Research Seminars 2008-2009

Alan Gregory

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

Date: 26 Nov, 08

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 member of the Competition Commission and is also a non executive director of Exeter Enterprises Ltd. His research interests cover two broad areas: (a) ?market anomalies?, including the risk and returns to ?value? investing strategies, the performance of firms involved in merger and acquisition activity, and returns to strategies based around directors? share trading in their own firms; and (b) fund performance evaluation and style orientation, including work on pension fund performance and the performance of ?ethical? unit trusts compared to their conventional counter-parts. His consulting experience includes acting as advisor to one of the largest accounting firms on company valuation, advising HM Treasury, and consulting for fund managers on investment strategies and asset allocation strategies. His work at the Competition Commission has involved being a panel member on a number of inquiries include a regulatory inquiry into airport pricing, market inquiries into domestic bulk liquid petroleum gas and the UK grocery market, and merger inquiries relating to the GUS/Littlewoods mail order operations and the takeover bids for the London Stock Exchange by Euronext and Deutsche Börse. In addition, he has acted as a consultant to other inquiries including the mobile telephone and storecards inquiries.


Valerio Poti

Predictability and ‘Good Deals’ in Currency Markets

Date: 19 Nov, 08

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, and gained a Ph.D. in Finance from Trinity College Dublin. His research interests include asset pricing, performance attribution, market efficiency, international finance, behavioural finance, financial econometrics. His papers have been published or are forthcoming in international peer reviewed journals, such as European Financial Management, and he has contributed to practitioner-oriented books on portfolio and risk management. His consulting experience includes advising banks on capital management and performance attribution. In the past, he taught International Finance at Queen’s University Belfast, worked as an equity option market maker on the Milan derivatives exchange and was the head of the Financial Engineering desk of the Dublin subsidiary of Banca Monte dei Paschi di Siena.


Shiyun Wang

High Frequency Returns – Mean Reversion and Volatility Persistence

Date: 05 Nov, 08

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 Group for 3 years. He had also worked at University of Manchester and University of Sheffield as a lecturer during 2001-2004.


Carol Alexander, Andy Bevan, John Board, Richard Dale, Jacques Pézier, Brian Scott-Quinn

Panel Discussion on the Current Credit Crisis

Date: 29 Oct, 08

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. and Nikko Global Holdings. Carol was a lecturer in Mathematics and Economics for 13 years at Sussex University. From 1996 to 1998 she also worked part-time in the industry, as Academic Director of Algorithmics, a large international enterprise-wide risk management software company. Following this, she worked briefly as full-time Director of Nikko Global Holdings, before returning to Academia. Carol has a PhD in Algebraic Number Theory and a first class BSc in Mathematics with Experimental Psychology from Sussex University and an MSc in Econometrics and Mathematical Economics from the London School of Economics. She holds an honorary professorship at the Academy of Economic Studies in Bucharest. She is Chair of the Academic Advisory Council of the Professional Risk Management International Association and Co-Editor of the acclaimed Professional Risk Manager’s Handbook. Carol has published numerous papers in international academic and professional journals. Her current research interests are in continuous and discrete time volatility and correlation analysis, hedge funds, multifactor pricing models and operational risk. She has edited several books, and is author of the best selling text book Market Models: A Guide to Financial Data Analysis. Since 1990 the professional side of Carol’s career has focussed on developing mathematical models for risk management and investment analysis. Her new textbook on Market Risk Analysis will be published by Wileys in 2007. Most of her consultancy work involves the design of software for risk management, portfolio optimization and trading. See consultancy pages for further information.

