The primary aim of this paper is to make available the Fama-French and Momentum portfolios and factors for the UK market to the wide community of UK academic and post-graduate researchers. As Michou, Mouselli and Stark (2007) note, there is no freely downloadable equivalent to the data on Ken...

Previous work examined the long-run profitability of strategies mimicking the trades of company directors in the shares of their own company, as a way of testing for strong-form market efficiency. However, the evidence regarding returns during the month containing the insider trade was...

We examine risk-return trade-offs associated with “covlite” deals which lack systematic covenant compliance requirements of traditional “covheavy” deals. We document demand-driven risk taking incentives in the primary markets where covlite deal pricing has become increasingly...

Using a value-weighted rather than an equally weighted regression, Easton and Sommers (2007) show that the upward bias in the risk premium implied by analysts' earnings forecasts falls to 1.6%, but remains statistically and economically significant. In this paper, we argue that any estimation of...