Stephen E. Satchell

University of Cambridge - Faculty of Economics and Politics

Austin Robinson Building

Sidgwick Avenue

Cambridge, CB3 9DD

United Kingdom

http://www.econ.cam.ac.uk/faculty/satchell/index.h

SCHOLARLY PAPERS

36

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CITATIONS
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30

Scholarly Papers (36)

1.

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

Number of pages: 33 Posted: 01 Mar 2007
Stephen E. Satchell and Wei Xia
University of Cambridge - Faculty of Economics and Politics and University of International Business and Economics, China
Downloads 678 (25,599)
Citation 2

Abstract:

Validation, Credit Analysis, Rating Models, ROC, Basel II

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 506 (39,575)
Citation 4

Abstract:

Loss Aversion Utility, Prospect Theory, Asset Allocation

3.

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 272 (83,695)
Citation 2

Abstract:

F Test, Linear Factor Model, Average F Test.

4.

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 242 (99,226)

Abstract:

Value of Information, CAPM, Fama-French Model

5.

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 216 (86,363)

Abstract:

Loss Aversion, Bayesian Rule, Relative Optimism, Asset Allocation

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 106 (206,745)

Abstract:

Entropy, Relative entropy measure of joint dependence, Copula, Most entropic

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 94 (224,901)

Abstract:

Entropy, Relative entropy measure of joint dependence, Copula, Most entropic

7.

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
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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 University of Sydney Business School
Downloads 172 (128,648)
Citation 5

Abstract:

risk preferences, investment decisions, financial crisis

8.

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 and Wei Xia
University of Cambridge - Faculty of Economics and Politics and University of International Business and Economics, China
Downloads 167 (141,014)

Abstract:

LA Utility Function, Non-linear Regression, LAD, UK pension fund

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
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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 University of Sydney Business School
Downloads 138 (151,118)
Citation 1

Abstract:

discrete choice, risk preference, numeracy skills, financial literacy

10.

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
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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 University of Sydney Business School
Downloads 119 (182,043)

Abstract:

investment risk, household finance, framing, retirement savings

11.

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
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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 110 (193,916)
Citation 1

Abstract:

Investment choice, retirement savings, investment risk

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
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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 University of Sydney Business School
Downloads 89 (233,218)
Citation 3

Abstract:

retirement savings, financial literacy, uncertainty

Financial Competence and Expectations Formation: Evidence from Australia

Economic Record, Vol. 88, Issue 280, pp. 39-63, 2012
Number of pages: 25 Posted: 24 Feb 2012
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, University of Technology Sydney (UTS) - School of Marketing, University of Technology Sydney - Economics Discipline Group, University of South Australia - Institute for Choice, University of Sydney Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 1 (553,915)
Citation 3
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Abstract:

Financial Competence and Expectations Formation: Evidence from Australia

Posted: 20 Apr 2011
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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 University of Sydney Business School

Abstract:

retirement savings, financial literacy, uncertainty

Financial Competence and Expectations Formation: Evidence from Australia

Posted: 24 May 2011
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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 University of Sydney Business School

Abstract:

discrete choice, retirement savings, investment risk, household finance, financial literacy

13.

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
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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, University of Sydney Business School and University of Technology Sydney - Economics Discipline Group
Downloads 88 (218,740)
Citation 2

Abstract:

discrete choice, context and framing effects, retirement savings, investment risk, household finance, financial literacy

14.
Downloads 88 (233,079)
Citation 3

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 87 (236,655)
Citation 3

Abstract:

How Much Does an Illegal Insider Trade?

International Review of Finance, Vol. 13, Issue 2, pp. 241-263, 2013
Number of pages: 23 Posted: 08 May 2013
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 1 (553,915)
Citation 3
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Abstract:

15.

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 University of Sydney Business School
Downloads 68 (249,193)

Abstract:

Recursive utility, Stochastic dominance, Inter-temporal choice

16.

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: 18 Mar 2015
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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 University of Sydney Business School
Downloads 52 (273,673)

Abstract:

choice heuristics, credence goods, retirement benefits, annuity demand

17.

Individual Capability and Effort in Retirement Benefit Choice

UNSW Australia Business School Research Paper No. 2014ACTL07
Number of pages: 38 Posted: 11 Sep 2014
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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 University of Sydney Business School
Downloads 50 (260,957)

Abstract:

18.

Orthant Probabilities for Robust Correlation and Structural Performance Enhancement

Number of pages: 20 Posted: 02 Sep 2015 Last Revised: 08 Feb 2016
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 46 (159,959)

Abstract:

orthant, probability, portfolio, optimization, Sheppard's theorem, correlation, regime, risk

19.

