This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...

The purpose of this paper is to examine the performance of an important set of momentum-based technical trading rules (TTRs) applied to all members of the Dow Jones Industrial Average (DJIA) stock index over the period 1928–2012. Using a set of econometric models that permit time-variation in...

This paper provides an extensive Monte-Carlo comparison of several contemporary cointegration tests. Apart from the familiar Gaussian based tests of Johansen, we also consider tests based on non-Gaussian quasi-likelihoods. Moreover, we compare the performance of these parametric tests with tests...

We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S....

The authors estimate a price-conditional vector autoregression for individual company dividends and this is used to forecast future dividends. Stocks are then ranked by the ratio of their current price relative to future dividend forecasts. This ranking is shown to forecast returns, using...

In this paper we introduce a new testing procedure for evaluating the rationality of fixed-event forecasts based on a pseudo-maximum likelihood estimator. The procedure is designed to be robust to departures in the normality assumption. A model is introduced to show that such departures are...

The research programme on multiple job holding identified substantial discrepancies between the Census and HLFS series regarding the increasing level of rural multiple job holding 1981 to 2001. Furthermore, evidence from the Time Use Survey suggests that the distribution of second job...

This paper provides an account of a questionnaire-based study of small and medium-sized enterprises (SMEs) and their responses to the current requirements of environmental best practice. The study was based within South Yorkshire. We aim to explore the current relationship between SMEs and the...

A number of papers have looked at the bias in the fractional integration parameter, d using a variety of alternative estimation techniques. This paper supplements that literature by investigating the bias in both the short-term and long-term parameters for a range of ARFIMA models using a more...