ICMA Centre Discussion Papers in Finance

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icma-dp2007-07: Global Portfolio Optiomization Revisted: A Least Discrimination Alternative to Black-Litterman

Jacques Pezier

icma-dp2007-06: Should Defined Benefit Pension Schemes be Career Average or Final Salary?

Charles Sutcliffe

icma-dp2007-05: The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance

Chris Brooks, Konstantina Kappou and Charles W. Ward

icma-dp2007-04: Better cross hedges with composite hedging? Hedging equity portfoloios using financial and commodity features

Fei Chen and Charles Sutcliffe

icma-dp2007-03: The Value Premium and Time-Varying Unsystematic Risk

Chris Brooks, Xiafei Li and Joelle Miffre

icma-dp2007-02: Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk

Carol Alexander and Elizabeth Sheedy

icma-dp2007-01: Hedging and Cross-hedging ETFs

Carol Alexander and Andreza Barbosa

icma-dp2006-13: Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model

Damiano Brigo and El-Bachir, Naoufel

icma-dp2006-12: Optimal Hedging with Higher Moments

Chris Brooks, A. Cerny and J. Miffre

icma-dp2006-11: Return Differences Between Family and Non-Family Firms: Absolute and Index Differences

Suranjita Mukherjee and Carol Padgett

icma-dp2006-10: The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios

Jacques Pezier and Anthony White

icma-dp2006-09: Momentum Profits and Time-Varying Unsystematic Risk

Xiafei Li, Chris Brooks and Joelle Miffre

icma-dp2006-08: Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices

Carol Alexander and Andreas Kaeck

icma-dp2006-07: Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?

Chris Brooks and Apostolos Katsaris

icma-dp2006-06: The Stock Performance of America’s 100 Best Corporate Citizens

Stephen Brammer, Chris Brooks and Stephen Pavelin

icma-dp2006-05: Corporate Reputation and Stock Returns; are good firm good for investors?

Stephen Brammer, Chris Brooks and Stephen Pavelin

icma-dp2006-04: Minimum Variance Hedging and Stock Index Market Efficiency

Carol Alexander and Andreza Barbosa

icma-dp2006-03: Hedging Options with Scale-Invariant Models

Carol Alexander and Leonardo Nogueira

icma-dp2006-02: Investing in Montenegro: Limits and Opportunties

Dragon Radanovic

icma-dp2006-01: A False Perception? The relative riskiness of AIM and listed Stocks

John Board, Alfonso Dufour, Charles Sutcliffe and Stephen Wells

icma-dp2005-17: The UK Code of Corpoate Governance Link between Compliance and Firm Performance

Carol Padgett and Amama Shabbir

icma-dp2005-16: Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds

Carol Alexander and Andreza Barbosa

icma-dp2005-15: Investment Reputation Indes: Family Firms vs Non-Family firms in the UK

Suranjita Mukherjee and Carol Padgett

icma-dp2005-14: Asymmetries and Volatility Regimes in the European Equity Markets

Carol Alexandra and Emese Lazar

icma-dp2005-13: On The Continuous Limit of GARCH

Carol Alexandra and Emese Lazar

icma-dp2005-12: The Financial Services Reform Act 2001: Impact on Systemic risk in Australia

Colin Beardsley and O'Brien, John R.

icma-dp2005-11: Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate

John Board and Charles Sutcliffe

icma-dp2005-10: Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models

Carol Alexandra and Leonardo Nogueira

icma-dp2005-09: Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria

Charles Sutcliffe

icma-dp2005-08: Leger est aprendre mes fort est arendre;: Wool, Debt and the Dispersal of Pipewell Abbey (1280 - 1330)

Adrian R. Bell, Chris Brooks and Paul Dryburgh

icma-dp2005-07: Detecting Switching Strategies in Equity Hedge Funds

Carol Alexander and Anca Dimitriu

icma-dp2005-06: Predicting Agency Rating Migrations with Spread Implied Ratings

Jianming Kou and Simone Varotto

icma-dp2005-05: The Spider in the Hedge

Carol Alexander and Andreza Barbosa

icma-dp2005-04: The Extremes of the P/E Effect

Keith Anderson and Chris Brooks

icma-dp2005-03: Decomposing the P/E Ratio

Keith Anderson and Chris Brooks

icma-dp2005-02: The Long-Term P/E Radio

Keith Anderson and Chris Brooks

icma-dp2005-01: Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?

Adrian R. Bell, Chris Brooks and Paul Dryburgh

icma-dp2004-15: Cross Hedging with Single Stock Futures

Chris Brooks, Ryan J. Davies and Sang Soo Kim

icma-dp2004-14: Pricing Convertible Bonds by Simulation

Ali Bora Yigitsbasioglu Yigitsbasioglu, Dmitri Lvov Lvov and El-Bachir, Naoufel

icma-dp2004-13: The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH

Carol Alexandra and Emese Lazar

icma-dp2004-12: Ex Ante versus Ex Post Regulation of Bank Capital

Arup Daripa and Simone Varotto

icma-dp2004-11: The Effectiveness of Britain's Financial Service Authority: An Economic Analysis

Colin Beardsley and O'Brien, John R.

icma-dp2004-10: Hedging with Stochastic and Local Volatility

Carol Alexander and Leonardo Nogueira

icma-dp2004-09: The Continuous Limit of GARCH Processess

Carol Alexandra and Emese Lazar

icma-dp2004-08: FRS17 and the Sterling Doubles A Corporate Yield Curve

Frank Skinner and Michalis Ioannides

icma-dp2004-07: An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds

Ali Bora Yigitbasioglu and Carol Alexandra

icma-dp2004-06: MTS Time Series: Market and Data Description for the European Bond and Repo Database

Alfonso Dufour and Frank Skinner

icma-dp2004-05: Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling

Carol Alexandra and Emese Lazar

icma-dp2004-04: Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect

Chris Brooks, Konstantina Kappou and Charles W. Ward

icma-dp2004-03: A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds

Carol Alexander and Anca Dimitriu