This study considers the relationship between trading volumes, transactions costs, and the profitability of momentum strategies using data from the UK. We demonstrate that round-trip transactions costs for selling loser firms are around double those of buying winners, and in particular, the...

This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model. Consistent with rational pricing in efficient markets, we reveal that momentum profits are a compensation for time-varying unsystematic risks, common...

This article identifies some shortcomings in the tests of the Keynesian hypothesis implemented so far. The previous studies either assume integration between futures and equity markets or rely on a methodology that might produce incorrect inferences regarding the presence of a futures risk...

type="main" xml:lang="en" <p>This paper tests whether the variation in expected futures returns reflects rational pricing in an efficient market or weak-form market inefficiency. The issue is investigated by looking at the abnormal performance of a trading rule based on available information. Once...</p>

Recent research has discussed the possible role of unsystematic risk in explaining equity returns. Simultaneously, but somehow independently, numerous other studies have documented the failure of the static and conditional capital asset pricing models to explain the differences in returns...

In this paper we investigate the impact of UK macroeconomic news announcements on selected futures contracts and exchange rates. We include a wide set of scheduled public news announcements in our study, including official interest rate decisions. We investigate whether the reaction to these...