EconPapers    
Economics at your fingertips  
 

Details about Charles Sutcliffe

E-mail:
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 2019-09-12. Update your information in the RePEc Author Service.

Short-id: psu64


Jump to Journal Articles Books

Working Papers

2017

  1. Harmful Diversification: Evidence from Alternative Investments
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    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 Downloads
  3. Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2015

  1. 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 Downloads View citations (3)
    See also Journal Article in Insurance: Mathematics and Economics (2016)

2013

  1. 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 Downloads
    See also Journal Article in International Review of Financial Analysis (2015)

2011

  1. Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price
    Post-Print, HAL Downloads
    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

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

2007

  1. 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 Downloads
  2. Should Defined Benefit Pension Schemes be Career Average or Final Salary?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)

2005

  1. A False Perception? The relative riskiness of AIM and listed Stocks
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. 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 Downloads
    See also Journal Article in Economic Analysis (2007)
  3. Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Annals of Actuarial Science (2006)

2002

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

2001

  1. 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

  1. Black-Scholes Versus Neural Networks in Pricing FTSE 100 Options
    Working Papers, University of Southampton - Department of Accounting and Management Science View citations (6)

1999

  1. 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)
  2. The Application of Operations Research Techniques to Financial Markets
    Working Papers, University of Southampton - Department of Accounting and Management Science

1996

  1. 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

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

1994

  1. 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

  1. 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

2019

  1. Harmful diversification: Evidence from alternative investments
    The British Accounting Review, 2019, 51, (1), 1-23 Downloads View citations (1)
    See also Working Paper (2017)
  2. 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 Downloads

2018

  1. Optimal vs naïve diversification in cryptocurrencies
    Economics Letters, 2018, 171, (C), 93-96 Downloads View citations (4)
  2. Socially responsible investment portfolios: Does the optimization process matter?
    The British Accounting Review, 2018, 50, (4), 379-401 Downloads View citations (3)

2017

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

2016

  1. 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 Downloads
    See also Working Paper (2015)

2015

  1. 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 Downloads
    See also Working Paper (2013)

2012

  1. Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures
    The European Journal of Finance, 2012, 18, (6), 575-595 Downloads View citations (4)
  2. 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 Downloads View citations (7)
    See also Working Paper (2011)
  3. PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS
    Intelligent Systems in Accounting, Finance and Management, 2012, 19, (2), 128-149 View citations (2)

2010

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

2007

  1. 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 Downloads View citations (2)
    See also Working Paper (2005)

2006

  1. Merging Schemes: An Economic Analysis of Defined Benefit Pension Scheme Merger Criteria
    Annals of Actuarial Science, 2006, 1, (02), 203-220 Downloads
    See also Working Paper (2005)

2005

  1. The cult of the equity for pension funds: should it get the boot?
    Journal of Pension Economics and Finance, 2005, 4, (01), 57-85 Downloads View citations (2)

2004

  1. Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance
    British Actuarial Journal, 2004, 10, (05), 1111-1131 Downloads

2003

  1. Applying Operations Research Techniques to Financial Markets
    Interfaces, 2003, 33, (2), 12-24 Downloads View citations (6)
  2. 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 Downloads View citations (1)
    See also Working Paper (2001)

2001

  1. The Effect of Futures Market Volume on Spot Market Volatility
    Journal of Business Finance & Accounting, 2001, 28, (7‐8), 799-819 Downloads
    Also in Journal of Business Finance & Accounting, 2001, 28, (7&8), 799-819 (2001) Downloads View citations (9)

2000

  1. Market Maker Performance: The Search for Fair Weather Market Makers
    Journal of Financial Services Research, 2000, 17, (3), 259-276 Downloads View citations (2)
  2. 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 Downloads
    Also in Journal of Business Finance & Accounting, 2000, 27, (7&8), 887-909 (2000) Downloads View citations (4)
  3. The performance of covered calls
    The European Journal of Finance, 2000, 6, (1), 1-17 Downloads View citations (3)

1998

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

1997

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

1996

  1. The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk
    Journal of Futures Markets, 1996, 16, (1), 29-54 Downloads
    See also Working Paper (1993)
  2. Trade Transparency and the London Stock Exchange
    European Financial Management, 1996, 2, (3), 355-365 Downloads View citations (18)

1994

  1. Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence
    Management Science, 1994, 40, (4), 516-534 Downloads View citations (8)

1986

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

1983

  1. 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

  1. Inflation and Prisoner's Dilemmas
    Journal of Post Keynesian Economics, 1982, 4, (4), 574-585 Downloads View citations (1)
  2. 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 (8)

1978

  1. The First Round of the Keynesian Regional Income Multiplier
    Scottish Journal of Political Economy, 1978, 25, (2), 177-86 View citations (1)

Books

2016

  1. Finance and Occupational Pensions
    Palgrave Macmillan Books, Palgrave Macmillan
 
Page updated 2019-10-11