The occurrence of abnormal returns before the unscheduled announcement of price sensitive information is a potential indicator of insider trading. We identify insider trading with a structural change in the intercept of an extended capital asset pricing model. To detect such a change we...

There is a vast empirical literature rejecting uncovered interest parity(UIP) on the basis of regressions of the actual exchange rate change against the forward premium/discount. In this paper, whilst we confirm the conventional regression analyses, we argue that they constitute only an indirect...

Value-at-Risk (VaR) is a popular risk-metric for reporting financial exposure, for evaluating fund/manager performance and for regulatory disclosures. Yet, VaR is not a coherent risk measure because it is not sub-additive. This paper applies the methodology of risk budgeting to determine if VaR...

This paper provides a non-parametric test of modern exchange rate models that is an alternative to econometric methods. The economic fundamentals from three well-known exchange rate theories are used to devise quarterly net predictions for the movement of sterling against four major currencies...

From 1998 to 2001, the high-tech industry saw a dramatic increase and subsequent sharp decline in market capitalisation during a phenomenon known as the dot-com bubble. During this time there were a large number of private companies that made the decision to go public via an Initial Public...

This paper investigates the price and output stabilization properties of fixed and floating exchange rates using a small open economy model. The performance of the two regimes is compared in the face of money demand, aggregate demand and aggregate supply shocks. It is shown that the ranking of...

This paper examines the returns and ex post variability of returns associated with the investment strategies of three distinctive groups of hypothetical traders in the foreign exchange market: Chartists, Fundamentalists, and Simpletons. Each group consists of three heterogeneous traders and is...