Prospective utility and time-varying optimal asset allocation for the UK: 1803-1995

Author(s):

Stephen Thomas

In this talk, Professor Thomas re-examines one approach based on myopic loss aversion, while incorporating time variation in returns distributions.

Updated: 06/03/2012
Comments:
Views: 7,433

Risk management before and after the Credit Crunch: how will the crisis change the theory and the practice of investment risk management?

Some risk models failed badly during the credit crunch. Numerous commentators, including Lord Turner in his March 2009 Review, have raised fundamental questions about the validity of Value at Risk (VaR) as a measure of risk. This talk reviews the lessons from the credit crunch. Not all models performed badly but many did, and for a variety of different reasons.

Updated: 06/03/2012
Comments:
Views: 9,352

Long term interest rates since 1870

Author(s):

Geoffrey Wood

Industry:
Banking

Professor Wood uses in his talk new data and modern time series econometrics to examine the relationship between interest rates, prices and inflation in Britain from 1870 to 2006 for which reliable data are available.

Updated: 06/03/2012
Comments:
Views: 7,099

Why forecasts differ (and why they are so bad)?

Author(s):

Roy Batchelor

Industry:
Banking

Economic forecasters have not had a good press recently. Only the mavericks saw the global recession coming. Analysts forecasting company earnings have never had a great press. Their forecasts seem horribly inaccurate and often overoptimistic, with some dragged through the courts after telling their clients to buy and their friends to sell.

Updated: 06/03/2012
Comments:
Views: 5,611

To trade or not to trade: the strategic trading of insiders around news announcements

Author(s):

Meziane Lasfer

Industry:
Banking

Professor Lasfer will examine the reasons why insiders trade, and the significant role private information plays in insider trading, as well as look at portfolio changes due to these activities.

Updated: 06/03/2012
Comments:
Views: 6,791

Managing currency risk

Author(s):

Lucio Sarno

Industry:
Banking

The forward bias arises from the well-documented empirical rejection of the Uncovered Interest Parity (UIP) condition, which suggests that forward exchange rates are a biased predictor of future spot exchange rates. In practice, this means that high interest rate currencies tend to appreciate rather than depreciate.

Updated: 06/03/2012
Comments:
Views: 7,421

The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value

Author(s):

Lucio Sarno

Topic:
Finance
Industry:
Banking

This paper re-examines the validity of the Expectation Hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to three months.

Updated: 27/10/2011
Comments:
Views: 5,407

Exchange rates and fundamentals: footloose or evolving relationship?

Author(s):

Lucio Sarno

Topic:
Finance
Industry:
Banking

Using novel real-time data on a broad set of economic fundamentals for five major US dollar exchange rates over the recent float, we employ a predictive procedure that allows the relationship between exchange rates and fundamentals to evolve over time in a very general fashion.

Updated: 22/09/2011
Comments:
Views: 5,537

Caution or activism? Monetary policy strategies in an open economy

Author(s):

Lucio Sarno

Topic:
Finance

We examine optimal policy in a two-country model with uncertainty and learning, where monetary policy actions affect the real economy through the real exchange rate channel.

Updated: 27/10/2011
Comments:
Views: 5,337