Research

Working papers

2017

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 Analysis52, 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 Economics49(5), pp. 456–476.

2016

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 Finance36, 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.

2015

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 Finance59, 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 Accounting45(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 Management21(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

2014

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 Analysis35, pp. 167–177.

Clare, A., O'Sullivan, N. and Sherman, M. (2014). Family status and mutual fund performance Journal of Asset Management15(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 Analysis31, 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

2013

Casu, B., Clare, A., Sarkisyan, A. and Thomas, S. (2013). Securitization and Bank Performance Journal of Money, Credit and Banking45(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 Finance32(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 Management14(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 Management14(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

2012

Caiazza, S., Clare, A. and Pozzolo, A.F. (2012). What do bank acquirers want? Evidence from worldwide bank M&A targets Journal of Banking & Finance36(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 Management14(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