Browsing by Author "McKenzie, Michael"
Now showing items 1-2 of 2
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From Trade-to-Trade in US Treasuries
Dungey, Mardi; Henry, Olan; McKenzie, Michael (CFAP, Cambridge Judge Business School, University of Cambridge, 2010-05)The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data ...
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Venture Capital Fund Performance and the IPO Market
McKenzie, Michael; Janeway, William (CFAP, Cambridge Judge Business School, University of Cambridge, 2008)In this paper, the investment performance of a large database of venture funds is considered over a 28 year period. The results suggest that a portfolio of venture capital partnerships can provide an average return that ...