Research

The cost of debt (with S Davydenko) working paper, 2002.

Arithmetic versus Geometric Mean Estimators: Setting Discount Rates for Capital Budgeting, European Financial Management, July 1996, Vol 2:2, 157-167.

Partially Segmented International Capital Markets and International Capital Budgeting  (with E Kaplanis) Journal of International Money and Finance 19, June 2000, 309-329.

Home Bias in Equity Portfolios and the Cost of Capital for Multinational Firms (with E Kaplanis), Journal of Applied Corporate Finance, Fall 1995, Vol 8.3, 95-102.

Comments on the Brattle document: Beta analysis of British Telecommunications: Update, Annex 1 to BT's response to the Ofcom consultation document Ofcom's approach to risk in the assessment of the cost of capital, Second consultation in relation to BT's equity beta, 22 July 2005.

Comments on the PwC document: Disaggregating BT's beta, Annex 1 to BT's response to the Ofcom consultation document Ofcom's approach to risk in the assessment of the cost of capital, Second consultation in relation to BT's equity beta, 22 July 2005.

The risk of the copper access network, Annex 2 to BT's response to Ofcom's consultation document: Ofcom's approach to risk in the assessment of the cost of capital, 5 April 2005.

The equity market risk premium, Annex 1 to BT's response to Ofcom's consultation document: Ofcom's approach to risk in the assessment of the cost of capital, 5 April 2005.

The Cost of Capital of the UK Water Sector (with D Currie) London Business School Regulation Initiative Working Paper 28, 1999.

The Impact of Global Orientation on the Cost of Capital, in Network Charges from 1997, British Telecommunications plc, 1997.

Estimation of the Market Risk Premium, in Pricing of Telecommunications Services from 1997, British Telecommunications plc, 1996.

Consistent treatment of imputation tax in the weighted average cost of capital, in Pricing of Telecommunications Services from 1997, British Telecommunications plc, 1996.

Alternative Estimates of BT's Beta and a Comparison with the Estimate used by Oftel, in Pricing of Telecommunications Services from 1997, British Telecommunications plc, 1996.

The Inflation Risk Adjustment to the Gilt Rate used by Oftel, in Pricing of Telecommunications Services from 1997, British Telecommunications plc, 1996.

The Implications of the Home Bias in Equity Portfolios (with E Kaplanis), Business Strategy Review, Summer 1994, Vol 5, Issue 2, pp 41-53 Reprinted in International Financial Management, edited M. Glover, CGA, Canada, 1997.

Project Appraisal

Valuation in the Public and Private Sectors: Tax, Risk, and the Cost of Capital (with R Brealey and M Habib) working paper, 2002.

Investment Appraisal in the Public Sector (with R A Brealey and M Habib) Oxford Review of Economic Policy, 13.4, 1997, 12-18; Reprinted in Management Accounting –Financial Strategy, CIMA publishing, 2000.

Relative Price Changes and Financial Decisions, in Gower Financial Management Handbook 3rd Edition ed. P. Vale, Gower Press, 1986, pp 67-78.

Inflation and Financial Decisions, in Financial Management Handbook, Gower Press, 1983, Part III, pp 49-65.

Capital Project Planning (with T Runton and J Broyles) in Financial Management Handbook, Gower Press, 1983, Part II, pp 21-47.

Financial Management Handbook (2nd Ed) (with J Broyles and S Archer), J Broyles and I Cooper principal editors, Gower Press, 1983.

Growth Opportunities and Real Investment Decisions (with J Broyles), Risk, Capital Costs and Project Financing Decisions, edited by F Derkindern and R Crum, Martinus Nijhoff, 1980, pp 107-118.

PROJECT FINANCE AND VENTURE CAPITAL

Project Finance

Using Project Finance to Fund Infrastructure Investments (with R A Brealey and M Habib) Journal of Applied Corporate Finance, Fall 1996, Vol 9:3, pp 25-38.Reprinted in The New Corporate Finance edited D H Chew, McGraw-Hill, 2001(3rd Ed). Reprinted in The Revolution in Corporate Finance edited J M Stern and D H Chew, Blackwell, 2003 (4th Ed).

