This study argues that there may exist benefits in active portfolio management and trading other than the possibility of obtaining excess returns. The objective is not to attack the hypothesis that trading cannot produce (risk-adjusted) returns that are superior to passive investment strategies....

This paper investigates the temporal and distributional properties of the London Stock Exchange FT-SE daily indices by examining the autocorrelations and distributions of a family of return transformations. Power transformations of absolute returns are more highly autocorrelated than actual...

This paper investigates whether lead-lag patterns similar to those found in the US hold between small and large firm portfolios from the London stock exchange. On finding that such patterns do exist, it then investigates the dynamic linkages between the portfolios using some recently developed...