CAMR Research

Clare, A. (2022). Is there a boutique asset management premium? Evidence from the European fund management industry. Journal of Asset Management, 23(1), pp. 19–32.

Clare, A., Sherman, M., O'Sullivan, N., Gao, J. and Zhu, S. (2022). Manager characteristics: Predicting fund performance. International Review of Financial Analysis, 80.

Jang, C., Owadally, I., Clare, A. and Kashif, M. (2022). Lifetime consumption and investment with housing, deferred annuities and home equity release. Quantitative Finance, 22(1), pp. 129–145.

Keswani, A., Tran, A. and Volpin, P. (2021). Institutional Debtholder Governance. Journal of Financial and Quantitative Analysis, 56(6), pp. 2103–2135.

Clare, A., Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2021). How skilful are US fixed-income fund managers? International Review of Financial Analysis, 74, pp. 101673–101673.

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (2021) Perfect Withdrawal in a in a Noisy World: Investing with and without Annuities while in Drawdown between 2000 and 2019. The Journal of Retirement.

Fernandez-Perez, A., Fuertes, A.-.M. and Miffre, J. (2021). The risk premia of energy futures. Energy Economics, 102, pp. 105460–105460. 

Fuertes, A.-.M. and Robles, M.-.D. (2021). Bank credit risk events and peers' equity value. International Review of Financial Analysis, 75, pp. 101668–101668.

Jang, C., Clare, A. and Owadally, I. (2021). Glide paths for a retirement plan with deferred annuities. Journal of Pension Economics and Finance pp. 1–17.

Owadally, I., Jang, C. and Clare, A. (2021). Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk. European Journal of Operational Research, 295(3), pp. 1132–1146.

Vakratsas, D., Keswani, A. and Stolin, D. (2021). Advertising persuasion in dual markets. Managerial and Decision Economics, 42(1), pp. 239–245. doi:10.1002/mde.3229.

Chen, A., Haberman, S. and Thomas, S. (2020). The implication of the hyperbolic discount model for the annuitisation decisions. Journal of Pension Economics and Finance, 19(3), pp. 372–391.

Clare, A., Glover, S., Seaton, J., Smith, P.N. and Thomas, S. (2020). Measuring Sequence of Returns Risk The Journal of Retirement, 8(1), pp. 65–79

Fernandez-Perez, A., Fuertes, A.M., Gonzalez-Fernandez, M. and Miffre, J. (2020). Fear of hazards in commodity futures markets. Journal of Banking and Finance, 119, pp. 105902–105902.

Keswani, A., Medhat, M., Miguel, A.F. and Ramos, S.B. (2020). Uncertainty avoidance and mutual funds. Journal of Corporate Finance, 65, pp. 101748–101748.

Chen, A., Haberman, S. and Thomas, S. (24 August 2019) An Overview of International Deferred Annuity Markets SSRN

Chen, A., Haberman, S. and Thomas, S. (2019). Cumulative prospect theory and deferred annuities. Review of Behavioral Finance, 11(3), pp. 277–293.

Chen, A.D., Seaton, J., Smith, P.N. and Thomas, S,H. (2019) Can sustainable withdrawal rates be enhanced by trend following? International Journal of Finance and Economics

Clare, A. and Clare, M. (2019). An examination of ex ante fund performance: identifying indicators of future performance Journal of Asset Management,  20(3), pp. 175–195.

Clare, A., O'Sullivan, N., Sherman, M. and Zhu, S. (8 April 2019) The Performance of US Bond Mutual Funds SSRN

Clare, A., Seaton, J., Smith, P. N. and Thomas, S. (4 April 2019) Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing in US Retirement Portfolios From 1925 SSRN

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (2019). When Growth Beats Value: Applying Momentum Filters to Growth and Value Portfolios. The Journal of Investing, 28(5), pp. 69–84.

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (29 March 2019) The Rehabilitation of Glidepath Investing SSRN

Crook, J., Bellotti, T., Mues, C. and Fuertes, A. (2019). Preface to the papers on ‘Credit risk modelling’. Journal of the Royal Statistical Society: Series A (Statistics in Society), 182(4), pp. 1139–1142.

Cuthbertson, K., Kyriakou, I., Sermpinis, G. and Pantelous, A.A. (2019). Special issue of the International Journal of Finance and Economics, International Journal of Finance & Economics.

Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2019) US and UK Mutual Fund Performance Persistence: Factor Models and Portfolio Size

Hanke, B., Keswani, A., Quigley, G., Stolin, D. and Zagonov, M. (2019). The equal-weight tilt in managed portfolios. Economics Letters, 182, pp. 59–63.

Hayley, S. (2019) Reforming UK Venture Capital Trusts SSRN

Fernandez-Perez, A., Fuertes, A.-.M. and Miffre, J. (2019). A comprehensive appraisal of style-integration methods. Journal of Banking & Finance, 105, pp. 134–150.

Ferreira, M.A., Keswani, A., Miguel, A.F. and Ramos, S.B. (2019). What determines fund performance persistence? International evidence. Financial Review, 54(4), pp. 679–708.

Fuertes, A.-.M., Phylaktis, K. and Yan, C. (2019). Uncovered equity “disparity” in emerging markets. Journal of International Money and Finance, 98, pp. 102066–102066.

Mateus, I.B., Mateus, C. and Todorovic, N. (February 2019) Benchmark-Adjusted Performance of US Equity Mutual Funds and the Issue of Prospectus Benchmarks Journal of Asset Management, 20(1), pp.15-30.

Mateus, I.B., Mateus, C. and Todorovic, N. (2019). Correction to: Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks. Journal of Asset Management, 20(3), pp. 250–250.

Mateus, I.B., Mateus, C. and Todorovic, N. (2019). Review of new trends in the literature on factor models and mutual fund performance. International Review of Financial Analysis, 63, pp. 344–354.

Mateus, I.B., Mateus, C. and Todorovic, N. (21 Feb 2019) Use of Active Peer Benchmarks in Assessing UK Mutual Fund Performance and Performance Persistence The European Journal of Finance pp. 1077–1098.

Owadally, I., Jang, C. and Clare, A. (6 November 2019). Optimal Investment for a Retirement Plan with Deferred Annuities SSRN

Afonin, A., Bredin, D., Cutherbertson, K., Muckley, C. B. and Nitzsche, D. (9 March 2018) Carbon Portfolio Management International Journal of Finance and Economics

Audzeyeva, A. and Fuertes, A.-.M. (2018). On the predictability of emerging market sovereign credit spreads. Journal of International Money and Finance, 88, pp. 140–157.

Beckmann, J. and Cuthbertson, K. (2018). Special issue of applied economics on ‘Finance and the real economy’. Applied Economics, 50(34-35), pp. 3645–3646.

Clare, A. and Clare, M. (17 October 2018) An examination of Ex Ante Fund Performance: Identifying Indicators of Future Performance SSRN

Delvaux, J., Phylaktis, K. and Thomas, S. (12 December 2018) The Impact of Macroeconomic Factors on the Yield Curve in Emerging Markets: The Case of Sub-Saharan Africa SSRN

Fernandez-Perez, A., Frijns, B., Fuertes, A.-.M. and Miffre, J. (2018). The skewness of commodity futures returns. Journal of Banking & Finance, 86, pp. 143–158.

Hanke, B., Keswani, A., Quigley, G. and Zagonov, M. (2018). Survivorship bias and comparability of UK open-ended fund databases. Economics Letters, 172, pp. 110–114.

Hayley, S. (25 February 2018) Further Biases in Using Dollar- Weighted Returns to Infer Investment Timing Effects SSRN

Mateus, I.B., Mateus, C. and Todorovic, N. (17 November 2018) Review of New Trends in the Literature on Factor Models and Mutual Fund Performance SSRN

Sarwar, G., Mateus, C. and Todorovic, N. (8 March 2018) A Guide to Survival of Momentum in UK Style Portfolios International Journal of Banking, Accounting and Finance, 9(2), pp. 192-224.

Chinthalapati Raju, V.L., Mateus, C. and Todorovic, N. (20 February 2017) Alphas in Disguise: A New Approach to Uncovering Them SSRN

Clare, A. (2017) The performance of long-serving fund managers International Review of Financial Analysis, 52, pp. 152–159.

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (25 July 2017) Can Sustainable Withdrawal Rates Be Enhanced by Trend Following? SSRN

Clare, A. (25 April 2017) Constructing an Index of Persian Rug Prices SSRN

Clare, A., Motson, N. and Thomas, S. (20 February 2017) Was 2016 the Year of the Monkey? SSRN

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (9 May 2017) Reducing Sequence Risk Using Trend Following and the CAPE Ratio SSRN

Keswani, A., Medhat, M., Miguel, A.F. and Ramos, S.B. (14 June  2017) Culture and Mutual Funds SSRN

Keswani, A., Stolin, D. and Tran, A.L. (2017). Frenemies: how do financial firms vote on their own kind? Management Science, 63(3), pp. 631–654.

