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Stephen Satchell

Stephen Satchell

BA UNSW; MA Sydney; MCom UNSW; Ph.D. London; MA Cambridge; Ph.D Cambridge; FIA (Institute of Actuaries)
Professor

Rm 419
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9351 6453
Fax +61 2 9351 6461
ses999gb@yahoo.co.uk

Bio

Stephen is working on a number of topics in the broad areas of econometrics, finance, risk measurement and utility theory. He has an interest in both theoretical and empirical problems. Many of his research problems are motivated by practical investment issues. Stephens' current research looks at alternative methods of portfolio construction and risk management, as well as work on non-linear dynamic models. He is active in researching the UK mortgage and housing markets.

Stephen has strong links with Inquire (Institute for Quantitative Investment Research). This is a city-based organization that finances academic research on quantitative investment. He is also on the management committee of LQG (London Quant Group).

Stephen is a Fellow of Trinity College Cambridge where he has Isaac Newton's rooms.

Publications

2016

4
Journal Article/s

Grant A and Satchell S 2016 'Theoretical Decomposition of the Cross-Sectional Dispersion of Stock Returns', Quantitative Finance, vol.16:2, pp. 169-80 Link

Bateman H, Eckert C, Ishkahov F, Louviere J, Satchell S and Thorp S 2016 Forthcoming 'Default and Diversification heuristics in annuity choice', Australian Journal of Management

Bateman H, Eckert C, Ishkahov F, Louviere J, Satchell S and Thorp S 2016 Forthcoming 'Individual capability and effort in retirement benefit choice', Journal of Risk and Insurance

Bateman H, Thorp S, Geweke J, Louviere J, Eckert C and Satchell S 2016 'Risk Presentation and Portfolio Choice', Review of Finance, vol.20:1, pp. 201-29 Link

Malloch H, Philip R and Satchell S 2016 Forthcoming 'Decomposing the bias in time-series estimates of CAPM betas', Applied Economics Link

10
Report/s

Alcock J, Andrlikova P, Aspris A, Foley S, Satchell S, Segara R, Wright D and Yao J 2016 'Asset-Price Bubbles in the Australian Market', Report prepared for the Centre for International Finance and Regulation

2015

3
Edited Book/s

Satchell S 2015 'Derivatives and Hedge Funds', Palgrave Macmillan, Basingstoke, United Kingdom

4
Journal Article/s

Satchell S and Williams OJ 2015 'On the Difficulty of Measuring Forecasting Skills in Financial Markets', Journal of Forecasting, vol.34:2, pp. 92-113 Link

Hong KJ and Satchell S 2015 'Time series momentum trading strategy and autocorrelation amplification', Quantitative Finance, vol.15:9, pp. 1471-87 Link

Hall AD, Satchell S and Spence PJ 2015 'Evaluating the Impact of Inequality Constraints and Parameter Uncertainty on Optimal Portfolio Choice', Applied Economics, vol.47:45, pp. 4801-13 Link

Reza Bradrania M, Peat M and Satchell S 2015 'Liquidity costs, idiosyncratic volatility and expected stock returns', International Review of Financial Analysis, vol.42, pp. 394-406 Link

5
Conference Paper/s

Malloch H, Philip R and Satchell S 2015 'Biased time-series estimates of beta in the CAPM', 22nd Annual Conference of the Multinational Finance Society, Halkidiki, Greece, 1st July 2015

2014

2
Book Section/s

Satchell S and Srivastava N 2014 'Microeconomics of art: Art, luxury goods and risk' in Risk and Uncertainty in the Art World, ed. Anna M Dempster, Bloomsbury Publishing, London, United Kingdom, pp. 187-218

Satchell S and Srivastava N 2014 'High Net Worth Consumption: the Role of Luxury Goods' in Quantitative Approaches to High Net Worth Investment, ed. Andrew Rudd and Stephen Satchell, Risk Books, London, United Kingdom, pp. 183-212 Link

