Mark Salmon | University of Cambridge (original) (raw)
Papers by Mark Salmon
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SSRN Electronic Journal, 2018
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Journal of International Money and Finance, 2021
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m.salmon@city.ac.uk. We would like to thank Alistair Sayer of J.P.Morgan, London for several disc... more m.salmon@city.ac.uk. We would like to thank Alistair Sayer of J.P.Morgan, London for several discussions relating to the practical implementation of performance We have carried out a detailed comparison of the statistical properties and the relationships between a set of five performance measures using 14 UK based Investment Trusts over a sample period ranging from 1980 to 2001. Our results suggest very clearly that there is almost no difference between Jensen’s Alpha, the Treynor-Mazuy (TM) measure and the Positive Period Weighting(PPW) measure over our sample period and amongst our set of Investment Trusts. This would seem to indicate that there is no timing ability within these fund managers. The Sharpe Ratio clearly provides different signals regarding performance than the other measures and is the only absolute measure in the set of measures we have considered. While simple correlation analysis suggests that there is a high degree of dependence between most of the measures we h...
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... 372 Steve Satchel1 and Allan Timmermann for instance, in the transaction costs of the market.... more ... 372 Steve Satchel1 and Allan Timmermann for instance, in the transaction costs of the market. ... In light of the problem associated with nonsynchronous trading of the shares included in any given index (Atchison, Butler, and Simonds 1987), it comes as no surprise that all of the ...
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Economica, 1987
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We propose a new non-parametric measure of herding, beta herding, based on linear factor models a... more We propose a new non-parametric measure of herding, beta herding, based on linear factor models and apply it to investigate the nature of herd behaviour in the US, UK, and South Korean stock markets. Our measure is based on the cross-sectional variation of market betas hence we consider what might be called beta herding and herding towards the market index. We nd clear evidence of beta herding when the market is evolving smoothly, either rising or falling, rather than when the market is in crisis. In fact we nd that crises appear to lead investors to seek out fundamenal value rather than herd.We examine the relationship between market wide sentiment and beta herding and show that there are separate forces at work. The evidence we nd on herding provides an explanation for why we observe di¤erent impacts in cross-sectional asset returns after periods of negative and positive sentiment. Keyword Herding, Sentiment, Non-central Chi Square Distribution, Market Crises. JEL Code C12,C31,...
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What has the rational learning literature taught us?, L. Blume and D. Easley Savage-Bayesian mode... more What has the rational learning literature taught us?, L. Blume and D. Easley Savage-Bayesian models of economics, N. Kiefer and Y. Nyarko on adaptive learning in strategic games, R. Narimon and E. McGrattan adaptive learning and expectational stability, G. Evans and S. Honkapohja learning in oligopoly - theory, simulation and experimental evidence, A. Kirman speed of convergence of recursive least squares - learning with autoregressive moving-average perceptions increasing social returns, learning and bifurcation phenomena, G. Evans and S. Honkapohja bounded rationality and learning - procedural learning, M. Salmon learning and reputation in repeated games of incomplete information, D. Canning learning and social equilibrium in large populations, D. Canning evolution and rationality in competitive markets, L. Blume and D. Easley evolutionary selection and rational behaviour, A. Banerjee and J. Weibull equilibrium selection through adaption and experimentation, H. Young.
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Nonlinear Dynamics and Economics, first published in 1997, presents developments in nonlinear eco... more Nonlinear Dynamics and Economics, first published in 1997, presents developments in nonlinear economic dynamics along with related research from associated fields, including mathematics, statistics, biology, and physics. Specific areas covered include instability in economic theory, nonlinearity in financial markets, tests for nonlinearity and chaos, frequency domain methods, nonlinear business cycles, and nonlinear prediction and forecasting. This volume comprises the tenth in the International Symposia in Economic Theory and Econometrics series under the general editorship of William Barnett. This proceedings volume includes revisions of the most important papers presented at a conference held at the European University Institute in Florence on July 6-17, 1992, along with revisions of the related, invited papers presented at the annual meetings of the American Statistical Association held in San Francisco on August 8-12, 1993.
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The Economic Journal, 1982
The interface between economic theory and applied econometrics is often one of uneasy compromise,... more The interface between economic theory and applied econometrics is often one of uneasy compromise, with the pragmatic justification for many accepted procedures resting on a tenuous theoretical base. This paper examines the surprisingly strong arguments that exist in ...
