, K. & Shackleton, M. B., 2011, In: Journal of Banking and Finance. 35, 5, p. 1213-1227 15 p.

    Research output: Contribution to journalJournal articlepeer-review

  33. 2010
  34. Published

    A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices

    Shackleton, M. B., Taylor, S. J. & Yu, P., 11/2010, In: Journal of Banking and Finance. 34, 11, p. 2678-2693 16 p.

    Research output: Contribution to journalJournal articlepeer-review

  35. Published

    Efficient quadrature and node positioning for exotic option valuation

    Chung, S. L., Ko, K., Shackleton, M. B. & Yeh, C. T., 2010, In: Journal of Futures Markets. 30, 11, p. 1026-1057 32 p.

    Research output: Contribution to journalJournal articlepeer-review

  36. Published

    Harvesting and recovery decisions under uncertainty

    Shackleton, M. B. & Sodal, S., 2010, In: Journal of Economic Dynamics and Control. 34, 12, p. 2533-2546 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  37. Published

    Hysteresis Effects under CIR Interest Rates

    Dias, J. C. & Shackleton, M. B., 2010, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  38. 2009
  39. Published

    A snakes and ladders representation of stock prices and returns

    Gager, P. & Shackleton, M. B., 2009, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  40. Published

    Durable vs disposable equipment choice under interest rate uncertainty

    Shackleton, M. B. & Dias, J. C., 2009, In: European Journal of Finance. 15, 2, p. 157-167 11 p.

    Research output: Contribution to journalJournal articlepeer-review

  41. Published

    Empirical pricing kernels obtained from the UK index options market

    Shackleton, M., Liu, H., Taylor, S. & Xu, G., 2009, Applied Economics Letters, 16, 10, p. 989-993 5 p.

    Research output: Contribution to specialist publicationLetter

  42. 2008
  43. Published

    Distinguishing short and long memory volatility specifications

    Pong, S., Shackleton, M. B. & Taylor, S. J., 2008, In: The Econometrics Journal. 11, 3, p. 617-637 21 p.

    Research output: Contribution to journalJournal articlepeer-review

  44. Published

    Economic hysteresis effects and hitting time densities for CIR diffusions

    Dias, J. C. & Shackleton, M. B., 2008, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  45. Published

    Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits

    Hwang, S., Keswani, A. & Shackleton, M. B., 2008, In: Journal of Banking and Finance. 32, 5, p. 643-653 11 p.

    Research output: Contribution to journalJournal articlepeer-review

  46. 2007
  47. Published

    Closed-form transformations from risk-neutral to real-world distributions

    Liu, X., Shackleton, M. B., Taylor, S. J. & Xu, X., 2007, In: Journal of Banking and Finance. 31, 5, p. 1501-1520 20 p.

    Research output: Contribution to journalJournal articlepeer-review

  48. Published

    Finite maturity caps and floors on continuous flows

    Shackleton, M. B. & Wojakowski, R. M., 2007, In: Journal of Economic Dynamics and Control. 31, 12, p. 3843-3859 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  49. Published

    Generalised Geske-Johnson interpolation of option prices

    Chung, S. L. & Shackleton, M. B., 2007, In: Journal of Business Finance and Accounting. 34, 5-6, p. 976-1001 26 p.

    Research output: Contribution to journalJournal articlepeer-review

  50. 2006
  51. Published

    Empirical pricing kernels obtained from the UK index options market

    Liu, X., Shackleton, M. B., Taylor, S. J. & Xu, X., 2006, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  52. Published

    How real option disinvestment flexibility augments project NPV

    Keswani, A. & Shackleton, M. B., 2006, In: European Journal of Operational Research. 168, 1, p. 240-252 13 p.

    Research output: Contribution to journalJournal articlepeer-review

  53. 2005
  54. Published

    Investment hysteresis under stochastic interest rates

    Dias, J. C. & Shackleton, M. B., 2005, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  55. Published

    On the errors and comparison of Vega estimation methods

    Chung, S. L. & Shackleton, M. B., 2005, In: Journal of Futures Markets. 25, 1, p. 21-38 18 p.

    Research output: Contribution to journalJournal articlepeer-review

  56. Published

    On the use and improvement of Hull and White's control variate technique

    Chung, S. L. & Shackleton, M. B., 2005, In: Applied Financial Economics. 15, 16, p. 1171-1179 9 p.

    Research output: Contribution to journalJournal articlepeer-review

  57. Published

    Smooth pasting as rate of return equalization

    Sodal, S. & Shackleton, M. B., 2005, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  58. Published

    Smooth pasting as rate of return equalization

    Shackleton, M. B. & Sodal, S., 2005, In: Economics Letters. 89, 2, p. 200-206 7 p.

    Research output: Contribution to journalJournal article

  59. 2004
  60. Published

    An empirical investigation of option returns: overpricing and the role of higher systematic moments

    O'Brien, F. & Shackleton, M. B., 2004, In: Derivatives Use, Trading and Regulation. 10, 4, p. 300-330 31 p.

    Research output: Contribution to journalJournal articlepeer-review

  61. Published

    An empirical investigation of UK option returns: overpricing and the role of higher systematic moments

    Shackleton, M. B. & O'Brien, F., 2004, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  62. Published

    CAPM, higher co-moment and factor models of UK stock returns

    Hung, D. C. H., Shackleton, M. & Xu, X., 2004, In: Journal of Business Finance and Accounting. 31, 1-2, p. 87-112 26 p.

