This paper uses the well known pre-holiday stock market anomaly to clarify the uses and limitations of the academic approach to testing for such anomalies with respect to the differing requirements of academics and investors. The approach is not designed to produce information suitable for...

This study considers the risk and return of stocks following price innovations of all sizes on UK data. The results indicate that over a long period of time it has been possible to estimate, to some extent, the expected returns and the variance of returns on a given day from the return on the...

Within the context of initial public offerings (IPOs) the value of firms at the point of flotation appears to be positively and significantly related to the amount of equity retained by the original owners. But certain theoretical arguments and some limited empirical evidence suggest that the...

Given the recent political landscape of the UK with the Labour Party forming a government for the first time since 1979, it is hardly surprising that the performance of the stock market under Tory and Labour governments is a topic of media and general interest. The primary purpose of this paper...

There is existing evidence of equity returns having a mixture distribution with multiple component structures. Following the increasing interest in intraday trading, this article examines determinants of intraday equity return distributions and finds that greater information flow and stock...