This thesis presents an empirical investigation into the Arbitrage Pricing Theory (APT). At the onset of the thesis it is recognised that tests of the APT are conditional on a number of preconditions and assumptions. The first line of investigation examines the effect of the assumed nature of...

In the present thesis a series of theoretical and empirical issues relating to the functioning and the efficiency of the emerging equity markets is investigated. The sample covers ten markets; four from the Latin America and six from the Asia, Asia-Pacific, for the period between 1976 to 1994....

This thesis tests for seasonal anornalies and daily predictability on the UK stock market and investigates how mispricing caused by the bid-ask spread, known as the 'touch' and nonsynchronous trading in portfolio returns may explain these anomalies. By using constructed portfolios within a...

The aim of this thesis is to identify the financial characteristics of takeover targets in UK for the period 1982-1990. An examination of the financial characteristics of the target firms may bring about an immediate recognition of the motives of takeover activity. The present study attempts to...

While most of the literature on asset pricing examines the cross section of stock and bond returns, little attention has been devoted to the analyse of the trade-off between risk and return in futures markets. Since, alike stocks and bonds, futures contracts qualify as investments on their own,...

This thesis is concerned with acquisition activity in the UK and, specifically the prediction of takeovers. This is an important area for research for three reasons.Firstly, acquisition activity involves a small number of companies but creates very large sums of money. Secondly, acquisition...

This thesis presents four related empirical essays which investigate the role of information in crude oil futures markets. The first line of investigation examines the impact of futures trading on spot price volatility and finds that the nature of spot price volatility is affected by derivative...

This thesis aims to provide detailed investigation into the role and functioning of the FTSE-100 stock index futures contract, by examining four interrelated issues.Chapter 1 reviews the literature, demonstrating that stock index futures can increase investor utility by offering hedging and...