This paper constructs a time series of annuity rates in the U.K. for 1957–2002, and examines the pricing of U.K. annuities, and the relationship between the accumulation and decumulation phases of a defined contribution pension scheme by focusing on the properties of the pension replacement...

This paper constructs a time series of annuity rates in the UK for 1957-2002, and examines the pricing of UK annuities, and the relationship between the accumulation and decumulation phases of a defined contribution pension scheme by focusing on the properties of the pension replacement ratio....

This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock price movements. Based on historical returns of the largest set of individual securities in the UK stock market examined to date, this paper...

In this paper we apply a regression test of the volatility of asset prices to a cross-section data set of US stock prices each year between 1932-71. We show that the rejection of REEM in the time series domain carries over to a data set consisting of observations on a cross-section of individual...

The paper compares the trading costs for institutional investors who are subject to liquidity shocks, of trading in auction and dealer markets. The batch auction restricts the institutions ability to exploit informational advantages because of competition between institutions when they...

The conventional response given to explain the difference between an auction and dealer markets is that auction markets are order driven and dealer markets are quote driven. However this paper argues that same set of equilibrium prices will obtain in each market. In dealer markets liquidity is...

This paper examines the determinants of inside spreads and their behaviour around corporate earning announcement dates, for a sample of UK firms over the period 1986-94. The paper finds that closing daily inside spreads are affected by order processing costs (proxied by trading volumes),...