We compare the long run reaction to anticipated and surprise information announcements using stock splits. Although there is underreaction in both cases, anticipated splits are treated differently to those that are unforeseen. After anticipated splits, cumulative abnormal returns peak at...

We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We find that flows are convex with past performance, creating an incentive for managers to take excessive risk. The flow-performance convexity is less pronounced in countries with higher levels of...

We use a panel of investment-grade bonds to investigate why credit spreads are so much larger than expected losses from default. We find that systematic factors contribute little to spreads, even if higher moments or downside effects are incorporated. Instead, two idiosyncratic risk factors,...

We use a new data set to study the determinants of the performance of open--end actively managed equity mutual funds in 27 countries. We find that mutual funds underperform the market overall. The results show important differences in the determinants of fund performance in the USA and elsewhere...

Financial regulators, analysts and journalists have expressed concern that open market share repurchases may help support share prices. We test this conjecture by examining repurchasing firms' share price patterns on entering mandatory non-trading periods imposed by the London Stock Exchange. If...

We compare the performance of a structural and a reduced form default risky bond pricing model for Brady bonds from different countries. Goodness of fit statistics indicate comparable in-sample model performance whilst our out-of-sample tests favour the reduced form model. We also find evidence...