This paper examines the predictability of size portfolio returns using a new database constructed from the London Stock Exchange for the period 1985-1995. Predictability of returns, both adjusted and unadjusted for risk, are examined and, because evidence of nonlinearity and nonnormality is...

This paper studies calendar effects in the emerging Athens Stock Exchange. Rather than examining only basket indices, we analyse calendar effects for each of the constituent stocks of the Athens Stock Exchange General Index for the period from October 1986 to April 1997. In accordance with...

This paper investigates whether lead-lag patterns similar to those found in the US hold between small and large firm portfolios from the London stock exchange. On finding that such patterns do exist, it then investigates the dynamic linkages between the portfolios using some recently developed...

This paper investigates the temporal and distributional properties of the London Stock Exchange FT-SE daily indices by examining the autocorrelations and distributions of a family of return transformations. Power transformations of absolute returns are more highly autocorrelated than actual...