Modelling Style Rotation: Switching and Re-Switching

Number of pages: 36 Posted: 31 Aug 2013
Edward Golosov and Stephen E. Satchell
Birkbeck College and University of Cambridge - Faculty of Economics and Politics
Downloads 43 (271,500)

Abstract:

market dynamics, asset styles, style rotation, momentum

20.

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
University of New South Wales (UNSW) - School of Actuarial Studies, Centre for Pensions and Superannuation, 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 University of Sydney Business School
Downloads 43 (302,324)
Citation 1

Abstract:

discrete choice, retirement incomes, household nance, annuities, financial literacy

21.

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 University of Sydney Business School
Downloads 35 (356,370)

Abstract:

family extinction, hyperbolic discounting, inter-temporal choice

22.

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 32 (324,630)

Abstract:

Market efficiency, asymptotic rationality, Bayesian updating, mode of convergence

23.

Utility Functions whose Parameters Depend on Initial Wealth

Bulletin of Economic Research, Vol. 55, pp. 357-371, October 2003
Number of pages: 16 Posted: 19 Oct 2003
Christian S. Pedersen and Stephen E. Satchell
Mercer, Oliver, Wyman and Company and University of Cambridge - Faculty of Economics and Politics
Downloads 27 (395,443)
Citation 1
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Abstract:

24.

The Underlying Return-Generating Factors for REIT Returns: An Application of Independent Component Analysis

Real Estate Economics, Vol. 35, No. 4, pp. 569-598, Winter 2007
Number of pages: 30 Posted: 18 Nov 2007
Colin Lizieri, Stephen E. Satchell and Qi Zhang
University of Cambridge - Department of Land Economy, University of Cambridge - Faculty of Economics and Politics and University of Cambridge - Faculty of Economics and Politics
Downloads 25 (404,821)
Citation 2
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Abstract:

25.

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 - Stern School of Business
Downloads 19 (429,829)
Citation 2

Abstract:

26.

How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models

Journal of Business Finance & Accounting, Vol. 34, No. 5-6, pp. 1002-1024, June/July 2007
Number of pages: 23 Posted: 11 Jul 2007
Soosung Hwang, Stephen E. Satchell and Pedro L. Valls Pereira
Sungkyunkwan University - Department of Economics, University of Cambridge - Faculty of Economics and Politics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 16 (450,248)
Citation 1
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Abstract:

27.

Stability Conditions for Heteroscedastic Factor Models with Conditionally Autoregressive Betas

Journal of Time Series Analysis, Vol. 32, Issue 5, pp. 482-497, 2011
Number of pages: 16 Posted: 09 Aug 2011
George A. Christodoulakis and Stephen E. Satchell
Manchester Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 3 (512,901)
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Abstract:

Beta coefficient, evolution, factor models, forecasting, persistence, pricing, stability, stationarity, C32, C51, C53, C58, G12, G17

Unsmoothing Real Estate Returns: A Regime‐Switching Approach

Real Estate Economics, Vol. 40, Issue 4, pp. 772-804, 2012
Number of pages: 33 Posted: 28 Dec 2012
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
Downloads 2 (544,449)
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Abstract:

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

Abstract:

Smoothing, Identification, Regime switching, Threshold Autoregressive model, Real estate returns

29.

Asset Price Bubbles in the Australian Market

CIFR Paper No. 119/2016
Number of pages: 154 Posted: 30 Aug 2016
The University of Sydney Business School, The University of Sydney, University of Sydney - Discipline of Finance, University of Sydney, University of Cambridge - Faculty of Economics and Politics, University of Sydney Business School, The University of Sydney Business School and University of Sydney - Business School - Finance Discipline
Downloads 0 (269,355)

Abstract:

Asset Price bubbles, Markets

30.

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

Abstract:

Large deviation theory, Mortgage loans, Optimal portfolio, Regional allocation

31.

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

Abstract:

Regime switching, Threshold autoregressive model, Venture capital returns

32.

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

Abstract:

Optimal portfolio, The Edgeworth expansion, Asymmetric Risk, Large deviations, Asymmetric Gamma distribution, Nonlinear correlations, Value at Risk

33.

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

Journal of Real Estate Research
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

Abstract:

34.

International Investors' Exposure to Risk in Emerging Markets

Journal of Financial Research
Posted: 07 Nov 1998
Babak Eftekhari and Stephen E. Satchell
Goldman Sachs International, London and University of Cambridge - Faculty of Economics and Politics

Abstract:

35.

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

Abstract:

36.

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 - Stern School of Business

Abstract: