The Bund (10 year German Government Bond) futures contract is the most actively traded bond contract in Europe; it is traded in both London (LIFFE) and Frankfurt (DTB) on open outcry and electronic trading platforms respectively. In an attempt to reconcile the conflicting results of earlier...

The paper analyses the volatility of UK equity, bond and treasury bill returns and the sterling/dollar exchange rate since 1945. It finds that the volatility of all these assets is on a declining trend after peaking in the late '70s. It seems that greater nominal and real macroeconomic stability...

A recent study by Professor Marsh of the London Business School has estimated that sub-underwriters of rights issues (firms that commit to buy up any remaining shares at the end of a rights issue) make an excess profit of 86% of the fee they charge. Because of this study, the OFT (who originally...

This paper extends US evidence on the ability of current dividend yields to predict future equity returns in the G5 countries. By using non-parametric methods, evidence of a similar non- linear structure is found in all the countries analysed. This casts doubt on the linear framework adopted in...

This paper looks in detail at pricing in Gilt Auctions. It compares the prices received at all auctions between May 1987 and February 1995 with both the When-Issued price (the pre- auction market for delivery of the auction stock) and the price of a comparable parent stock (when one existed)....

This paper examines the information content of inflation forecasts derived using index- linked and conventional bonds. The paper finds that the derived inflation term structure (ITS) gives a somewhat better indication of the bond market's inflation expectation than can be derived using either...

This paper analyses four aspects of the determination and effects of M0 using annual, quarterly and monthly data. First it analyses the issue of the correct scale variable for determining M0. A combination of survey evidence and statistical tests indicate that retail sales is the most...

The German Bund futures contract is the most important bond futures contract in Europe. It is also unusual in that it trades on competing Exchanges - LIFFE in London and the DTB in Frankfurt. This paper looks at a surprising aspect of this dually traded contract, namely that the contract trades...