Network


Latest external collaboration on country level. Dive into details by clicking on the dots.

Hotspot


Dive into the research topics where Andrew Clare is active.

Publication


Featured researches published by Andrew Clare.


The Economic Journal | 1994

Is the gilt-equity yield ratio useful for predicting UK stock returns?

Andrew Clare; Stephen Thomas; Michael R. Wickens

The ratio of a long government bond yield to the equity market dividend yield, the gilt-equity yield ratio, is commonly used by analysts in the United Kingdom as a means of determining the cheapness of equity investment relative to investment in gilts. Analysts use the ratio to predict future movements in equity prices using buy/sell thresholds, implicitly assuming that there is a long-run arbitrage relation between the equity market and the government bond market. A formal econometric analysis confirms that the gilt-equity yield ratio is indeed a useful predictor of equity returns in the United Kingdom. Copyright 1994 by Royal Economic Society.


Journal of Banking and Finance | 1998

Extreme price clustering in the London equity index futures and options markets

Owain ap Gwilym; Andrew Clare; Stephen Thomas

Price clustering and optimal tick sizes have recently been topics of substantial public policy interest, and this paper presents evidence which is relevant to both debates. Around 98% of quoted and traded prices for LIFFE stock index derivatives are found to occur at even ticks. We report that clustering increases with volatility and transaction frequency, and decreases with trade size, and find that the proportion of odd ticks is significantly lower near the market open and higher near the close. Further, an inverse relationship is reported between bid–ask spreads and the number of odd ticks, and spreads cluster at even-tick values. This evidence of extreme price clustering is the first to be presented for financial derivatives. The results support both the price resolution and the negotiation hypotheses of price clustering.


Journal of Banking and Finance | 1998

Reports of beta's death are premature: Evidence from the UK

Andrew Clare; Richard Priestley; Stephen Thomas

A number of authors have found that firm size and book-to-market-value capture the cross-sectional variation in average stock returns. More importantly, these variables have been shown to out-perform the CAPMs ? coefficient in explaining the cross-section of US stock returns. However, these studies all employ variants of the two-step estimator due to Fama and MacBeth (Fama, E.F., MacBeth, J.D., 1973. Risk, return and equilibrium: Empirical tests. Journal of Political Economy 71, 607–636), which impose implicitly the restriction that idiosyncratic returns are uncorrelated. In this paper we use a one-step estimator due to McElroy et al. (McElroy, M.B., Burmeister, E., Wall, K.D., 1985. Two estimators for the APT model when factors are measured. Economics Letters 19, 271–275) and find a highly significant role for ? risk in the UK stock market when we allow for correlation amongst idiosyncratic returns.


Journal of Banking and Finance | 2000

A word of caution on calculating market-based minimum capital risk requirements

Chris Brooks; Andrew Clare; Gitanjali Persand

This paper demonstrates that the use of GARCH-type models for the calculation of minimum capital risk requirements (MCRRs) may lead to the production of inaccurate and therefore inefficient capital requirements. We show that this inaccuracy stems from the fact that GARCH models typically overstate the degree of persistence in return volatility. A simple modification to the model is found to improve the accuracy of MCRR estimates in both back- and out-of-sample tests. Given that internal risk management models are currently in widespread usage in some parts of the world (most notably the USA), and will soon be permitted for EC banks and investment firms, we believe that our paper should serve as a valuable caution to risk management practitioners who are using, or intend to use this popular class of models.


European Journal of Finance | 2011

Does Securitization Reduce Credit Risk Taking? Empirical Evidence from US Bank Holding Companies

Barbara Casu; Andrew Clare; Anna Sarkisyan; Stephen Thomas

This study investigates the impact of securitization on the credit risk-taking behavior of banks. Using US Bank Holding Company data from 2001 to 2007, we find that banks with a greater balance of outstanding securitized assets choose asset portfolios of lower credit risks. Examining securitizations by the type of underlying assets, we find that the negative relationship between outstanding securitization and risk taking is primarily driven by securitizations of mortgages, home equity lines of credit, and other consumer loans. Securitizations of all other types of assets, on the other hand, seem to have no significant impact on bank credit risk-taking behavior. We attribute these results to the recourse commonly provided in securitization transactions, as it might alter the risk-taking appetite of the issuing banks across asset classes. Therefore, we conclude that the net impact of securitization on the risk-taking behavior of issuing banks, and consequently on the soundness of the banking system, is ambiguous and will depend on the transactions structure. In particular, it will depend on the relative magnitude of credit support provided by banks. This leads us to suggest that banks have typically viewed securitization as a financing rather than a risk management mechanism.


