The authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the S‐GARCH model), which involves the estimation of only univariate GARCH models, both for the individual return series and for the sum and difference of each pair of series....

We examine the impact of industry membership on the capital structure dynamics of UK quoted firms over the period 1968 to 2006 by analysing how the components of common gearing ratios are adjusted in relation to one another. More specifically, if we find evidence of a cointegrating relationship...

In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical deviation of the range from the long run trend as a...

In this paper, we compare the estimated minimum-variance hedge ratios from a range of conditional hedging models with the 'realized' minimum variance hedge ratio constructed using intraday data. We show that the reduction in conditionally hedged portfolio variance falls far short of the "ex...

<heading id="h1" level="3" format="inline" implicit="no">Abstract: </heading>This paper conducts a UK test of a version of the <link rid="b45">Ohlson (1995)</link> model. We should only expect abnormal earnings to revert to zero if the book value of assets is economically meaningful. In this paper we make use of the property revaluations common in UK accounts, but estimate other...

Purpose – The purpose of this study is to investigate the incidence of target gearing behaviour in firms as well as the drivers of such behaviour. Design/methodology/approach – The paper employs a triangulation approach across three methodological phases: a questionnaire survey, logistic...

The aim of this paper is to examine the main determinants of the rating likelihood of UK companies. We use a binary probit specification to model the main drivers of a firm's propensity to be rated. Using a sample of 245 non-financial UK companies over the period 1995--2006, representing up to...

Purpose -The purpose of this paper is to investigate the relationship between the quality of property rights institutions (PRIs) and bank financial performance in an empirical study of 136 countries over the period 1999-2006. Design/methodology/approach -The quality of PRIs and financial...

A simulated study is conducted of the relative tax incentives to capital investment in Europe. For 1994 required pre-tax rates of return vary from 8.5% for plant and machinery investments in Spain to l3.8% for commercial property in Ireland. Within investment categories, however, the spreads...

The aims of this study were to determine how UK finance practitioners derive and review the cost of capital, and to ascertain whether the final figure varied with the choice of method. To investigate behaviour in the real world a survey questionnaire was employed, eliciting responses from the...