Name: Ian Tonks

Job Title: Professor of Finance
Department: 
School of Management, 
University of Bath
Bath, BA2 7AY, UK
Room: WH8.64
E-mail Address:
I.Tonks@bath.ac.uk
Telephone:
44-(0)-1225-384842

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1. Annuities

Ian Tonks has produced a body of work in the specialised field of annuities (all with Edmund Cannon).

Current research on stochastic money’s worth.
Current research on “Supply and demand for annuities”

Paper on "Price efficiency in the Dutch annuity market" (with Edmund Cannon and Ralph Stevens), Journal of Pensions Economics and Finance, 2013

INTERNATIONAL IMPACT: Netspar panel paper presentation, "Annuity markets: welfare, money’s worth and policy implications”, March, 2011
Tilburg, Netherlands

IMPACT: Two reports in 2010 on the government’s policy of removing compulsory annuitisation (with David Blake and Edmund Cannon): Report1 & Report2

IMPACT: Cited in HM Treasury (2010) response to consultation

IMPACT: Presentation at National Association of Pension Funds, Edinburgh, March 2011

Chapter on “Compulsory and voluntary annuities markets in the UK” in Securing Lifelong Retirement Income: Global Annuity Markets and Policy,Mitchell, Piggott & Takayama (OUP, 2011).

Book on Annuity Markets, published by Oxford University Press, 2008.

IMPACT: Interview on improving retirement choices

IMPACT: Report for DWP on money’s worth of pension annuities, 2009.

IMPACT: Article in Money Management, July 2009 commenting on report

IMPACT: Report for DWP on survey of annuity pricing, 2006.

IMPACT: Cited in HM Treasury Pre-Budget 2006 Report, which describes Cannon and Tonks (2006) as “The most comprehensive ever UK annuities pricing survey”

Paper on Pension replacement ratios in Geneva Papers, 2004.

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2. Directors' Trading and Executive Compensation

Ian Tonks (with Alan Gregory and others) has worked on issues around the topic of directors’ trades (corporate insiders), and executive compensation.

The IMPACT of this work is illustrated by the establishment of a directors’ dealing investment trust, described in:

IMPACT: Money Week 10th April 2008,

IMPACT Investors Chronicle 22nd July 2008

Current research on “Insider trading around mergers” and “Different Stock Market Patterns around Executives and Non-executive Directors’ Trades” (both with Alan Gregory and Rajesh Tharyan)

Current research on “When is insider trading a credible signal in corporate acquisitions?” (with Christina Dargenidou and Fanis Tsoligkas)

Paper on “More than just contrarians: insider trading in value and glamour firms”, (with Alan Gregory and Rajesh Tharyan) European Financial Management, September 2013

IMPACT: Interview with City Wire

Paper on “Does the stock market gender stereotype corporate boards? Evidence from the market’s reaction to directors’ trades” (with Alan Gregory. Emma Jeanes and Rajesh Tharyan), British Journal of Management, June 2013.

IMPACT: Response to Financial Reporting Council Gender Diversity on Boards Consultation Paper, July 2011

IMPACT: Cited by 30% Club

Paper on “Executive pay and performance: Did bankers bonuses cause the crisis?”, (with Paul Gregg and Sarah Jewell), International Review of Finance, March 2012.

IMPACT: Cited in Department of Business, Innovation & Skills, Consultation paper on “Executive Remuneration”, Sept 2011

IMPACT: Response to Independent Committee on Banking Consultation, April 2011

INTERNATIONAL IMPACT: Response to EU Corporate Governance framework consultation, July 2011

INTERNATIONAL IMPACT: Interviewed on Russian State TV (estimated audience 140 million persons), January 2012.

Discussion of “To trade or not to trade”, Journal of Business Finance & Accounting, 2010

Paper on “Stock Price Patterns around the Trades of Corporate Insiders on the London Stock Exchange”, (with Sylvain Friederich, Alan Gregory and John Matatko), European Financial Management, Vol 8, no. 1, March  2002, 7-30.

Paper on “Detecting Information from Directors' Trades: Signal Definition and Variable Size Effects", (with Alan Gregory and John Matatko), Journal of Business Finance and Accounting, vol. 24, nos. 3&4, April 1997 pp. 309-342.

Paper on "UK Directors' Trading: The Impact of Dealings in Smaller Firms", (with Alan Gregory, John Matatko and Richard Purkis), Economic Journal, vol. 104, no. 422, January 1994, 37-53.

Current active research areas:
1. Annuities
2. Directors' trading
3. Pensions
4. Fund management
Other research areas:
5. Market microstructure
6. Accounting
7. Stock markets
8. Learning

Copies of my working papers can be found at SSRN here
or at RePeC here

3. Pensions 

Current research on pension guarantees

Current research on pension fund networks

Paper on “The value and risk of defined contribution pension schemes: international evidence”, (with Edmund Cannon), Journal of Risk and Insurance, March 2013.

IMPACT Financial Times DC Pensions Forum, London, October 2013

IMPACT Institute and Faculty of Actuaries Pensions Conference, Newport, June 2013

IMPACT: Invited submission to House of Commons Select Committee: Tackling Pensioner Poverty(TPP07)

Paper on “Pension funding constraints and corporate expenditures” (with Weixi Liu), Oxford Bulletin of Economics and Statistics, March 2013.

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 

Paper on “Why does Mutual Fund Performance not Persist? The Impact and Interaction of Fund Flows and Manager Changes”, (with Wolfgang Bessler, David Blake and Peter Lueckoff), Jan. 2011.

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:

“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.

6. Accounting

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:
“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.

Volatility:
“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.