In this paper we test for the presence of periodically partially collapsing, positive and negative speculative bubbles in the Samp;P 500 Composite Index for the period 1888-2003. We extend existing regime - Switching models of speculative behavior by including abnormal volume as an indicator of...

Investigations into value-based 'anomalies' such as the P/E effect typically sort shares into quintiles, or at most deciles. These are blunt instruments. We test whether most of the extra value to be found in the lower end of the P/E spectrum is to be found in the very lowest P/E shares, and...

The price-earnings effect has been thoroughly documented and widely studied around the world. However, in existing research it has almost exclusively been calculated on the basis of the previous year's earnings. We show that the power of the effect has until now been seriously underestimated,...

The price-earnings ratio is a widely used measure of the expected performance of companies, and it has almost invariably been calculated as the ratio of the current share price to the previous year's earnings. However, the P/E of a particular stock is partly determined by outside influences such...

While it is commonly believed that derivative instruments are a recent invention, we document the existence of forward contracts for the sale of wool in medieval England around 700 years ago. The contracts were generally entered into by English monasteries, who frequently sold their wool for up...

This paper examines the relationship between a firm's reputation and the returns on its shares. We employ a unique dataset from the UK based on ten years of surveys conducted for Management Today, where company directors and analysts at leading investment firms are asked to rate each company in...

This study evaluates the efficiency of cross hedging with single stock futures (SSF) contracts. We propose a new technique for hedging exposure to an individual stock that does not have options or exchange-traded SSF contracts written on it. Our method selects as a hedging instrument a portfolio...

This paper demonstrates that the use of GARCH-type models for the calculation of minimum capital risk requirements (MCRRs) may lead to the production of inaccurate and therefore inefficient capital requirements. We show that this inaccuracy stems from the fact that GARCH models typically...

This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs). We propose a semi-parametric approach where the tails are modelled by the Generalized Pareto Distribution and smaller risks are captured by...

This paper compares a number of different extreme value models for determining the value at risk of three LIFFE futures contracts. A semi-nonparametric approach is also proposed where the tail events are modeled using the Generalised Pareto Distribution and normal market conditions are captured...