Prof. Priestley's research interests cover the areas of asset pricing, dividend policy, and international financial markets. His research has been published in the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Business, Economic Journal, Journal of Financial and Quantitative Analysis, Journal of Empirical Finance, Journal of International Money and Finance, and Economics Letters, amongst others.
Time variation in the discount rate affects investment and employment decisions in a manner consistent with Q-theory predictions. This evidence is uncovered when using cyclical consumption as a proxy for the discount rate. The results, which are consistent across both U.S. and international data, suggest that firms respond rationally to variations in the cost of capital and that the discount rate has a substantial impact on macroeconomic dynamics and hence business cycle fluctuations.
Cooper, Ilan; Mitrache, Andreea & Priestley, Richard (2020)
A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes
Value and momentum returns and combinations of them across both countries and asset classes are explained by their loadings on global macroeconomic risk factors. These loadings describe why value and momentum have positive return premia, although being negatively correlated. The global macroeconomic risk factors also perform well in capturing the returns on other characteristic-based portfolios. The findings identify a global macroeconomic source of the common variation in returns across countries and asset classes.
Atanasov, Victoria; Møller, Stig & Priestley, Richard (2020)
This paper introduces a novel consumption‐based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time variation in returns in a manner consistent with asset pricing models based on external habit formation. The predictive power of cyclical consumption is not confined to bad times and subsumes the predictability of many popular forecasting variables.
Gomez, Juan Pedro; Priestley, Richard & Zapatero, Fernando (2016)
Labor Income, Relative Wealth Concerns and the Cross Section of Stock Returns
Journal of Financial and Quantitative Analysis, 51(4), s. 1111- 1133. Doi: 10.1017/S002210901600048X
Cooper, Ilan & Priestley, Richard (2016)
The expected returns and valuations of private and public firms
Journal of Financial and Quantitative Analysis, 47(5), s. 1003- 1028. Doi: 10.1017/S0022109012000427
The relative predictability of returns and dividends is a central issue since it forms the paradigm to interpret asset price variation. A little studied question is how dividend smoothing, as a choice of corporate policy, affects predictability. We show that, even if dividends are supposed to be predictable without smoothing, dividend smoothing can bury this predictability. Since aggregate dividends are dramatically more smoothed in the postwar period than before, the lack of dividend growth predictability in the postwar period does not necessarily mean that there is no cash flow news in stock price variations; rather, a more plausible interpretation is that dividends are smoothed. Using two alternative measures that are less subject to dividend smoothing -- net payout and earnings -- we reach the consistent conclusion that cash flow news plays a more important role than discount rate news in price variations in the postwar period.
Gómez, Juan-Pedro; Priestley, Richard & Zapatero, Fernando (2009)
Implications of Keeping-Up-with-the-Joneses Behavior for the Equilibrium Cross Section of Stock Returns: International Evidence
Journal of Finance, 64(6), s. 2703- 273.
Priestley, Richard & Cooper, Ilan (2009)
Time-Varying Risk Premiums and the Output Gap
The Review of financial studies, 22(7), s. 2801- 2833. Doi: 10.1093/rfs/hhn087
Hardouvelis, G.A.; Malliaropulos, D. & Priestley, Richard (2007)
The impact of the EMU on the equity cost of capital
Journal of International Money and Finance, 26(2), s. 305- 327.
Priestley, Richard & Ødegaard, Bernt Arne (2007)
Linear and Nonlinear exchange rate exposure
Journal of International Money and Finance, 26, s. 1016- 1037.
Hardouvelis, G.A.; Malliaropulos, D. & Priestley, Richard (2006)
EMU and European stock market integration
The journal of business, 79(1), s. 365- 392.
The launch of the single currency in Europe in January 1999 was preceded by a period of regulatory harmonization, convergence in bond yields and inflation rates, and strict fiscal policy across the Eurozone countries. We examine whether the 1990s also were characterized by increased stock market integration. The results indicate that, as forward interest differentials benchmarked against Germany and inflation differentials benchmarked against the three best performing states shrank toward zero, stock markets converged toward full integration. The United Kingdom, a country that chose not to enter the Eurozone, shows no such increase in stock market integration.
Priestley, Richard & Ødegaard, Bernt Arne (2004)
Exchange rate regimes and the price of exchange rate risk
Economics Letters, 82, s. 181- 188.
Barr, David G. & Priestley, Richard (2004)
Expected returns, risk, and the integration of international bond markets
Journal of International Money and Finance, 23(1), s. 71- 97.
Priestley, Richard (2002)
Calculating the Probability of Failure of the Norwegian Banking Sector
Journal of Multinational Financial Management, 12(1), s. 21- 40.
