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We test and confirm the hypothesis that individual investors are net buyers of attentiongrabbing stocks, e.g., stocks in the news, stocks experiencing high abnormal trading volume, and stocks with extreme one day returns. Attention-driven buying results from the difficulty that investors have searching the thousands of stocks they can potentially buy.(More)
In this article, we consider the evolution of the post-age-60 mortality curve in the United Kingdom and its impact on the pricing of the risk associated with aggregate mortality improvements over time: so-called longevity risk. We introduce a two-factor stochastic model for the development of this curve through time. The first factor affects mortality-rate(More)
It is now widely accepted that stochastic mortality – the risk that aggregate mortality might differ from that anticipated – is an important risk factor in both life insurance and pensions. As such it affects how fair values, premium rates, and risk reserves are calculated. This paper makes use of the similarities between the force of mortality and interest(More)
The presence of oxygenated organic compounds in the troposphere strongly influences key atmospheric processes. Such oxygenated species are, for example, carriers of reactive nitrogen and are easily photolysed, producing free radicals-and so influence the oxidizing capacity and the ozone-forming potential of the atmosphere-and may also contribute(More)
We investigate asset-allocation strategies open to members of defined-contribution pension plans with a model that incorporates asset, salary (labour-income) and interest-rate risk. We propose a novel form of terminal utility function, incorporating habit formation, that uses the member’s final salary as a numeraire. The paper discusses various properties(More)
Ophiolites, sections of ocean crust tectonically displaced onto land, offer significant potential to support chemolithoautotrophic life through the provision of energy and reducing power during aqueous alteration of their highly reduced mineralogies. There is substantial chemical disequilibrium between the primary olivine and pyroxene mineralogy of these(More)
We compare quantitatively eight stochastic models explaining improvements in mortality rates in England and Wales and in the United States. On the basis of the Bayes Information Criterion (BIC), we find that, for higher ages, an extension of the Cairns-Blake-Dowd (CBD) model that incorporates a cohort effect fits the England and Wales males data best, while(More)
In this paper we consider the evolution of the post-60 mortality curve in the UK and its impact on the pricing of the risk associated with mortality improvements over time: so-called longevity risk. We introduce a two-factor stochastic model for the development of this curve through time. The first factor affects mortality-rate dynamics at all ages in the(More)
This paper uses a large sample containing the complete return histories of 2300 UK openended mutual funds over a 23-year period to measure fund performance. We find some evidence of underperformance on a risk-adjusted basis by the average fund manager, persistence of performance and the existence of a substantial survivor bias. Similar findings have been(More)