Author Page for Stephen E. Satchell

Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation

Number of pages: 33 Posted: 01 Mar 2007

Stephen E. Satchell, Wei Xia and Wei Xia

University of Cambridge - Faculty of Economics and Politics and University of International Business and Economics, ChinaBlackCat Capital Partners LLP

Downloads 858 (47,346)

Citation 6

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2.

How Loss Averse are Investors in Financial Markets?

Number of pages: 47 Posted: 22 Apr 2003 Last Revised: 04 May 2010

Soosung Hwang and Stephen E. Satchell

Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics

Downloads 646 (69,042)

Citation 13

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3.

The Impact of Optimistic and Pessimistic Preferences on Decision Making

Number of pages: 20 Posted: 06 Aug 2013

Soosung Hwang and Stephen E. Satchell

Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics

Downloads 449 (107,971)

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4.

Testing Linear Factor Models on Individual Stocks Using the Average F Test

European Journal of Finance, Forthcoming

Number of pages: 41 Posted: 18 Nov 2004 Last Revised: 29 Nov 2013

Soosung Hwang and Stephen E. Satchell

Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics

Downloads 328 (153,697)

Citation 3

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5.

In Defence of Portfolio Optimisation What If We Can Forecast?

Number of pages: 32 Posted: 17 May 2019

David J Allen, David J Allen, Colin Lizieri and Stephen E. Satchell

University of Technology, SydneyPlato Investment Management, University of Cambridge - Department of Land Economy and University of Cambridge - Faculty of Economics and Politics

Downloads 279 (182,230)

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6.

Valuing Information Using Utility Functions: How Much Should We Pay for Forecasts of Returns?

City University Business School Banking & Finance Working Paper

Number of pages: 37 Posted: 11 May 2001

Soosung Hwang and Stephen E. Satchell

Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics

Downloads 269 (189,039)

Citation 1

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7.

The Most Entropic Canonical Copula with an Application To 'Style' Investment

Downloads 268 (189,751)

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The Most Entropic Canonical Copula with an Application To 'Style' Investment

Number of pages: 57 Posted: 21 Feb 2009

Stephen E. Satchell and Ba M. Chu

University of Cambridge - Faculty of Economics and Politics and Carleton University

Downloads 141 (339,075)

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The Most Entropic Canonical Copula with an Application To 'Style' Investment

Number of pages: 57 Posted: 04 Sep 2008

Stephen E. Satchell and Ba M. Chu

University of Cambridge - Faculty of Economics and Politics and Carleton University

Downloads 127 (367,824)

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8.

Retirement Investor Risk Tolerance in Tranquil and Crisis Periods: Experimental Survey Evidence

UNSW Australian School of Business Research Paper No. 2010ACTL10

Number of pages: 59 Posted: 25 Aug 2010 Last Revised: 12 Apr 2011

Hazel Bateman, Jordan J. Louviere, Stephen E. Satchell, Towhidul Islam and Susan Thorp

UNSW Sydney, CEPAR, University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics, University of Guelph - Department of Marketing and Consumer Studies and The University of Sydney Business School

Downloads 243 (208,970)

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9.

Financial Competence, Risk Presentation and Retirement Portfolio Preferences

UNSW Australian School of Business Research Paper No. 2011ACTL03

Number of pages: 50 Posted: 08 Mar 2011 Last Revised: 12 Apr 2011

Hazel Bateman, Christine Eckert, John Geweke, Jordan J. Louviere, Stephen E. Satchell and Susan Thorp

UNSW Sydney, CEPAR, University of Technology Sydney (UTS) - School of Marketing, University of Technology Sydney - Economics Discipline Group, University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics and The University of Sydney Business School

Downloads 236 (215,039)

Citation 5

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10.

A Matter of Attitude: Estimation of the Risk Attitude of the Representative UK Pension Fund Investor

Life & Pensions, pp. 34-40, December 2006

Number of pages: 7 Posted: 08 Mar 2007

Stephen E. Satchell, Wei Xia and Wei Xia

University of Cambridge - Faculty of Economics and Politics and University of International Business and Economics, ChinaBlackCat Capital Partners LLP

Downloads 201 (250,008)

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11.