    Research output: Contribution to journalJournal articlepeer-review

  63. Published

    Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models

    Pong, E., Shackleton, M. B., Taylor, S. J. & Xu, X., 2004, In: Journal of Banking and Finance. 28, 10, p. 2541-2563 23 p.

    Research output: Contribution to journalJournal articlepeer-review

  64. Published

    Pricing options with American style average reset features

    Chung, S. L., Shackleton, M. B. & Chang, C. C., 2004, In: Quantitative Finance. 4, 3, p. 292-300 9 p.

    Research output: Contribution to journalJournal articlepeer-review

  65. Published

    Strategic entry and market leadership in a two-player real options game

    Shackleton, M. B., Tsekrekos, A. & Wojakowski, R. M., 2004, In: Journal of Banking and Finance. 28, 1, p. 179-201 23 p.

    Research output: Contribution to journalJournal articlepeer-review

  66. 2003
  67. Published

    Efficient quadratic approximation of floating strike Asian option values

    Chung, S. L., Shackleton, M. B. & Wojakowski, R. M., 2003, In: Finance. 24, 1, p. 49-62 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  68. Published

    On the errors and comparison of Vega estimation methods

    Shackleton, M. B. & Chung, S. L., 2003, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  69. Published

    On the use and improvement of Hull and White’s control variate technique

    Shackleton, M. B. & Chung, S. L., 2003, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  70. Published
  71. Published

    The simplest American and real option approximations: Geske-Johnson interpolation in maturity and yield

    Chung, S. L. & Shackleton, M. B., 2003, In: Applied Economics Letters. 10, 11, p. 709-716 8 p.

    Research output: Contribution to journalJournal articlepeer-review

  72. 2002
  73. Published

    The binomial Black-Scholes model and the Greeks

    Chung, S. L. & Shackleton, M. B., 2002, In: Journal of Futures Markets. 22, 2, p. 143-153 11 p.

    Research output: Contribution to journalJournal articlepeer-review

  74. Published

    The expected return and exercise time of Merton-style real options

    Shackleton, M. B. & Wojakowski, R. M., 2002, In: Journal of Business Finance and Accounting. 29, 3-4, p. 541-555 15 p.

    Research output: Contribution to journalJournal articlepeer-review

  75. Published

    When can pessimism add value? How real option disinvestment flexibility augments project NPV

    Keswani, A. & Shackleton, M. B., 2002, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  76. 2001
  77. Published

    On the expected payoff and true probability of exercise of European options

    Shackleton, M. & Wojakowski, R., 1/01/2001, In: Applied Economics Letters. 8, 4, p. 269-271 3 p.

    Research output: Contribution to journalJournal articlepeer-review

  78. Published

    Flow options: continuous real caps and floors

    Shackleton, M. B. & Wojakowski, R. M., 2001, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  79. Published

    On option expected returns

    Wojakowski, R. M. & Shackleton, M. B., 2001, Mathematical Finance. Boston: Birkhauser, p. 365-374 10 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  80. Published

    On the expected payoff and true probability of European options

    Shackleton, M. B. & Wojakowski, R. M., 2001, In: Applied Economics Letters. 8, 4, p. 269-271 3 p.

    Research output: Contribution to journalJournal articlepeer-review

  81. Published

    Reversible real options

    Shackleton, M. B. & Wojakowski, R. M., 2001, Mathematical Finance. Boston: Birkhauser, p. 339-344 6 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  82. 2000
  83. Valuing the strategic option to sell life insurance business: Theory and evidence

    Klumpes, P. J. M. & Shackleton, M. B., 1/10/2000, In: Journal of Banking and Finance. 24, 10, p. 1681-1702 22 p.

    Research output: Contribution to journalJournal articlepeer-review

  84. Published

    Efficient quadratic approximation of floating strike Asian option values

    Chung, S. L., Shackleton, M. B. & Wojakowski, R. M., 2000, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  85. Published

    The binomial Black-Scholes model and the Greeks

    Chung, S. L. & Shackleton, M. B., 2000, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  86. Published

    The expected return and exercise time of Merton-style real options

    Shackleton, M. B. & Wojakowski, R. M., 2000, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  87. Published

    Valuing the strategic option to terminate a life insurance business: theory and evidence

    Klumpes, P. J. M. & Shackleton, M. B., 2000, In: Journal of Banking and Finance. 24, 10, p. 1681-1702 22 p.

    Research output: Contribution to journalJournal articlepeer-review

  88. 1999
  89. Published

    A non-parametric spectral test of serial correlation

    Shackleton, M. B., 1999, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  90. Published

    Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options

    Shackleton, M. B. & Chung, S. L., 1999, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  91. Published

    On the expected payoff and true probability of exercise of European options

    Shackleton, M. B. & Wojakowski, R. M., 1999, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  92. 1998
  93. Published

    Discussion of arbitrage-free valuation of exhaustible resource firms

    Shackleton, M. B., 1/11/1998, In: Journal of Business Finance and Accounting. 25, 9-10, p. 1391-1395 5 p.

    Research output: Contribution to journalJournal articlepeer-review

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