The quote-driven London Stock Exchange currently delays the publication of large trades for 90 minutes, while very large trades may be delayed for up to 5 days. In addition, market makers can trade with each other on an order-driven inter- dealer broker market that is inaccessible to other...

The conditions under which pension schemes merge is an important issue that has been under-researched. Mergers can affect the strength of the sponsor's covenant and the balance of power between the trustees and the sponsor, as well as the scheme funding ratio. This paper sets out two financial...

This paper shows that riskless spot-futures arbitrage is impossible if the futures contract multiplier is in a foreign currency from that of the underlying shares. However, a no-arbitrage condition involving only futures contracts (spread arbitrage) exists for such cases when there is also a...

Unless a direct hedge is available, cross hedging must be used. In such circumstances portfolio theory implies that a composite hedge (the use of two or more hedging instruments to hedge a single spot position) will be beneficial. Surprisingly, the study and use of composite hedging has been...

Forecasting the mean returns vector and the covariance matrix is a key feature in implementing portfolio theory. The performance of the Bayes-Stein method for forecasting these parameters for use in the Markowitz model (with and without short sales) was compared with that of seven other...