Financing Large Scale Engineering Projects, (with R A Brealey and M Habib) in High Risk, Uncertain Returns: The Game of Project Venturing, ed G. Bickerstaffe, MIT Press, 2000.

Venture Capital

Dynamics of Borrower Lender Interaction: Partitioning the Payoff in Venture Capital Investment (with W.T. Carleton), Journal of Finance, May 1979, 34.2, pp 517-529.

Venture Capital Investment (with W.T. Carleton), Readings in Strategy for Corporate Investment, edited by F Derkindern and R Crum, 1981, Pitman Publishing, Marshfield, Mass.

Venture Capital Investment, LBS Journal, 1979.  Reprinted in La Revue de Financier, 1981, pp 32-34.

A Model of Venture Capital Investment (PhD Thesis) University of North Carolina at Chapel Hill, University Microfilms International, 1978.

Financing Instruments

Default Spreads in the Fixed and Floating Interest Rate Markets: A Contingent Claims Approach (with A S Mello), Advances in Futures and Options Research, 1988, Vol 3, pp 269-289.

Corporate Liabilities and Options, The Australian Corporate Treasurer, August 1989.

Repackaging Perpetual FRN's, Journal of International Securities Markets, Spring 1988, pp 55-60.

The Relationship Between Two Methods of Valuing Convertible Bonds, in Optimum Users Manual, London Business School Financial Services, 1988.

Hedging and Treasury Decisions

Corporate Hedging: The Relevance of Contract Specifications and Banking Relationships (with A S Mello) European Finance Review, 2.2, 1999, 1-29.

Treasury Performance Measurement (with J Franks), Midland Corporate Finance Journal, Vol 4, No 4, Winter 1987, pp 29-43.  Reprinted in New Developments in International Finance, ed- ited be J Stern and D Chew, Blackwell, 1988, pp 147-161. Reprinted in The Treasurer, February 1988 and March 1988.

Public Sector Finance

Investment Appraisal in the Public Sector (with R A Brealey and M Habib) Oxford Review of Economic Policy, 13.4, 1997, 12-18; Reprinted in Management Accounting –Financial Strategy, CIMA publishing, 2000.

Valuation in the Public and Private Sectors: Tax, Risk, and the Cost of Capital (with R Brealey and M Habib) working paper, 2002.

Regulation  

Comments on the Brattle document: Beta analysis of British Telecommunications: Update, Annex 1 to BT's response to the Ofcom consultation document Ofcom's approach to risk in the assessment of the cost of capital, Second consultation in relation to BT's equity beta, 22 July 2005.

Comments on the PwC document: Disaggregating BT's beta, Annex 1 to BT's response to the Ofcom consultation document Ofcom's approach to risk in the assessment of the cost of capital, Second consultation in relation to BT's equity beta, 22 July 2005.

The risk of the copper access network, Annex 2 to BT's response to Ofcom's consultation document: Ofcom's approach to risk in the assessment of the cost of capital, 5 April 2005.

The equity market risk premium, Annex 1 to BT's response to Ofcom's consultation document: Ofcom's approach to risk in the assessment of the cost of capital, 5 April 2005.

Estimation of beta for UK mobile telecommunications, in BT's response to Oftel's review of the mobile sector, British Telecommunications, 2001.

The Cost of Capital of the UK Water Sector (with D Currie) London Business School Regulation Initiative Working Paper 28, 1999.

The Impact of Global Orientation on the Cost of Capital, in Network Charges from 1997, British Telecommunications plc, 1997.

Estimation of the Market Risk Premium, in Pricing of Telecommunications Services from 1997, British Telecommunications plc, 1996.

Consistent treatment of imputation tax in the weighted average cost of capital, in Pricing of Telecommunications Services from 1997, British Telecommunications plc, 1996.

