Details about Charles Sutcliffe

Access statistics for papers by Charles Sutcliffe.

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Short-id: psu64

Working Papers

2017

1. Harmful Diversification: Evidence from Alternative Investments
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
   See also Journal Article in The British Accounting Review (2019)
2. Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
3. Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University

2015

4. Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (3)
   See also Journal Article in Insurance: Mathematics and Economics (2016)

2013

5. Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
   See also Journal Article in International Review of Financial Analysis (2015)

2011

6. Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price
   Post-Print, HAL View citations (1)
   Also in ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University (2009) View citations (1)
   See also Journal Article in Applied Economics (2012)

2009

7. Back to the Future: A Long Term Solution to the Occupational Pensions Crisis
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
8. Valuing Medieval Annuities: Were Corrodies Underpriced?
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)
   See also Journal Article in Explorations in Economic History (2010)

2007

9. Better cross hedges with composite hedging? Hedging equity portfoloios using financial and commodity features
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
10. Should Defined Benefit Pension Schemes be Career Average or Final Salary?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)

2005

11. A False Perception? The relative riskiness of AIM and listed Stocks
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
12. Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
    See also Journal Article in Economic Analysis (2007)
13. Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
    See also Journal Article in Annals of Actuarial Science (2006)

2002

14. Market Regulation in a Dynamic Environment
    FMG Special Papers, Financial Markets Group

2001

15. Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options
    Working Papers, University of Southampton - Department of Accounting and Management Science View citations (2)
    See also Journal Article in Journal of Futures Markets (2003)

2000

16. Black-Scholes Versus Neural Networks in Pricing FTSE 100 Options
    Working Papers, University of Southampton - Department of Accounting and Management Science View citations (7)

1999

17. Is the Forward Rate for the Greek Drachma Unbiased? A VECM Analysis with both Overlapping and Non-Overlapping Data
    Working Papers, University of Southampton - Department of Accounting and Management Science View citations (3)
18. The Application of Operations Research Techniques to Financial Markets
    Working Papers, University of Southampton - Department of Accounting and Management Science

1996

19. The Effects of Spot Transparency on Bid-Ask Spreads and Volume of Traded Share Options
    Working Papers, University of Southampton - Department of Accounting and Management Science

1995

20. The Performance of Covered Calls and Protective Puts
    Working Papers, University of Southampton - Department of Accounting and Management Science

1994

21. Loan Loss Provision by International Banks: Estimation, Determinants and Evidence
    Working Papers, University of Southampton - Department of Accounting and Management Science View citations (1)

1993

22. The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk
    Working Papers, University of Southampton - Department of Accounting and Management Science View citations (4)
    See also Journal Article in Journal of Futures Markets (1996)

Journal Articles

2021

1. Horses for courses: Mean-variance for asset allocation and 1/N for stock selection
   European Journal of Operational Research, 2021, 288, (1), 302-317

2019

2. Harmful diversification: Evidence from alternative investments
   The British Accounting Review, 2019, 51, (1), 1-23 View citations (5)
   See also Working Paper (2017)
3. The role of customer awareness in promoting firm sustainability and sustainable supply chain management
   International Journal of Production Economics, 2019, 217, (C), 88-96 View citations (2)
4. The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models
   Applied Economics Letters, 2019, 26, (6), 516-521 View citations (1)

2018

5. Optimal vs naïve diversification in cryptocurrencies
   Economics Letters, 2018, 171, (C), 93-96 View citations (23)
6. Socially responsible investment portfolios: Does the optimization process matter?
   The British Accounting Review, 2018, 50, (4), 379-401 View citations (10)

2017

7. Asset–liability modelling and pension schemes: the application of robust optimization to USS
   The European Journal of Finance, 2017, 23, (4), 324-352 View citations (11)

2016

8. Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011
   Insurance: Mathematics and Economics, 2016, 69, (C), 14-28
   See also Working Paper (2015)