Orthant Probabilities for Robust Correlation and Structural Performance Enhancement

Number of pages: 20 Posted: 02 Sep 2015 Last Revised: 08 Feb 2016

Marty Anderson, Shan Chen, Jennifer Eichholz, Marc Lieberman, Mark Lundin, Vaida Maleckaite, Ryan Parham, Stephen E. Satchell and Mark Steed

Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Kutak Rock, LLP, Charles Schwab Investment Management, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust, University of Cambridge - Faculty of Economics and Politics and Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust

Downloads 181 (274,480)

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12.

Asset Price Bubbles in the Australian Market

CIFR Paper No. 119/2016

Number of pages: 154 Posted: 30 Aug 2016

Jamie Alcock, Petra Sinagl, Angelo Aspris, Sean Foley, Stephen E. Satchell, Reuben Segara, Danika J. Wright and Juan Yao

University of Oxford, University of Iowa - Department of Finance, University of Sydney - Discipline of Finance, Macquarie University, University of Cambridge - Faculty of Economics and Politics, University of Sydney Business School, The University of Sydney - Discipline of Finance and University of Sydney - Business School - Finance Discipline

Downloads 175 (284,200)

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13.

Investment Risk Framing and Individual Preference Consistency

UNSW Australian School of Business Research Paper No. 2010ACTL08

Number of pages: 39 Posted: 27 Aug 2010 Last Revised: 12 Apr 2011

Hazel Bateman, Christine Eckert, John Geweke, Jordan J. Louviere, Stephen E. Satchell and Susan Thorp

UNSW Sydney, CEPAR, University of Technology Sydney (UTS) - School of Marketing, University of Technology Sydney - Economics Discipline Group, University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics and The University of Sydney Business School

Downloads 162 (301,911)

Citation 1

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14.

An Experimental Survey of Investment Decisions for Retirement Savings

UNSW Australian School of Business Research Paper No. 2010ACTL09

Number of pages: 41 Posted: 26 Aug 2010 Last Revised: 18 Apr 2011

Hazel Bateman, Susan Thorp, Jordan J. Louviere, Towhidul Islam and Stephen E. Satchell

UNSW Sydney, CEPAR, The University of Sydney Business School, University of South Australia - Institute for Choice, University of Guelph - Department of Marketing and Consumer Studies and University of Cambridge - Faculty of Economics and Politics

Downloads 162 (301,911)

Citation 2

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15.

The Distribution of Cross Sectional Momentum Returns

Number of pages: 19 Posted: 15 Aug 2017

Oh Kang Kwon and Stephen E. Satchell

The University of Sydney - Discipline of Finance and University of Cambridge - Faculty of Economics and Politics

Downloads 146 (329,076)

Citation 1

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16.

Economic Rationality, Risk Presentation, and Retirement Portfolio Choice

UNSW Australian School of Business Research Paper No. 2011ACTL02

Number of pages: 38 Posted: 19 Sep 2011

Hazel Bateman, Christine Ebling, Jordan J. Louviere, Stephen E. Satchell, Susan Thorp and John Geweke

UNSW Sydney, CEPAR, University of Technology, Sydney - Centre for the Study of Choice, University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics, The University of Sydney Business School and University of Technology Sydney - Economics Discipline Group

Downloads 144 (332,746)

Citation 9

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17.

Default and Naïve Diversification Heuristics in Annuity Choice

UNSW Business School Research Paper No. 2015ACTL09

Number of pages: 40 Posted: 17 Mar 2014 Last Revised: 08 Mar 2018

Hazel Bateman, Christine Eckert, Fedor Iskhakov, Jordan J. Louviere, Stephen E. Satchell and Susan Thorp

UNSW Sydney, CEPAR, University of Technology Sydney (UTS) - School of Marketing, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics and The University of Sydney Business School

Downloads 141 (338,370)

Citation 5

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18.

Asset Pricing Anomalies and the State Ownership Effect in China's Domestic Stock Market

30th Australasian Finance and Banking Conference 2017

Number of pages: 28 Posted: 30 Jun 2017

Henry Zhang, Stephen E. Satchell and P. Joakim Westerholm

The University of Sydney, Business School, Discipline of Finance, University of Cambridge - Faculty of Economics and Politics and University of Sydney Business School

Downloads 122 (377,736)

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19.

How Much Does an Illegal Insider Trade?

