We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observed security characteristics. We develop an estimation procedure that...

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...

International Asset Management (‘IAM’) is the proud sponsor of the IAM Hedge Fund Research Programme of the Financial Markets Group. Within this programme the LSE team undertakes independent research into aspects of the hedge fund industry. It is hoped that the results of this research will...

This paper argues that there is nothing anomalous about the flypaper effect. I develop a simple median voter model of government spending with costly tax collection that predicts the flypaper effect and provide a quantifiable measure of its magnitude. Using the model insights and previous...

Background: Evidence suggests a much higher prevalence of postpartum depression in South Asia than in ‘western’ contexts. Aim: To conduct a rapid systematic review of evidence on the association between social relationships and postpartum depression in South Asia. Methods: Five databases...

The latest CEP Election Analysis gives an overview of the research evidence on education policy, one of the key battlegrounds of the 2010 General Election.

We investigate the causal relationship between judicial efficiency and firm size across Italian municipalities, exploiting spatial discontinuities in tribunals' jurisdiction for identification. Results show that halving the length of civil proceedings, average firm size would increase by around...

Objective: To examine the costs and cost effectiveness of telehealth in addition to standard support and treatment, compared with standard support and treatment. Design: Economic evaluation nested in a pragmatic, cluster randomised controlled trial. Setting: Community based telehealth...