Journal of International Financial Markets, Institutions and Money | 1998

Price clustering and bid-ask spreads in international bond futures

Owain ap Gwilym; Andrew Clare; Stephen Thomas

Abstract We examine price clustering in government bond futures contracts traded at the London International Financial Futures and Options Exchange (LIFFE) and its impact on bid-ask spreads. This open outcry environment provides a rich dataset comprising all quotes and trades, in contrast to data from markets such as the Chicago Mercantile Exchange (CME), which only includes price-change transactions. The German and UK bond futures have low levels of price clustering, and bid-ask spreads are concentrated at the minimum tick size. In contrast, the Italian and Japanese contracts reveal considerably more clustering, and this coincides with wider spreads. We also present evidence on the relationship between the degree of price clustering and trade size.


Pacific-basin Finance Journal | 1998

Risk factors in the Malaysian stock market

Andrew Clare; Richard Priestley

Abstract Using factors similar to those used by Chen et al. (1986), we use the APT to describe the risk-return relationship of the Malaysian stock market. We find however that a proxy for international risk can be used to augment the domestic version of the APT for the Malaysian market. These results are important for corporate managers undertaking cost of capital calculations, for fund managers making investment decisions and, amongst others, for investors who wish to assess the performance of managed funds.


Journal of Banking and Finance | 1997

UK stock returns and robust tests of mean variance efficiency

Andrew Clare; Peter Smith; Stephen Thomas

We test both the unconditional and conditional Mean Variance Efficiency of the UK stockmarket, paying particular attention to choosing a suitable set of instruments for the conditional version of the model. By considering more carefully than previous authors the pricing of economic risk within the mean-variance framework we show that certain instruments can enhance the basic model structure. Given the tendency for financial market data to display non-constancy in variance and non-normality we employ the GMM procedure described in Hansen (1982), which requires much weaker distributional assumptions than the more traditional OLS techniques. We discuss forming portfolios of stocks using both size and dividend yield as a criterion to achieve a suitable spread of risk and return, and find that our conclusions are sensitive both to the method of portfolio formation and to the choice of estimator. This is an important finding given the problem of thin trading associated with the size ordering of UK stocks. We find some support for both the unconditional and conditional version of the CAPM, though we are cautious about our conclusions given the instability of the parameter estimates.


Journal of Multinational Financial Management | 2002

Calculating the probability of failure of the Norwegian banking sector

Andrew Clare; Richard Priestley

Abstract We calculate the probability of failure of the Norwegian banking sector both before and after the Norwegian banking crisis. Thus unlike previous studies of this kind we choose a sample period and banking sector where there were significant numbers of bank failures. This approach therefore gives us a better indication of the quality of the calculated risk measure. Our results indicate evidence of a steep increase in the risk inherent in this sector beginning in 1984 following the deregulation of Norwegian banks in the mid 1980s. We also find that risk levels in the sector fall after 1992 and continue to fall to pre-1982 levels by the end of our sample in December 1995.


The Journal of Investing | 2010

Price and Momentum as Robust Tactical Approaches to Global Equity Investing

Andrew Clare; O. ap Gwilym; James Seaton; Stephen Thomas

This article investigates the performance of momentum and timing approaches for investing across 32 international equity markets, adding to a growing body of literature, which includes Siegel [2002] and Faber [2007, 2009], using data back to 1971. Momentum strategies are found to be profitable using a global portfolio, although the outperformance has diminished somewhat in the last two decades. The authors find that a trend following method significantly reduces the volatility of international equities and provides superior risk-adjusted returns compared to a conventional buy-and-hold method. Finally, the authors observe that the performance of portfolio momentum “winners” can be improved still further by the addition of a trend following filter.

Collaboration


Dive into the Andrew Clare's collaboration.

Top Co-Authors

Avatar
Top Co-Authors

Avatar
Top Co-Authors

Avatar

Peter Smith

Australian National University

View shared research outputs
Top Co-Authors

Avatar

Nick Motson

City University London

View shared research outputs
Top Co-Authors

Avatar
Top Co-Authors

Avatar
Top Co-Authors

Avatar
Top Co-Authors

Avatar

Richard Priestley

BI Norwegian Business School

View shared research outputs
Top Co-Authors

Avatar
Top Co-Authors

Avatar
Researchain Logo
Decentralizing Knowledge