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We test and confirm the hypothesis that individual investors are net buyers of attention-grabbing 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)
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)
In this article, we consider the evolution of the postage -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)
>IJH=?J Using a data set on more than 300 UK pension funds' asset holdings, this paper provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We ¯nd evidence of slow mean reversion in the funds' portfolio weights towards a common, time-varying strategic asset allocation. We also ¯nd surprisingly little(More)
This paper uses a large sample containing the complete return histories of 2300 UK open-ended 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)
CDK2 inhibitors have been proposed as effective anti-cancer therapeutics. We show here that CYC202 (R-roscovitine) is a potent inhibitor of recombinant CDK2/cyclin E kinase activity (IC(50) = 0.10 microM) with an average cytotoxic IC(50) of 15.2 microM in a panel of 19 human tumour cell lines, and we also demonstrate selectivity for rapidly proliferating(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)
In the first part of the paper, we consider the wide range of extrapolative stochastic mortality models that have been proposed over the last 15 to 20 years. A number of models that we consider are framed in discrete time and place emphasis on the statistical aspects of modelling and forecasting. We discuss how these models can be evaluated, compared and(More)
the board of the ICPM research committee also provided insightful suggestions for improving our paper. We are also grateful to Alan Wilcock and Daniel Hall of BNY Mellon Asset Servicing for providing us with the CAPS pension fund performance data and for patiently answering an endless list of questions concerning the data. Rosalin Wu provided excellent(More)