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The new research will create a valuable data resource

Research into asset pricing receives funding boost

Academics at the Business School have cause to celebrate today, as they have been awarded an Economic and Social Research (ESRC) grant of more than £285,000.

This will further their ongoing research into cost of capital and asset pricing in the UK. 

The research team, led by Prof. Alan Gregory and including Dr. Christina Dargenidou, Dr. Rajesh Tharyan and Dr. Pengguo Wang can now pursue this five year project, with the final objective being to advance knowledge of and facilitate further research into asset pricing here in the UK.

The project’s aims are far-reaching, and seek to enrich study amongst academics, whilst also benefiting regulatory bodies such as the Competition Commission, the Office of Fair Trading (OFT), OFWAT and OFCOM.  This will be achieved through two means: the first by providing an improved model of the cost of capital and asset pricing in the UK; and the second by facilitating the creation of financial data that is both accurate and free of survivorship bias.

Further objectives include building on the current scope of academic work, by expanding the existing dataset through inclusion of the full range of portfolios available for the US, located on Professor of Finance Ken French’s website.  It will also expand on existing data in order to include developments relating to returns and asset pricing, and will undertake a range of tests in order to develop a detailed, relevant cross-section model of UK stock returns.   In this way, the project will also make its mark on the literature currently available which relates to implied cost of capital (ICC).

Dr Tharyan commented: “With this project, we aim to not only advance the state of asset pricing research in the UK, with potential policy implications, but also provide a valuable data resource that can be freely used by other academic researchers”

Date: 26 November 2012

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