Dr. Stephen Ellwood Satchell

Sydney University, Australia

Email: ses999gb@yahoo.co.uk

Qualifications

1976 Ph.D., University of London

1972 M.A., University of Sydney

1965 B.A., University of New South Wales

Publications (Selected)

1. Allen, D., Satchell, S., & Lizieri, C. (2024). Quantifying the non-Gaussian gain. Journal of Asset Management, 25(1), 1-18.
2. Ahmed, M. F., & Satchell, S. (2024). Conviction, diversification or something else: constructing optimal portfolios with additional attributes. Studies in Economics and Finance, 41(4), 923-938.
3. Duan, K., Gao, Y., Mishra, T., & Satchell, S. (2023). Efficiency dynamics across segmented Bitcoin Markets: Evidence from a decomposition strategy. Journal of International Financial Markets, Institutions and Money, 83, 101742.
4. Malloch, H., Philip, R., & Satchell, S. (2023). Estimation with Errors in Variables via the Characteristic Function. Journal of Financial Econometrics, 21(3), 616-650.
5. Gao, Y., Leung, H., & Satchell, S. (2022). Partial moment momentum. Journal of banking & finance, 135, 106361.
6. Wilcox, J., & Satchell, S. (2021). Expected Surplus Growth Compared with Mean–Variance Optimization. Journal of Portfolio Management, 47(4), 145-159.
7. Wilcox, J., & Satchell, S. (2021). Expected Surplus Growth Compared with Mean–Variance Optimization. Journal of Portfolio Management, 47(4), 145-159.
8. Allen, D., Lizieri, C., & Satchell, S. (2020). A comparison of non-Gaussian VaR estimation and portfolio construction techniques. Journal of Empirical Finance, 58, 356-368.
9. Allen, D., Lizieri, C., & Satchell, S. (2020). A comparison of non-Gaussian VaR estimation and portfolio construction techniques. Journal of Empirical Finance, 58, 356-368.
10. Liu, S., Yao, J., & Satchell, S. (2020). Analyst Forecast Dispersion and Market Return Predictability: Does Conditional Equity Premium Play a Role?. Journal of Risk and Financial Management, 13(5), 98.
11. Schroeder, F., Lepone, A., Leung, H., & Satchell, S. (2020). Flash crash in an OTC market: trading behaviour of agents in times of market stress. The European Journal of Finance, 26(15), 1569-1589.
12. Allen, D., Lizieri, C., & Satchell, S. (2020). “In Defense of Portfolio Optimization: What If We Can Forecast?”: Author Response. Financial Analysts Journal, 76(2), 106-107.
13. Kwon, O. K., & Satchell, S. (2020). The distribution of cross sectional momentum returns when underlying asset returns are Student’st distributed. Journal of Risk and Financial Management, 13(2), 27.
14. Gao, Y., Satchell, S., & Srivastava, N. (2020). Styles through a convergent/divergent lens: the curious case of ESG. Journal of Asset Management, 21(1), 4-12.
15. Muijsson, C., & Satchell, S. (2020). The role of bank funding in systematic risk transmission. Finance Research Letters, 33, 101222.
16. Muijsson, C., & Satchell, S. (2020). The role of bank funding in systematic risk transmission. Finance Research Letters, 33, 101222.
17. Pownall, R. A., Satchell, S., & Srivastava, N. (2019). A random walk through Mayfair: Art as a luxury good and evidence from dynamic models. Journal of International Money and Finance, 95, 112-127.

Profile Details

https://orcid.org/0000-0002-5258-762X

https://www.linkedin.com/in/steve-satchell-a6a01325/

https://www.researchgate.net/profile/Stephen-Satchell