作者：CLARE, AD; PSARADAKIS, Z; THOMAS, SH
作者单位：Swansea University; University of Bristol
摘要：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 seasonality which is best described by a deterministic seasonal model. We also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk.
作者：SNELL, A; TONKS, I
作者单位：University of London; London School Economics & Political Science
摘要：This paper investigates the determinants of price quote revisions on the London Stock Exchange for a sample of highly liquid stocks over a two-week settlement period in September 1990. In our theoretical model the level of optimal price quotes set by market makers are a function of the expected fundamental price, the expected number of liquidity trades and the lagged level of inventories. The model is used to test for the existence of adverse selection, inventory control and anticipated liquid...
作者：COWELL, FA; JENKINS, SP
作者单位：University of Essex; UK Research & Innovation (UKRI); Economic & Social Research Council (ESRC)
摘要：We develop two simple measures of how much inequality is explained by individual population characteristics or groups of characteristics, analogous to R2 in regression analysis. We investigate the measures' empirical implementation using several alternative theoretically consistent approaches to inequality decomposition. Results are illustrated using US PSID income data.
