Executive Pay and Performance in the UK
This paper examines the relationship between executive cash compensation and company performance for a sample of large UK companies, focusing in...
Opening and closing the market: evidence from the London Stock Exchange
Various markets, particularly NASDAQ, have been under pressure from regulators and market participants to introduce call auctions for their opening...
Performance of personal pension schemes in the UK
This paper examines the performance of personal pensions (exempt unit trusts) in the UK 1980-2000. Unitised personal pension schemes are a type of...
UK annuity rates and pension replacement ratios 1957-2002
This paper constructs a time series of annuity rates in the UK for 1957-2002, and examines the pricing of UK annuities, and the relationship between...
Momentum in the UK stock market
This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock...
Daily closing inside spreads and trading volumes around earnings announcements
This paper examines the determinants of inside spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over...
Performance persistence of pension fund managers
This paper examines persistence over time in the performance of fund managers responsible for making the investment decisions of UK pension funds...
The Profitability of Block Trades in Auction and Dealer Markets
The paper compares the trading costs for institutional investors who are subject to liquidity shocks, of trading in auction and dealer markets. The...
Stock Price Patterns Around the Trades of Corporate Insiders on the London Stock Exchange
Previous work examined the long-run profitability of strategies mimicking the trades of company directors in the shares of their own company. However...
Stock Price Patterns Around the Trades of Corporate Insiders on the London Stock Exchange
This paper examines the patterns of security returns around the trades of corporate insiders in the shares of their own company. We find patterns in...
Time Series of Commodity Futures Prices
This paper examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price...
Testing the Robustness of Long-Term Under-Performance of UK Initial Public Offerings
We re-examine the evidence on the long-term returns of IPOs in the UK using a new dataset of firms over the period 1985-95, in which we compare...
Post-IPO Directors' Sale and Reissuing Activity: An Empirical Test of IPO Signalling Models
Signalling models of IPO underpricing argue that owners of high-quality firms signal their high quality by underpricing shares sold at the IPO and...
The Equivalence of Screen Based Continuous-Auction and Dealer Markets
The conventional response given to explain the difference between an auction and dealer markets is that auction markets are order driven and dealer...
Detecting Information from Directors' Trades: Signal Definition and Variable Size Effects
There have been three empirical studies examining the share price reaction following trades by directors of UK companies (King and Röell, 1988; Pope...
Excessive Stock Price Dispersion: A Regression Test of Cross-Sectional Volatility
In this paper we apply a regression test of the volatility of asset prices to a cross-section data set of US stock prices each year between 1932-71...
