Professor Mark Shackleton

Professor

Current Teaching

AcF 706

Option-implied volatilities and stock returns: evidence from industry-neutral portfolios
Shackleton, M., Liu, X. 2014 In: Journal of Portfolio Management. 41, 1, p. 65-77. 13 p.
Journal article

The option and decision to repurchase stock
Sonika, R., Carline, N., Shackleton, M. 2014 In: Financial Management. 43, 4, p. 833-855. 21 p.
Journal article

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.
Journal article

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.
Journal article

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.
Journal article

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.
Journal article

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.
Journal article

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.
Journal article

A snakes and ladders representation of stock prices and returns
Shackleton, M., Gager, P. 07/2011 Mathematical Gazette
Letter

Continuous Workout Mortgages
Shiller, R.J., Wojakowski, R., Ebrahim, S., Shackleton, M. 05/2011 In: National Bureau of Economic Research (NBER) working paper. 41 p.
Journal article

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.
Journal article

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.
Journal article

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.
Journal article

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.
Journal article

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.
Journal article

Hysteresis Effects under CIR Interest Rates
Dias, J.C., Shackleton, M.B. 2010 Lancaster University : The Department of Accounting and Finance
Working paper

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.
Journal article

A snakes and ladders representation of stock prices and returns
Gager, P., Shackleton, M.B. 2009 Lancaster University : The Department of Accounting and Finance
Working paper

Empirical pricing kernels obtained from the UK index options market
Shackleton, M., Liu, H., Taylor, S., Xu, G. 2009 Applied Economics Letters 5 p.
Letter

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.
Journal article

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
Working paper

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.
Journal article

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.
Journal article

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.
Journal article

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.
Journal article

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
Working paper

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.
Journal article

An empirical investigation of option returns: overpricing and the role of higher systematic moments
O'Brien, F., Shackleton, M.B. 2005 In: Derivatives Use, Trading and Regulation. 10, 4, p. 300-330. 31 p.
Journal article

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.
Journal article

Smooth pasting as rate of return equalization
Shackleton, M.B., Sodal, S. 2005 In: Economics Letters. 89, 2, p. 200-206. 7 p.
Journal article

Investment hysteresis under stochastic interest rates
Dias, J.C., Shackleton, M.B. 2005 Lancaster University : The Department of Accounting and Finance
Working paper

Smooth pasting as rate of return equalization
Sodal, S., Shackleton, M.B. 2005 Lancaster University : The Department of Accounting and Finance
Working paper

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.
Journal article

CAPM, higher co-moment and factor models of UK stock returns
Hung, D., Shackleton, M.B., Xu, X. 2004 In: Journal of Business Finance and Accounting. 31, 1-2, p. 87-112. 26 p.
Journal article

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.
Journal article

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.
Journal article

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.
Journal article

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
Working paper

Rzeczywiste prawdopodobienstwo wykonania i wartosci oczekiwane wyplaty opcji (Real probability of exercising and expected values of option payoff)
Wojakowski, R.M., Shackleton, M.B. 2003 In: Rynek Terminowy. 20, 2, p. 125. 125 p.
Journal article

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.
Journal article

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.
Journal article

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
Working paper

On the errors and comparison of Vega estimation methods
Shackleton, M.B., Chung, S.L. 2003 Lancaster University : The Department of Accounting and Finance
Working paper

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.
Journal article

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.
Journal article

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
Working paper

On option expected returns
Wojakowski, R.M., Shackleton, M.B. 2001 In: Mathematical Finance. Boston : Birkhauser p. 365-374. 10 p. ISBN: 3764365536.
Chapter

Reversible real options
Shackleton, M.B., Wojakowski, R.M. 2001 In: Mathematical Finance. Boston : Birkhauser p. 339-344. 6 p. ISBN: 3764365536.
Chapter

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.
Journal article

Flow options: continuous real caps and floors
Shackleton, M.B., Wojakowski, R.M. 2001 Lancaster University : The Department of Accounting and Finance
Working paper

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.
Journal article

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
Working paper

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
Working paper

The binomial Black-Scholes model and the Greeks
Chung, S.L., Shackleton, M.B. 2000 Lancaster University : The Department of Accounting and Finance
Working paper

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
Working paper

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
Working paper

A non-parametric spectral test of serial correlation
Shackleton, M.B. 1999 Lancaster University : The Department of Accounting and Finance
Working paper