Alternative Estimates of BT's Beta and a Comparison with the Estimate used by Oftel, in Pricing of Telecommunications Services from 1997, British Telecommunications plc, 1996.

The Inflation Risk Adjustment to the Gilt Rate used by Oftel, in Pricing of Telecommunications Services from 1997, British Telecommunications plc, 1996.

Home Bias in Equity Portfolios, Inflation Hedging and International Capital Market Equilibrium (with E Kaplanis), Review of Financial Studies, Spring 1994, Vol 7 No 1, pp 45-60; Reprinted in International Capital Markets, ed. R Stulz and GA Karolyi, Edward Elgar, 2002.

Home Bias in Equity Portfolios and the Cost of Capital for Multinational Firms (with E Kaplanis), Journal of Applied Corporate Finance, Fall 1995, Vol 8.3, 95-102

Partially Segmented International Capital Markets and International Capital Budgeting (with E Kaplanis) Journal of International Money and Finance 19, June 2000, 309-329.

Excess comovement in international equity markets: A test using cross-border mergers (with R A Brealey and E Kaplanis), working paper, 2005.

The case for global investing, in Mastering Investment, The Financial Times, 2001.

Home Bias in Equity Portfolios: Causes and Consequences for Investment Policy (with E Kaplanis) in The Advisor's Guide to Financial Research, ed. D J S Brean and J Hull, Rogers Publishing, Toronto, 2000.

What is the International Dimension of International Finance? (with R A Brealey and  E Kaplanis) European Finance Review 3, 1999, 103-119.

The Impact of Global Orientation on the Cost of Capital, in Network Charges from 1997, British Telecommunications plc, 1997.

The Implications of the Home Bias in Equity Portfolios (with E Kaplanis), Business Strategy Review, Summer 1994, Vol 5, Issue 2, pp 41-53; Reprinted in International Financial Management, edited M. Glover, CGA, Canada, 1997.

Costs to Crossborder Investment and International Equity Market Equilibrium (with E Kaplanis), Recent developments in corporate finance, edited by J Edwards, J Franks, C Mayer and S Schaefer, Cambridge University Press, 1986, pp 209-240.

On Tests of the Conditional Relationship between Beta and Returns, forthcoming Applied Financial Economics, 2007.

Using yield spreads to estimate expected returns on debt and equity (with S Davydenko) working paper, 2004.

New Ideas in Investment Philosophy: The Asset Mix Decision (with R.A. Brealey), in Pension Funds and their Advisors, A P Financial Registers, 1982, pp 85-92.

Asset Mix and Future Performance, ISIS Bulletin, Laurie Millbank and Co, April 1982, pp 55-57.

Two Editorials for the London Business School Risk Measurement Service, 1981 (April-June and July-September).

FIXED INCOME AND DERIVATIVES

The Default Risk of Swaps (with AS Mello), Journal of Finance, June 1991, 46.2, pp 597-620. Reprinted in Advanced Topics in Risk Management edited by R Schwartz and C Smith, Prentice Hall, 1993.

Tax-adjusted discount rates with investor taxes and risky debt (with K Nyborg), working paper, 2004.

Using yield spreads to estimate expected returns on debt and equity (with S Davydenko) working paper, 2004.

The cost of debt (with S Davydenko) working paper, 2002.

Default Risk and Derivative Products (with M Martin), Applied Mathematical Finance, March 1996, Vol 3:1, 53-74.

Netting and the Design of Financial Contracts with Default Risk (with A S Mello), working paper, London Business School, 1995.

Default Spreads in the Fixed and Floating Interest Rate Markets: A Contingent Claims Approach (with A S Mello), Advances in Futures and Options Research, 1988, Vol 3, pp 269-289.

Fixed Income

Using yield spreads to estimate expected returns on debt and equity (with S Davydenko) working paper, 2004.

