We examine the effectiveness of applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. The application of trend following offers a substantial improvement in risk-adjusted performance compared to traditional buy-and-hold...

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...

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...

This study provides a robust assessment of the importance of a number of determinants of the gaps in earnings between the four groups of employees who make up the British workforce; males and females who work full and part-time. The analysis considers the contribution of individual employee...

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. The various individual...

The earnings gap between male and female employees is substantial and persistent. Using new data for Britain, this paper shows that an important contribution to this gap is made by the workplace in which the employee works. Evidence for workplace and occupational segregation as partial...

This study examines the role of individual characteristics, occupation, industry, region, and workplace characteristics in accounting for differences in hourly earnings between men and women in full and part-time jobs in Britain. A four-way gender-working time split (male full-timers, male...

Using new linked employee-workplace data for Britain in 2004, we find that the nature of the public private pay gap differs between genders and that of the gender pay gap differs between sectors. The analysis shows that little none of the gender earnings gap in both the public and private sector...