Business and Management Research Publications: Recent submissions
Now showing items 21-40 of 46
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Are analysts biased? An analysis of analysts' stock recommendations that perform contrary to expectations
(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 ... -
Developing short-selling on the mainland Chinese equity markets
(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 ... -
Market Risks and Oilfield Ownership - Refining SEC Oil and Gas Disclosures
(Management School and Economics. The University of Edinburgh, 2006)Our paper uses an extensive sample of 292 oilfields to provide evidence that Securities and Exchange Commission (SEC) supplementary disclosures do not capture the price sensitivities of O&G disclosures implicit in the two ... -
The Impact of Tax Shocks and Oil Price Volatility on Risk - A Study of North Sea Oilfield Projects
(Management School and Economics. The University of Edinburgh, 2006)We examine the impact of market volatility and increased fiscal take on risk in strategic natural resource projects. An increase in 2006 UK oilfield taxation is used as a natural experiment for assessing the impact of a ... -
Empirical Likelihood as an alternative to GMM estimation in the area of asset pricing
(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 ... -
Forecasting Stock Market Volatility: Evidence from Fourteen Countries.
(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 ... -
What has the manager done for me? A value-based approach to performance analysis.
(Management School and Economics. The University of Edinburgh, 2002)In many circumstances it is unsatisfactory to measure portfolio performance using time-weighted rates of return. There are well known problems with performance attribution analysis using time-weighted returns in a ... -
Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate.
(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 ... -
The Minimum Assumed Incentive Effect of Executive Share Options
(Management School and Economics. The University of Edinburgh, 2003)In granting executive share options (ESOs), companies hand over financial assets to the executive at an opportunity cost that generally outweighs the value placed on those assets by the executive on the receiving end. This ... -
Market Maker V Automated Order Book Markets: UK Evidence
(Management School and Economics. The University of Edinburgh, 2003)The London Stock Exchange operates two separate trading platforms for UK equities: an automated limit order book (SETS) and a multiple dealer market (SEAQ). This paper examines the relative efficiency of the different ... -
Taxation and Volatility Effects on Real Option Models: A Study of North Sea Oil Fields
(Management School and Economics. The University of Edinburgh, 2005)Real option and dynamic asset valuation techniques are becoming established as standard methods for evaluating investment decisions that are subject to quantifiable uncertainty. This has been particularly the case in natural ... -
Corporate Governance & The UK Split Capital Investment Trust Crisis
(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 ... -
Risk Assessment Techniques for Split Capital Investment Trusts
(Management School and Economics. The University of Edinburgh, 2003)The split capital investment trust crisis has brought into focus the need for more reliable risk assessment techniques for shares in the sector. We discuss the strengths and weaknesses of traditional pricing and risk ... -
Mutuality for Football Clubs? Lessons from the Financial Sector.
(Management School and Economics. The University of Edinburgh, 2002)The mutualisation of two English third division football clubs in 2001 and the creation of a number of supporters' trusts has offered hope to supporters of many larger clubs who see mutual status as protection from the ... -
The ABI Guidelines for Share-Based Incentive Schemes. Setting the hurdle too high?
(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 ... -
Hidden Risks In The CDO - Squared Market
(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 ... -
Capital Asset Pricing Model and Arbitrage Pricing Theory in the Italian Stock Market: an Empirical Study
(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 ... -
Returns After Personal Tax on UK Equity and Gilts, 1919-98
(Management School and Economics. The University of Edinburgh, 2001)This paper investigates whether personal tax could help explain the size of the historic equity permium in the UK measured before personal tax. If there has been a higher tax burden on equity, some of the premium could be ... -
Explaining Monday Returns
(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. ... -
Rights Issues Versus Private Placements: Theory and UK Evidence
(Management School and Economics. The University of Edinburgh, 2001)UK companies and their shareholders have increasingly opted to have newly issued shares privately placed rather than selling them via a rights issue. We present a model of the choice between these two methods. We view a ...
