Name: Ian Tonks
Professor of Finance
University of Bristol Business School,
15-19 Tyndalls Park Road,
Bristol, BS8 1PQ,
ORCID ID: https://orcid.org/0000-0002-4503-5149
Current active research areas:
Paper on “Smart defaults: determining the number of default funds in a pension scheme” (with David Blake, Mel Duffield, Alistair Haig, Dean Blower, Laura McPhee); British Accounting Review, July 2022.
Paper on "Networks and pension fund management" (with David Blake, Alberto Rossi, Allan Timmermann, Russ Wermers); Journal of Financial Economics, March 2018
Paper on "Institutional investors and the QE portfolio balance channel" (with Michael Joyce and Zhuoshi Liu). Bank of England Working Paper #510 September 2014; published in Journal of Money Credit & Banking, 2017.
Submitted an impact case for REF2021 on how my research with Mike Joyce and Zhuoshi Liu on identifying the portfolio balance channel had impacted on ECB monetary policies.
Cited by Mario Draghi (President, ECB) at Watchers XVI Conference, March 2015, on identifying operation of QE portfolio balance channel. ECB's asset repurchase programme has affected 340 million people in Euro area.
IMPACT: Launch of ‘Making the Case for the Social Sciences: Accounting and Finance’ at Palace of Westminster, 10 May 2018. Publication produced by Academy of Social Sciences & BAFA features QE impact case.
Briefing note on pension guarantees, January 2014
Paper on “The value and risk of defined contribution pension schemes: international evidence”, (with Edmund Cannon), Journal of Risk and Insurance, March 2013.
IMPACT Cited in The Economist, "Shades of Grey", 4th February 2016.
IMPACT Presentation at Financial Times DC Pensions Forum, London, October 2013
IMPACT Presentation at Institute and Faculty of Actuaries Pensions Conference, Newport, June 2013
Paper on “Pension funding constraints and corporate expenditures” (with Weixi Liu), Oxford Bulletin of Economics and Statistics, March 2013.
IMPACT: Invited submission to House of Commons Select Committee: Tackling Pensioner Poverty(TPP07)
Chapter on “Pension fund deficits and stock market efficiency” (with Weixi Liu) in Pension Fund Risk Management, Micocci, Gregoriou, & Masala (Chapman & Hall, 2010).
Paper on “Alternative risk-based levies in the pension protection fund for multi-employee schemes” (with Weixi Liu) in Journal of Pension Economics and Finance, 2009.
IMPACT: ICAS Pensions Report consultation, Dec 2010
Paper on Persistence in pension fund manager performance, in Journal of Business, 2005.
Paper (with James Clark & Alan Gregory) on Performance persistence of personal pension schemes, Nov. 2010.
“Equity Performance of Segregated Pension Funds in the UK”, (with Alison Thomas) Journal of Asset Management, Vol. 1, no 4, April 2001, 321-343.
4. Fund Management
Ian Tonks has produced a number of papers in the area of fund management in collaboration with David Blake from the Pensions Institute.
Paper on “Fund flows, manager change and performance persistence ”, (with Wolfgang Bessler, David Blake and Peter Lueckoff); Review of Finance, May 2017. (with Tables)
Paper on "New Evidence on Mutual Fund Out-Performance: A Comparison of Alternative Bootstrap Methods” (with David Blake, Tristan Caulfield and Christos Ioannidis); Journal of Financial and Quantitative Analysis, June 2017
Paper on "Improved Inference in the Evaluation of Mutual Fund Performance using Panel Bootstrap Methods” (with David Blake, Tristan Caulfield and Christos Ioannidis) published in Journal of Econometrics, December 2014.
IMPACT: Cited in government response to Better Workplace Pensions Consultation, Cm 8840 March 2014, page 48.
IMPACT: Financial Times, 28th March 2010
INTERNATIONAL IMPACT: Presentation at European Pension Fund Investment Forum, Zurich, June 2011
Paper on “Decentralized investment management” (with David Blake, Alberto Rossi, Allan Timmermann & Russ Wermers), Journal of Finance, June 2013
IMPACT: Presentation at INQUIRE conference, March 2009
IMPACT: Financial Times, 10th January 2010
IMPACT: Response to Kay Review of UK Equity Markets: Call for Evidence, March 2012
Paper on persistence of poorly-performing US mutual funds, (with Jonathan Berk), July 2007.