Dr. Andy Bevan graduated with a first class BA in economics from Reading University in 1978 and was awarded a PhD in international monetary economics from City University in 1986. ThNicolee subject of his thesis was an examination of speculative efficiency in the foreign exchange market, within the framework of a general equilibrium model. Separately, Andy also holds a PhD in theology from Kings College, London, awarded in 2002. Andy started his career in 1978 with J&A Scrimgeour, a London-based specialist gilt broker. He then held posts with Chase Manhattan bank (1979-1983) and Midland bank (1983-1986) in London, working as an economist. In both positions, he specialised in the forecasting of interest rates and exchange rates. Having spent the first part of his career in the money and foreign exchange markets, he was then appointed Head of International Fixed Income Research at Drexel Burnham Lambert (1986-1988). He was subsequently Head of International Bond Research at West LB UK (1988-1990) and Head of the Financial Analytics and Structured Transactions group at Bear Stearns International (1990-1994). In 1994, Andy was appointed Director of International Bond Research at Goldman Sachs in London. He was appointed Managing Director in 2000, and became Head of Global Markets Research, producing research and trading strategy for foreign exchange, money markets, government bonds and corporate bonds. He retired from this post in 2005 and started his own independent consulting company, before joining Fulcrum Asset Management as Research Director in May, 2006. Andy’s major research interests include exchange rate modelling and the integration of term structure theory with models of the business cycle in the macro-finance literature.

John Board is Professor of Finance and the Director of the ICMA Centre. Before joining the Centre, he spent a number of years at the London School of Economics. His overall research agenda is characterised by the application of finance theory to real world problems and issues. In pursuit of this he has been widely published in journals as diverse as the Journal of Accounting Research, Management Science, Journal of Regional Studies and Journal of Financial Services Research.His recent research has been in the area of market regulation in which he has acted as consultant to, among others, the House of Commons, the Financial Services Authority, the Corporation of London, and a number of London’s financial markets. Some of this work has been based on large scale analyses of trading data, while other parts have considered more general issues of the effects of market fragmentation and consolidation. Among his most recent publications in these areas are Transparency and Fragmentation: Financial Market Regulation in a Dynamic Environment, (Palgrave, 2002) and Distortion or Distraction: US Restrictions on EU Exchange Trading Screens (Corporation of London, 2004). Before this, he was been funded by the Department of Trade and Industry to investigate the effects of innovation in financial markets. He also has a long standing interest in accounting and the effects of accounting policy on stock prices. In relation to this, he is currently engaged in research into the use of fair value accounting by insurance companies. This work is being sponsored by Institute of Chartered Accountants in England and Wales.

Professor Richard Dale is Professor of International Banking at the University of Southampton and Visiting Professorial Fellow, Queen Mary and Westfield College, London University. He specialises in the economics of financial market regulation, was previously a consultant to the Bank of England and is Bank of England Senior Houblon Norman Fellow since 1994. Also, he has been a consultant to the Financial Times since 1986. Richard has been a Rockefeller International Relations Fellow at Brookings Institution, Washington DC in 1982/3. Since 1991, he has been an adviser to the House of Commons Treasury and Civil Service Committee on financial regulation. Richard has been an executive with N.M. Rothschild and Sons Ltd. Between 1973 and 1977 and 1984/5. He is board member at European Capital Markets Institute (ECMI) and member of European Shadow Financial Regulatory Committee. He is currently studying international clearance, settlement and payments systems. Also, Richard is completing work on background to Japanese banking system problems and policy implications ? with co-operation of Japanese Ministry of Finance.

Jacques Pézier is currently a Visiting Professor at the ICMA Centre, Henley Business School, University of Reading. His current research interests are in investment management (intelligent use of personal views, optimal design of structured products and portfolio insurance, performance criteria), risk management (optimal capital allocation, banking regulations) and financial engineering (efficient option replication). From 1986 to 2002 he worked in the City of London as General Manager of Crédit Agricole Lazard Financial Products (CAL FP) Bank, a bank specializing in structured products for corporate clients, Executive Director with Mitsubishi Finance International plc (MFIL, now TMI), heading the arbitrage and Research and Product Development Group and Director at Barclays, de Zoete Wedd (BZW), heading the Equity Risk Management Unit. But his career started in academia (Dartmouth College, USA, and HEC/ISA, France) and consulting (Stanford Research Institute, Investment Intelligence Systems). He is a graduate from Ecole Centrale (Paris) and holds a DEA in Mathematical Physics (Institut Henri Poincaré, Paris) and a PhD in Decision Theory (Dartmouth College).

