This study examines the asset pricing role of ‘sentiment risk' in stock returns in the case of the UK stock market. We define sentiment risk as the sensitivity of stock returns to investor sentiment in financial markets. We incorporate a broad range of financial market variables in measuring...

We investigate the pricing of systematic liquidity risk in UK equities using a large sample of daily data. Employing four alternative measures of liquidity we first find strong evidence of commonality in liquidity across stocks. We apply asymptotic principal component analysis (PCA) on the...

Our study investigates the explanatory power of future economic conditions on individual stock returns in the US and UK equity markets. We analyse a new trading strategy that is based on rational forecasts of future real activity. In addition, we specifically examine the performance of this...

The Johansen cointegration testing and estimation procedure is applied to examine the relationships among the stock markets, government bond markets and credit bond markets of the US, UK, Europe and Japan over the period 1985M1:2002M4. Asset class relationships are examined with returns...