Mateus, I.B., Mateus, C. and Todorovic, N. (5 August 2017) The Impact of Benchmark Choice on US Mutual Fund Benchmark-Adjusted Performance and Ranking SSRN

Mateus, I.B., Mateus, C. and Todorovic, N. (1 August 2017) UK Mutual Fund Performance Persistence with Active Peer Benchmarks SSRN

Sarwar, G., Mateus, C. and Todorovic, N. (21 June 2017) A Guide to Survival of Momentum in UK Style Portfolios SSRN

Sarwar, G., Mateus, C. and Todorovic, N. (16 June 2017) US Sector Rotation with Five-Factor Fama-French Alphas SSRN

Sarwar, G., Mateus, C. and Todorovic, N. (2017) A tale of two states: asymmetries in the UK small, value and momentum premiums Applied Economics, 49(5), pp. 456–476.

Bathia, D., Bredin, D. and Nitzsche, D. (2016). International Sentiment Spillovers in Equity Returns. International Journal of Finance and Economics, 21(4), pp. 332–359.

Clare, A., Duygun, M., Azzim Gulamhussen, M. and Pozzolo, A.F. (2016) Bank business models, regulation, and the role of financial market participants in the global financial crisis Journal of Banking and Finance, 72, pp. S1–S5.

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (2016) The trend is our friend: Risk parity, momentum and trend following in global asset allocation Journal of Behavioral and Experimental Finance, 9, pp. 63–80.

Clare, A., Sherman, M.B. and Thomas, S. (2016). Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada Research in International Business and Finance, 36, pp. 212–221.

Cuthbertson, K., Hayley, S., Motson, N. and Nitzsche, D. (2016) What Does Rebalancing Really Achieve? International Journal of Finance & Economics, 21(3), pp. 224–240.

Cuthbertson, K., Hayley, S., and Nitzsche, D. (2016). Market and Style Timing: German Equity and Bond Funds European Financial Management, 22(4), pp. 667-696.

Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2016). A review of behavioural and management effects in mutual fund performance. International Review of Financial Analysis, 44, pp. 162–176.

Mateus, I.B., Mateus, C. and Todorovic, N. (2016) UK equity mutual fund alphas make a comeback International Review of Financial Analysis, 44, pp. 98–110.

Agyei-Ampomah, S., Clare, A., Mason, A. and Thomas, S. (2015). On luck versus skill when performance benchmarks are style-consistent Journal of Banking and Finance, 59, pp. 127–145.

Clare, A., Nitzsche, D. and Motson, N. (14 July 2015). Are Investors Better Off with Small Hedge Funds in Times of Crisis? SSRN

Clare, A., O'Sullivan, N. and Sherman,  M. (17 April 2015). Benchmarking UK Mutual Fund Performance: The Random Portfolio Experiment SSRN

Clare, A., O'Sullivan, N., Sherman,  M. and Thomas, S. (2 April 2015). Multi-Asset Class Mutual Funds: Can They Time the Market? Evidence from the US, UK and Canada SSRN

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (20 July 2015) Carry and Trend Following Returns in the Foreign Exchange Market SSRN

Cuthbertson, K., Hayley, S,. Motson, N. and Nitzsche, D. (14 January 2015). Diversification Returns, Rebalancing Returns and Volatility Pumping SSRN

Fuertes, A.M., Kalotychou, E. and Todorovic, N. (2015). Daily volume, intraday and overnight returns for volatility prediction: Profitability or accuracy? Review of Quantitative Finance and Accounting, 45(2), pp. 251–278.

Hayley, S., Nitzsche, D. and Cuthbertson, K. (2015). Market and Style Timing: German Equity and Bond Funds. European Financial Management, 22(4), pp. 667–696.

Keswani, A. and Stolin, D. (2015). Squanderinghomefield advantage? Financial institutions’investing in their own industries. Journal of Financial Perspectives, 3(2), pp. 175–187.

Moss, A., Clare, A., Thomas, S. and Seaton, J. (2015). Trend following and momentum strategies for global REITs Journal of Real Estate Portfolio Management, 21(1), pp. 21–31.

