Using daily data on the London Stock Exchange's FT-SE industry baskets, this paper subjects the market model to a set of rigorous specification tests designed to assess its statistical adequacy in the face of possible model non-linearity and autocorrelation, heteroscedasticity and, in...

This paper investigates the presence of various anomalies, or 'calendar effects', in the FT-SE 100, Mid 250 and 350 indices, and the accompanying industry baskets, for the period January 1986 to October 1992. Our results broadly support similar evidence found for many countries concerning stock...

This paper is concerned with the issue of dynamics in financial data and asset pricing models such as the CAPM. A literature review in this area is undertaken and highlights the need for a modern time series econometric approach in asset pricing. Such an approach is discussed and deals with...

This paper investigates the time series and cross-section stability of parameter estimates from the single-index market model, using a UK data set relating to the security prices of parent companies, divesting in the form of a management buyout. A battery of tests of structural stability are...