This paper examines the macroeconomic sources of risk priced in the UK stockmarket between
1983 and 1990 using monthly data on 840 stocks to form both beta‐sorted and market …

This is the first study to use daily data from a major capital market outside of the US to
examine the role of corporate bond and commercial paper rating changes on common stock …

This paper compares a number of different extreme value models for determining the value
at risk (VaR) of three LIFFE futures contracts. A semi-nonparametric approach is also …

The benefits of international portfolio diversification are usually presented as movements
towards the Mean-Variance Efficient Frontier, being constructed from historical correlation and …

The ratio of a long government bond yield to the equity market dividend yield, the Gilt-Equity
Yield Ratio (GEYR), is commonly used by analysts in the UK as a means of determining the …

A number of authors have found that firm size and book-to-market-value capture the cross-sectional
variation in average stock returns. More importantly, these variables have been …

This paper examines the nature and importance of seasonal fluctuations in the UK equity
market. Our analysis reveals that returns on the FT-A All Share index exhibit significant …

Using daily data from 1983 to 1993 for the Kuala Lumpur Stock Exchange Composite Index (KLSI)
we examine the day‐of‐the‐week effect. Our initial findings indicate that there is a …

Using factors similar to those used by Chen et al. (1986), we use the APT to describe the risk-return
relationship of the Malaysian stock market. We find however that a proxy for …

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