Satchell S and Thorp S 2014 'Modelling Sustainable Spending Plans for Family Offices, Foundations and Trusts' in Quantitative Approaches to High Net Worth Investment, ed. Andrew Rudd and Stephen Satchell, Risk Books, London, United Kingdom, pp. 213-51 Link

3
Edited Book/s

Rudd A and Satchell S 2014 'Quantitative Approaches to High Net Worth Investment', Risk Books, London, United Kingdom

4
Journal Article/s

Hong KH and Satchell S 2014 'The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process', European Journal of Finance, vol.20:3, pp. 264-90 Link

Bateman H, Eckert C, Geweke J, Louviere J, Satchell S and Thorp S 2014 'Financial Competence, Risk Presentation and Retirement Portfolio Preferences', Journal of Pension Economics and Finance, vol.13:1, pp. 27-61 Link

Golosov E and Satchell S 2014 'Modelling Style Rotation: Switching and Re-Switching', Journal of Time Series Econometrics, vol.6:2, pp. 103-28 Link

McKenzie M, Satchell S and Wongwachara W 2014 'Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing', Journal of Empirical Finance, vol.28, pp. 215-29 Link

Knight J, Satchell S and Srivastava N 2014 'Steady state distributions for models of locally explosive regimes: Existence and econometric implications', Economic Modelling, vol.41, pp. 281-8 Link

Louth R, Satchell S and Wongwachara W 2014 'Is Rating Associated with Better Retail Funds’ Performance in Changing Market Conditions?', Bankers, Markets and Investors, vol.132, pp. 4-24

Hwang S and Satchell S 2014 'Testing linear factor models on individual stocks using the average F-test', European Journal of Finance, vol.20:5, pp. 463-98 Link

5
Conference Paper/s

Partington G, Buchen P, Satchell S and Philip R 2014 'Returns and Doubling Times', 2nd Annual Indonesian Financial Management Association IFMA International Conference on Finance, Kuta, Indonesia, 17th December 2014

10
Report/s

Burckhardt P, Ahmed S and Satchell S 2014 'What factors drive the US labour market?', e-fund research.com Link

2013

4
Journal Article/s

Frino A, Satchell S, Wong B and Zheng H 2013 'How much does an Illegal Insider Trade?', International Review of Finance, vol.13:2, pp. 241-63 Link

Knight J, Satchell S and Zhang JQ 2013 'Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models', Journal of Mathematical Finance, vol.3:1A, pp. 230-6 Link

Hall AD and Satchell S 2013 'The Anatomy of Portfolio Skewness and Kurtosis', Journal of Asset Management, vol.14:4, pp. 228-35 Link

2012

4
Journal Article/s

Satchell S 2012 'Discussion on “Log-optimal economic evaluation of probability forecasts” by David Johnstone', Journal of the Royal Statistical Society A, vol.175:3, pp. 681-84

Cho Y, Hwang S and Satchell S 2012 'The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate', Journal of Real Estate Finance and Economics, vol.45:3, pp. 645-77 Link

Lizieri C, Satchell S and Wongwachara W 2012 'Unsmoothing Real Estate Returns: A Regime-Switching Approach', Real Estate Economics, vol.40:4, pp. 775-807 Link

McKenzie M, Satchell S and Wongwachara W 2012 'Nonlinearity and smoothing in venture capital performance data', Journal of Empirical Finance, vol.19:5, pp. 782-95 Link

Satchell S 2012 'An assessment of the social desirability of high-frequency trading', JASSA – The Finsia Journal of Applied Finance, vol.2012:3, pp. 7-11 Link

Bateman H, Eckert C, Geweke J, Louviere J, Thorp S and Satchell S 2012 'Financial Competence and Expectations Formation: Evidence from Australia', Economic Record, vol.88:280, pp. 39-63 Link

10
Report/s

Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Private Commercial Real Estate Returns and the Valuation Process', Investment Property Forum Research Papers, February 2012

Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Real Estate Returns and Financial Assets in Extreme Markets', Investment Property Forum Research Papers, February 2012

Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Real Estate Returns and Other Asset Classes: A Review of Literature', Investment Property Forum Research Papers, February 2012

Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Real Estate’s Role in the Mixed Asset Portfolio: A Re-Examination', Investment Property Forum Research Papers, February 2012

Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Time-varying Influences on Real Estate Returns', Investment Property Forum Research Papers, February 2012

2011

4
Journal Article/s

Bateman H, Islam T, Louviere J, Satchell S and Thorp S 2011 'Retirement Investor Risk Tolerance in Tranquil and Crisis Periods: Experimental Survey Evidence', Journal of Behavioral Finance, vol.12:4, pp. 201-18

Satchell S and Thorp S 2011 'Uncertain survival and time discounting: intertemporal consumption plans for family trusts', Journal of Population Economics, vol.24:1, pp. 239-66

2010

2
Book Section/s

Hall AD and Satchell S 2010 'Computing the Mean/Downside Risk Frontiers: the Role of Ellipticity' in Optimizing Optimization: The Next Generation of Optimization Applications and Theory, ed. S. Satchell, Academic Press, London, United Kingdom, pp. 179-200

Knight J and Satchell S 2010 'Some Properties of Averaging Simulated Optimization Methods' in Optimizing Optimization: The Next Generation of Optimization Applications and Theory, ed. S. Satchell, Academic Press, London, United Kingdom, pp. 225-46

4
Journal Article/s

Luo J, Satchell S and Chen R 2010 'Asset Allocation and a Time-varying Risk Target', Quantitative and Qualitative Analysis in Social Sciences (QASS), vol.4:2, pp. 1-28

Knight J and Satchell S 2010 'Exact Properties of Measures of Optimal Investment for Benchmarked Portfolios', Quantitative Finance, vol.10:5, pp. 495-502

Satchell S and Scherer B 2010 'Fairness in Trading: A Microeconomic Interpretation', Journal of Trading, vol.5:1, pp. 40-47

Satchell S and Wright SM 2010 'Forecasting Risk and Return from Ordered Information (Lessons from the Recent Financial Crisis)', Economic and Financial Modeling, vol.Spring, pp. 3-37

Bateman H, Louviere J, Thorp S, Islam T and Satchell S 2010 'Investment Decisions for Retirement Savings', Journal of Consumer Affairs, vol.44:3, pp. 463-82

Satchell S and Corns TRA 2010 'Modelling conditional heteroskedasticity and skewness using the skew-normal distribution one-sided coverage intervals with survey data', Metron: International Journal of Statistics, vol.68:3

Chua B, Knight J and Satchell S 2010 'Optimal Investment and Asymmetric Risk: A Large Deviations Approach', Optimization: A Journal of Mathematical Programming and Operations Research, vol.59:1, pp. 3-27

Satchell S and Pratt J 2010 'The Dubiety of Double Marking', Higher Education Review, vol.42:2, pp. 59-62

Louth RJ, Joos P, Satchell S and Weyns G 2010 'Understanding Analysts Forecasts', The European Journal of Finance, vol.16:2, pp. 97-118

2009

2
Book Section/s

Satchell S and Auld J 2009 'Collecting and Investing in Stamps' in Collectible Investments for the High Net Worth Investor, ed. S. Satchell , Academic Press, Oxford, United Kingdom, pp. 215-30

4
Journal Article/s

Luo J, Saks P and Satchell S 2009 'Implementing risk appetite in the management of currency portfolios', Journal of Asset Management, vol.9:6, pp. 380-97

Darsinos T and Satchell S 2009 'The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options', Quantitative and Qualitative Analysis in Social Sciences (QASS), vol.3:2, pp. 69-114

Zhang QJ, Hopkins P, Satchell S and Schwob R 2009 'The Link between Macroeconomic Factors and Style Returns', Journal of Asset Management, vol.10:5, pp. 338-55

2008

2
Book Section/s

Satchell S and Xia W 2008 'Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation' in The analytics of risk model validation, ed. G. Christodoulakis and S. Satchell , Academic Press, London, United Kingdom, pp. 113-34

4
Journal Article/s

Knight J and Satchell S 2008 'Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality', Journal of Economics and Finance, vol.32:1, pp. 35-46

Satchell S and Christodoulakis G 2008 'The accuracy of credit scoring receiver operating characteristic in the presence of macroeconomic shocks', Journal of Risk Model Validation, vol.2:3

2007

2
Book Section/s

Satchell S and Scowcroft A 2007 'A demystification of the Black-Litterman model: Managing quantitative and traditional portfolio construction' in Forecasting Expected Returns in the Financial Markets, ed. S. Satchell, Academic Press, London, United Kingdom, pp. 39-53

Darsinos T and Satchell S 2007 'Bayesian analysis of the Black-Scholes option price' in Forecasting Expected Returns in the Financial Markets, ed. S. Satchell, Academic Press, London, United Kingdom, pp. 117-50

Darsinos T and Satchell S 2007 'Bayesian forecasting of options prices: A natural framework for pooling historical and implied volatility information' in Forecasting Expected Returns in the Financial Markets, ed. S. Satchell, Academic Press, London, United Kingdom, pp. 151-75

Satchell S and Williams O 2007 'Optimal forecasting horizon for skilled investors' in Forecasting Expected Returns in the Financial Markets, ed. S. Satchell, Academic Press, London, United Kingdom, pp. 227-50

Koutsoyannis C and Satchell S 2007 'Robust optimization for utilizing forecasted returns in institutional investment' in Forecasting Expected Returns in the Financial Markets, ed. S. Satchell, Academic Press, London, United Kingdom, pp. 177-89

Wright S and Satchell S 2007 'Some choices in forecast construction' in Forecasting Expected Returns in the Financial Markets, ed. S. Satchell, Academic Press, London, United Kingdom, pp. 101-16

Satchell S and Williams O 2007 'The hidden binomial economy and the role of forecasts in determining prices' in Forecasting Expected Returns in the Financial Markets, ed. S. Satchell, Academic Press, London, United Kingdom, pp. 265-79

4
Journal Article/s

Satchell S and Xia W 2007 'Analytic models of the receiver operating characteristic curve: Applications to credit rating model validation', Journal of Risk Management in Financial Institutions, vol.1:1, pp. 90-106

Sancetta A and Satchell S 2007 'Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines', Applied Mathematical Finance, vol.14:3, pp. 227-42

Satchell S and Yang SJ-H 2007 'Endogenous Cross Correlation', Macroeconomic Dynamics, vol.11:Supplement 1 (Interacting Agents and Market Behavior) , pp. 124-53

Hwang S, Satchell S and Valls Pereira PL 2007 'How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models', Journal of Business Finance and Accounting, vol.34:5-6, pp. 1002-24

Corns TRA and Satchell S 2007 'Skew Brownian Motion and Pricing European Options', European Journal of Finance, vol.13:6, pp. 523-44

Davies GB and Satchell S 2007 'The Behavioural Components of Risk Aversion', Journal of Mathematical Psychology, vol.51:1, pp. 1-13

Williams O and Satchell S 2007 'The Best of Intentions? The Allocation of Resources between Large and Small Subjects', Higher Education Review, vol.39:2, pp. 65-73

Hwang S and Satchell S 2007 'The disappearance of style in the US equity market', Applied Financial Economics, vol.17:8, pp. 597-613

Lizieri CM, Satchell S and Zhang Q 2007 'The Underlying Return Generating Factors for REIT Returns: An Application of Independent Component Analysis', Journal of Real Estate Economics, vol.35:4, pp. 567-96