IMPACT: New York Times, 29th April 2007
IMPACT: Financial Times, 7th May 2007
Chapter on Pension Fund Management in Clark, Munnell and Orszag, Oxford Handbook of Pensions (OUP, 2006).
IMPACT: ESRC Business Fellowship at Financial Services Authority, 2008/09
5. Market Microstructure
Papers in the area of market microstructure include:
One of the research teams in the #fincap project:
This research has resulted in the Non-standard errors paper. (forthcoming in Journal of Finance)
“Opening and Closing the Market: Evidence from the London Stock Exchange”, (with Andrew Ellul and Hyun Shin) Journal of Financial and Quantitative Analysis, vol. 40, no. 4, December 2005, 779-801. DOI: 10.1017/S0022109000001976
“Trading Costs of Institutional Investors in Auction and Dealer Markets” (with Andy Snell), Economic Journal, vol. 113, issue 489, July 2003, 576-597.
“Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange”, (with Andy Snell), Journal of Empirical Finance, Vol. 5, no. 1, January 1998, p. 1-25.
"Determinants of Price Quote Revisions on the London Stock Exchange", (with Andy Snell), Economic Journal, vol. 105, January 1995.
Paper on “The Impact of FRS3 on Analysts Abilities to Forecast Earnings per Share” (with Daniella Acker and Jo Horton), Journal of Accounting and Public Policy,Vol. 21, no. 3, Autumn 2002, 193-218. DOI: 10.1016/S0278-4254(02)00049-2
Paper on “Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements” (with Daniella Acker and Mathew Stalker), Journal of Business Finance and Accounting, Vol. 29, nos 9&10, November/December 2002, 1149-1180. DOI: 10.1111/1468-5957.00465
7. Stock markets: Volatility, IPOs, momentum
Stock market integration:
"The Internationalization of Stock Markets and the Abolition of UK Exchange Control: Some Co-integration Results", (with Mark P. Taylor), Review of Economics and Statistics, Vol. 71, No. 2, May 1989, pp. 332-337.
“Momentum in the UK Stock Market”, (with Mark Hon), Journal of Multinational Financial Management, Vol. 13, no. 1, February 2003, 43-70.
New Issue Market:
“Re-assessing the Long-Term Under-Performance of UK IPOs” (with Susanne Espenlaub and Alan Gregory), European Financial Management, Vol. 6, no. 3, September 2000, 319-342.
“Post-IPO Directors’ Sales and Reissuing Activity: An Empirical Test of IPO Signalling Models”, (with Susanne Espenlaub), Journal of Business Finance and Accounting, Vol. 25, Issue 9, November 1998, 1037-79.
“Time Series Volatility of Commodity Futures Prices”, (with Jane Black), Journal of Futures Markets, vol. 20, Issue 2, February 2000, 127-144.
"A Cross-Sectional Variance Bounds Test", (with John Board and George Bulkley) Economic Letters, vol. 42, 1993, 373-377.
"Trading Rules and Excess Volatility", (with George Bulkley), Journal of Financial and Quantitative Analysis, vol. 27, no. 3, September 1992, 365-382.
"Asset Price Variability in a Rational Expectations Equilibrium", (with Jane Black) European Economic Review, vol. 36, October 1992, 1367-1377.
"Cross-Sectional Volatility on the UK Stock Market", (with George Bulkley), Manchester School, vol. LIX, Supplement June 1991, 72-80.
"Asset Price Variability Under Asymmetric Information", (with Jane Black), Economic Journal Supplement, Vol. 100, March 1990, 67-77.
"Are UK Stock Prices Excessively Volatile? Trading Rules and Variance-Bounds Tests" (with George Bulkley), Economic Journal, Vol. 99, No. 398, December 1989, pp. 1083-1098.
8. Learning and economic behaviour
"A Bayesian Approach to the Production of Information with a Linear Utility Function", Review of Economic Studies, Vol. 51, No. 3, July 1984, pp. 521-527.
"Bayesian Learning and the Optimal Investment Decision of the Firm", Economic Journal, Supplement, Vol. 93, 1983, pp. 86-97.
"The Diffusion of a New Product and the Demand for Information", International Journal of Industrial Organisation, Vol. 4, December 1986, pp. 397-408.
"A Study of New Product Brands in the UK Confectionery Industry", (with Andy Snell), Applied Economics, Vol. 20, No. 8, August 1988, pp. 1041-1055.