“Opening and Closing the Market: Evidence from the London Stock Exchange”, (with Andrew Ellul and Hyun Shin) Journal of Financial and Quantitative Analysis, vol. 40, no. 4, December 2005, 779-801. DOI: 10.1017/S0022109000001976
“Trading Costs of Institutional Investors in Auction and Dealer Markets” (with Andy Snell), Economic Journal, vol. 113, issue 489, July 2003, 576-597.
“Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange”, (with Andy Snell), Journal of Empirical Finance, Vol. 5, no. 1, January 1998, p. 1-25.
"Determinants of Price Quote Revisions on the London Stock Exchange", (with Andy Snell), Economic Journal, vol. 105, January 1995.
6. Accounting
Papers on
“The Impact of FRS3 on Analysts Abilities to Forecast Earnings per Share” (with Daniella Acker and Jo Horton), Journal of Accounting and Public Policy,Vol. 21, no. 3, Autumn 2002, 193-218. DOI: 10.1016/S0278-4254(02)00049-2
“Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements” (with Daniella Acker and Mathew Stalker), Journal of Business Finance and Accounting, Vol. 29, nos 9&10, November/December 2002, 1149-1180. DOI: 10.1111/1468-5957.00465
7. Stock markets: Volatility, IPOs, momentum
Stock market integration:
"The Internationalization of Stock Markets and the Abolition of UK Exchange Control: Some Co-integration Results", (with Mark P. Taylor), Review of Economics and Statistics, Vol. 71, No. 2, May 1989, pp. 332-337.
Momentum:
“Momentum in the UK Stock Market”, (with Mark Hon), Journal of Multinational Financial Management, Vol. 13, no. 1, February 2003, 43-70.
New Issue Market:
“Re-assessing the Long-Term Under-Performance of UK IPOs” (with Susanne Espenlaub and Alan Gregory), European Financial Management, Vol. 6, no. 3, September 2000, 319-342.
“Post-IPO Directors’ Sales and Reissuing Activity: An Empirical Test of IPO Signalling Models”, (with Susanne Espenlaub), Journal of Business Finance and Accounting, Vol. 25, Issue 9, November 1998, 1037-79.
Volatility:
“Time Series Volatility of Commodity Futures Prices”, (with Jane Black), Journal of Futures Markets, vol. 20, Issue 2, February 2000, 127-144.
"A Cross-Sectional Variance Bounds Test", (with John Board and George Bulkley) Economic Letters, vol. 42, 1993, 373-377.
"Trading Rules and Excess Volatility", (with George Bulkley), Journal of Financial and Quantitative Analysis, vol. 27, no. 3, September 1992, 365-382.
"Asset Price Variability in a Rational Expectations Equilibrium", (with Jane Black) European Economic Review, vol. 36, October 1992, 1367-1377.
"Cross-Sectional Volatility on the UK Stock Market", (with George Bulkley), Manchester School, vol. LIX, Supplement June 1991, 72-80.
"Asset Price Variability Under Asymmetric Information", (with Jane Black), Economic Journal Supplement, Vol. 100, March 1990, 67-77.
"Are UK Stock Prices Excessively Volatile? Trading Rules and Variance-Bounds Tests" (with George Bulkley), Economic Journal, Vol. 99, No. 398, December 1989, pp. 1083-1098.
8. Learning and economic behaviour
"A Bayesian Approach to the Production of Information with a Linear Utility Function", Review of Economic Studies, Vol. 51, No. 3, July 1984, pp. 521-527.
"Bayesian Learning and the Optimal Investment Decision of the Firm", Economic Journal, Supplement, Vol. 93, 1983, pp. 86-97.
"The Diffusion of a New Product and the Demand for Information", International Journal of Industrial Organisation, Vol. 4, December 1986, pp. 397-408.
"A Study of New Product Brands in the UK Confectionery Industry", (with Andy Snell), Applied Economics, Vol. 20, No. 8, August 1988, pp. 1041-1055.