The paper uses market microdata to examine how the frequency with which share trading takes place affects the appearance of the compass rose. The results show that, for a share traded with a given frequency, there will be an optimum frequency of observation to produce the best compass rose.

In this article strong association is reported between the performance of the England football team and subsequent daily changes in the FTSE 100 index, representing the price of shares in the 100 largest companies traded on the London stock exchange.

This article examines the initial returns and the aftermarket performance of initial public offerings (IPOs) of demutualized building societies in the UK. The size of the IPOs and the unusual features of the process involved allow for the testing of a number of hypotheses developed from...

This study investigates the implications of high-frequency trading (HFT) on market efficiency and price discovery by using state-space models and real-life one-minute high-frequency data of the six most traded currency pairs worldwide - USD/EUR, USD/JPY, USD/GBP, USD/AUD, USD/CHF and USD/CAD. We...

The results indicate that although interest rate premia reflect a number of small firm risk characteristics, they do not seem to have significantly benefited from the increased bank competition of the late 1980s.