In this paper we apply an approach recently developed by Fama and French (2000) to study whether UK company profitability is mean-reverting. We use a sample of roughly 987 firms per year for a period from 1982-2000, drawn from Datastream. In a simple partial adjustment model we find convergence...

This article examines the deviation of the UK market index from market fundamentals implied by the simple dividend discount model and identifies other components that also affect price movements. The components are classified as permanent, temporary, excess stock returns and non-fundamental...

Backwardation, first discussed by Keynes (1923), (1930) and Hicks (1946), is a fee paid by a seller of a security to the buyer for the privilege of deferring delivery. It implies that the futures price falls short of the spot price. The reverse case, 'contango', implies that the futures price...

The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we use the realized volatility (RV) of FTSE sampled at 5-minute intervals, taken from the Oxford Man Realised Library. Both models...

This paper examines mutual fund investors' response to mergers of Australian mutual fund companies. Findings from two matching-control techniques employed to analyse the impact of mergers on excess money in and out of open and closed funds involved in the transactions suggest that mergers are...

This study features an analysis of takeover effects on the Thai stock market and focuses on the impact on bidding firms. The study is motivated by the paucity of studies of Thai bidding firms as well as the lack of information about their long-term performance. The measures used for abnormal...

The paper features an examination of the link between the behaviour of the FTSE 100 and S&P500 Indexes in both an autoregressive distributed lag ARDL, plus a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of...

We investigate the provision of liquidity by different trader types on the Australian Securities Exchange using data that spans an extended sample period of 2003 to 2012. We find the familiar intraday U-shaped pattern in order volume and frequency where the lunch time session is associated with...

There are few studies of take over effects in emerging stock markets and of whether such events result in value-increasing or value-decreasing effects for the successful targets and bidders. This study analyses the impact of successful takeovers on the Stock Exchange of Thailand (SET). Both...