Priestley, Richard (2001)
Time-varying persistence in expected returns
Journal of Banking & Finance, 25(7), s. 1271- 1286.
Miffre, J. & Priestley, Richard (2000)
Sources of Systematic Risk in Futures and Spot Markets: A Study of Market Integration
Journal of Business Finance & Accounting, 27(7/8), s. 933- 952.
Clare, A.D.; Oozer, M.C., Priestley, Richard & Thomas, S.H. (2000)
Modeling the Risk Premium on Eurodollar Bonds
Journal of Fixed Income, 9(March), s. 61- 73.
Antoniou, A.; Barr, D.G. & Priestley, Richard (2000)
Abnormal Stock Returns and Public Policy: The Case of the UK Privatised Electricity and Water Utilities
International Journal of Finance and Economics, 5, s. 93- 106.
Garrett, I. & Priestley, Richard (2000)
Dividend Behaviour and Dividend Signaling
Journal of Financial and Quantitative Analysis, 35(2), s. 173- 189.
Priestley, Richard & Malliaropulos, D. (1999)
Mean Reversion in S.E. Asian Stock Markets
Journal of Empirical Finance, 6(4), s. 355- 384.
Clare, Andrew & Priestley, Richard (1998)
Evidence in support of the CAPM from three South East Asian stock markets
Ekonomia, 2(2), s. 145- 154.
Priestley, Richard & Clare, A. (1998)
Risk Factors in the Malaysian Stock Market
Pacific-Basin Finance Journal, 6(1-2), s. 103- 114.
Priestley, Richard; Antoniou, A. & Holmes, P. (1998)
The Effects of Stock Index Futures Trading on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News
Journal of futures markets, 18(2), s. 151- 166.
Priestley, Richard; Antoniou, A. & Garrett, I. (1998)
Calculating the Equity Cost of Capital Using the APT: The Impact of the ERM
Journal of International Money and Finance, 17(6), s. 949- 966.
Priestley, Richard; Clare, A. & Thomas, S. (1998)
Reports of Beta's Death are Premature: Evidence from the UK
Journal of Banking & Finance, 22(9), s. 1207- 1229.
Priestley, Richard; Antoniou, A. & Garrett, I. (1998)
Macroeconomic Variables as Common Pervaise Risk Factors and the Empirical Content of the Arbitrage Pricing Theory
Journal of Empirical Finance, 5(3), s. 221- 240.
Cooper, Ilan; Mitrache, Andreea & Priestley, Richard (2017)
A Global Macroeconomic Risk Model for Value, Momentum, and other Asset Classes
[Academic lecture]. Jacob Levy Center conference.
Cooper, Ilan; Priestley, Richard & Mitrache, Andreea (2017)
A Global Macroeconomic Risk Model for Value, Momentum, and other Asset Classes
[Academic lecture]. Financial Intermediation Research Society annual conference.
Cooper, Ilan; Priestley, Richard & Mitrache, Andreea (2017)
A Global Macroeconomic Risk Model for Value, Momentum, and other Asset Classes
[Academic lecture]. NES 25th anniversary conference.
Atanasov, Victoria; Cooper, Ilan, Priestley, Richard & Zhong, Junhua (2016)
The factor structure of time-varying discount rates
[Academic lecture]. 2016 SFS Finance Cavalcade.
Atanasov, Victoria; Cooper, Ilan, Priestley, Richard & Zhong, Junhua (2016)
The factor structure of time-varying discount rates
[Academic lecture]. European Finance Association annual meeting.
Cooper, Ilan & Priestley, Richard (2014)
The Expected Returns and Valuations of Private and Public Firms
[Academic lecture]. Seminar at IE Business School.
Bøhren, Øyvind; Priestley, Richard & Cooper, Ilan (2009)
Real investment, economic efficiency, and managerial entrenchment
[Report]. Handelshøyskolen BI.
Bøhren, Øyvind; Priestley, Richard & Ødegaard, Bernt Arne (2009)
Investor short-termism and firm value
[Report]. Handelshøyskolen BI.
Priestley, Richard (2009)
Relative wealth concerns and the cross-section of stock returns
[Academic lecture]. The 2009 Winter Conference on Business Intelligence.
Priestley, Richard (2008)
Real Investment and Stock Returns
[Academic lecture]. 35th EFA Annual Meeting.
Priestley, Richard (2008)
Asset Pricing Implications of Relative Wealth Concerns
[Academic lecture]. 35TH EFA Annual Meeting.
Bøhren, Øyvind; Priestley, Richard & Ødegaard, Bernt Arne (2006)
The duration of equity ownership at the Oslo Stock Exchange 1989-1999