Mungo Ivor Wilson

University of Oxford - Said Business School

Park End Street

Oxford, OX1 1HP

Great Britain

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 2,920

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10,224

CITATIONS
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SSRN RANKINGS

Top 6,568

in Total Papers Citations

75

Scholarly Papers (11)

1.

Credit Ratings and Credit Risk: Is One Measure Enough?

AFA 2013 San Diego Meetings Paper
Number of pages: 58 Posted: 18 Sep 2009 Last Revised: 05 Aug 2015
Jens Hilscher and Mungo Ivor Wilson
University of California, Davis and University of Oxford - Said Business School
Downloads 2,399 (2,505)
Citation 1

Abstract:

credit rating, credit risk, default probability, forecast accuracy, systematic default risk

2.

Asset Pricing: A Tale of Two Days

AFA 2013 San Diego Meetings Paper
Number of pages: 72 Posted: 19 Mar 2012 Last Revised: 21 Apr 2014
Pavel G. Savor and Mungo Ivor Wilson
Temple University - Fox School of Business and University of Oxford - Said Business School
Downloads 1,261 (6,357)
Citation 4

Abstract:

3.

How Does Size Affect Mutual Fund Behavior?

HKUST Business School Research Paper No. 07-06
Number of pages: 49 Posted: 24 Jul 2006
Mungo Ivor Wilson and Joshua Matthew Pollet
University of Oxford - Said Business School and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,083 (13,430)
Citation 42

Abstract:

fund families, mutual funds, price impact, returns to scale

4.

Earnings Announcements and Systematic Risk

Journal of Finance, vol. 71, 2016, 83–138. 2016 Amundi Smith Breeden Prize, AFA 2012 Chicago Meetings Paper,
Number of pages: 83 Posted: 17 Mar 2011 Last Revised: 12 Jan 2017
Pavel G. Savor and Mungo Ivor Wilson
Temple University - Fox School of Business and University of Oxford - Said Business School
Downloads 982 (9,516)
Citation 7

Abstract:

Asset Pricing, Risk Premia, Earnings, Announcements

How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements

Number of pages: 62 Posted: 08 Dec 2008 Last Revised: 21 Apr 2014
Pavel G. Savor and Mungo Ivor Wilson
Temple University - Fox School of Business and University of Oxford - Said Business School
Downloads 615 (33,636)
Citation 10

Abstract:

Asset Pricing, Macroeconomic Risk, Macroeconomic News

Asset Returns and Scheduled Macroeconomic News Announcements

Number of pages: 46 Posted: 14 Feb 2009
Pavel G. Savor and Mungo Ivor Wilson
Temple University - Fox School of Business and University of Oxford - Said Business School
Downloads 286 (85,962)
Citation 10

Abstract:

Asset Pricing, Macroeconomic Risk, Macroeconomic News

6.

Average Correlation and Stock Market Returns

Number of pages: 43 Posted: 05 Mar 2008 Last Revised: 02 Dec 2008
Joshua Matthew Pollet and Mungo Ivor Wilson
University of Illinois at Urbana-Champaign - Department of Finance and University of Oxford - Said Business School
Downloads 689 (24,577)
Citation 7

Abstract:

Average correlation, average variance, Roll critique

7.

Are Credit Default Swaps a Sideshow? Evidence that Information Flows from Equity to CDS Markets

Number of pages: 37 Posted: 03 Dec 2010 Last Revised: 01 Jun 2013
Jens Hilscher, Joshua Matthew Pollet and Mungo Ivor Wilson
University of California, Davis, University of Illinois at Urbana-Champaign - Department of Finance and University of Oxford - Said Business School
Downloads 491 (37,741)
Citation 6

Abstract:

CDS, market segmentation, inattention

Identifying Contagion in a Banking Network

Bank of England Working Paper No. 642
Number of pages: 33 Posted: 24 Jan 2017
Alan D. Morrison, Michalis Vasios, Mungo Ivor Wilson and Filip Zikes
University of Oxford - Said Business School, Bank of England, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 43 (352,544)

Abstract:

contagion, counterparty risk, credit default swaps, networks

Identifying Contagion in a Banking Network

Saïd Business School WP 2016-37,
Number of pages: 37 Posted: 16 Jun 2017
Alan D. Morrison, Michalis Vasios, Mungo Ivor Wilson and Filip Zikes
University of Oxford - Said Business School, Bank of England, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 11 (508,489)

Abstract:

Contagion, Counterparty Risk, Credit Default Swaps, Networks

9.

One Central Bank to Rule Them All

Fox School of Business Research Paper, Saïd Business School WP 2015-13,
Number of pages: 56 Posted: 12 Sep 2015 Last Revised: 22 Feb 2017
Francesca Brusa, Pavel G. Savor and Mungo Ivor Wilson
Temple University - Fox School of Business, Temple University - Fox School of Business and University of Oxford - Said Business School
Downloads 31 (120,244)

Abstract:

Risk Premia, Announcements, Monetary Policy, Central Bank, Federal Reserve

10.

Uncertainty Premia for Small and Large Risks

Number of pages: 48 Posted: 24 Apr 2015 Last Revised: 12 Jan 2017
Martin Puhl, Pavel G. Savor and Mungo Ivor Wilson
Oesterreichische Nationalbank (OeNB), Temple University - Fox School of Business and University of Oxford - Said Business School
Downloads 23 (321,943)

Abstract:

Ambiguity aversion, risk aversion, options

11.

The Lost Capital Asset Pricing Model

Number of pages: 47 Posted: 25 Feb 2017
Daniel Andrei, Julien Cujean and Mungo Ivor Wilson
University of California, Los Angeles (UCLA) - Anderson School of Management, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Oxford - Said Business School
Downloads 0 (239,555)

Abstract: