Articles

Refereed Articles

• Global evidence on the equity risk premium (with P Marsh and M Staunton), forthcoming in Journal of Applied Corporate Finance, 2002 Pdf
• Index rebalancing and the technology bubble (with P Marsh), Journal of Asset Management, 2001, 1(4): 1-10 Pdf
• High frequency performance monitoring (with A Jackson), Journal of Portfolio Management, 2001, 28 (1): 33-43 Pdf Slideshow
• UK Financial Market Returns 1955-2000 (with P Marsh), Journal of Business 2001, 74(1): 1-30, Pdf
• Review of "Financial Markets and Corporate Finance" by Michael J Brennan, Review of Financial Studies 2001, 14(1): 307-311 Pdf
• Risk and return in the 20th and 21st centuries (with P Marsh and M Staunton), Business Strategy Review, 2000, 11(2): 1-18 Pdf
• Three centuries of asset pricing (with M Mussavian), Journal of Banking and Finance 1999, 23(12): 1745-1769, Pdf
• Closed-end funds: a survey (with C Minio-Kozerski), Financial Markets, Institutions & Instruments 1999, 9(3): 1-41, Pdf
• Murphy’s law and market anomalies (with P Marsh), Journal of Portfolio Management 1999, 25(2): 53-69
• A brief history of market efficiency (with M Mussavian), European Financial Management 1998, 4(1): 91-103 Pdf
• Stress tests of capital requirements (with P Marsh), Journal of Banking and Finance 1997, 21(12): 1515-1546
• Capital requirements for securities firms (with P Marsh), Journal of Finance 1995, 50(3): 821-851
• Volatility forecasting without data-snooping (with P Marsh), Journal of Banking and Finance 1990, 14(2): 399-421
• The discount rate for a power station, Energy Economics 1989, 11(3):175-180
• Event study methods and the size effect: the case of UK press recommendations (with P Marsh), Journal of Financial Economics 1986, 17(1):1-29 Elsevier Science
• Brokers' recommendations: the value of a telephone tip (with P Fraletti), Economic Journal 1986, 96: 139-159
• Friction in the trading process and risk measurement, Economics Letters 1985, 18: 251-254
• An analysis of brokers' and analysts' unpublished forecasts of UK stock returns (with P Marsh), Journal of Finance 1984, 36(5): 1257-1292 JSTOR
• Hedging the market: the performance of the FTSE Index (with P Marsh), Journal of the Institute of Actuaries (now known as British Actuarial Journal) 1984, 111(2): 403-430
• The stability of UK risk measures and the problem of thin trading (with P Marsh), Journal of Finance 1983, 38(3):753-783
• Calculating the cost of capital (with P Marsh), Long Range Planning 1982, 15(2): 112-120
• Risk measurement when shares are subject to infrequent trading, Journal of Financial Economics 1979, 7(2): 197-226
• Option valuation nomograms, Financial Analysts Journal 1977, 33(6): 71-75
• Instant option valuation Financial Analysts Journal 1977, 33(3): 62-69

Professional articles

• The Crisis in Accounting, Auditing and Corporate Governance (with co-members of the Financial Economists Roundtable), forthcoming in Journal of Applied Corporate Finance, 2003 Pdf
• Hedging processors' duality in currency exposure: discussion, Review of Futures Markets 1993, 12(2): 319-323 
• Commentary on tests of options market efficiency, Review of Futures Markets 1990, 9(3): 571-574
• Sizing up stock market indices (with P Marsh), Investing 1990, 4(3): 52-59
• The smaller companies puzzle (with P Marsh), The Investment Analyst 1989, 91:16-24, reprinted in The Accountant 1991, 7(3):10-17
• Investing in smaller companies (with P Marsh), Investment Management Review 1988, 1(1): 11-28
• Evaluating the experts (with P Marsh), London Business School Journal 1985, 9(2): 13-17
• Stock pickers: chimps, chumps or champs? (with P Marsh), The Investment Analyst 1985, 75: 26-35
• Futures, options and the FTSE Index (with P Marsh), The Investment Analyst 1984, 74: 14-26
• Evaluating the experts: is the equity market efficient or deficient? (with P Marsh), The Treasurer 1984, 6(9): 7-10
• Follow the tipsters (with P Marsh), Which? 1983, 83(12): 570-571
• New approaches to measuring share selection skills (with P Marsh), The Investment Analyst 1981, 60: 21-29
• Modern risk measurement (with P Marsh), Managerial Finance 1979, 5(1): 80-86
• The risk premium on UK equities (with RA Brealey), The Investment Analyst 1978, 52: 14-18
• Financing the smaller company, Long Range Planning 1978, 11(6): 9-13
• The variability of market returns (with RA Brealey and J Byrne), The Investment Analyst 1978, 52: 19-23
• Measuring investment performance, The Investment Analyst 1978, 51: 15-22

Work in progress

• New evidence puts risk premium in context (with Paul Marsh and Mike Staunton) Pdf
• Who will live and who will die? The determinants of common stock attrition (with D Stolin) revise and resubmit to Management Science Pdf
• Capturing the Value Premium in the U.K. 1955-2001(with S Nagel &  G Quigley) second round at Financial Analysts Journal SSRN
• The expected illiquidity premium (with B Hanke), second round at Review of Financial Studies
• A century of corporate finance (with E Talmor), 2002, revisions in progress
• The closed-end fund discount and performance persistence (with C Minio-Kozerski), Pdf
• A factor model of the closed-end fund discount (with C Minio-Kozerski), Pdf
• Pre-tax discounting (with M Staunton), 1997, presented at the European Accounting Association