Professor David McMillan

Professor in Finance

Accounting & Finance University of Stirling, Stirling, FK9 4LA

Professor David McMillan

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About me

About me

I obtained a PhD from the University of Swansea in 1998. I have held positions in the Universities of Aberdeen, Durham and St Andrews.

Research (2)

Over-Arching Theme of Empirical Finance: Especially time-series modelling and the investigation of non-linear dynamics within data. Work includes the use of data on stock markets, futures and forward markets, interest rates and exchange rates (nominal and real). Do non-linear models provide better forecasts, and the implication for efficiency, both in terms of profit making, and whether prices reflect their fair value, for example, the relationship between prices and dividends, and arbitrage relationship in spot and future and interest rate dynamics.Modelling and Forecasting Volatility and Realised Volatility: especially the use of intra-day data and the implications for risk management and whether academic models provide superior performance in the areas of hedging and VaR calculation.Predicting Stock Returns and the Relationship between Macroeconomic and Financial Data: examining the nature of the predictive equation and its implications for asset pricing. What economic variables help explain predictability.

Projects

Expected Stock Returns and Asset Pricing
PI: Professor David McMillan
Funded by: Qatar National Research Fund

Liquidity, Microstructure and Regulation.
PI: Professor David McMillan
Funded by: The Carnegie Trust

Outputs (110)

Outputs

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Article

Tavakoli M, McMillan D & McKnight PJ (2012) Insider trading and stock prices. International Review of Economics and Finance, 22 (1), pp. 254-266. http://www.scopus.com/inward/record.url?partnerID=yv4JPVwI&eid=2-s2.0-84855330171&md5=7441d8374fd846f3d42be2c85f90e5e2; https://doi.org/10.1016/j.iref.2011.11.004

Article

McMillan D & Wohar ME (2011) Profit persistence revisited: The case of the uk. Manchester School, 79 (3), pp. 510-527. http://www.scopus.com/inward/record.url?partnerID=yv4JPVwI&eid=2-s2.0-79955001698&md5=2f33069a98f8945fc8eafb4bcd4d3962; https://doi.org/10.1111/j.1467-9957.2010.02177.x

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