This paper examines the relationship between executive cash compensation and company performance for a sample of large UK companies, focusing in particular on the financial services industry, since incentive misalignment has been blamed as one of the factors causing the global financial crisis...

This paper reassesses the UK results of significant abnormal returns from directors trading for a new sample of directors trades 1984-1988, and finds that abnormal returns tend to be concentrated in smaller firms. When an appropriate benchmark portfolio is used, it is found that the significance...

This paper examines the determinants of inside spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over the period 1986-94. The paper finds that closing daily inside spreads are affected by order processing costs (proxied by trading volumes),...

The conventional response given to explain the difference between an auction and dealer markets is that auction markets are order driven and dealer markets are quote driven. However this paper argues that same set of equilibrium prices will obtain in each market. In dealer markets liquidity is...

This paper constructs a time series of annuity rates in the UK for 1957-2002, and examines the pricing of UK annuities, and the relationship between the accumulation and decumulation phases of a defined contribution pension scheme by focusing on the properties of the pension replacement ratio....

This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock price movements. Based on historical returns of the largest set of individual securities in the UK stock market examined to date, this paper...

In this paper we apply a regression test of the volatility of asset prices to a cross-section data set of US stock prices each year between 1932-71. We show that the rejection of REEM in the time series domain carries over to a data set consisting of observations on a cross-section of individual...

The paper compares the trading costs for institutional investors who are subject to liquidity shocks, of trading in auction and dealer markets. The batch auction restricts the institutions ability to exploit informational advantages because of competition between institutions when they...

Various markets, particularly NASDAQ, have been under pressure from regulators and market participants to introduce call auctions for their opening and closing periods. We investigate the performance of call markets at the open and close from a unique natural experiment provided by the...