Number of pages: 41 Posted: 16 Mar 2010

Alex Frino, Stephen E. Satchell, Brad Wong and Hui Zheng

The University of Sydney - Discipline of Finance, University of Cambridge - Faculty of Economics and Politics, The University of Sydney and Discipline of Finance, The University of Sydney

Downloads 122 (377,736)

Citation 4

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20.

Individual Capability and Effort in Retirement Benefit Choice

UNSW Australia Business School Research Paper No. 2014ACTL07

Number of pages: 38 Posted: 11 Sep 2014

Hazel Bateman, Christine Eckert, Fedor Iskhakov, Jordan J. Louviere, Stephen E. Satchell and Susan Thorp

UNSW Sydney, CEPAR, University of Technology Sydney (UTS) - School of Marketing, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics and The University of Sydney Business School

Downloads 120 (391,805)

Citation 6

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21.

Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments

EFA 2008 Athens Meetings Paper

Number of pages: 51 Posted: 03 Mar 2008

Stephen E. Satchell and Susan Thorp

University of Cambridge - Faculty of Economics and Politics and The University of Sydney Business School

Downloads 119 (384,681)

Citation 2

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22.

Modelling Style Rotation: Switching and Re-Switching

Number of pages: 36 Posted: 31 Aug 2013

Edward Golosov and Stephen E. Satchell

Imperial College London, Business School and University of Cambridge - Faculty of Economics and Politics

Downloads 115 (394,300)

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23.

Financial Competence and Expectations Formation: Evidence from Australia

Downloads 114 (396,744)

Citation 20

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Financial Competence and Expectations Formation: Evidence from Australia

UNSW Australian School of Business Research Paper No. 2011ACTL07

Number of pages: 48 Posted: 17 Apr 2011

Hazel Bateman, Christine Eckert, John Geweke, Jordan J. Louviere, Stephen E. Satchell and Susan Thorp

UNSW Sydney, CEPAR, University of Technology Sydney (UTS) - School of Marketing, University of Technology Sydney - Economics Discipline Group, University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics and The University of Sydney Business School

Downloads 114 (398,732)

Citation 3

Abstract:

Financial Competence and Expectations Formation: Evidence from Australia

Posted: 20 Apr 2011

Hazel Bateman, Christine Eckert, John Geweke, Jordan J. Louviere, Stephen E. Satchell and Susan Thorp

UNSW Sydney, CEPAR, University of Technology Sydney (UTS) - School of Marketing, University of Technology Sydney - Economics Discipline Group, University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics and The University of Sydney Business School

Abstract:

Financial Competence and Expectations Formation: Evidence from Australia

Posted: 24 May 2011

Hazel Bateman, Christine Eckert, John Geweke, Jordan J. Louviere, Stephen E. Satchell and Susan Thorp

UNSW Sydney, CEPAR, University of Technology Sydney (UTS) - School of Marketing, University of Technology Sydney - Economics Discipline Group, University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics and The University of Sydney Business School

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24.

Disengagement: A Partial Solution to the Annuity Puzzle

UNSW Australian School of Business Research Paper No. 2013ACTL10

Number of pages: 38 Posted: 04 Apr 2013

Hazel Bateman, Christine Eckert, John Geweke, Fedor Iskhakov, Jordan J. Louviere, Stephen E. Satchell and Susan Thorp

UNSW Sydney, CEPAR, University of Technology Sydney (UTS) - School of Marketing, University of Technology Sydney - Economics Discipline Group, University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), University of South Australia - Institute for Choice, University of Cambridge - Faculty of Economics and Politics and The University of Sydney Business School

Downloads 111 (404,577)

Citation 1

Abstract:

25.

An Equilibrium Model of Market Efficiency with Bayesian Learning: Explicit Modes of Convergence to Rational Expectations Equilibrium in the Presence of Noise Traders

Number of pages: 16 Posted: 05 Jan 2015 Last Revised: 19 Feb 2015

Omri Ross, Stephen E. Satchell and Michael Tehranchi

University of Copenhagen, University of Cambridge - Faculty of Economics and Politics and University of Cambridge

Downloads 104 (423,692)

Citation 1

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26.

