Capital Structure Arbitrage: An Empirical Investigation ...

Capital Structure Arbitrage: An Empirical Investigation of Risk, Return and Hedging Stephen M. Schaefer

Ilya A. Strebulaev

Institute of Finance and Accounting London Business School Regent’s Park, London NW1 4SA, UK. Telephone: +44(0)2072625050 (Switchboard) +44(0)207706 6887 (Direct Line) E-mails: [email protected]; [email protected].

Capital Structure Arbitrage: An Empirical Investigation of Risk, Return and Hedging Abstract An increasing number of investment professionals are now engaged in strategies known as “capital structure arbitrage”: buying one claim on a company, typically straight or convertible debt, and hedging their position by going short in another security of the same company, e.g., equity, or a derivative on the equity. The rationale for this strategy is to exploit lack of integration or synchronicity between, for example, the equity and corporate bond markets. Because they are hedged these trading strategies are claimed to be less risky than a “naked” position in either market. Up to this point, however, we are unaware of any published evaluation of the profitability or risk of these strategies. In this project, an attempt to provide such an evaluation, we ask following main questions: (1) What is the average profitability and risk of capital structure arbitrage strategies? (2) What role can structural models of capital structure play in the construction of capital structure arbitrage positions? (3) What is the impact of shorting and other transaction costs on the profitability of such strategies? (4) What is value-at-risk of capital structure arbitrage?

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Research Objectives and Literature Review

An increasing number of investment professionals – in particular, hedge funds – are now engaged in strategies known as “capital structure arbitrage”: buying one claim on a company, typically straight or convertible debt, and hedging their position by going short in another security of the same company, e.g., equity, or a derivative on the equity.1 The rationale for this strategy is to exploit lack of integration or synchronicity between, for example, the equity and corporate bond markets. Because they are hedged these trading strategies are claimed to be less risky a “naked” position in either market. Up to this point, however, we are unaware of any published evaluation of the profitability or risk of these strategies. In this project, an attempt to provide such an evaluation, we ask following main questions: (1) What is the average profitability and risk of capital structure arbitrage strategies? (2) What role can structural models of capital structure play in the construction of capital structure arbitrage positions? (3) What is the impact of shorting and other transaction costs on the profitability of such strategies? (4) What is value-at-risk of capital structure arbitrage? Because this is a relatively recent activity, it is not surprising that the academic literature is silent on the subject of capital structure arbitrage. Within the existing literature the areas that are of most relevance are corporate bond pricing and the relationship between equity and debt markets. Here, several recent studies investigate the question of what drives changes in, and the level of corporate bond spreads. Elton, Gruber, Agrawal, and Mann (2001) find that differences in taxation account for about a third of credit spreads. Huang and Huang (2002) estimate that credit risk accounts only for a small fraction of the observed credit spread. Collin-Dufresne, Goldstein, and Martin (2001) find that the variables present in structural models can not explain changes in spreads. Eom, Helwege and Huang (2002) find that structural models of credit risk do not price corporate bonds consistently and study deviations between model and actual prices. Leland (2002), however, shows that the default probability predictions of structural models are more consistent with actual experience, as reported, for example by Moody’s, than their price predictions. Campbell and Ammer (1993) study aggregate returns of corporate and government bonds. They find, in particular, that investment 1

See, for example, The Economist (2003) and Euromoney (2002)

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grade bonds have returns that are similar to returns on government bonds. None of these studies, however, examine the risk and return characteristics of hedged positions in credit risky bonds.

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Research Design and Methods

The project has four main stages. The first is an empirical investigation of the return characteristics of a large data set on corporate bonds over a period more than five years. The data set has been already largely assembled and consists of monthly returns on corporate bonds that are included either in the Merrill Lynch Corporate Master index or in the Merrill Lynch Corporate High Yield index. These indices include most rated publicly issued corporate bonds. The data covers the period from December 1996 to September 2002 and contains more than 323,000 bond-month observations with about 2900 issuers and 9000 issues. We match this data set with CRSP and COMPUSTAT to obtain the necessary accounting and other firm-specific information. The size and scale of the main data set makes it uniquely suitable for research on corporate bonds. The second stage focusses on the calculation of capital structure arbitrage positions. The nature of the securities in our data set means that our results will focus on positions that combine equity and straight bonds, rather than equity and convertibles. The benchmark approach will be based on structural models of credit risk and the critical question here is the ability of these models to produce accurate hedge ratios, i.e. the sensitivities of corporate bond prices to changes in equity prices (and to changes in the riskless yield curve).2 These sensitivities are the principal determinants of the hedged positions in capital structure arbitrage strategies. One hypothesis we shall investigate here is that, while it is well established that structural models do not perform particularly well in pricing corporate bonds, they may fare much better in calculating hedged positions. In estimating these sensitivities we plan to use a number of well-known structural models. The third stage is an investigation of the determinants of profitability and riskiness of these strategies. Initially we shall restrict our attention to the variables that appear 2

