We investigate how split ratings influence the information content of credit rating events on the sovereign bond markets during 2000–2012. We find that market reactions are far stronger for negative events on the inferior ratings and for positive events on the superior ratings. Such evidence...

This paper establishes an empirical role for two measures of dividend stability (as a proxy for dividend policy) in explaining UK stock returns. There is little systematic empirical evidence concerning the relation between dividend stability, dividend yield and stock returns despite the fact...

This paper studies a period containing three major structural changes, which constitute a natural experiment in the NYSE.Euronext-LIFFE European short-term interest rate (STIR) futures market. These changes comprise (1) a 50% reduction in minimum tick size for the most heavily traded contract,...

This paper examines the lead/lag relationships between the FTSE100 stock market index and its related futures and options contracts, and also the interrelation between the derivatives markets. Both the index futures and index options contracts are found to lead the cash index as predicted....

Forward/forward volatility derived from options' implied volatilities is a measure of the market's expectation of future volatility. We examine the factors affecting forward/forward volatility and present evidence of its predictive performance based on FTSE100 index options.

The UK option market is unique in trading both American-style and European-style contracts on the same underlying stock index. We use high-frequency quote data to examine the magnitude and distribution of the bid-ask spreads on these contracts, which are found to be at least partly determined by...

This paper applies an established bid-ask spread decomposition model to the inter-dealer spot foreign exchange market. In addition, the paper presents and tests a modified decomposition model which is specifically adapted to the features of order-driven markets and which is found to produce more...

<heading id="h1" level="3" format="inline" implicit="no">Abstract: </heading>This paper examines the relationship between returns and dividend yield in the UK stock market, and introduces earnings-related data to the asset pricing model in the form of payout ratio. The latter has a considerable effect upon the inferences which would otherwise be drawn from a...

Sovereign credit rating actions have attracted considerable attention recently. This study employs a rich and unique data set of ratings from six international agencies to investigate the causes of split sovereign ratings in emerging countries. Three reasons are identified in explaining the...