Now showing items 1-20 of 46

  • The ABI Guidelines for Share-Based Incentive Schemes. Setting the hurdle too high? 

    Main, Brian G M (Management School and Economics. The University of Edinburgh, 2002)
    This paper examines, from the perspective of the pay-performance connection, the guideline principles recently issued by the Association of British Insurers (ABI) in connection with the operation of share-based incentive ...
  • Are analysts biased? An analysis of analysts' stock recommendations that perform contrary to expectations 

    Taffler, Richard; Mokoteli, Thabang; Ryan, Paul (Management School and Economics. The University of Edinburgh, 2006)
    This paper seeks to test whether analysts are prone to behavioral biases when making stock recommendations. In particular, we work with stocks whose performance subsequent to a new buy or sell recommendation is in the ...
  • Capital Asset Pricing Model and Arbitrage Pricing Theory in the Italian Stock Market: an Empirical Study 

    Cagnetti, Arduino (Management School and Economics. The University of Edinburgh, 2002)
    The Italian stock market (ISM) has interesting characteristics. Over 40 per cent of the shares, in a sample of 30 shares, together with the Mibtel market index, are normally distributed. This suggests that the returns ...
  • Company Value and Economic Currency Risk: an empirical study of UK-listed importers and exporters 

    Moles, Peter; Mathieson, G (Management School and Economics. The University of Edinburgh, 1998)
    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 ...
  • Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate. 

    Balaban, Ercan (Management School and Economics. The University of Edinburgh, 2002)
    The relative out-of-sample forecasting quality of symmetric and asymmetric conditional volatility models of an exchange rate differs according to the symmetric and asymmetric evaluation criteria as well as a regression-based ...
  • Components of Risk for Investment Trusts 

    Adams, Andrew T (Management School and Economics. The University of Edinburgh, 1996)
    Risk assessment is a topical subject in the investment trust sector. Several fund management groups have started issuing risk gradings from their investment trusts. Money Management and Micropal now publish volatility ...
  • Corporate Governance & The UK Split Capital Investment Trust Crisis 

    Adams, Andrew T; Angus, Robin (Management School and Economics. The University of Edinburgh, 2005)
    The recent boom and bust within the UK split capital investment trust sector was, in the true sense of the word, extraordinary. It tested investment trust directors in a way unknown for at least a generation and brought ...
  • Cross-Sectional Variation in Investment Trust Discount Volatility 

    Adams, Andrew T (Management School and Economics. The University of Edinburgh, 1998)
    Discount volatility is generally an important component of total risk for closed-end funds but there is considerable cross-sectional variation in the magnitude of this discount volatility. These are interesting aspects of ...
  • Customer Participation in the Support System for Small Grocery Retailers 

    Dawson, John; Terashima, Kazuo (Management School and Economics. The University of Edinburgh, 2004)
    In the previous research (Terashima and Dawson, 2004), we discussed a support system for small grocery retailers in order to regenerate them. The purpose of this paper is to show a mechanism which increases customer value ...
  • Deregulation of the Japanese Markets - Opportunities for the Edinburgh Investment Community 

    Murray, H (Management School and Economics. The University of Edinburgh, 1997)
    The proposed deregeulation of the Japanese financial markets, first announced in November 1996 is intended to make the financial system more competitive and to make better use of the country's Y1200 trillion of personal ...
  • Developing short-selling on the mainland Chinese equity markets 

    Clunie, James; Ying, Tongshan (Management School and Economics. The University of Edinburgh, 2006)
    We review the theory and evidence on liquidity, price discovery and market efficiency associated with securities lending and short-selling. We also study the efforts by the Hong Kong and Taiwan stock exchanges to develop ...
  • Does Gender Matter? Women Business Angels and the Supply of Entrepreneurial Finance in the United Kingdom 

    Harrison, Richard T; Mason, Colin (Management School and Economics. The University of Edinburgh, 2005)
    There is a substantial literature on the relationship between gender and access to finance, without any definite conclusions having been reached. Most of this research has been into access to debt finance. More recently, ...
  • Empirical Likelihood as an alternative to GMM estimation in the area of asset pricing 

    Gonzalez, Angelica (Management School and Economics. The University of Edinburgh, 2005)
    This paper proposes and analyses Owen’s (1998, 1990, 1991) Empirical Likelihood (EL) as an alternative to the General Method of Moments (GMM) within the Capital Asset Pricing Model (CAPM). We concentrate on the …finite-sample ...
  • Excess Volatility and Investment trusts 

    Adams, Andrew T (Management School and Economics. The University of Edinburgh, 2000)
    The variance of returns to investment trust shareholders may be split into three components - variance of net asset value (NAV) returns, variance of discount returns and twice the covariance between NAV returns and ...
  • Explaining Monday Returns 

    Draper, Paul; Paudyal, Krishna (Management School and Economics. The University of Edinburgh, 2001)
    The Monday effect is re-examined using two stock indices and a sample of 452 individual stocks that trade on the London Stock Exchange. The results based on conventional test methods reveal a low average return on Monday. ...
  • Forecasting Stock Market Volatility: Evidence from Fourteen Countries. 

    Balaban, Ercan; Bayar, Asli; Faff, Robert (Management School and Economics. The University of Edinburgh, 2002)
    This paper evaluates the out-of-sample forecasting accuracy of eleven models for weekly and monthly volatility in fourteen stock markets. Volatility is defined as within-week (within-month) standard deviation of continuously ...
  • Fund Turnover and Investment Performance 

    Adams, Andrew T; Lambert, E (Management School and Economics. The University of Edinburgh, 1997)
    We examine the level of share dealing activity of UK long-term institutional funds and, for UK pension funds, assess the impact of this dealing activity on investment performance. The analysis is carried out using annual ...
  • Good dog SPOT? Single Pot funding of local voluntary and community groups 

    Osborne, S; McLaughlin, K.; Chew, C; Tricker, M (2009-05-01)
  • A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads 

    Thomas, L; Allen, David E; Morkel-Kingsbury, N (Management School and Economics. The University of Edinburgh, 1998)
    This paper provides a Markov chain model for the term structure and credit risk spreads of bond processes. It allows dependency between the stochastic process modeling the interest rate and the Markov chain process describing ...
  • Hidden Risks In The CDO - Squared Market 

    Adams, Andrew T; Clunie, James; Bhatt, Rajiv (Management School and Economics. The University of Edinburgh, 2005)
    We show that there are risks (default location risk and overlap risk) unique to CDO-squared structures. These risks may not be well-understood by investors and credit rating agencies. As a result, the tranche of a CDO-squared ...