“Structural models” are those based on the Black-Scholes option pricing framework in which the

price of a credit risky bond is related to the value of the assets of the firm that collateralize the debt. All existing structural models are variants of the seminal contribution by Merton (1974).

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in structural models: the equity (or asset) value and the riskless yield curve. Later we shall include other factors that have been found to be significantly related to returns on corporate bonds. These variables include VIX (the implied volatility for options on the S&P 100), the Fama-French HML and SMB factors and liquidity supply and demand factors (e.g., changes in the outstanding volume of corporate bonds and cash flows to equity and bond mutual funds). In carrying out these calculations we shall also pay attention to the transaction and other frictional (e.g., shorting) costs involved in the strategies. In the final stage of the project we plan to investigate the risk characteristics of these strategies in more detail with a view to addressing questions such as the effect of optionality – e.g., default risk – on the VaR. Capital structure arbitrage is emerging as a significant area of activity in investment management and the project has, potentially, significant practical value not only in identifying the risk and return from such strategies but, more fundamentally, in providing a framework both for constructing investment positions and assessing their risk. The authors plan to write a paper describing the main results for submission to a well established financial research journal for practitioners or/and academics. The results will also be disseminated via specialized practitioner-oriented conferences.

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A Proposed timetable

Stage 1: Data construction, preliminary evidence (2 months). Stage 2: Testing ability of corporate bond models predicting hedged returns (4 months) Stage 3: Investigating corporate bond returns including non-credit related factors. (4 months) Stage 4: Presenting and disseminating results to a wider audience of practitioners and academics (2 months)

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Brief CV’s of researchers Stephen M. Schaefer

(Full CV also attached) Professor of Finance, London Business School Education: MA (Cambridge) PhD (London)

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Publications Include: Non-Linear Value at Risk, European Finance Review (1999); The Direct and Compliance Costs of Financial Regulation (with J R Franks and M Staunton), Journal of Banking and Finance(December, 1997); The Term Structure of Real Interest Rates and the Cox, Ingersoll and Ross Model, Journal of Financial Economics (1994); Interest Rate Volatility and the Term Structure (with R H Brown), Philosophical Transactions of the Royal Society (1994). Research Interests: Derivative instruments, options/futures/forwards/swaps, investment management, asset pricing theory, portfolio selection, capital markets, market regulation, interest rates, term structure. Other Activities: Formerly: Trustee/Director, Smith-Breeden Mutual Funds, Independent Board Member, The Securities and Futures Authority, Associate Editor: European Finance Review, Journal of Fixed Income. Background Information: Formerly Assistant Professor of Finance, Graduate School of Business, Stanford University; Visiting appointments at Universities of British Columbia, Cape Town, Chicago, California (Berkeley) and Venice.

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Ilya A. Strebulaev

PhD Student in Finance, London Business School Education: BA (Moscow State University) MA (New Economic School) Publications Include: Multiple Unit Auctions and Short Squeezes, Review of Financial Studies, forthcoming (with K. Nyborg); Collateral and Short Squeezing of Liquidity in Fixed Rate Tenders, Journal of International Money and Finance, 2001 (with K. Nyborg) Research Interests: Credit risk, capital structure, corporate liquidity, financial auctions

