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This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) – the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the...
The price of aggregate risk in the UK appears to have risen significantly since the start of the financial crisis and the associated extended recession. This paper examines the relationship between the business cycle and equity market returns to see how robust this association is. Several...
We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns to a wide array of sources of systematic risk we find...
We consider differences in individual job tenure between Australia and Britain using linked data on employees and their workplaces. This linkage enables us to distinguish between the impact of demographic, education, job characteristics, occupation and work environment for the individual, as...
We consider differences in current job tenure of individuals using linked employee and workplace data. This enables us to distinguish between variation in tenure associated with the characteristics of individual employees and those of the workplace in which they work. As a group, The various...