Estimation with Errors in Variables via the Characteristic Function

Number of pages: 55 Posted: 11 Jun 2020

Hamish Malloch, Richard Philip and Stephen E. Satchell

The University of Sydney, University of Sydney Business School and University of Cambridge - Faculty of Economics and Politics

Downloads 77 (512,007)

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27.

Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts

Quantitative Finance Research Centre, University of Technology, Sydney Research Paper No. 210

Number of pages: 34 Posted: 18 Mar 2008

Stephen E. Satchell and Susan Thorp

University of Cambridge - Faculty of Economics and Politics and The University of Sydney Business School

Downloads 76 (519,667)

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28.

The Properties of Co-Quantiles and Their Applications to Momentum Spillovers

Number of pages: 17 Posted: 27 Dec 2019

Oh Kang Kwon and Stephen E. Satchell

The University of Sydney - Discipline of Finance and University of Cambridge - Faculty of Economics and Politics

Downloads 46 (658,421)

Citation 1

Abstract:

29.

The Pricing of Market-to-Market Contingent Claims in a No-Arbitrage Economy

NYU Working Paper No. FIN-96-037

Number of pages: 29 Posted: 11 Nov 2008

Stephen E. Satchell, Richard C. Stapleton and Marti G. Subrahmanyam

University of Cambridge - Faculty of Economics and Politics, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

Downloads 36 (722,193)

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30.

Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility

Bank of Greece Working Paper No. 32

Number of pages: 21 Posted: 14 Jul 2022

George Christodoulakis and Stephen E. Satchell

affiliation not provided to SSRN and University of Cambridge - Faculty of Economics and Politics

Downloads 14 (906,286)

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31.

The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate

Journal of Real Estate Finance and Economics, Vol. 45, No. 3, 2012

Posted: 19 Nov 2012 Last Revised: 02 Dec 2013

Youngha Cho, Soosung Hwang and Stephen E. Satchell

Oxford Brookes University, Sungkyunkwan University - Department of Economics and University of Cambridge - Faculty of Economics and Politics

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32.

Nonlinearity and Smoothing in Venture Capital Performance Data

Journal of Empirical Finance, Forthcoming

Posted: 25 May 2012

Michael D. McKenzie, Stephen E. Satchell and Warapong Wongwachara

The University of Sydney - Discipline of Finance, University of Cambridge - Faculty of Economics and Politics and TMB Analytics

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33.

Unsmoothing Real Estate Returns: A Regime-Switching Approach

Real Estate Economics, Forthcoming

Posted: 12 Aug 2011

Colin Lizieri, Stephen E. Satchell and Warapong Wongwachara

University of Cambridge - Department of Land Economy, University of Cambridge - Faculty of Economics and Politics and TMB Analytics

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34.

Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach

Posted: 04 Sep 2008

John Knight, Stephen E. Satchell and Ba M. Chu

University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased), University of Cambridge - Faculty of Economics and Politics and Carleton University

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35.

Real Interest Regimes and Real Estate Performance: A Comparison of UK and Us Markets

Posted: 11 Nov 1998

Colin Lizieri, Stephen E. Satchell, Elaine M. Worzala and Roberto Dacco

University of Cambridge - Department of Land Economy, University of Cambridge - Faculty of Economics and Politics, Independent and affiliation not provided to SSRN

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36.

International Investors' Exposure to Risk in Emerging Markets

Posted: 07 Nov 1998

Babak Eftekhari and Stephen E. Satchell

Goldman Sachs International, London and University of Cambridge - Faculty of Economics and Politics

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37.

Property Company Performance and Real Interest Rates: A Regime-Switching Approach

J. OF PROPERTY RESEARCH, Vol. 14 No. 2

Posted: 24 Oct 1997

Colin Lizieri and Stephen E. Satchell

University of Cambridge - Department of Land Economy and University of Cambridge - Faculty of Economics and Politics

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38.

The Pricing of Marked-to-Market Contingent Claims in a No-Arbitrage Economy

AUSTRALIAN J. OF MANAGEMENT

Posted: 04 Jul 1997

Stephen E. Satchell, Richard C. Stapleton and Marti G. Subrahmanyam

University of Cambridge - Faculty of Economics and Politics, University of Strathclyde - Department of Accounting and Finance and New York University (NYU) - Leonard N. Stern School of Business

Stephen E. Satchell

University of Cambridge - Faculty of Economics and Politics

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Scholarly Papers (38)

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