Moss, A., Clare, A., Thomas, S. and Seaton, J. (September 23, 2015). The Blended Approach to Real Estate Allocations: Performance Implications of Combining an Exposure to German Spezialfonds with Global Listed Real Estate Securities SSRN

Sarwar, G., Mateus, C. and Todorovic, N. (20 March 2015). Macroeconomic Determinants of Cyclical Variations in Value, Size and Momentum Premiums in the UK SSRN

Afonin, A., Bredin, D., Muckley, C.B. and Nitzsche, D. (9 October 2014). Carbon Portfolio Management SSRN

Bredin, D., Cuthbertson, K., Nitzsche, D. and Thomas, D.C. (2014). Performance and performance persistence of UK closed-end equity funds. International Review of Financial Analysis, 34, pp. 189–199.

Clare, A., Motson, N.E., Payne, R. and Thomas, S. (31 October 2014). Heads We Win, Tails You Lose. Why Don't More Fund Managers Offer Symmetric Performance Fees? SSRN

Clare, A., Motson, N., Sapuric, S. and Todorovic, N. (2014). What impact does a change of fund manager have on mutual fund performance? International Review of Financial Analysis, 35, pp. 167–177.

Clare, A., O'Sullivan, N. and Sherman, M. (2014). Family status and mutual fund performance Journal of Asset Management, 15(3), pp. 163–175.

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (2014). Trend following, risk parity and momentum in commodity futures International Review of Financial Analysis, 31, pp. 1–12.

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (6 November 2014) Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios SSRN

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (14 May 2014). When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies SSRN

Clare, A. and Schmidlin, N. (March 8, 2014). The Impact of Foreign Governing Law on European Government Bond Yields SSRN

Casu, B., Clare, A., Sarkisyan, A. and Thomas, S. (2013). Securitization and Bank Performance Journal of Money, Credit and Banking, 45(8), pp. 1617–1658.

Clare, A., Gulamhussen, M.A. and Pinheiro, C. (2013). What factors cause foreign banks to stay in London? Journal of International Money and Finance, 32(1), pp. 739–761.

Clare, A., Motson, N.E. and Thomas, S. (30 March 2013). An Evaluation of Alternative Equity Indices - Part 1: Heuristic and Optimised Weighting Schemes SSRN

Clare, A., Nitzsche, D. and Sherman, M. (2013). Mutual fund performance and management location Journal of Asset Management, 14(6), pp. 336–353.

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (2013). Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500 Journal of Asset Management, 14(3), pp. 182–194.

Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (25 July 2013) European Equity Investing Through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk? SSRN

Cuthbertson, K. and Nitzsche, D. (2013). Winners and losers: German equity mutual funds. European Journal of Finance, 19(10), pp. 951–963.

Cuthbertson, K. and Nitzsche, D. (2013). Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry. Journal of Empirical Finance, 21(March), pp. 86–101.

Ferreira, M.A., Keswani, A., Miguel, A.F. and Ramos, S.B. (2013). The Determinants of mutual fund performance: A cross-country study. Review of Finance, 17(2), pp. 483–525.

Thomas, S., Clare, A. and Motson, N.E. (30 March 2013). An Evaluation of Alternative Equity Indices - Part 2: Fundamental Weighting Schemes SSRN

Caiazza, S., Clare, A. and Pozzolo, A.F. (2012). What do bank acquirers want? Evidence from worldwide bank M&A targets Journal of Banking & Finance, 36(9), pp. 2641–2659.

Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2012). False Discoveries in UK Mutual Fund Performance. European Financial Management, 18(3), pp. 444–463.

Ferreira, M.A., Keswani, A., Miguel, A.F. and Ramos, S.B. (2012). The flow-performance relationship around the world. Journal of Banking and Finance, 36(6), pp. 1759–1780.

Gwilym, O.A., Clare, A., Seaton, J. and Thomas, S. (2012). Tactical equity investing across bull and bear markets Journal of Wealth Management, 14(4), pp. 61–69.

Keswani, A. and Stolin, D. (2012). Investor reaction to mutual fund performance: Evidence from uk distribution channels. Journal of Financial Research, 35(3), pp. 425–450.

Saleh, N., Casu, B. and Clare, A. (27 November 2012). Towards a New Model for Early Warning Signals for Systemic Financial Fragility and Near Crises: An Application to OECD Countries SSRN

Thomas, S., Clare, A., Seaton, J. and Smith, P.N. (8 August 2012) Trend Following, Risk Parity and Momentum in Commodity Futures SSRN

Thomas, S., Seaton, J., Clare, A. and Smith, P.N. (10 March 2012) Breaking into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: The Case of the S&P500 SSRN