Bond SA, Hwang S, Mitchell P and Satchell S 2007 'Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios?', Journal of Portfolio Management - (Special Real Estate Issue), vol.33:5, pp. 74-84

2006

2
Book Section/s

Lewin RA, Sardy MJ and Satchell S 2006 'UK Measures of Firm-Lived Equity Duration' in International Finance Review - Volume 7:Value Creation in Multinational Enterprise, ed. Professor J. Jay Choi, Emerald Group Publishing Limited, London, United Kingdom, pp. 307-38

4
Journal Article/s

Bond SA and Satchell S 2006 'Asymmetry and downside risk in foreign exchange markets', The European Journal of Finance, vol.12:4, pp. 313-32

Satchell S and Bond SA 2006 'Asymmetry, Loss Aversion and Forecasting', Journal of Business, vol.79:4, pp. 1809-30

8
Magazine Article/s

Satchell S and Xia W 2006 'A Matter of Attitude: Estimation of the Risk Attitude of the Representative UK Pension Fund Investor', Life & Pensions, pp. 34-40

2005

4
Journal Article/s

Knight J and Satchell S 2005 'A Re-Examination of Sharpe's Ratio for Log-Normal Prices', Applied Mathematical Finance, vol.12:1, pp. 87-100

Knight J, Lizieri C and Satchell S 2005 'Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets', Journal of Property Research (Special Issue for the European Real Estate Society (ERES) Conference 2005), vol.22:4, pp. 309-23

Satchell S 2005 'Editor - Special Issue: Hedge Funds', The European Journal of Finance, vol.11:5

Hwang S and Satchell S 2005 'GARCH model with cross-sectional volatility: GARCHX models', Applied Financial Economics, vol.15:3, pp. 203-16

Sancetta A and Satchell S 2005 'New test statistics for market timing with applications to emerging markets hedge funds', The European Journal of Finance (Special Issue: Hedge Funds), vol.11:5, pp. 419-43

Satchell S and Wright SM 2005 'Robust Cross-sectional Factor Modelling Approach to Equity Forecast Construction', Economic and Financial Modelling, vol.12:4, pp. 153-82

Gregoriou GN, Rouah F, Satchell S and Diz F 2005 'Simple and cross efficiency of CTAs using data envelopment analysis', The European Journal of Finance (Special Issue: Hedge Funds), vol.11:5, pp. 393-409

Hwang S and Satchell S 2005 'Valuing information using utility functions: how much should we pay for linear factor models?', The European Journal of Finance, vol.11:1, pp. 1-16

2004

2
Book Section/s

Darsinos T and Satchell S 2004 'Bayesian Estimation of Risk Premia in an APT Context' in Linear Factor Models in Finance, ed. J. Knight and S. Satchell, Butterworth and Heinemann, Kidlington, United Kingdom, pp. 61-82

Lande G, Sancetta A and Satchell S 2004 'Drawdown as a Measure of Hedge Fund Risk: Some Stylized Facts' in Hedge Funds: Strategies, Risk Assessment, and Returns, ed. Greg N. Gregoriou, Fabrice Rouah, and Vassilios N. Karavas, Beard Books, Washington, United States, pp. 235-46

Satchell S 2004 'The small noise arbitrage pricing theory and its welfare implications' in Linear Factor Models in Finance, ed. J. Knight and S. Satchell, Butterworth and Heinemann, Kidlington, United Kingdom, pp. 150-58

3
Edited Book/s

Satchell S 2004 'Linear Factor Models in Finance', ed. J. Knight and S. Satchell, Butterworth and Heinemann, Kidlington, United Kingdom

4
Journal Article/s

Sancetta A and Satchell S 2004 'Calculating Hedge Fund Risk: the Draw Down and the Maximum Draw Down', Applied Mathematical Finance, vol.11:3, pp. 259-82

Satchell S 2004 'Data Pooling: a necessity for the majority of UK mortgage lenders', Credit Risk International, vol.June