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Related papers

References [1] Campbell, John Y., and John Ammer, 1993,“What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns,” Journal of Finance, 48, 3–37. [2] Collin-Dufresne Pierre, Robert S. Goldstein, and J.Spencer Martin, 2001, “The Determinants of Credit Spread Changes”, Journal of Finance, 56, 2177-2207. [3] Economist, “Issuance of convertible bonds is soaring. Is demand flagging?”, 17 July 2003. [4] Elton Edwin J., Martin J. Gruber, Deepak Agrawal, and Christopher Mann, 2001, “Explaining the Rate Spread on Corporate Bonds”, Journal of Finance, 56, 247-277. [5] Euromoney, “And now for capital structure arbitrage.”, December 2002. [6] Eom Young Ho, Jean Helwege, and Jing-zhi Huang, 2003, “Structural Models of Corporate Bond Pricing: An Empirical Analysis”, Review of Financial Studies, forthcoming. [7] Huang, Jing-zhi, and Ming Huang, 2002, “How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?”, working paper, Pennsylvania State University. [8] Leland, Hayne E., 2002, “Predictions of Expected Default Frequencies in Structural Models of Debt”, Venice Conference on Credit Risk, Sept 2002 [9] Merton Robert C., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance, 29, 449-470.

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November 2002

CURRICULUM VITAE

STEPHEN M SCHAEFER Professor of Finance London Business School, Sussex Place, Regent's Park, London NW1 4SA, UK Phone (+44) (0) 71-262-5050 Fax: (+44) (0) 71-724-3317

Home Address:

8 Honeywell Road London, SW11 6EG England Married, Two children UK Citizen

University 1968

University of Cambridge Bachelor of Arts, Mechanical Sciences

1969

University of Cambridge Certificate of Postgraduate Study in Engineering Control Theory

1979

University of London, Faculty of Economics Doctor of Philosophy

Awards 1965

Entrance Exhibition, Queens' College, Cambridge

1977

Graham and Dodd Award.

1982

Institute for Quantitative Research in Finance Award.

Curriculum vitae: Stephen M Schaefer

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Career 1970-1978

London Business School. Research Officer/Senior Research Officer/Lecturer and Prudential Research Fellow.

1979-1981

Stanford University, Graduate School of Business. Assistant Professor of Finance.

1981-1985

Senior Research Fellow, London Business School.

1985-1998

Esmée Fairbairn Professor of Finance, London Business School

1998 -

Tokai Bank Professor of Finance

1985-1992

Director, Institute of Finance and Accounting and Chair, Finance Subject Area, London Business School

1992-1995

Research Dean, London Business School

1992- 1995

Faculty Governor, London Business School

2001-

Faculty Governor, London Business School

Visiting Appointments 1976 Spring

Visiting Professor. University of Bergamo, Italy.

1977 /Spring Summer

Visiting Assistant Professor of Finance, Graduate School of Business. University of Chicago.

1977 Autumn

Visiting Assistant Professor of Finance, Schools of Business Administration. University of California, Berkeley.

1982-

Guest Lecturer. International Centre for Monetary and Banking Studies, Geneva.

1985

Leslie Wong Visiting Professor, University of British Columbia Summer

1991 March-June

Cassa di Risparmio di Venezia Visiting Professor, Dipartmento di Scienze Economiche, Universitá di Venezia

1996 Feb/Aug

Visiting Professor, University of Cape Town


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Other professional activities 1989-91

The Securities Association (TSA), Independent Board Member, Member Capital Committee (1990-91)

1991-96

The Securities and Futures Authority (SFA), Independent Board Member 1991-96 Member Capital Committee (1991-96 ), Deputy Chairman, Capital Committee (1993-1994), Member Finance Committee (1993-96 ) (The SFA, formed in 1991 as a result of a merger between TSA and the corresponding futures regulator, the AFBD, is the main regulator of the securities and derivatives trading and broking industry in the UK).

1984-1986

Associate Director, Centre for Economic Policy Research (Research Programme in Financial Institutions and Markets).

1984-1987

Research Fellow, Centre for Economic Policy Research.

2001 -

Member: Financial Economists Roundtable

Editorial Boards etc. 1983-1988

Associate Editor, Journal of Finance.

1983-1988

Associate Editor, Finance. (Revue de l'Association Francaise de Finance).

1984-1985

Joint organiser: ESRC financed International conference on Corporate Finance, Oxford, September 1985.

1982

Member, Nominating Committee, American Finance Association.

1976-1979

Council Member, European Finance Association.

1988-1991

Advisory Board Investment Management Review

1991-

Editorial Board, Journal of Fixed Income.

1993- 1996

Editorial Board, Ricerche Economiche.

