Details about Charles Sutcliffe

Workplace:

ICMA Centre for Financial Markets, Henley Business School, University of Reading, (more information at EDIRC)

Access statistics for papers by Charles Sutcliffe.

Last updated 2025-04-24. Update your information in the RePEc Author Service.

Short-id: psu64

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Working Papers

2017

1. Harmful Diversification: Evidence from Alternative Investments
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
   See also Journal Article Harmful diversification: Evidence from alternative investments, The British Accounting Review, Elsevier (2019) View citations (19) (2019)
2. Pension Schemes, Taxation and Stakeholder Wealth: The USS Rule Changes
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
3. Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading

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, University of Reading View citations (2)
   See also Journal Article Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011, Insurance: Mathematics and Economics, Elsevier (2016) View citations (9) (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, University of Reading
   See also Journal Article Trading death: The implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios, International Review of Financial Analysis, Elsevier (2015) View citations (3) (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 (2)
   Also in ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2009) View citations (4)
   See also Journal Article Over the moon or sick as a parrot? The effects of football results on a club's share price, Applied Economics, Taylor & Francis Journals (2012) View citations (15) (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, University of Reading
8. Valuing Medieval Annuities: Were Corrodies Underpriced?
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
   See also Journal Article Valuing medieval annuities: Were corrodies underpriced?, Explorations in Economic History, Elsevier (2010) View citations (4) (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, University of Reading
10. Should Defined Benefit Pension Schemes be Career Average or Final Salary?
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading 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, University of Reading
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, University of Reading
    See also Journal Article Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate, Economic Analysis, Institute of Economic Sciences (2007) View citations (2) (2007)
13. Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
    See also Journal Article Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria, Annals of Actuarial Science, Cambridge University Press (2006) (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 Scheduled announcements and volatility patterns: The effects of monetary policy committee announcements on LIBOR and short sterling futures and options, Journal of Futures Markets, John Wiley & Sons, Ltd. (2003) View citations (3) (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 (8)

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 View citations (1)

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 The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk, Journal of Futures Markets, John Wiley & Sons, Ltd. (1996) View citations (3) (1996)

Journal Articles

2024

1. Why are pension schemes frozen, and how does a freeze affect the Employer's risk?
   International Review of Economics & Finance, 2024, 94, (C)

2023

2. The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19
   The European Journal of Finance, 2023, 29, (7), 800-825 View citations (3)

2021

3. Asset–liability models and the Chinese basic pension fund
   Economic and Political Studies, 2021, 9, (2), 186-216
4. Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach
   The British Accounting Review, 2021, 53, (5) View citations (5)
5. Horses for courses: Mean-variance for asset allocation and 1/N for stock selection
   European Journal of Operational Research, 2021, 288, (1), 302-317 View citations (15)
6. What determines the asset allocation of defined benefit pension funds?
   Applied Economics, 2021, 53, (36), 4178-4191 View citations (2)

2019

7. Harmful diversification: Evidence from alternative investments
   The British Accounting Review, 2019, 51, (1), 1-23 View citations (19)
   See also Working Paper Harmful Diversification: Evidence from Alternative Investments, ICMA Centre Discussion Papers in Finance (2017) View citations (1) (2017)
8. 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 (39)
9. 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 (4)

2018

10. Optimal vs naïve diversification in cryptocurrencies
    Economics Letters, 2018, 171, (C), 93-96 View citations (53)
11. Socially responsible investment portfolios: Does the optimization process matter?
    The British Accounting Review, 2018, 50, (4), 379-401 View citations (34)

2017

12. 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 (20)

2016

13. 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 View citations (9)
    See also Working Paper Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011, ICMA Centre Discussion Papers in Finance (2015) View citations (2) (2015)

2015

14. 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 (3)
    See also Working Paper Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios, ICMA Centre Discussion Papers in Finance (2013) (2013)

2012

15. 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 (15)
16. 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 (15)
    See also Working Paper Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price, Post-Print (2011) View citations (2) (2011)
17. PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS
    Intelligent Systems in Accounting, Finance and Management, 2012, 19, (2), 128-149 View citations (4)

2010

18. Valuing medieval annuities: Were corrodies underpriced?
    Explorations in Economic History, 2010, 47, (2), 142-157 View citations (4)
    See also Working Paper Valuing Medieval Annuities: Were Corrodies Underpriced?, ICMA Centre Discussion Papers in Finance (2009) View citations (1) (2009)

2007

19. 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 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 (2005) (2005)