Christodoulakis G and Satchell S 2004 'Forecast Evaluation in the Presence of Unobserved Volatility', Econometric Reviews, vol.23:3, pp. 175-98

Darsinos T and Satchell S 2004 'Measuring Style Tilting and Decomposing Style Risk', Journal of Asset Management, vol.5:1, pp. 64-71

Sancetta A and Satchell S 2004 'The Bernstein Copula and its Applications to Modeling and Approximations of Multivariate Distributions', Econometric Theory, vol.20:3, pp. 536-62

Satchell S and Lewin RA 2004 'Treasury Management of Core Banking Deposits', Journal of Bond Trading and Management, vol.2:2

8
Magazine Article/s

Darsinos T and Satchell S 2004 'Generalising the Universal Performance Measure', Risk Magazine, vol.June, pp. 80-4

2003

2
Book Section/s

Satchell S and Randall J 2003 'An Analysis of the Hedging Approach to Modelling Pension Fund Liabilities' in reprinted in Asset and Liability Management Tools A Handbook for Best Practice, ed. Bernd Scherer

Satchell S, Hwang S and Wright S 2003 'Assessing the Merits of Rank-based Optimisation for Portfolio Construction' in New Advances in Portfolio Construction and Implementation, ed. S. Satchell and A. Scowcroft , Butterworth-Heinemann, London, United Kingdom

Satchell S and Hillier G 2003 'Some Exact Results for Efficient Portfolios with Given Returns' in New Advances in Portfolio Construction and Implementation, ed. S. Satchell and A. Scowcroft , Butterworth-Heinemann, London, United Kingdom

3
Edited Book/s

Satchell S and Scowcroft A 2003 'New Advances in Portfolio Construction and Implementation', Butterworth and Heinemann , London, United Kingdom

4
Journal Article/s

Pedersen C and Satchell S 2003 'Can NN-algorithms and macroeconomic data improve OLS Industry Returns Forecasts?', The European Journal of Finance, vol.9:3, pp. 273-89

Lambrecht BM, Perraudin WRM and Satchell S 2003 'Mortgage Default and Possession under Recourse: A Competing Hazards Approach', Journal of Money, Credit and Banking, vol.35:3, pp. 425-42

Pederson C and Satchell S 2003 'Utility Functions whose Parameters depend on Initial Wealth', Bulletin of Economic Research, vol.55:4, pp. 357-71

Knight J, Satchell S and Wang G 2003 'Value at Risk Linear Exponent (VARLINEX) Forecasts', Quantitative Finance, vol.3:4, pp. 332-44

2002

2
Book Section/s

Satchell S and Lundin M 2002 'Performance Measurement of Portfolio Risk with Orthant Probabilities' in Performance Measurement in Finance, ed. J. Knight and S. Satchell, Butterworth and Heinemann, pp. 261-84

3
Edited Book/s

Knight J and Satchell S 2002 'Performance Measurement in Finance', Butterworth and Heinemann

4
Journal Article/s

Hwang S and Satchell S 2002 'Calculating the Misspecification in Beta from Using a Proxy for the Market Portfolio', Applied Financial Economics, vol.12:11, pp. 771-81

Christodoulakis G and Satchell S 2002 'Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns', European Journal of Operational Research, vol.139:2, pp. 351-70

Knight JL, Satchell S and Yu J 2002 'Efficient Estimation of the Stochastic Volatility Model via the Empirical Characteristic Function', Australian and New Zealand Journal of Statistics, vol.44:3, pp. 319-35

Satchell S and Sancetta A 2002 'Molten Lava meets Market Langour', Quantitative Finance, vol.2:6, pp. 405-6

Christodoulakis G and Satchell S 2002 'On the Evolution of Global Style Factors in the MSCI Universe of Assets', International Transactions in Operational Research, vol.9:5, pp. 643-60

