Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a...

Using a variance decomposition approach, we examine the importance of accounting information - in particular the cash flow and accruals components of earnings - in explaining the variation in UK company stock returns. We extend prior research by analysing whether auditor quality moderates the...

This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios. The proposed tests are based on generalized methods of moments. In particular, overlapping observations are used and their dependencies (under the IID assumption) are explicitly...

This paper investigates the relationship between credit and liquidity risk components in the UK interbank spread during the recent financial crisis and sheds light on the transmission mechanism of the quantitative easing (QE) carried out by the Bank of England on short term interest rates....

CA representative pensioner is considered for the evaluation of some of the cost factors for the career-average-revalued-earnings (CARE) defined benefit scheme of USS (the Universities Superannuation Scheme). Since the promised benefit increases with inflation, the return on the pension...

Contrary to public perception, this article finds Universities Superannuation Scheme (USS), the largest defined benefit pension in UK, is more likely to be in surplus rather than deficit. Evidence is provided to show that neither low gilt yields nor high valuations imply low future returns on...