Research Seminars 2008-2009

Stock Market Driven Acquisitions versus the Q Theory of Takeovers – The UK Evidence

Alan Gregory University of Exeter Professor Alan Gregory is Director of Xfi, the Centre for Finance and Investment at the University of Exeter and a Professor of Corporate Finance. Prior to taking up this position he held professorial positions at both University of Wales, Aberystwyth, and University of Glasgow. In addition to his position at Exeter, he is a full panel memberContinue reading

Predictability and ‘Good Deals’ in Currency Markets

Valerio Poti Dublin City University Valerio Poti is a Lecturer in Finance at Dublin City University. He graduated in Banking and Finance from Bocconi University in Milan, studied as a Visiting Research Scholar in New York University Stern School of Business, where he conducted research on international finance and the profitability of currency strategies under the mentoring of Professor Richard Levich,Continue reading

High Frequency Returns – Mean Reversion and Volatility Persistence

Shiyun Wang University of Southampton Shiyun Wang is currently a Lecturer in Finance at the Management School, University of Southampton. He obtained his MSc in Finance from National University of Singapore, and PhD in Finance at University of Cambridge. Before joining Southampton, he was an adjunct Professor at Southwest University of Finance and Economist, China, and Chief Economist at China Nanshan GroupContinue reading

Panel Discussion on the Current Credit Crisis

Carol Alexander, Andy Bevan, John Board, Richard Dale, Jacques Pézier, Brian Scott-Quinn ICMA Centre, University of Reading Carol Alexander is Professor of Risk Management and Director of Research at the ICMA Centre. Prior to this post, she held positions in both academia and financial institutions at: Gemente Universiteit in Amsterdam; UBS Phillips and Drew; The University of Sussex; Algorithmics Inc. andContinue reading

Multi-Horizon Comparison of Density Forecasts for the S&P 500 using Index Returns and Option Prices

Mark Shackleton Lancaster University Mark Shackleton’s first degree was in Physics (Oxford) but he also holds an MBA (INSEAD with distinction) and PhD (London Business School). Previously he worked in investment banking (NatWest), consulting (Monitor) and as a visiting lecturer at the Said Business School (Oxford) before moving to Lancaster where he won the University PG teaching prize (MBA and MScContinue reading

Asset Allocation with Option-Implied Distributions: A foward-Looking Approach

Alex Kostakis University of Glasgow Alex Kostakis is a Lecturer in Finance at the Department of Economics of the University of Glasgow. He holds a degree in Banking and Financial Management from the University of Piraeus, an MSc in Econometrics and Economics and PhD in Economics from the University of York. He previously held a postdoctoral research fellowship at the UniversityContinue reading

Financial Engineering, Operator Methods and GPU Computing

Claudio Albanese Claudio Albanese currently works as an independent consultant and is a Visiting Professor at King’s College London. His academic background includes a PhD in Physics from ETH Zurich and various faculty positions at Universities including the NYU, Princeton and the University of Toronto. Claudio consulted for several organizations including Misubishi, Merrill Lynch, Morgan Stanley, Bloomberg,  CDC-Ixis, Blackstone and others.

Are Government Bonds Risky Assets?

Abhay Abhyankar The University of Edinburgh Abhay Abhyankar is Baillie Gifford Chair of Financial Markets and Professor of Finance and at the University of Edinburgh. Has has previously worked at the Universities of Durham, Warwick and Stirling.  He is currently a Visiting Professor at IDEA, University Autonoma de Barcelona where he teaches on the Doctoral Programme. He is also a non-executiveContinue reading

The Innovest Austrian Pension Fund Financial Planning Model InnoALM

William T. Ziemba ICMA Centre, University of Reading William T. Ziemba is the Alumni Professor of Financial Modeling and Stochastic Optimization, Emeritus at the University of British Columbia in Vancouver. He is also a visiting professor at the Mathematical Institute, University of Oxford, ICMA Centre, University of Reading and at the Department of Mathematics, Statistics, Informatics and Applications, University of Bergamo. PreviouslyContinue reading

Discount Market Behaviour: Revealed through Tecnival Analysis

Clive Corcoran Clive Corcoran is a private client fund manager practicing risk reduction and market neutral strategies. Also, Clive is a software designer/developer for a systematic trading platform which includes pattern recognition technologies and portfolio optimization techniques. He is the author of ?Long/Short Market Dynamics: Trading Strategies for Today’s Markets? (Wiley 2007) and his  articles have appeared in Traders? Magazine andContinue reading

Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices

Alex Edmans The Wharton School, University of Pennsylvania Alex Edmans grew up in Reading and then studied Economics & Management at Merton College, Oxford. After working as an investment banker with Morgan Stanley in London, he then earned a PhD in Financial Economics at the MIT Sloan School of Management, where he was a Fulbright Scholar. During his studies, he spentContinue reading

Risk-sensitive Asset Management

Sébastien Lleo Imperial College London Sébastien Lleo is a researcher at Imperial College London. His research interests include investment management, risk management, asset pricing, stochastic control and stochastic analysis. Sébastien worked seven years in the investment industry, at the Bank of Canada and at CMHC Pension Fund. Sébastien holds a PhD in mathematics from Imperial College London (UK), a MBA fromContinue reading

Size, Specialism, and the Nature of Informational Advantage in Inter-dealer Foreign Exchange

Richard Payne Warwick Business School Richard Payne is Associate Professor of Finance at Warwick Business School. His research interests are in the areas of FX and equity market microstructure, equity return forecasting and portfolio management. He has previously held positions at the LSE and the University of Bristol and has worked in the private sector for Deutsche Bank and Credit Suisse.

Insider Trading and Corporate Governance: International Evidence

Piotr Korczak University of Bristol Piotr Korczak is a Lecturer in Finance at the University of Bristol. His research interests include corporate governance mechanisms, as well as corporate finance and investment implications of international cross-listing. He has recently been working on the analysis of share trading by corporate insiders and on the impact of cross-listing on international portfolio allocation and theContinue reading