2015

9. Trading death: The implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios
   International Review of Financial Analysis, 2015, 38, (C), 163-174 View citations (2)
   See also Working Paper (2013)

2012

10. Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures
    The European Journal of Finance, 2012, 18, (6), 575-595 View citations (10)
11. Over the moon or sick as a parrot? The effects of football results on a club's share price
    Applied Economics, 2012, 44, (26), 3435-3452 View citations (8)
    See also Working Paper (2011)
12. PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS
    Intelligent Systems in Accounting, Finance and Management, 2012, 19, (2), 128-149 View citations (3)

2010

13. Valuing medieval annuities: Were corrodies underpriced?
    Explorations in Economic History, 2010, 47, (2), 142-157 View citations (1)
    See also Working Paper (2009)

2007

14. Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate
    Economic Analysis, 2007, 40, (3-4), 87-118 View citations (2)
    See also Working Paper (2005)

2006

15. Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria
    Annals of Actuarial Science, 2006, 1, (2), 203-220
    See also Working Paper (2005)

2005

16. The cult of the equity for pension funds: should it get the boot?
    Journal of Pension Economics and Finance, 2005, 4, (1), 57-85 View citations (2)

2004

17. Black–Scholes versus artificial neural networks in pricing FTSE 100 options
    Intelligent Systems in Accounting, Finance and Management, 2004, 12, (4), 243-260
18. Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance
    British Actuarial Journal, 2004, 10, (5), 1111-1131

2003

19. Applying Operations Research Techniques to Financial Markets
    Interfaces, 2003, 33, (2), 12-24 View citations (7)
20. Scheduled announcements and volatility patterns: The effects of monetary policy committee announcements on LIBOR and short sterling futures and options
    Journal of Futures Markets, 2003, 23, (8), 773-797 View citations (2)
    See also Working Paper (2001)

2001

21. The Effect of Futures Market Volume on Spot Market Volatility
    Journal of Business Finance & Accounting, 2001, 28, (7‐8), 799-819 View citations (7)

2000

22. Market Maker Performance: The Search for Fair Weather Market Makers
    Journal of Financial Services Research, 2000, 17, (3), 259-276 View citations (2)
23. The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange
    Journal of Business Finance & Accounting, 2000, 27, (7‐8), 887-909 View citations (2)
24. The performance of covered calls
    The European Journal of Finance, 2000, 6, (1), 1-17 View citations (4)

1998

25. Options trading when the underlying market is not transparent
    Journal of Futures Markets, 1998, 18, (2), 225-242

1997

26. Book Reviews
    Accounting and Business Research, 1997, 28, (1), 83-88

1996

27. The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk
    Journal of Futures Markets, 1996, 16, (1), 29-54 View citations (1)
    See also Working Paper (1993)
28. Trade Transparency and the London Stock Exchange
    European Financial Management, 1996, 2, (3), 355-365 View citations (19)

1994

29. Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence
    Management Science, 1994, 40, (4), 516-534 View citations (12)

1986

30. Designing Secondary School Catchment Areas Using Goal Programming
    Environment and Planning A, 1986, 18, (5), 661-675 View citations (2)

1983

31. Injection Leakages, Trade Repercussions and the Regional Income Multiplier: An Extension
    Scottish Journal of Political Economy, 1983, 30, (3), 275-86 View citations (2)

1982

32. Inflation and Prisoner's Dilemmas
    Journal of Post Keynesian Economics, 1982, 4, (4), 574-585 View citations (1)
33. Keynesian Income Multipliers with First and Second Round Effects: An Application to Tourist Expenditure
    Oxford Bulletin of Economics and Statistics, 1982, 44, (4), 321-38 View citations (9)

1978

34. The First Round of the Keynesian Regional Income Multiplier
    Scottish Journal of Political Economy, 1978, 25, (2), 177-86 View citations (2)

Books

2016

1. Finance and Occupational Pensions
   Palgrave Macmillan Books, Palgrave Macmillan View citations (2)