This article presents a comprehensive analysis of the relative ability of three information sets --- daily trading volume, intraday returns and overnight returns --- to predict equity volatility. We investigate the extent to which statistical accuracy of one-day-ahead forecasts translates into...

The article explores the relationship between short-term interest rates and the equity returns of the UK financial services industry. Based on the arbitrage pricing theory, the present study seeks to answer the sensitivity and pricing questions. The former is tested with a linear two-index model...

Using UK stock market data this study unveils positive abnormal returns on and around the ex-split date. These excess returns are partially predictable using the publicly available information prior to the ex-split date. There is also a persistent increase in the post-split volatility of these...