A5101423199- Financial Reporting and Valuation Research
- Financial Markets and Investment Strategies
- Capital Investment and Risk Analysis
- Corporate Finance and Governance
- Banking stability, regulation, efficiency
- Monetary Policy and Economic Impact
- Credit Risk and Financial Regulations
- Auditing, Earnings Management, Governance
- Cinema and Media Studies
- Housing Market and Economics
- Insurance and Financial Risk Management
- Corporate Taxation and Avoidance
- Global Financial Crisis and Policies
- Shakespeare, Adaptation, and Literary Criticism
- Advanced Chemical Physics Studies
- Stochastic processes and financial applications
- Economic theories and models
- Atmospheric chemistry and aerosols
- COVID-19 epidemiological studies
- Public-Private Partnership Projects
- Atmospheric Ozone and Climate
- Private Equity and Venture Capital
- Fiscal Policy and Economic Growth
- Advanced Combustion Engine Technologies
- Spectroscopy and Laser Applications
London Business School
2013-2023
The University of Sydney
2020-2022
London School of Business and Finance
1995-2017
Eclipse Research Consultants (United Kingdom)
2011
Mansfield University
2010
Natural Environment Research Council
2001
Smithers Pira
2001
AstraZeneca (United Kingdom)
2000
La Trobe University
1997
Citigroup
1994
We test whether the home bias in equity portfolios is caused by investors trying to hedge inflation risk. The empirical evidence consistent with this motive only if have very high levels of risk tolerance and returns are negatively correlated domestic inflation. then develop a model international portfolio choice market equilibrium that integrates deadweight costs. Using we estimate costs required generate observed different aversion. For level aversion standard estimates premium, these...
<h3>Importance</h3> In patients who require mechanical ventilation for acute hypoxemic respiratory failure, further reduction in tidal volumes, compared with conventional low volume ventilation, may improve outcomes. <h3>Objective</h3> To determine whether lower using extracorporeal carbon dioxide removal improves outcomes failure. <h3>Design, Setting, and Participants</h3> This multicenter, randomized, allocation-concealed, open-label, pragmatic clinical trial enrolled 412 adult receiving...
For much of the past century, there has been an increased tendency for large infrastructure projects to be funded and operated by governments. Since early 1980s, however, private‐sector financing management such have experienced a dramatic revival. In some cases, this revival taken form “privatization” entire industry. But another, increasingly common, use project finance fund instrastructure investments. Besides being widely used in investments like telecommunications power generation...
ABSTRACT We characterize the exchange of financial claims from risky swaps. These transfers are among three groups: shareholders, debtholders, and swap counterparty. From this analysis we derive equilibrium rates relate them to debt market spreads. then show that swaps in perfect markets transfer wealth shareholders debtholders. In a simplified case, obtain closed‐form solutions for value default risk swap. For interest‐rate swaps, numerical rate, including risk. compare these with
Much effort has been recently devoted to investigating and expounding the properties of measure called “duration.” Two claimed for duration are (1) that it is a good indicator average life payments stream (2) measures elasticity present value such with respect discount rate. Unfortunately theoretical justifications second, more important, property have based upon analysis either change in rate constant all future time periods, or, generally, parallel shift term structure interest rates.
Abstract This paper addresses an issue central to the estimation of discount rates for capital budgeting: should geometric mean or arithmetic past data be used when estimating rate? use ignores error and serial correlation in returns. Unbiased factors have been derived that correct both these effects. In all cases, corrected are closer than mean.
This paper derives a tax‐adjusted discount rate formula with constant proportion leverage policy, investor taxes, and risky debt. The result depends on an assumption about the treatment of tax losses in default. We identify that justifies textbook approach discounting interest shields at cost contrast this alternative leads to Sick (1990) these should be discounted riskless rate. These two approaches represent polar cases. Each generates its results by using different simplifying assumption,...
The literature on international equity holdings distinguishes between home bias (overweighting of stocks) and foreign (relative underweighting for more "distant" countries). two biases can be integrated into one distance-based model. We define pure as the excess relative to this model, find only in emerging markets. Countries with high tax rates low credit standing have higher bias, development comes lower distance aversion. Methodologically, choice portfolio measure matters. best a...
The modelling of default risk in debt securities involves making assumptions about the stochastic process driv- ing default, generating write-down and risk-free interest rates. Three generic approaches have been used. first relies on value assets which is written. second as an arrival process. third directly rate spreads to gives rise. Each these may be applied impact derivative products such swaps options. One application valuation that default. other new class ‘credit derivatives’...