In finance theory, the standard deviation of asset returns is almost universally recognised as a measure of risk. This universality continues to exist even in the presence of the known limitations of using the standard deviation and also alternative risk measures. One possible reason for this...

The purpose of this paper is to present a rank based approach to cross-sectionallinear factor modelling. The emphasis is on approximating factor exposures in aconsistent manner in order to facilitate the merging of subjective information(from professional investors) with objective information...

In this note, the author derives inequalities on the Lorenz curve of an aggregate income distribution in terms of the Lorenz curves of its constituent parts. These parts are made up of different income sources in one case and different groups in another. These inequalities are applied to the...

The paper examines the extent of apprenticeships in the first job for a cohort of young men entering the labour market at age 16 in the late 1970s. The impact of the apprenticeship on employment duration and early labour market mobility is estimated. The data set used is the National Child...

The paper examines UK PhD completion and withdrawal rates, in a competing risks framework, using the 1986 National Survey of 1980 Graduates. The statistical problem of thresholding of completion data is also addressed. We argue that our results suggest that there are problems with the use of PhD...

The purpose of this paper is to assess the incremental value of higher moments in modelling capital asset pricing models (CAPMs) of emerging markets. Whilst it is recognized that emerging markets are unlikely to yield sensible results in a mean-variance world, the high skewness and kurtosis...

An econometric methodology is proposed for reconciling inaccurate measures of latent data which are subject to accounting constraints. The method deals with the case in which the measurement errors are serially correlated, generalizing previous contributions. A class of efficient estimation are...

Assuming the time series of random returns to be jointly elliptical, we derive a relationship between its conditional variance and the probability density function of the conditioning set. In the case that such a relationship is linear in a quadratic form for of the conditioning variables, we...