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THE OVERREACTION HYPOTHESIS AND THE UK STOCKMARKET
There is now substantial evidence to suggest that asset returns are predictableover both long and short time horizons for both individual stocks andstockmarket indices. Whether or not such… Expand
MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET
This paper examines the macroeconomic sources of risk priced in the UK stockmarket between 1983 and 1990 using monthly data on 840 stocks to form both beta-sorted and market value sorted portfolios… Expand
Securitization and Bank Performance
Theory suggests that securitization provides financial institutions with an opportunity to lower the cost of funding; improve credit risk management and increase profitability. In practice, however,… Expand
Does securitization reduce credit risk taking? Empirical evidence from US bank holding companies
This study investigates the impact of securitization on the credit risk-taking behavior of banks. Using US Bank Holding Company data from 2001 to 2007, we find that banks with a greater balance of… Expand
Basel III: Is the Cure Worse than the Disease?
This paper discusses the economic impact of the Basel III reforms to banking regulation. We find that the long-term impact should be much less than many in the industry fear but the required… Expand
International Evidence on the Payout Ratio, Earnings, Dividends, and Returns
Recent evidence for the U.S. market has shown that, contrary to popular wisdom, the greater the proportion of earnings paid out as dividends, the greater the subsequent real earnings growth. This… Expand
An Evaluation of Alternative Equity Indices - Part 1: Heuristic and Optimised Weighting Schemes
There is now a dazzling array of alternatives to the market-cap approach to choosing constituent weights for equity indices. Using data on the 1,000 largest US stocks every year from 1968 to the end… Expand
Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?
The ratio of a long government bond yield to the equity market dividend yield, the gilt-equity yield ratio, is commonly used by analysts in the United Kingdom as a means of determining the cheapness… Expand
The trend is our friend: Risk parity, momentum and trend following in global asset allocation
We examine applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. This strategy offers substantial improvement in risk-adjusted… Expand
Reports of beta's death are premature: Evidence from the UK
A number of authors have found that firm size and book-to-market-value capture the cross-sectional variation in average stock returns. More importantly, these variables have been shown to out-perform… Expand