Dr Alex Taylor

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Profile photo of: Dr Alex Taylor Email: Show Email Address
Position: Lecturer in Finance
Personal home page: http://personal.mbs.ac.uk/ataylor
Academic unit: Accounting and Finance


Alex P Taylor is a lecturer in finance. Dr Taylor was an undergraduate at St Peters College, University of Oxford, and obtained his doctorate at Imperial College, University of London. Prior to joining Manchester University in 2003 Dr Taylor served on the faculty of the Judge Institute of Management, Cambridge University.

Research Interests

Alex Taylor’s research interests are in empirical asset pricing. His recent papers include:

What is the Consumption-CAPM missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Model with A. Ghosh and C.Julliard. Accepted for publication in The Review of Financial Studies

Our information-theoretic framework also enables us to extract a non-parametric estimate of the unobservable component of the SDF. Empirically, we find it to have a business cycle pattern, and significant correlations with both financial market crashes unrelated to economy-wide contractions, and the Fama-French factors. We apply our methodology to some leading consumption-based models, gaining new insights about their empirical performance.

Expected Returns and Risk in the Stock Market with Michael J. Brennan

In this paper we present new evidence on the predictability of stock returns, and examine the extent to which time variation in expected returns on the market portfolio and other portfolios is due to time variation in the risk exposure of these portfolios or due simply to mispricing or sentiment.

Programme involvement

Specialist fields




Publication summary




Working papers

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Showing 4 publication(s)