The Limitations of Simple Two-Factor Interest Rate Models (with R Rebonato), Journal of Financial Engineering, March 1996, Vol 5:1, 1-16, Reprinted in Treasury Management International, April 1996.

The Default Risk of Swaps (with AS Mello), Journal of Finance, June 1991, 46.2, pp 597-620. Reprinted in Advanced Topics in Risk Management edited by R Schwartz and C Smith, Prentice Hall, 1993.

The Mechanics of Interest Rate Options, in Management of Interest Rate Risk, edited by B. Antl, Euromoney, 1988, pp 179-188.

Default Spreads in the Fixed and Floating Interest Rate Markets: A Contingent Claims Approach (with A S Mello), Advances in Futures and Options Research, 1988, Vol 3, pp 269-289.

Asset Values, Interest Rate Changes and Duration, Journal of Financial and Quantitative Analysis, December 1977, pp 701-723.

Estimation and Uses of the Term Structure of Interest Rates (with W.T. Carleton), Journal of Finance, September 1976, 31.4, pp 1067-1083.

Derivatives

Coupling Backward Induction with Monte Carlo Simulations: A Fast Fourier Transform (FFT) Approach (with R Rebonato); Applied Mathematical Finance, 5, 1998, 1-11.

Futures and Swaps: The World's Fastest Growing Markets, Financial Times, 30 July 1997.  Reprinted in Mastering Finance, Pitman Publishing, 1997.

Buddy Can You Swap a Dime? Financial Times, 9th February 1996. Reprinted in Mastering Management, ed T Dickson, Pitman, 1997.

Default Risk and Derivative Products (with M Martin), Applied Mathematical Finance, March 1996, Vol 3:1, 53-74.

The Limitations of Simple Two-Factor Interest Rate Models (with R Rebonato), Journal of Financial Engineering, March 1996, Vol 5:1, 1-16, Reprinted in Treasury Management International, April 1996.

The Default Risk of Swaps (with AS Mello), Journal of Finance, June 1991, 46.2, pp 597-620. Reprinted in Advanced Topics in Risk Management edited by R Schwartz and C Smith, Prentice Hall, 1993.

Determinant of Successful Instruments, in Options, Recent Advances in Theory and Practice, edited by S Hodges, Manchester University Press, 1990, pp 33-46

Stock Index Futures: The Case for Markets in Baskets of Securities (with A S Mello), Advances in Futures and Options Research, 1989, Vol 4, pp 23-38.

The Financial Revolution, in The Handbook of International Financial Management, edited by R Aliber, Dow-Jones Irwin, 1989, pp 661-690.

Corporate Liabilities and Options, The Australian Corporate Treasurer, August 1989.

The Mechanics of Interest Rate Options, in Management of Interest Rate Risk, edited by B. Antl, Euromoney, 1988, pp 179-188

New Financial Instruments: An Overview, in New Financial Instruments, ed. I Cooper, The Chartered Institute of Bankers, 1987 (The Gilbart Lectures on Banking), pp 1-29.

New Financial Instruments, The Chartered Institute of Bankers, 1987, (The Gilbart Lectures on Banking).

Innovations: New Market Instruments, Oxford Review of Economic Policy, November 1986, Vol 2 No 4, pp 1-17. Reprinted in Innovations in Corporate Finance and Financial Markets, Oxford University Press, 1988.

Option Hedging (with C Kaplanis, A Neuberger and S Schaefer) working paper, London Business School, 1986.

Currency Option Prices, The Treasurer, May 1985, pp 9-14.

Should companies hold surplus cash? Institute of Chartered Financial Analysts of India Reader, 2003, reprinted in The Analyst, 2003.

Discussion of Models of Securities versus Banks, Economic Notes, No. 3, November 2000, 75-78.

Discussion of: Control of Credit Risk Collateralization using Quasi-variational Inequalities, Chicago Board of Trade Research Symposium Proceedings, 1999, CBOT.

Steadman Realty Company (with R. Levin) in Business Policy edited by A. Strickland, 1978, pp 240-256.