Mungo Ivor Wilson

University of Oxford - Said Business School

Park End Street

Oxford, OX1 1HP

Great Britain

SCHOLARLY PAPERS

11

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12,233

SSRN CITATIONS
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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 3,537 (2,734)
Citation 16

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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
DePaul University - Kellstadt Graduate School of Business and University of Oxford - Said Business School
Downloads 2,108 (6,588)
Citation 7

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3.

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
DePaul University - Kellstadt Graduate School of Business and University of Oxford - Said Business School
Downloads 1,666 (9,773)
Citation 23

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Asset Pricing, Risk Premia, Earnings, Announcements

4.

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 1,264 (15,202)
Citation 17

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

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
DePaul University - Kellstadt Graduate School of Business and University of Oxford - Said Business School
Downloads 669 (37,390)
Citation 33

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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
DePaul University - Kellstadt Graduate School of Business and University of Oxford - Said Business School
Downloads 307 (97,807)
Citation 1

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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 897 (25,400)
Citation 5

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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 608 (43,127)
Citation 15

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CDS, market segmentation, inattention

8.
Downloads 445 ( 64,054)
Citation 7

The Lost Capital Asset Pricing Model

Number of pages: 46 Posted: 25 Feb 2017 Last Revised: 14 Aug 2018
Daniel Andrei, Julien Cujean and Mungo Ivor Wilson
McGill University, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Oxford - Said Business School
Downloads 445 (63,410)
Citation 6

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The Lost Capital Asset Pricing Model

CEPR Discussion Paper No. DP12607
Number of pages: 61 Posted: 22 Jan 2018
Daniel Andrei, Julien Cujean and Mungo Ivor Wilson
McGill University, University of Maryland - Robert H. Smith School of Business and University of Oxford - Said Business School
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9.

One Central Bank to Rule Them All

Saïd Business School WP 2015-13, Fox School of Business Research Paper
Number of pages: 76 Posted: 12 Sep 2015 Last Revised: 07 Aug 2019
Francesca Brusa, Pavel G. Savor and Mungo Ivor Wilson
Temple University - Fox School of Business, DePaul University - Kellstadt Graduate School of Business and University of Oxford - Said Business School
Downloads 425 (67,679)
Citation 12

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

10.
Downloads 209 (145,706)
Citation 2

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, Norges Bank Investment Management (NBIM), University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 90 (286,230)

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contagion, counterparty risk, credit default swaps, networks

Identifying Contagion in a Banking Network

FEDS Working Paper No. 2017-082
Number of pages: 37 Posted: 07 Sep 2017
Alan D. Morrison, Michalis Vasios, Mungo Ivor Wilson and Filip Zikes
University of Oxford - Said Business School, Norges Bank Investment Management (NBIM), University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 69 (335,950)

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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, Norges Bank Investment Management (NBIM), University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 50 (395,215)
Citation 3

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Contagion, Counterparty Risk, Credit Default Swaps, Networks

11.

Uncertainty Premia for Small and Large Risks

Number of pages: 50 Posted: 24 Apr 2015 Last Revised: 18 Oct 2018
Martin Puhl, Pavel G. Savor and Mungo Ivor Wilson
Oesterreichische Nationalbank (OeNB), DePaul University - Kellstadt Graduate School of Business and University of Oxford - Said Business School
Downloads 98 (268,805)

Abstract:

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Uncertainty, price of risk, risk aversion, ambiguity aversion, options