A value-based method of performance measurement was presented in our 2004 paper in this Journal. Here we extend our earlier paper in several ways. First, we compare the value method with the internal rate of return. Both incorporate money weighting, but values are easier to use and understand....

Evidence in financial markets of an opportunity for pure arbitrage, and therefore a violation of the law of one price, is considered an anomaly to be noted. This paper reports an apparent violation of the law of one price between UK government gilts and their separately traded principal and...

We provide the first in-depth study of trading on the Ukrainian stock exchange, using trade-by-trade data. Though Ukraine has some large listed companies, the market is quite illiquid. We study the efficiency of five liquidity measures in the market. The proportion of no-trading days is the most...

The paper compares beta estimates obtained from OLS regression with estimates corrected for heteroscedasticity of the error term using ARCH models, for 145 UK shares. The differences are mainly less than 0.10, for betas calculated using daily returns, but even such small differences can matter...

The relation between defined-benefit pension discount rates and funding status is more complex than it might first appear. Existing evidence suffers from estimation biases which makes precise inference unreliable. We document the biases and quantify their impact on inference in relation to...

This study proposes a Foreign Banks' Branch Networks Index (FBBNI) to capture bank-level exposure to competition from foreign banks in terms of geographical proximity. The index takes account the rapidly expanded branch networks of both foreign and domestic banks in China and therefore serves as...

Banks never lend at less than the interbank floating rate, LIBOR. We argue that this must be because it is insufficiently profitable for those which could lend at less than LIBOR to do so and discuss circumstances in which this would be the case. Using data from 1988-91, we show that LIBOR...