Emeritus Professor Brian Scott-Quinn is non-executive Chairman of the International Capital Markets Association (ICMA) Centre ? the business school for financial markets which he created at the University of Reading in 1991 as a new venture. ICMA which is the trade association and market regulator for the international capital market, initially provided him with start up finance and then, in 1997, made a gift of £3m to the University of Reading to allow the construction of a highly innovative new building on campus (an additional £5m gift from ICMA for the construction of an extension was agreed in 2006). He trained initially as a finance/ operations manager with Coats Viyella Plc. which at that time was a multinational, FTSE 100 textile company. He later moved to the City of London where, while also teaching at the University of Reading, he was a financial analyst with Kidder Peabody Securities Ltd. before becoming a founder shareholder of Ross and Partners Ltd ? a privately owned Eurobond trading house which he helped set up.  In 1981, he became finance and operations director of Drexel Burnham Lambert Securities Ltd, Ross & Partners successor in title. In 1986 he moved to Security Pacific Hoare Govett, a UK/US joint venture investment bank as a bond analyst and subsequently became strategy advisor to the Chief Executive. He left Security Pacific in 1990 to return to the University of Reading and set up the ICMA Centre. His main areas of executive education and research are the functioning of securities exchanges, OTC trading, asset management and private banking, collateralised debt obligations, securitisation of insurance risk, and risk management. Amongst his extensive consulting activities, he has been a consultant to the chief executive of the London Stock Exchange (LSE) and was on the Market Advisory Panel of Tradepoint Investment Exchange (now virt-x). He was the academic member of the Financial Services Authority (FSA) industry working group on Secondary Bond Market Transparency which examined issues relevant to the forthcoming EU, Markets in Financial Instruments, Directive (MiFID). He has been a consultant to the US Treasury and to a central bank and was a monetary policy advisor to a former UK Chancellor of the Exchequer, Lord Howe of Aberavon (Sir Geoffrey Howe) in 1978/9. He has consulted widely for investment banks and asset management houses and most recently advised a major Dubai investment bank on a strategy for growth in its securities trading business. He has also recently advised a major UK life insurer on the use of collateralised debt obligations in asset portfolios. He has been involved in an expert witness case providing input on market functioning and trading. As well as speaking at many industry conferences and presenting at ICMA and FINRA seminars, he has published ? The New Euromarkets?, ?The Eurodollar System? and ? Investment Banking? as well as many papers on trading systems, clearing and settlement, offshoring financial services (published by the Corporation of London in March 2005) the Single European Securities Trading Market and European financial market regulation (chapter in ?Investor Protection in Europe?, OUP, 2006). He is currently working on a sponsored report on wealth management. He co-authored a book on European Securities Market Regulation which was published in 2006. He is a non-executive director of Madiston Plc a start up company set up to acquire, consolidate and develop companies providing software and related services to the securities and banking sector.


Mark Schackleton

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

Date: 22 Oct, 08

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 MSc courses 2003) and became Professor of Finance in 2006. He researches and teaches options, real options and corporate finance. He has published in the Journal of Banking and Finance, Journal of Futures Markets and Economics Letters.


Alex Kostakis

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

Date: 04 Mar, 09

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 University of York, funded by Norwich Union. His main research interests lie in the areas of asset allocation, asset pricing and fund management.


Claudio Albanese

Financial Engineering, Operator Methods and GPU Computing

Date: 18 Feb, 09

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.


Abhay Abhyankar

Are Government Bonds Risky Assets?

Date: 11 Feb, 09

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-executive member of the Board of Directors of the 100% owned Indian subsidiary of F. Hoffman La Roche, Basle, Switzerland. His research interests include asset pricing and corporate finance and he has published recently in the Journal of Banking and Finance, Quantitative Finance, and earlier in the Journal or Business and Economic Statistics, the Economic Journal, the Journal of Financial and Quantitative Analysis etc.