1993-

Editorial Board, Indian Review of Finance

1996 -

Editorial Board, European Finance Review, (Journal of the European Finance Association)

1996 -

Editorial Board, Financial Engineering in the Japanese Markets

1996 -

Editorial Board, Review of Derivatives Research

1997 -

Editorial Board, International Journal of Theoretical and Applied Finance

1998 -

Editorial Board, European Financial Services Law

1999-

Editorial Board, Economic Notes

2000 -

Co- Editor (with Darrell, Duffie, Stanford University), Princeton Series in Finance, Princeton University Press.

Curriculum vitae: Stephen M Schaefer Ad hoc

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Referee for Journal of Financial Economics, Journal of Finance, Journal of Financial and Quantitative Analysis, Economic Journal, and for other journals in finance and economics.

Publications Books 1. Recent Developments in Corporate Finance, J Edwards, J R Franks, C Mayer & S M Schaefer (Eds), Cambridge University Press, 1986. 2. The Foundations of Continuous Time Finance, S.M. Schaefer (Ed.), Edward Elgar, 2001.

Articles: published and forthcoming 1. “Asset pricing: derivative assets”, in: International Encyclopaedia of Social and Behavioral Sciences, Economics Section, Vol. 2, 833-40 (O. Ashenfelter, Ed.), Elsevier Science, (2001). 2. “Introduction”, The Foundations of Continuous Time Finance, S.M. Schaefer (Ed.), Edward Elgar, 2001. 3. “Non-Linear Value-at-Risk” (with Mark Britten-Jones), European Finance Review, 2: 161-187, 1999. Reprinted in: Risk Management and Regulation in Banking, Dan Galai, David Ruthenberg, Marshall Sarnat and Ben Schreiber (eds.). Kluwer Academic Publishers, Boston 1999. 4. “Robert Merton, Myron Scholes and the development of Derivative Pricing”, Scandinavian Journal of Economics, Vol. 100, no. 2 (June), 1998. 5. “Competition Between Regulated Markets in London”, European Securities Markets, Guido Ferrarini (ed.), Kluwer Law International, 1998, 205-212. 6. “The Direct and Compliance Costs of Financial Regulation”, (with J.R Franks, and M. Staunton), Journal of Banking and Finance, Vol. 21, 11-12, (December, 1997), 154772. Reprinted in: Issues in Derivative Instruments, Edward J. Swan (Editor), Institute of Advanced Legal Studies, Kluwer Law International, 1999. 7. “Ten Years of the Real Term Structure”, (with R.H. Brown), Journal of Fixed Income, Vol. 5, No. 4, (March, 1996), 6-22. 8. “Equity Market Transparency on the London Stock Exchange”, (with J.R. Franks), Journal of Applied Corporate Finance, Vol. 8, No. 1 (Spring, 1995), pp. 70-77. 9. “Interest Rate Volatility and the Term Structure”, (with R.H. Brown), Philosophical Transactions of the Royal Society A, Vol. 347 (1994), pp 563-576. Reprinted in Howison S.D., F.P. Kelly and P. Wilmott (Eds), Mathematical Models in Finance, Chapman & Hall (1994). 10. "The Term Structure of Real Interest Rates and the Cox, Ingersoll and Ross Model" (with R.H. Brown), Journal of Financial Economics, Vol. 35 (1994) pp 3-42. Reprinted