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Cuadernos Economicos De Ice, 1993
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2015 IEEE 26th International Conference on Application-specific Systems, Architectures and Processors (ASAP), 2015
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Annals of Statistics, 1993
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Journal of Signal Processing Systems
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Natural Computing Series, 2016
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The Warwick Economics Research Paper Series, 1982
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Macroeconomic Dynamics, Feb 1, 2002
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Bookmarks Related papers MentionsView impact
SSRN Electronic Journal, 2018
Bookmarks Related papers MentionsView impact
Journal of International Money and Finance, 2021
Bookmarks Related papers MentionsView impact
m.salmon@city.ac.uk. We would like to thank Alistair Sayer of J.P.Morgan, London for several disc... more m.salmon@city.ac.uk. We would like to thank Alistair Sayer of J.P.Morgan, London for several discussions relating to the practical implementation of performance We have carried out a detailed comparison of the statistical properties and the relationships between a set of five performance measures using 14 UK based Investment Trusts over a sample period ranging from 1980 to 2001. Our results suggest very clearly that there is almost no difference between Jensen’s Alpha, the Treynor-Mazuy (TM) measure and the Positive Period Weighting(PPW) measure over our sample period and amongst our set of Investment Trusts. This would seem to indicate that there is no timing ability within these fund managers. The Sharpe Ratio clearly provides different signals regarding performance than the other measures and is the only absolute measure in the set of measures we have considered. While simple correlation analysis suggests that there is a high degree of dependence between most of the measures we h...
Bookmarks Related papers MentionsView impact
... 372 Steve Satchel1 and Allan Timmermann for instance, in the transaction costs of the market.... more ... 372 Steve Satchel1 and Allan Timmermann for instance, in the transaction costs of the market. ... In light of the problem associated with nonsynchronous trading of the shares included in any given index (Atchison, Butler, and Simonds 1987), it comes as no surprise that all of the ...
Bookmarks Related papers MentionsView impact
Economica, 1987
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
We propose a new non-parametric measure of herding, beta herding, based on linear factor models a... more We propose a new non-parametric measure of herding, beta herding, based on linear factor models and apply it to investigate the nature of herd behaviour in the US, UK, and South Korean stock markets. Our measure is based on the cross-sectional variation of market betas hence we consider what might be called beta herding and herding towards the market index. We nd clear evidence of beta herding when the market is evolving smoothly, either rising or falling, rather than when the market is in crisis. In fact we nd that crises appear to lead investors to seek out fundamenal value rather than herd.We examine the relationship between market wide sentiment and beta herding and show that there are separate forces at work. The evidence we nd on herding provides an explanation for why we observe di¤erent impacts in cross-sectional asset returns after periods of negative and positive sentiment. Keyword Herding, Sentiment, Non-central Chi Square Distribution, Market Crises. JEL Code C12,C31,...
Bookmarks Related papers MentionsView impact
What has the rational learning literature taught us?, L. Blume and D. Easley Savage-Bayesian mode... more What has the rational learning literature taught us?, L. Blume and D. Easley Savage-Bayesian models of economics, N. Kiefer and Y. Nyarko on adaptive learning in strategic games, R. Narimon and E. McGrattan adaptive learning and expectational stability, G. Evans and S. Honkapohja learning in oligopoly - theory, simulation and experimental evidence, A. Kirman speed of convergence of recursive least squares - learning with autoregressive moving-average perceptions increasing social returns, learning and bifurcation phenomena, G. Evans and S. Honkapohja bounded rationality and learning - procedural learning, M. Salmon learning and reputation in repeated games of incomplete information, D. Canning learning and social equilibrium in large populations, D. Canning evolution and rationality in competitive markets, L. Blume and D. Easley evolutionary selection and rational behaviour, A. Banerjee and J. Weibull equilibrium selection through adaption and experimentation, H. Young.
Bookmarks Related papers MentionsView impact
Nonlinear Dynamics and Economics, first published in 1997, presents developments in nonlinear eco... more Nonlinear Dynamics and Economics, first published in 1997, presents developments in nonlinear economic dynamics along with related research from associated fields, including mathematics, statistics, biology, and physics. Specific areas covered include instability in economic theory, nonlinearity in financial markets, tests for nonlinearity and chaos, frequency domain methods, nonlinear business cycles, and nonlinear prediction and forecasting. This volume comprises the tenth in the International Symposia in Economic Theory and Econometrics series under the general editorship of William Barnett. This proceedings volume includes revisions of the most important papers presented at a conference held at the European University Institute in Florence on July 6-17, 1992, along with revisions of the related, invited papers presented at the annual meetings of the American Statistical Association held in San Francisco on August 8-12, 1993.
Bookmarks Related papers MentionsView impact
The Economic Journal, 1982
The interface between economic theory and applied econometrics is often one of uneasy compromise,... more The interface between economic theory and applied econometrics is often one of uneasy compromise, with the pragmatic justification for many accepted procedures resting on a tenuous theoretical base. This paper examines the surprisingly strong arguments that exist in ...
Bookmarks Related papers MentionsView impact
Cuadernos Economicos De Ice, 1993
Bookmarks Related papers MentionsView impact
2015 IEEE 26th International Conference on Application-specific Systems, Architectures and Processors (ASAP), 2015
Bookmarks Related papers MentionsView impact
Annals of Statistics, 1993
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Journal of Signal Processing Systems
Bookmarks Related papers MentionsView impact
Natural Computing Series, 2016
Bookmarks Related papers MentionsView impact
The Warwick Economics Research Paper Series, 1982
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Macroeconomic Dynamics, Feb 1, 2002
Bookmarks Related papers MentionsView impact