http://hdl.handle.net/1842/1811 2013-05-21T21:26:54Z http://hdl.handle.net/1842/2773 Title: Good dog SPOT? Single Pot funding of local voluntary and community groups Authors: Osborne, S; McLaughlin, K.; Chew, C; Tricker, M 2009-05-01T00:00:00Z http://hdl.handle.net/1842/1866 Title: Long Memory, the 'Taylor Effect' and Intraday Volatility in Commodity Futures Markets Authors: Brunetti, Celso Abstract: This paper investigates long term dependence in commodity futures markets. Using daily futures returns on cocoa, coffee and sugar, we show that FIGARCH models are able to adequately describe both the long and short run characteristics of commodity market volatility. The paper also considers three measures of risk - squared returns, absolute returns and intraday volatility - and finds that they exhibit the long memory property. Intraday volatility shows the strongest auto correlation structure. Moreover, there is evidence of the so-called "Taylor effect". Key Words: long memory, fractional differentiating; ARFIMA; FIGARCH; squared returns; absolute returns; Taylor effect; intraday volatility. 1999-01-01T00:00:00Z http://hdl.handle.net/1842/1865 Title: The Proportion Underwritten and the Reaction to SEOs: UK Tests of the Eckbo-Masulis Theory Authors: Armitage, Seth Abstract: The Eckbo-Masulis (1992) theory predicts that a seasoned offer is more likely to be underwritten the higher the proportion of shares expected to be sold to new investors and further predicts a negative relation between abnormal returns on announcement and sales to new investors. The evidence in this paper does not support these predictions. The proportion underwritten is determined primarily by the proportion of shares sold before the issue is announced, not by the proportion sold to new investors. The event study reveals a clear negative relation between abnormal returns and depth of offer price discount but not sales to new investors. 1999-01-01T00:00:00Z http://hdl.handle.net/1842/1864 Title: Company Value and Economic Currency Risk: an empirical study of UK-listed importers and exporters Authors: Moles, Peter; Mathieson, G Abstract: This study examines the impact of economic currency exposure on UK share prices using both daily and monthly data. It makes use of survey information to identify two types of firm on the basis of exchange rate sensitivity of their sales volume and input prices, as being either exporters and importers. We then examine the relationship between the exchange rate and the share price of individual firms in our sample of importer and exporter firms. This is done for the period 1990 to June 1997 and the sub-periods October 1990 to August 1992, when the UK participated in the exchange rate mechanism, and August 1995 to June 1997, a period of sterling appreciation. The results showed a stronger currency effect on firm value during the ERM period than when sterling free-floated. The analysis is then extended to examining the effects of a range of individual currencies and indicate that individual firms have very different exposures to particular currencies. Overall our results indicate a weak relationship between our sample firms' share price and changes in the exchange rate. Key Words: economic exposure, foreign exchange, currency risk, firm value. 1998-01-01T00:00:00Z