This paper looks at the distributional aspects of financial ratios drawn from a number of firms quoted on the Irish Stock exchange. It is shown that many of the fundamental assumptions that underlie traditional financial statement analysis are not present - a result that is frequently found in...

The existence of daily seasonal patterns in the returns to 5 base metals traded on the London Metal Exchange (Aluminium, Copper, Zinc, Lead and Nickel) is examined, using robust methods, over the 1989-2002 period. The paper begins by examining the extent of daily seasonality in asset returns,...

This paper surveys the research on the influence of investor feelings on equity pricing, and also develops a theoretical basis with which to understand the emerging findings of this area. The theoretical basis is developed by reference to research in the fields of economic psychology and...

In a working paper, Jacobsen and Bouman (2002) claim that the old stock market saying of quot;sell in May and go away but buy back on St Leger Dayquot; produces statistically significant profit when tested on a large database of equity market returns over the last decade, three decades, and even...

This paper examines, in a statistically robust manner, the question of whether daily seasonality exists in the Irish market. The paper starts with a brief literature review, and a rather longer discussion of the particular methodological challenges such investigations pose. These challenges are,...

This paper examines the issue of the fractional dynamics in Irish stock returns. The finding of evidence of fractional dynamics indicates that a long memory process is operational in the series. The paper looks for these dynamics using the Fractional Differencing Model of Geweke and Porter-Hudak...

The first four moments of four indices of equity returns produced by the Irish Stock Exchange are examined across different market directions. Using standard F, K-W and Levene tests daily seasonality is confirmed in all, although in a pattern different to that found elsewhere. In particular,...

Evidence is provided that the preholiday behaviour of irish stock exchange equity indices is different to that found elsewhere. In particular, the indices do not show consistent preholiday positive returns. These returns seem to be driven by local, as opposed to international forces

The Friday the 13th anomaly of Kolb amp; Rodriguez (1987) is revisited in an international context. Using the FTSE world indices over 1988-200, for 19 countries, it is found that there is some evidence that returns on Friday the 13th are statistically different from, and generally greater than,...

Is gold a hedge against sudden changes in stock and bond returns, or does it instead have a subtly different property, that of being a safe haven? This paper addresses these two interlinked questions. A safe haven is defined as a security that is uncorrelated with stocks and bonds in case of a...