This paper examines intra-day variations in the bid-ask spread, volatility and volume for stocks traded on the London Stock Exchange. The data set used consists of quote and transactions data for a large sample of 835 stocks traded during the first quarter of 1991. The focus of the study is twofold; first, is to document a number of stylized facts regarding the intra-day behaviour of spread, trading volume, volatility etc. Second, the paper tests some predictions of two theoretical models of intra-day behaviour: the Admati and Pfleiderer and the Brock and Kleidon models. In addition, the paper also studies qualitatively the intra-day behaviour of several variables of interest including volume per transaction, transactions per fifteen-minute interval and spreads/trading volume for stocks of differing liquidity. The results suggest that the bid-ask spread is wide at the open, constant through the day and rises slightly at the close. Trading volume, in contrast is not highest at the open and the close. Volatility, based on the mid-point of the inside spread, shows a U-shaped pattern. Volume per transaction, in contrast, is fairly constant throughout the day. Further, the intra-day trading volume pattern differs for liquid and illiquid stocks. The results provide mixed support for current theoretical models of intra-day behaviour of spread, volume and volatility on the London Stock Exchange Copyright Blackwell Publishers Ltd 1997.

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We report improvements in long run operating performance for a sample of Malaysian companies that made acquisitions over the period 1988-1992. As the sample selected consists of acquisitions of private target companies, the analysis allows us to focus on the possibility of changes arising from non-disciplinary sources. The reported improvements do not appear to have been achieved by sacrificing the long-term viability of the combined firms in pursuit of shortterm objectives. However, as the target companies in the current study were previously privately-owned businesses, researchers and policy makers should be wary before generalising from these results. Copyright Blackwell Publishers Ltd, 2004.

This study investigates the hedging characteristics of property investments. We follow the methodology established in the finance literature by distinguishing between expected and unexpected inflation. The results provide support for the view that property provides a partial hedge against inflation.

This study tests for long-term reversals in the abnormal returns of UK companies classified as 'winners' and 'losers' over the period from January 1979 to December 1990 using publicly available data from the London Business School (LBS) Risk Measurement Service. In the first part of the study we find that in the 12 months following portfolio formation 'loser' companies continued to experience negative abnormal returns and 'winner' companies persisted in generating positive abnormal returns, thus appearing to contradict the findings of US studies which support the 'winner-loser' effect. The possible influence of firm size was examined by splitting the 'winner' and 'loser' portfolios into groups based on equity market capitalization. It was found that the very smallest 'loser' companies did experience a reversal in their abnormal returns over the following 12 months, but that no such reversal existed for the smallest 'winner' companies. When the study was extended to cover the five-year period following portfolio formation, it was found that a reversal in the abnormal returns of winner and loser portfolios was experienced over each of years 2-5, thus lending support to the winner-loser effect. Returns of sufficient magnitude were generated from the strategy of short-selling winners and buying losers over this extended period to suggest that the winner-loser effect is an exploitable anomaly. The excess returns remained when companies were matched with control portfolios of similar size, thus suggesting that the long-term 'over-reaction phenomenon' in the UK is not simply a manifestation of the well documented size effect. However, this latter result is also a function of the length of sample selection period. Finally, we report the results of tests which suggest that the phenomenon is seasonal in nature, with the most significant return reversals occurring in January and April for small companies in the loser portfolio. The latter result provides support for the tax-loss selling hypothesis.

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