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in The Debt Markets, Stephen A Ross (Ed.), Edward Elgar, 2000. Summary of paper published as “Beyond the Zero”, Futures and Options World, December 1994, pp. 5153. 11. "Financial Regulation: The Contribution of the Theory of Finance", The Internationalisation of Capital Markets and Regulatory Response, J Fingleton (Ed), Graham & Trotham (1992) and also Lectures on Regulation 1992, Centre for Business Strategy Report, London Business School, 1992. 12. "Equity Market Transparency" (with J R Franks), Stock Exchange Quarterly, (Summer 1991), pp 7-11. 13. "Exchange Risk and International Diversification in Bond and Equity Portfolio", Journal of Business and Economics (1991), Vol. 43 pp 287-307. 14. "The Regulation of Banks and Securities Firms", European Economic Review 34 (1990), 587-597. 15. "Liability Matching", Chapter 6 in Ingrams, L. (Ed), International Bond Portfolio Management, Euromoney Publications, 1989. 16. "Time Dependent Variance and the Pricing of Bond Options" (with E S Schwartz) Journal of Finance Vol. XLII No 5 (Dec., 1987) pp 1113-1128. 17. "The Design of Bank Regulation and Supervision: Some Lessons from the Theory of Finance", in Threats to International Stability, R Portes and A K Swoboda (Eds) Cambridge University Press (1987) pp 91-104. 18. "Duration and Immunization: A Review of Theory, Performance and Applications", Midland Corporate Finance Journal, Vol., 2, No. 2 (Fall, 1984), pp 41- 59. Reprinted in The Debt Markets, Stephen A Ross (Ed.), Edward Elgar, 2000. 19. "A Two-Factor Model of the Term Structure and an approximate Analytical Solution", with E S Schwartz, Journal of Financial and Quantitative Analysis, December, 1984. 20. "Continuous Price Processes in Frictionless Markets Have Infinite Variation", with J M Harrison and R Pittbladdo, Journal of Business, Vol. 57, No. 3 (July 1984), pp 353-365. 21. "The Dynamics of the Term Structure and Alternative Immunization Strategies" (with J Nelson) in Innovations in Bond Portfolio Management: Duration Analysis and Immunization. G O Bierwag, G G Kaufman and A Toevs (eds.) JAI Press 1983. 22. "Tax-Induced Clientele Effects in the Market for British Government Securities: Placing Bounds on Security Values in an Incomplete Market", Journal of Financial Economics, Vol. 10, No. 2 July 1982) pp 121- 159. Reprinted in The Debt Markets, Stephen A Ross (Ed.), Edward Elgar, 2000. 23. "Taxes and Security Market Equilibrium”, in Financial Economics: Essays in Honor of Paul H Cootner, W F Sharpe and C M Cootner (Eds). 24. "Measuring a Tax Specific Term Structure of Interest Rates in the Market for British Government Securities", Economic Journal Vol. 91 (June 1981). 25. "The Influence of Tax-Induced Clientele Effects on Optimal Investment in Bonds" Proceedings of the Seminar on the Analysis of Security Prices. November 1977. Center for Research in Security Prices, Graduate School of Business, University of Chicago.


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26. "The Problem with Redemption Yields", Financial Analysts Journal, July/August 1977. Reprinted in: Lorie J H and Brealey R A (Eds), Modern Developments in Investment Management, Holt, Rinehard and Winston, 1978. 27. "Term Structure with Uncertain Inflation" (with R A Brealey) Journal of Finance, Vol. 32, No. 2, May 1977. 28. "A Model for Bond Portfolio Improvement" (with S D Hodges) Journal of Financial and Quantitative Analysis. June 1977. 29. "Alternative Models of Systematic Risk" (with R A Brealey, S D Hodges and H Thomas) in: Elton E J and Gruber M J (Eds) International Capital Markets, North Holland 1975. 30. "On the Interpretation of the Geometric Mean" (with S D Hodges). Financial and Quantitative Analysis, June 1974.

Journal of

Notes and discussion 31. Discussion (of "Stock Markets", by Marco Pagano and Ailsa Roell), Economic Policy, Vol. 10 (April 1990) pp 108-110. 32. "Taxation and Bond Market Equilibrium in a World of Uncertain Future Interest Rates: Comment", Journal of Financial and Quantitative Analysis, Vol. 16, No. 5 (December 1981). 33. Discussion (of "Analyzing Convertible Bonds", by M J Brennan and E S Schwartz), Journal of Financial and Quantitative Analysis. Vol., XV, No. 4 (November 1980) pp 931-932. 34. Discussion (of "Conditional Predictions of Bond Prices and Returns by M J Brennan and E S Schwartz), Journal of Finance, Vol. 35 (May 1980), No. 2.

Other papers 35. “Do Risk Management and Regulation Reduce Risk in Banking?”, (with Loriana Pelizzon, U. Padua).Working paper, 2002 36. “Why Long Term Forward Rates (Almost) Always Slope Downwards”, (with R.H. Brown), Working Paper, London Business School, November 1994, Revised September 1999. 37. "Custodianship and Protection Against Misuse of Client Property" (with J.R. Franks), City Research Project, Subject Report XIV, London Business School, July 1994. 38. "The Costs and Effectiveness of the UK Financial Regulatory System" (with J.R. Franks), Subject Report II, City Research Project, London Business School, March 1993. 39. "Option Hedging" (with I A Cooper, C Kaplanis and A Neuberger). Working Paper 1986. 40. "Tax Rules for Unsegmented Markets" (with S D Hodges) Working Paper IFA-28-76, Institute of Finance and Accounting, London Business School, 1976.


