Dr Godfrey Charles-Cadogan

Lecturer in Finance

Contact details

  • Tel: +44 (0)116 229 7385
  • Email: gcc13@le.ac.uk
  • Office: Room 1.03, Mallard House, Brookfield
  • Office hours: Tuesday 2.00 pm - 3.00 pm; Friday 11.00 am - 12.00 noon

Personal details

I joined the School in 2016, having previously taught at the University of Johannesburg. I hold a PhD from the University of Cape Town with emphasis on Statistical Economics. My research has been published in Journal of Economic Behavior & Organization, Journal of Mathematical Economics, Journal of Investment Strategies, Financial Research Letters, Handbook of High Frequency Trading, Systems Research and Behavioral Science, and Proceedings of American Statistical Association, Business & Economics Section.

Personal website

Research Interests

Behavioural probability and stochastic processes; econometrics theory; asset pricing; portfolio theory; decision theory; mathematical economics.

Current research projects include construction of a credit risk index with myopic loss aversion to credit default; behavioural asset pricing and rare disasters; managerial compensation contracts and revolving doors; behavioural probability models for irrational exuberance and financial market instability; direct estimation of risk attitude factors with nonexperimental data, and applications of Lie group theory to microfoundations of decision under risk.

PhD Supervision

Modern economics and finance are highly quantitative. Hence, students with strong mathematics or statistics background, or those willing to work hard to acquire same through directed reading, are welcome to pursue projects that include but are not limited to asset pricing, decision making in the presence of risk, foundations of behavioural economics, portfolio performance measurement, econometrics theory, empirical stochastic processes, behavioural finance, and empirical research involving algorithmic or high frequency trading or natural experiments in behavioural economics and finance.

Teaching

  • MN 1017 Foundations of Economics (BSc Accounting & Finance)
  • MN 2103 Research Methods (BSc Accounting & Finance)
  • MN 2134 Corporate Finance (BSc Accounting & Finance)
  • MN 3141 Performance Measurement in Financial Institutions (BSc Accounting & Finance)
  • MN 7032 Corporate Finance (MSc Accounting & Finance) Teacher Rating 4.4/5
  • MN 7038 Advanced Empirical Finance (MSc Accounting & Finance) Teacher Rating 4.0/5

Most Recent Publications

Losses Loom Larger Than Gains and Reference Dependence in Bernoulli’s Utility Function,” Journal of Economic Behavior & Organization, 2018, 154(1): 220-237

Probability Interference in Expected Utility Theory”, Journal of Mathematical Economics, 2018, In press

Full Listing of Publications

Losses Loom Larger Than Gains and Reference Dependence in Bernoulli’s Utility Function,” Journal of Economic Behavior & Organization, 2018, 154(1): 220-237

Probability Interference in Expected Utility Theory”, Journal of Mathematical Economics, 2018, In press

Expected Utility Theory and Inner And Outer Measures of Loss Aversion,” Journal of Mathematical Economics, 2016, 63:10-20

Diffusing Explosive Portfolio Performance Evaluation Of High Frequency Traders” Journal of Investment Strategies, 2016, 5(1):1-25 (lead article)

Bankruptcy Risk Induced By Career Concerns of Regulators” (with J. A. Cole), Financial Research Letters,  2014, 11:259-271

Noisy Chaos in A Large System of Decision Makers with Heterogeneous Beliefs with Application to Index Option Prices,” System Research and Behavioral Science: Special Issue on Behavioural Risk, 2014, 31(4):487-501 (lead article)

“Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets,” In Proceedings of Joint Statistical Meeting (JSM) , Business and Economic Statistics Section, Alexandria, VA: American Statistical Association. 673-687, 2011

Book chapters (peer reviewed)

  1. Efficient Performance Evaluation for High Frequency Trading” Chapter 14 in The Handbook of High Frequency Trading. (Edited by Greg N. Gregoriou). San Diego, CA: Academic Press/Elsevier, 2015

Select Refereed Conference Proceedings

“Estimation and Inference for Loss Aversion in Cross Sectional Regressions of  Happiness and Consumption on Economic Growth,” Special Session, Royal Economic Society Annual Conference, Behavioural Econometrics, Subjective Well Being and Policy, University of Sussex, March 27, 2018 (scheduled)

“Smart Beta and Alpha Representation,” Royal Statistical Society 2017 International Conference, Industry & Commerce-Financial Risk Modelling Session, Glasgow, Scotland, September 4-7, 2017 (scheduled)

“Asset Pricing with Myopic Loss Aversion to Credit Default” (with S. Mataramvura) Quantitative Methods in Finance Conference, Quantitative Finance Research Centre, University of Technology Sydney, December 15, 2015 (accepted but declined for personal reasons)

Asymptotic Theory Of Myopic Loss Aversion with Applications To Intolerance for Decline in Standard Of Living and Asset Pricing, 25th Annual Meeting of the Midwest Econometrics Group—Theory and Methods, Research Division, Federal Reserve Bank of St. Louis, October 9-10, 2015

“Market Instability, Investor Sentiment, And The Probability Weighting Functions Implied By Index Option Prices and Credit Risk”

  • 5th International Conference of the Financial Engineering and Banking Society (FEBS), 11th-12th-13th of June, 2015 in Nantes at the Audencia Nantes School of Management Campus;
  • 38th International Conference Stochastic Processes and their Applications, Oxford-Man Institute of Quantitative Finance, Oxford University

“Myopic Loss Aversion and Intolerance to Decline in Consumption,” Foundations and Applications of Utility, Risk and Decision Theory (FUR) XVI, Rotterdam, June 30-July 2, 2014

Working papers

  1. “Estimation and Inference for Loss Aversion in Cross Sectional Regressions of  Happiness and Consumption on Economic Growth,”
  2. “Market Instability, Investor Sentiment, And The Probability Weighting Functions Implied By Index Option Prices and Credit Risk”
  3. “Alpha Representation For Active Portfolio Management in Seemingly Efficient Markets”
  4. “A Regulator’s Exercise of Career Option To Quit and Join A Regulated Firm’s Management with Applications to Financial Institutions”
  5. “Smart Beta and Empirical Alpha Representation”
  6. “Incoherent Preferences”

Select Works-In-Progress

  1. “Learning And Termination Delays In Software Infrastructure Projects: Why Managerial Compensation Schemes And Control Rights Matter,” (with Morgan, H. and Ngwenyama, O.)
  2. “The Public-Private Partnership Puzzle: Overinvestment and Underinvestment due to Agency Costs of Providing Access to Credit”
  3. “An Algorithmic Trading Rule for Asset Pricing With Large Market Sentiment Datastreams”
  4. “Statistical Arbitrage with Betas Of Hope and Fear”
  5. “Asset Pricing with Myopic Loss Aversion to Credit Default” (with S. Mataramvura)
  6. “Consumption-based Asset Pricing with Rare Disasters and Mimicking Loss Aversion”

External examiner

Master’s Thesis:

  • “An Application of Vine Copulas to the Portfolio Optimization Problem”
  • “Risk Based Asset Allocation: A Forward Looking Approach”
  • “Dynamic Portfolio Insurance and Tactical Asset Allocation on the JSE”

Membership in Professional Bodies

Royal Economic Society

Royal Statistical Society

South African Mathematical Sciences Association

American Finance Association

Econometrics Society

Share this page:

Contact Details

School of Business
University of Leicester
University Road
Leicester
LE1 7RH

ulsb@le.ac.uk

Accessibility

DisabledGo logo

The University of Leicester is committed to equal access to our facilities. DisabledGo has detailed accessibility guides for the Astley Clarke Building and the Ken Edwards Building.