U.K. firms that cut or omit interim dividends during the period 1986-1993 are studied. Price reactions to cuts and omissions were found to be significantly negative and stronger for initial reductions. Gearing, company size and interim earnings change variables were found to have explanatory...

Rights offerings in Australia provide valuable choices to the issuer in terms of both underwriting and renounceability. We formulate a set of hypotheses from a quality-signalling perspective, affording an analysis of the key interrelations between quality, underwriting status, renounceability,...

The basis in stock index futures markets is analytically and empirically studied in this paper within a no-arbitrage/cost of carry framework.

An analytical relationship between basis change autocorrelations and thin trading effects together with partial adjustment factors is developed. Less than full price adjustments are demonstrated to lead to negative autocorrelations in basis innovation series in addition to those induced by thin...

The selection of investments held in dedicated pension or insurance asset portfolios should be liability-driven. Techniques have been developed to hedge or immunize single liabilities from the effects of a variety of yield curve changes. In this paper, we extend these results to a more relevant...