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Newspaper Articles “Principles of bond portfolio management”, in Mastering Investment, Financial Times, 14 May 2001. Reprinted in James Pickford (ed.), Mastering Investment, FT-Prenice Hall, London, 2002. “Corporate Bonds and Other Debt Instruments”, in Mastering Investment, Financial Times, 21 May 2001. Reprinted in James Pickford (ed.), Mastering Investment, FT-Prenice Hall, London, 2002.

Teaching experience Masters

Corporate Finance, Securities Markets and Investments, Financial Institutions, Options and Futures, Fixed Income.

PhD Level

Theory of Finance.

Executive Teaching

Corporate Finance, Securities Markets and Investments, Fixed Income.

PhD Supervision Wayne Ferson (PhD Stanford University, 1982) "Expected Real Interest Rates and Consumption in Efficient Financial Markets: Theory and Tests". Current Position: Professor of Finance, University of Washington. Roger Brown (PhD 1988, London Business School) Topic: "Index-Linked Government Bonds". Current Position: UBS Warburg. Anthony Neuberger (PhD 1991, London Business School) Topic: "Trading Strategies in the Presence of Private Information and Transaction Costs". Current Position: Associate Professor, London Business School. Cecelia Reyes, (PhD) 1992, “Statistical Properties of Daily Returns on Foreign Exchange rates and a test of the Black-Scholes Paradigm on Foreign Exchange Options”. Current position: Credit Suisse, Zurich. Nicholas Rallis (PhD in Progress, London Business School), Topic: "Asset Pricing with Non-Separable Utility". Antonio Scallia (PhD 1996, London Business School), Topic: "Futures Markets". Current Position: Bank of Italy.


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Man-Kit Lai, (PhD 1996, London Business School), Topic: “Market Transparency and Intraday Trade Behaviour in the London Stock Exchange). Currrent Position: Executive Training and Management Consultancy Andrea Berardi (PhD 1997, London Business School), Topic: "Econometrics of the Real and Nominal Term Strcuture". Currrent Position: Professor, University of Verona. David Cox, (PhD 1999, London Business School), “General Equilibrium Models of Bond Markets with Taxation”. Davide Menini (PhD 1999, London Business School), “A Study of ‘Specialness’ in the German Bond Market”. Currrent Position: Morgan Stanley Loriana Pelizzon (PhD 2002), “Risk Management and Capital Regulation in Banking”. Currrent Position: Assistant Professor, University of Padua. Rajiv Guha (PhD in Progress, London Business School), “Essays on Credit Risk”. Ilya Strebulaev (PhD in Progress, London Business School).

Other activities Lawtex plc. (Director, 1974-91) LBS Financial Software Ltd (Director, 1990-92 ) Smith Breeden Mutual Funds (Trustee, Director, 1992 - 2000) OMLX, The London Futures and Derivatives Market, Chairman, Market Advisory Board (1992 - 96) Non-Executive Director, Tokai Derivative Products Ltd (1998 - 1999) Non-Executive Director, Tokai Bank Europe (2000 - ), Member Audit Committee (2000 2002) Index Policy Committee, Goldman Sachs European Currency High Yield Indices (2000 -)


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Other Academic Activites London university appointments 1983-

Recognised Teacher of London University.

Course administration Course Director, Portfolio Investment Research Programme (1976) Course Director, Modern Developments in Finance (1982) Course Director, Options Seminar 1985, 1986 Co-Director, London-Stanford International Investment Management Programme 19861991 Organiser: LBS Finance Workshop (1981-83) Organiser: Berkeley/Stanford Finance Colloquium (1979-1981) Responsible for PhD recruitment in Finance and (with Professor Stewart Hodges) for development of present PhD seminar in Financial Economics (1981-85).

Committee service (LBS) Business Liaison Committee (secretary 11/75 - 3/77) Academic Committee (Faculty Council nominee) Library Committee (Faculty Council nominee) 1974-76, Chairman, 1988- 90 Appointments Committee, 1985 Human Resources Committee, 1985-89 Management Board, 1989 - 95 Information Systems Committee, 1991- 93 Equal Opportunities Committee, 1992- 95 Management Board Steering Group, 1992- 95 Principal's Faculty Review Committee, 1992- 95 Dean Search sub-committee of Governing Body 2001