1 - 6 of 6 articles
Abstract The present study examines bond market volatility and stock market volatility in the UK. Because of the significant impact that bond market volatility has been shown to have on yield spreads and security values, it is important for investors in the global marketplace to be informed of...
Abstract Previous studies have generally found that returns on growth stocks, or stocks with high price-to-earnings (P/E) ratios, often lag behind those of value stocks, or stocks with low-P/E ratios. This study examines the long-term (up to 18 years) performance of growth stocks versus value...
Abstract There is ample empirical evidence that the existence of return continuation at the individual stock level for the six-month horizon is not confined to US stock markets. Recently, papers have investigated the existence of this momentum effect on US industry indices. This paper examines...
Abstract This paper examines the influence of the monetary policy environment on the mean and conditional variance of value and growth stock returns. Using international data for 17 countries from 1975 to 2000, a threshold autoregressive conditional heteroscedastic model (TARCH), in addition to...
Abstract Despite pension fund managers being largely unconstrained in their investment decisions, this paper reports evidence of clustering in the performance of a large cross-section of UK pension fund managers around the median fund manager. This finding is explained in terms of the...
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