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Portfolio Cross-Autocorrelation Patterns: Further Puzzles and Reconciliation

Ryan Davies is a former lecturer in finance at the ICMA Centre.
Event information
Date 26th November 2002
Time 1:00pm - 2:00pm
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

He obtained a PhD in economics from Queen's University at Kingston in 2001 under the supervision of Dan Bernhardt and James MacKinnon. His current research includes diverse topics such as: the European Commission's Investment Services Directive; the practice of 'painting the tape' by mutual fund managers; the reasons why long-dated financial contracts have poor liquidity; the role of the registered trader on the Toronto Stock Exchange; and the impact of cross-listing on multiple exchanges.