William T. Ziemba

The Innovest Austrian Pension Fund Financial Planning Model InnoALM

Date: 4 Feb, 09

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. Previously he taught at many other universities, including Cambridge, London School of Economics, and Warwick in the UK, at Stanford, UCLA, Berkeley, Chicago and MIT in the US, Venice in Italy, Tsukuba in Japan and the National University of Singapore. He has been a consultant to a number of leading financial institutions including the Frank Russell Company, Morgan Stanley, Buchanan Partners and Gordon Capital. His PhD is from the University of California, Berkeley. His research is in hedge fund management, risk control of investment and hedge fund portfolios, global asset allocation, asset-liability management, portfolio theory and practice, Japanese and Asian financial markets, sports and lottery investments and applied stochastic programming etc. He has published widely in journals such as Operations Research, Management Science, Mathematics of OR, Mathematical Programming, American Economic Review, Bell Journal of Economics, Journal of Economic Perspectives, Economic Letters, Journal of Finance, Mathematical Finance, Journal of Economic Dynamics and Control, Financial Analysts Journal, Journal of Portfolio Management, JFQA, Journal of Banking and Finances, Finance Research Letters, Quantative Finance, and Interfaces  and in many books and special journal issues. Recent books are Optimizing the Aging, Retirement and Pensions Dilemma (with M. Bertocchi, S.L Schwartz, forthcoming, 2009), The Kelly Capital Growth Criterion: Theory and Practice (with L.C. Maclean and E.O. Thorp, forthcoming, 2009) and Chinese Investment Markets and their Impact (with R. Ruoen and R.E.S. Ziemba). Other titles include Handbook of Futures Markets and Handbook of Sports and Lottery Markets. He has been a futures and equity trader and hedge fund and investment manager since 1983.  He is the series editor for North Holland’s Handbooks in Finance and from 1982 to 1992 was the department of finance editor of Management Science. He is an associate editor of several academic finance and management science journals.


Clive Corcoran

Discount Market Behaviour: Revealed through Tecnival Analysis

Date: 21 Jan, 09

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 and Active Trader. Clive is a featured speaker at international trading expos and workshops. Further roles include: frequent contributor to CNBC’s European Closing Bell and Power Lunch Europe; FSA Registered Investment Adviser and active trader for many years on both sides of the Atlantic.


Alex Edmans

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

Date: 10 Jun, 09

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 spent his first summer as an Associate in Morgan Stanley’s Fixed Income Division in New York. Alex joined Wharton in 2007 as an Assistant Professor of Finance, where he has won five teaching awards in two years. Alex’s research interests are in corporate finance and investments. His study on the link between employee satisfaction and shareholder returns won the 2007 Moskowitz Prize for Socially Responsible Investing research. His PhD thesis on the effect of international soccer results on investor sentiment and stock returns was a finalist for the Smith-Breeden Prize for best paper in the Journal of Finance. His paper on corporate governance via ?voting with your feet? is forthcoming in the Journal of Finance, and a theory showing that executive compensation may be more efficient than commonly believed is forthcoming in the Review of Financial Studies. Alex’s research has been covered by the Wall Street Journal, The Economist, Financial Times and New York Times, and he has appeared on CNBC, ESPN, Fox and the BBC.


Sébastien Lleo

Risk-sensitive Asset Management

Date: 27 May, 09

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 from University of Ottawa (Canada), and a MSc. in Management from Reims Business School (France). He is a CFA Charterholder, a Professional Risk Manager, a Certified Financial Risk Manager.


Richard Payne

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

Date: 13 May, 09

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.


Piotr Korczak

Insider Trading and Corporate Governance: International Evidence

Date: 6 May, 09

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 the price discovery process. He teaches postgraduate courses in corporate finance and financial management. Piotr holds a PhD degree from the European University Viadrina in Frankfurt
(Oder), Germany. He has held visiting research positions at Manchester Business School and Cass Business School in London.