This paper uses a noisy rational expectations model to derive predictions about the dynamic behaviour of the proportion of institutional money managers in a given country who are bullish about the equity market in different countries. The predictions are tested using monthly data for four...

We test for the presence of momentum profits in the UK over the period 1977 to 1998. The analysis shows that significant momentum profits are present in both a comprehensive sample of UK stocks and an accounting sub-sample. An analysis of sub-period results, seasonal effects, and the persistence...

This study uses survey data of fund managers' views on prospects for international equity markets to shed light on why investment portfolios are significantly biased towards domestic equities. We find that fund managers from the United States, the United Kingdom, continental Europe, and Japan...

The autoregressive conditional heteroscedasticity/generalized autoregressive conditional heteroscedasticity (ARCH/GARCH) literature and studies of implied volatility clearly show that volatility changes over time. This article investigates the improvement in the pricing of Financial...

The study tests Longstaff's martingale restriction on S&P 500 index options over the period 1990–1994. Assuming the S&P index follows a lognormal distribution results in systematic violations of the martingale restriction, the implied index value from options consistently overestimating the...

In this paper we examine the variables that explain the cross-section of UK stock returns. Previous studies have found that the CAPM beta has moderate or even insignificant explanatory power once the Fama French factors are included. However, we control for different realised risk premia in up...