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This paper examines the patterns of security returns around trades by corporate insiders in the shares of their own company. We find patterns in abnormal returns in the days around a directors trade that are consistent with directors engaging in short-term market timing: they sell (buy) after an...
Persistent link: https://www.econbiz.de/10005112947
This paper examines the performance of personal pensions (exempt unit trusts) in the UK 1980-2000. Unitised personal pension schemes are a type of mutual fund that is constituted as a contractual savings scheme, whose value can only be accessed at retirement. By studying the performance of these...
Persistent link: https://www.econbiz.de/10005112920
Persistent link: https://www.econbiz.de/10005063462
There have been three empirical studies examining the share price reaction following trades by directors of UK companies (King and Poell, 1988; Pope, Morris and Peel, 1990; and Gregory, Matatko, Tonks and Pukiss, 1994). All three of these UK studies used different definitions of 'buy' and 'sell' signals...
Persistent link: https://www.econbiz.de/10005167746
Persistent link: https://www.econbiz.de/10005102440
The conventional response given to explain the difference between an auction and dealer markets is that auction markets are order driven and dealer markets are quote driven. However this paper argues that same set of equilibrium prices will obtain in each market. In dealer markets liquidity is...
Persistent link: https://www.econbiz.de/10005102465
This paper constructs a time series of annuity rates in the UK for 1957-2002, and examines the pricing of UK annuities, and the relationship between the accumulation and decumulation phases of a defined contribution pension scheme by focusing on the properties of the pension replacement ratio....
Persistent link: https://www.econbiz.de/10005073741
This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock price movements. Based on historical returns of the largest set of individual securities in the UK stock market examined to date, this paper...
Persistent link: https://www.econbiz.de/10005073745
In this paper we apply a regression test of the volatility of asset prices to a cross-section data set of US stock prices each year between 1932-71. We show that the rejection of REEM in the time series domain carries over to a data set consisting of observations on a cross-section of individual...
Persistent link: https://www.econbiz.de/10005073827
The paper compares the trading costs for institutional investors who are subject to liquidity shocks, of trading in auction and dealer markets. The batch auction restricts the institutions ability to exploit informational advantages because of competition between institutions when they...
Persistent link: https://www.econbiz.de/10005073861