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Some new results for threshold AR(1) models

Knight, John L.; Satchell, Stephen - In: Journal of time series econometrics 3 (2011) 2, pp. 1-40

Persistent link: https://www.econbiz.de/10009623571

Modeling style rotation : switching and re-switching

Golosov, Edward; Satchell, Stephen - In: Journal of time series econometrics 6 (2014) 2, pp. 103-128

Persistent link: https://www.econbiz.de/10010401130

What proportion of time is a particular market inefficient? : a method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions

Ahmed, Muhammad Farid; Satchell, Stephen - In: Journal of time series econometrics 10 (2018) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10011898000

The distribution of cross sectional momentum returns

Kwon, Oh Kang; Satchell, Stephen - In: Journal of economic dynamics & control 94 (2018), pp. 225-241

Persistent link: https://www.econbiz.de/10012004391

Default and naive diversification heuristics in annuity choice

Bateman, Hazel; Eckert, Christine; Iskhakov, Fedor; … - In: Australian journal of management 42 (2017) 1, pp. 32-57

Persistent link: https://www.econbiz.de/10011774100

Asset management : portfolio construction, performance and returns

Satchell, Stephen (ed.) - 2016

This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incentives in the UK pension fund industry, pension...

Persistent link: https://www.econbiz.de/10011517417

Liquidity costs, idiosyncratic volatility and expected stock returns

Bradrania, M. Reza; Peat, Maurice; Satchell, Stephen - In: International review of financial analysis 42 (2015), pp. 394-406

Persistent link: https://www.econbiz.de/10011573539

Decomposing the bias in time-series estimates of CAPM betas

Malloch, H.; Philip, R.; Satchell, Stephen - In: Applied economics 48 (2016) 43/45, pp. 4291-4298

Persistent link: https://www.econbiz.de/10011640063

Risk presentation and portfolio choice

Bateman, Hazel; Eckert, Christine; Geweke, John; … - In: Review of finance : journal of the European Finance … 20 (2016) 1, pp. 201-229

Persistent link: https://www.econbiz.de/10011590288

Psychic dividends of socially responsible investment portfolios

Ainsworth, Andrew; Corbett, Adam; Satchell, Stephen - In: The journal of asset management 19 (2018) 3, pp. 179-190

Persistent link: https://www.econbiz.de/10011847782