This study examines the patterns of, and long-run returns to, directors’ (insiders’) trades along the value-glamour continuum in all stocks listed on the main London Stock Exchange and analyses what these directors’ trades add to a naïve value-glamour strategy. We consider alternative...

The authors apply the original variance bounds tests to the present value model for the U.K. stock market and amend these tests to take account of revisions in the model's parameters. They show that variance bounds tests that correct for this are no longer violated. However, they claim there is...

This paper examines the effect of a change in the percentage of informed participants in an asset market on the variability of prices. The authors consider equilibrium in the asset market before the information is revealed to a subset of traders. They find that ex ante price variability is...

Two new methodologies are introduced to improve inference in the evaluation of mutual fund performance against benchmarks. First, the benchmark models are estimated using panel methods with both fund and time effects. Second, the non-normality of individual mutual fund returns is accounted for...