2006

20. 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 Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria, ICMA Centre Discussion Papers in Finance (2005) (2005)

2005

21. 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

22. Black–Scholes versus artificial neural networks in pricing FTSE 100 options
    Intelligent Systems in Accounting, Finance and Management, 2004, 12, (4), 243-260 View citations (1)
23. Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance
    British Actuarial Journal, 2004, 10, (5), 1111-1131

2003

24. Applying Operations Research Techniques to Financial Markets
    Interfaces, 2003, 33, (2), 12-24 View citations (13)
25. 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 (3)
    See also Working Paper Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options, Working Papers (2001) View citations (2) (2001)

2001

26. The Effect of Futures Market Volume on Spot Market Volatility
    Journal of Business Finance & Accounting, 2001, 28, (7‐8), 799-819 View citations (16)

2000

27. Market Maker Performance: The Search for Fair Weather Market Makers
    Journal of Financial Services Research, 2000, 17, (3), 259-276 View citations (3)
28. 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 (6)
29. The performance of covered calls
    The European Journal of Finance, 2000, 6, (1), 1-17 View citations (5)

1998

30. Options trading when the underlying market is not transparent
    Journal of Futures Markets, 1998, 18, (2), 225-242 View citations (1)

1997

31. Book Reviews
    Accounting and Business Research, 1997, 28, (1), 83-88
32. Inventory‐based stock market transparency rules
    Journal of Financial Regulation and Compliance, 1997, 5, (1), 23-28 View citations (1)

1996

33. The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk
    Journal of Futures Markets, 1996, 16, (1), 29-54 View citations (3)
    See also Working Paper The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk, Working Papers (1993) View citations (4) (1993)
34. Trade Transparency and the London Stock Exchange
    European Financial Management, 1996, 2, (3), 355-365 View citations (24)

1994

35. Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence
    Management Science, 1994, 40, (4), 516-534 View citations (20)

1986

36. Designing Secondary School Catchment Areas Using Goal Programming
    Environment and Planning A, 1986, 18, (5), 661-675 View citations (4)

1983

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

1982

38. Inflation and Prisoner's Dilemmas
    Journal of Post Keynesian Economics, 1982, 4, (4), 574-585 View citations (1)
39. 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 (12)

1978

40. The First Round of the Keynesian Regional Income Multiplier
    Scottish Journal of Political Economy, 1978, 25, (2), 177-86 View citations (5)

Books

2016

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

2015

2. Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies
   Palgrave Macmillan Books, Palgrave Macmillan

2002

3. Transparency and Fragmentation
   Palgrave Macmillan Books, Palgrave Macmillan View citations (1)

Chapters

2023

1. Cryptocurrency Portfolios Using Heuristics
   Springer

2016

2. Annuities
   Palgrave Macmillan
3. Corporate Finance and Pension Schemes
   Palgrave Macmillan
4. Introduction to Pension Schemes
   Palgrave Macmillan
5. Investment by Pension Funds
   Palgrave Macmillan
6. Selected Pension Scheme Topics
   Palgrave Macmillan

2015

7. Activities
   Palgrave Macmillan
8. Basic Analysis of Relative Volatility
   Palgrave Macmillan
9. Conclusions
   Palgrave Macmillan
10. Empirical Analysis
    Palgrave Macmillan
11. GARCH Analysis of Switchers
    Palgrave Macmillan
12. Interviews
    Palgrave Macmillan
13. Introduction
    Palgrave Macmillan
14. Literature Review
    Palgrave Macmillan
15. Market-Switching Stocks
    Palgrave Macmillan
16. Preliminary Data Analysis
    Palgrave Macmillan
17. Regression Analyses with Multiple Variables
    Palgrave Macmillan
18. Relative Risk Allowing for Size, Age or Liquidity
    Palgrave Macmillan
19. Volatility Estimation
    Palgrave Macmillan

2002

20. A New Regulatory Framework
    Palgrave Macmillan
21. Executive Summary and Policy Implications
    Palgrave Macmillan
22. Fragmentation and Consolidation
    Palgrave Macmillan
23. Introduction and Overview
    Palgrave Macmillan
24. Over the Counter (OTC) Markets
    Palgrave Macmillan
25. Policy Responses to Fragmentation
    Palgrave Macmillan
26. The Recognised Investment Exchanges
    Palgrave Macmillan
27. The Regulation of Transparency
    Palgrave Macmillan View citations (1)
28. Theory and Results on Transparency
    Palgrave Macmillan