The current financial crisis has brought into sharp focus the need for robust empirical analysis of bank default prediction models. The contagion currently affecting the banking sector has its roots in traditional banking crises, i.e. inflated asset valuations and poor risk management. The...

Stochastic volatility models such as those of Heston (1993) and Hull and White (1987) are often used to model volatility risk in the pricing and hedging of contingent claims on risky assets. Some recent empirical evidence has shown that these models under general specifications often do not...

This paper illustrates a semi-parametric approach to static and dynamic asset allocation problems in terms of the moments of a multivariate distribution. By use of a general class of H-distributions, we reconstruct the portfolio density function from the moment sequence derived from the...

This study examines the patterns of, and long-run returns to, directors’ (insiders’) trades along the value-glamour continuum in all stocks listed on the main London Stock Exchange and analyses what these directors’ trades add to a naïve value-glamour strategy. We consider alternative...

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...

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...