This study tests for the presence of periodically, partially collapsing speculative bubbles in the sector indices of the Samp;P 500 using a regime-switching approach. We also employ an augmented model that includes trading volume as a technical indicator to improve the ability of the model to...

This study proposes a utility-based framework for the determination of optimal hedge ratios that can allow for the impact of higher moments on hedging decision. We examine the entire hyperbolic absolute risk aversion (HARA) family of utilities which include quadratic, logarithmic, power and...

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the...

Factor models are frequently applied to hedge fund returns in an attempt to separate the return from identified risk factors (beta) and from manager skill (alpha). More recently, these same techniques have been used to replicate the returns from hedge fund strategies with varying degrees of...

The article analyses the impact of trading costs on the profitability of momentum strategies in the UK and concludes that losers are more expensive to trade than winners. The observed asymmetry in the costs of trading winners and losers crucially relates to the high cost of selling loser stocks...

We investigate the link between age and tolerance of financial risks in the context of attitude to risk questionnaires completed by clients when meeting their financial advisors. Using a unique database comprising the responses to over half a million such questionnaires, we show that risk...

This paper analyses data from the National Students Survey, determining which groups of students expressed the greatest levels of satisfaction. We find students registered on clinical degrees and those studying humanities to be the most satisfied, with those in general engineering and media...

This book is specifically written to help undergraduate and master’s students to write their research projects in accounting or finance. I am providing the book for free. KEY FEATURES- Focuses specifically on the needs of students in accounting and finance- Loaded with top tips on how to make...

It is often suggested by fans, the media, and football commentators that English players are over-valued relative to the cost of a comparable player from a different country. This study examines whether the suggestion can be empirically substantiated. We use a unique database covering all five...