This paper fills a void in the market efficiency literature by testing for the presence of post-earnings announcement drift in the non-US market. We test for drift using alternative earnings surprise measures based on: (i) the time-series of earnings; (ii) market prices; and (iii) analyst...

Risk-neutral (RN) and real-world (RW) densities are derived from option prices and risk assumptions, and are compared with historical densities obtained from time series. Two parametric methods that adjust from RN to RW densities are developed, firstly a CRRA risk aversion transformation and...

In this paper we examine the variables that explain the cross-section of UK stock returns. Previous studies have found that the CAPM beta has moderate or even insignificant explanatory power once the Fama French factors are included. However we control for different realised risk premia in up...

Using a unique dataset of negotiated block trades of listed companies in China, we quantify the trade-off between liquidity and control of block shares. While the size of the block increases the probability of gaining control, it also imposes liquidity constraints on the owner. The joint effects...

Using high frequency intraday returns, we calculate the realized volatility of the USD/GBP, USD/DEM and USD/JPY exchange rates. It is shown that the dynamics of the logarithms of realized volatilities can be captured by either a fractionally integrated long memory model or a short memory ARMA...

The volatility information contained in high-frequency exchange rate quotations and in implied volatilities calculated from options prices is compared by estimating ARCH models for hourly and daily DM/$ returns. The results are based on the year of Reuters quotations supplied by Olsen amp;...

We compare forecasts of the realized volatility of the pound, mark and yen exchange rates against the dollar, calculated from intraday rates, over horizons ranging from one day to three months. Our forecasts are obtained from a short memory ARMA model, a long memory ARFIMA model, a GARCH model...

Results from the ARCH/GARCH literature and studies of implied volatility clearly show that volatility changes over time. This paper investigates the improvement in pricing of FTSE 100 index options from taking into account stochastic volatility. The major tool for this analysis is Heston?s...

This study uses survey data of fund managers? views on prospects for international equity markerts to shed light on why investment portfolios are signnificantly biased towards domestic equities. We find that fund managers from the US, the UK, Continental Europe, and Japan show a significant...

The volatility information contained in high-frequency exchange rate quotations and in implied volatilities calculated from options prices is compared by estimating ARCH models for hourly and daily DM/$ returns. The results are based on the year of Reuters quotations supplied by Olsen amp;...