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...

This paper examines the performance of personal pensions (exempt unit trusts) in the UK 1980-2000. Unitised personal pension schemes are a type of mutual fund that is constituted as a contractual savings scheme, whose value can only be accessed at retirement. By studying the performance of these...

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...

This paper constructs a time series of annuity rates in the U.K. for 1957–2002, and examines the pricing of U.K. 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...

This thesis incorporates a role for advertising in a neoclassical model of consumer behaviour in an environment with imperfect information, Advertising is seen as providing an initial set of parameters in the consumer's subjective beliefs. The thesis considers the role of learning through...

This study examines the patterns of, and long-run returns to, directors’ (insiders’) trades along the value-glamour continuum in all stocks listed on the main London Stock Exchange and analyses what these directors’ trades add to a naïve value-glamour strategy. We consider alternative...