The agency relationship between managers and shareholders has the potential to influence decision-making in the firm which in turn potentially impacts on firm characteristics such as value and leverage. Prior evidence has demonstrated an association between ownership structure and firm value....

This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consistent with Subrahmanyam [Rev. Financ. Stud. 4 (1991) 11] we find that effective half spreads in...

To date, research into socially responsible investment (SRI), and in particular the socially responsible investment funds industry, has focused on whether investing in SRI assets has any differential impact on investor returns. Prior findings generally suggest that, on a risk-adjusted basis,...

In a cross-border M&A framework, the question and measurement of financial synergy can be important in the analysis of the transaction and consideration needs to be given to whether the specific cross-border financial risks outweigh operational synergies. This paper develops a diffusion model to...

Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Conventional use of full-order models may...

Vector error-correction models (VECMs) have become increasingly important in their application to financial markets. Standard full-order VECM models assume non-zero entries in all their coefficient matrices. However, applications of VECM models to financial market data have revealed that zero...

Conventional methods to determine the forgetting factors in autoregressive (AR) models are mostly based on arbitrary or personal choices. In this paper, we present two procedures which can be used to select the forgetting factor in subset AR modelling. The first procedure uses the bootstrap to...

This paper examines the impact of automated trading in the stock market on the information transmission between the stock and futures markets. This issue is of particular relevance given the trend of exchanges to introduce automated trading. We focus on the Australian market as its institutional...

In this paper a numerically robust lattice-ladder learning alogorithm is presented that sequentially selects the best specification of a subset time series system using neural networks. We have been able to extend the relevance of multi-layered neural networks and so more effectively model a...

In this paper we examine whether, and to what extent, the introduction of trading in share futures contracts on individual stocks (ISF) has impacted on the systematic risk and volatility of the underlying shares. The use of ISF allows a unique experimental design that complements existing work...