Both the UK spot and futures markets in short term interest rates are found to react strongly to surprises in the scheduled announcements of the repo rate and RPI. Therefore these announcements should also affect the market for options on short term interest rates. Because the repo rate and RPI...

The asset allocation is a crucial decision for pension funds, and this paper analyses the economic factors which determine this choice. The analysis proceeds on the basis that, in the absence of taxation, risk sharing and default insurance, the asset allocation between equities and bonds is...

Despite a documented decline in the number of dividend payers in the UK it is found that aggregate real dividends paid by industrials actually increased between 1979 and 2000. This was attributed to the firms lost from the sample being generally small distributors of dividends whilst the growth...

The microstructure of stock markets and futures markets has attracted considerable recent attention, but the evidence relating to options markets is sparse, especially for the U.K. This article addresses this void in the literature by presenting evidence on the intraday behavior of bid-ask...

Purpose: A growing strand of literature has focused on the returns performance of zero dividend stocks. This paper seeks to provide new evidence on the link between dividend payment and returns history and firms’ subsequent stock market performance.Design/methodology/approach: Prior research...

This paper examines the lead/lag relationships between the FTSE100 stock market index and its related futures and options contracts, and also the interrelation between the derivatives markets. Both the index futures and index options contracts are found to lead the cash index as predicted....

This paper investigates the dividend decisions of firms in the UK reporting losses after sustained periods of profitability. It is found that loss-making firms are more likely to reduce dividends compared to firms that remain profitable, although a loss is far from a guarantee that the dividend...