Mungo Ivor Wilson

University of Oxford - Said Business School

Park End Street

Oxford, OX1 1HP

Great Britain

  • University of Oxford - Said Business School

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SCHOLARLY PAPERS

16

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18,314

TOTAL CITATIONS
Rank 2,197

SSRN RANKINGS

Top 2,197

in Total Papers Citations

360

Scholarly Papers (16)

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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 4,037 (5,733)
Citation 40

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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 2,830 (10,096)
Citation 35

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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 2,129 (16,017)
Citation 35

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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 1,513 (27,222)
Citation 82

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

5.

The Lost Capital Asset Pricing Model

Downloads 1,301 (34,062)
Citation 12

The Lost Capital Asset Pricing Model

Number of pages: 86 Posted: 25 Feb 2017 Last Revised: 21 Nov 2022
Daniel Andrei, Julien Cujean and Mungo Ivor Wilson
McGill University, École Polytechnique Fédérale de Lausanne (EPFL) and University of Oxford - Said Business School
Downloads 1,298 (33,581)
Citation 10

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CAPM, dispersed information, informational distance, cross-investors variation

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 Bern - Institute for Financial Management and University of Oxford - Said Business School
Downloads 3 (1,379,641)
Citation 2
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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 1,279 (34,852)
Citation 35

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Average correlation, average variance, Roll critique

7.

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

Downloads 1,273 (35,104)
Citation 70

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 896 (57,014)
Citation 69

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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 377 (169,119)
Citation 1

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Asset Pricing, Macroeconomic Risk, Macroeconomic News

8.

Volume Shocks and Overnight Returns

Number of pages: 40 Posted: 28 Apr 2025
Álvaro Cartea, Mihai Cucuringu, Qi Jin and Mungo Ivor Wilson
University of Oxford, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Said Business School
Downloads 848 (63,070)

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Trading volume, overnight returns, machine learning

9.

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 727 (76,658)
Citation 24

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CDS, market segmentation, inattention

10.

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 672 (84,686)
Citation 22

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

11.

Divided Government and the Stock Market

Number of pages: 81 Posted: 07 Dec 2022 Last Revised: 04 Apr 2025
Theofanis Papamichalis, Dean Ryu and Mungo Ivor Wilson
University of Cambridge, Said Business School, University of Oxford and University of Oxford - Said Business School
Downloads 434 (145,469)

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Divided Government, Government Puzzle, Presidential Puzzle, Stock Returns, Economic Growth, September Effect, firm size effect

12.

Sources of Return Predictability

Number of pages: 55 Posted: 11 Oct 2021 Last Revised: 30 Oct 2024
Beata Gafka, Pavel G. Savor and Mungo Ivor Wilson
Ivey Business School at University of Western Ontario, DePaul University - Kellstadt Graduate School of Business and University of Oxford - Said Business School
Downloads 423 (150,827)

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Announcements, Returns' predictability, Risk

13.

Identifying Contagion in a Banking Network

Downloads 372 (173,835)
Citation 5

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, European Securities and Markets Authority, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 176 (369,001)

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Contagion, Counterparty risk, Credit default swaps, Networks

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, European Securities and Markets Authority, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 111 (538,426)
Citation 2

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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, European Securities and Markets Authority, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 85 (647,505)
Citation 3

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Contagion, Counterparty Risk, Credit Default Swaps, Networks

14.

Uncertainty premia for small and large risks

Journal of Banking & Finance, volume 167, 2024 [10.1016/j.jbankfin.2024.107253]
Number of pages: 88 Posted: 24 Apr 2015 Last Revised: 15 Jul 2024
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 256 (257,834)

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JEL Classi…cation: G12 Uncertainty, price of risk, price of uncertainty, risk aversion, ambiguity aversion, options

15.

Indivisible Goods and Relative Wealth Concerns: Gambling, Under-Participation, and Lotteries

Number of pages: 45 Posted: 15 Dec 2019 Last Revised: 27 Nov 2023
Bingcun Dai, Pavel G. Savor and Mungo Ivor Wilson
University of Oxford, Said Business School, Students, DePaul University - Kellstadt Graduate School of Business and University of Oxford - Said Business School
Downloads 127 (482,410)

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Indivisible goods, Friedman-Savage, lotteries, skewness, non-participation

16.

The Consumption Risk of the Zipf factor

Number of pages: 25 Posted: 09 Jan 2024
Mungo Ivor Wilson
University of Oxford - Said Business School
Downloads 93 (604,957)

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Zipf, consumption risk, size distribution, stock market.