Pederson C and Satchell S 2002 'On the Foundation of Performance Measures under Asymmetric Returns', Quantitative Finance, vol.2:3, pp. 217-23

Bond SA and Satchell S 2002 'Statistical Properties of the Sample Semi-Variance, with an Application to Emerging Markets Data', Applied Mathematical Finance, vol.9:4, pp. 219-39

Hwang S, Hall A and Satchell S 2002 'Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models', Journal of Banking and Finance, vol.26:12, pp. 2301-25

2001

2
Book Section/s

Satchell S and Knight J 2001 'Efficiency, Considerations in the Negative Exponential Failure Time Model' in Handbook of Applied Econometrics and Statistical Inference, ed. Marcel Dekker

Satchell S 2001 'Lower Partial-Moment Capital Asset Pricing Models: A Re-examination, 1996, IFR Discussion Paper No.20' in Downside Risk, ed. S. Satchell and F. Sortino, Butterworth and Heinemann

Satchell S and Hwang S 2001 'Modelling Emerging Market Risk Premia using Higher Moments' in Return Distributions in Finance, ed. S.E Satchell and J Knight , Butterworth and Heinemann , pp. 75-115

Satchell S and Knight J 2001 'Pricing Derivatives Written on Assets with Arbitrary Skewness and Kurtosis' in Return Distributions in Finance, ed. S. Satchell and J. Knight, Butterworth and Heinemann, pp. 229-50

Satchell S, Knight J and Wang G 2001 'The Probability Functions of Options Prices, Risk-Neutral Pricing and Value-at-Risk' in Return Distributions in Finance, pp. 252-75

Satchell S and Hwang S 2001 'VaR versus Tracking Error: the Strengths and Weaknesses of Two Performance Measures' in Measuring Added Value: In Financial Institutions, Financial Times, ed. E. Acar, Prentice Hall, London

3
Edited Book/s

Satchell S and Sortino F 2001 'Downside Risk', Butterworth and Heinemann

Satchell S and Knight J 2001 'Returns Distributions in Finance', Butterworth and Heinemann

4
Journal Article/s

Satchell S and Knight J 2001 'A Note on Bayesian Inference in Asset Pricing, IFR Discussion Paper No. 45 1997', Econometric Theory, vol.17:2, pp. 475-82

Satchell S, Damant DC and Hwang S 2001 'An Exponential Risk Measure with Application to UK Asset Allocation', Applied Mathematical Finance, vol.7:2, pp. 127-52

Satchell S and Middleton L 2001 'Deriving the Arbitrage Pricing Theory when the Number of Factors is Unknown', Quantitative Finance, vol.1, pp. 502-08

Hwang S, Knight J and Satchell S 2001 'Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions', Annals of Economics and Finance, vol.2:1, pp. 187-213

Satchell S and Daccó R 2001 'Forward and Spot Rates in a Bi-variate TAR Framework', The European Journal of Finance, vol.7:2, pp. 131-43

Kuo G and Satchell S 2001 'Global Equity Styles and Industry Effects: Portfolio Construction via Dummy Variables', Journal of International Financial Markets, Institutions and Money, vol.11:1, pp. 1-28

Satchell S and Lewin RA 2001 'Investigating the Benefits of Mutuality: Mutual Versus Proprietary Annuity Provision', Journal of Pensions Management, vol.7:1

Satchell S and Pederson C 2001 'On the Characterisation of Investor Preferences by Changes in Wealth', Geneva Papers on Risk and Insurance: Theory, vol.26:3, pp. 175-94

Satchell S and Hwang S 2001 'Tracking Error: Ex-Ante versus Ex-Post Measures', Journal of Asset Management, vol.2:3, pp. 241-46

2000

4
Journal Article/s

Pederson CS, Eftekhari B and Satchell S 2000 'On the Volatility of Financial Risk: An Investigation Using Returns from European Markets', The European Journal of Finance, vol.6:1, pp. 18-38

Recent Units Taught