We examine the links between hot markets and momentum in explaining merger waves using a sample of 881 UK acquisitions from 1985 to 2000. We find evidence of short run positive abnormal returns (or merger momentum) in both hot and cold markets. We find evidence of long run reversal. The post...

We examine competing agency theory and managerial power hypotheses on the role of Equity-Based Compensation (EBC) in the UK. Our study covers a unique sample of some 61 old and new economy firms over the 1997-2001 period. Despite the fact that new economy firms award much higher levels of EBC as...

This is the first study of Rock's (1986) winner's curse hypothesis in which over-subscribed IPOs are allocated by a pure lottery mechanism. It employs a unique dataset of 562 Chinese IPOs 1996-2001 which provides information for the estimation of allocation-weighted returns. The results provide...

We analyse the post-issue operating performance of 304 venture-backed and 264 non-venture UK IPOs 1985-2000. IPOs exhibit a significant five-year, post-issue operational decline over the full sample period. However this is driven by a particularly poor performance by venture-backed and...

We employ the Barberis, Shleifer and Wurgler (2004) methodology to investigate the impact of changes to the FTSE 100 index on return comovement over the 1992-2002 period. For FTSE stock inclusions the average increase in the beta coefficient is 0.38 in univariate regressions for weekly returns...

We employ a two-regime, nonlinear model and more than a century of data to investigate the time series behavior of the Samp;P Composite price-dividends and price-earnings ratios. On average, the ratios display continuation fuelled by investor sentiment in bull markets but they adjust toward...

This paper sheds light on US stock price deviations from fundamentals by analyzing the time-series dynamics of post-1870 Samp;P valuation ratios. It employs a non-linear, two-regime framework that allows for different behavior over phases of the stock market cycle. Persistence in the ratios...

This paper explores the long run behaviour and short run dynamics of quarterly UK real interest rates, 1950-1999, in a threshold autoregressive framework. Using bootstrap LR extensions of the Enders and Granger (1998) threshold unit root and asymmetry tests, it finds support for sign and...

This paper investigates whether prospect theory (PT) or a preference for lottery-like gains on stocks can explain the peculiarities of IPO returns in China. Chinese IPOs offer investors two potential lottery-like gains. One is potentially huge first day returns as Chinese issuers leave more...

This paper develops closed-form solutions for the finite integrals in the volatility, cubic and quartic contracts in Bakshi, Kapadia and Madan (2003) which avoid discretization errors and do not involve interpolation and extrapolation. It compares the accuracy of the closed-form approach with...