A number of methods have been suggested to improve forecasts for data sets subject to structural breaks. This article explains why one such procedure, the spline function technique, may not be a natural candidate. An example is given where data that appeared to be well forecast using spline...

This article examines the behaviour of the UK capital markets during the overnight trading period that coincided with the announcement of the results of the UK general election in May 1997. Evidence that the financial markets responded to the evolving pattern of results is found. In addition,...

In this short paper, I show that the characterization of the efficient securities market in Wang (1995) is inconsistent with financial economic theory, and offer a theoretically consistent alternative. By contrast, under this alternative definition of an efficient market, the component...

Previously, it has been shown that the profits from a simple market timing trading rule applied to a portfolio of shares can be affected by the inter-relationships between the returns of the component securities. In this short letter, the results from applying a more sophisticated 'filter' rule...

This study seeks to explain the leverage effect in UK stock returns by reference to the return volatility, leverage and size characteristics of UK companies. A leverage effect is found that is stronger for smaller companies and has greater explanatory power over the returns of smaller companies....

Simple models of time-varying risk premia are used to measure the risk premia in long-term UK government bonds. The parameters of the models can be estimated using nonlinear seemingly unrelated regression (NL-SUR), which permits efficient use of information across the entire yield curve and...

Using an event study approach, this article reports evidence that the UK Treasury bond market displayed anomalous pricing behaviour in the secondary market both immediately before and after auctions of seasoned bonds. Using a benchmark return derived from the behaviour of the underlying yield...