Microstructure and seasonality in the UK equity market

Article Abstract:

The seasonality of the UK stock market was analyzed to determine the importance of such occurrence and make viable adjustments. Results showed the impact of alternative company year-ends on profits and the occasionality in bid-ask spreads and trading activity variables which include volume, number and size of trades. Such seasonality in stock returns and trading activity was consistent even in other countries but bid-ask spreads showed little seasonal pattern. An analysis of trading rules based on the seasonal patterns does not indicate that seasonality can be used to yield excess profits.

Analysis, Seasonal variations (Economics)

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An empirical re-examination of the cross-section of expected returns: UK evidence

Article Abstract:

The study of Fama and French (1992) on the relationship between beta and average asset returns is extended by using UK data. Using US data, Fama and French found that such a relationship is flat even when beta is the sole regressor and the cross-sectional variation in average asset returns can be attributed to size and book-to-value returns. Findings of the new study also indicate no relationship between beta and cross-sectional average returns in the US market. However, unlike the Fama-French results, the new study indicates that size has a small effect on average returns.

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Developing a trading rule from the FTSE-100 stock index futures contract: evidence in support of the EMH

Article Abstract:

Financial market inefficiency should be carefully used as an explanation of the predictability of both short and long horizon stock returns, over a broad range of frequencies, markets and sample periods. A trading rule derived from a statistically reliable ex ante model of the returns on the Financial Times Stock Exchange-100 stock index futures contract failed to generate abnormal returns for a risk neutral investor. This failure is interpreted as a rejection of the weak form inefficiency hypothesis.

Models, Financial markets, Financial Times Stock Exchange 100 Index, Stock index futures

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