The components of electronic order-driven spot FX bid-ask spreads pre- and post-EMU (2008)
McGroarty, F., Ap Gwiylm, O., Thomas, S.H.
This paper applies an established bid-ask spread decomposition model to spot foreign exchange market in order to assess the impact of European Monetary Union (EMU). Additionally, the paper presents...
Tests for stochastic seasonality applied to daily financial time series (1999)
Andrade, I. C., Clare, A. D., O'Brien, R. J., Thomas, S. H.
We develop tests for seasonal unit roots for daily data by extending the methodology of Hylleberg et al. ('Seasonal Integration and Cointegration', Journal of Econometrics, Vol. 44 (1990), No. 1–2,...
Buckle, M.J., Thomas, S.H., Clare, A.D.
An extensive literature documents the predictability of both short and long horizon returns, over a wide range of sample periods, frequencies and markets. This predictability may represent weak form...
Tests for stochastic seasonality applied to daily financial time series (1999)
Andrade, I.C., Clare, A.D., O'Brien, R.J., Thomas, S.H.
We develop tests for seasonal unit roots for daily data by extending the methodology of Hylleberg et al. ('Seasonal Integration and Cointegration', Journal of Econometrics, Vol. 44 (1990), No. 1–2,...
Reports of beta's death are premature: evidence from the UK (1998)
Clare, A.D., Priestley, R., Thomas, S.H.
A number of authors have found that firm size and book-to-market-value capture the cross-sectional variation in average stock returns. More importantly, these variables have been shown to out-perform...
Buckle, M., Ap Gwilym, O., Thomas, S.H., Woodhams, M.S.
This paper focuses on the intraday behaviour of returns, volatility, volume and price reversals for the Short Sterling interest rate and FTSE100 stock index futures contracts traded on the London...
Clare, A.D., Ibrahim, M.S.B., Thomas, S.H.
Using daily data from 1983 to 1993 for the Kuala Lumpur Stock Exchange Composite Index (KLSI) we examine the day-of-the-week effect. Our initial findings indicate that there is a marginally...
UK stock returns and robust tests of market efficiency (1997)
Clare, A.D., Smith, P.N., Thomas, S.H.
We test both the unconditional and conditional Mean Variance Efficiency of the UK stockmarket, paying particular attention to choosing a suitable set of instruments for the conditional version of the...
The effect of bond rating changes and new ratings on UK stock returns (1997)
Barron, M.J., Clare, A.D., Thomas, S.H.
This is the first study to use daily data from a major capital market outside of the US to examine the role of corporate bond and commercial paper rating changes on common stock returns. Using data...
Global macroeconomic shocks, time-varying covariances and tests of the international CAPM (1996)
Clare, A.D., O'Brien, R.J., Smith, P.N., Thomas, S.H.
The mean variance efficiency (MVE) of a portfolio of international bonds and equities is tested using a CAPM model of excess returns. The conditional variances and covariances of the portfolio...
Personal savings and transaction balance changes (1996)
In this paper the authors draw attention (1) to the role of contractual saving via life funds in the definition of personal savings and (2) to the appearance of transactions balance changes in...
Is the gilt-equity yield ratio useful for predicting UK stock returns? (1994)
Clare, A.D., Thomas, S.H., Wickens, M.R.
The ratio of a long government bond yield to the equity market dividend yield, the Gilt-Equity Yield Ratio (GEYR), is commonly used by analysts in the UK as a means of determining the cheapness of...
An international CAPM for bonds and equities (1993)
Previous empirical studies of international CAPM models have not found much supporting evidence. In this paper we suggest reasons why this might have happened and perform new tests using improved...
Relative price variability and inflation in an equilibrium price misperceptions' model (1993)
In this paper we investigate the relationship between relative price variability and inflation in the United Kingdom using the equilibrium price misperceptions' model of Lucas (American Economic...
International evidence for the predictability of bond and stock returns (1992)
A number of authors have identified a small set of economic variables which can predict excess US stock and bond returns. In this paper we extend these results by estimating models for Germany,...
Predicting the Timing and Quantity of LDC Debt Rescheduling (1991)
Lloyd-Ellis, H., McKenzie, G.W., Thomas, S.H.
In this paper we estimate a Type 2 Tobit model to explain both the timing and quantity of developing country debt rescheduling using an annual data set for 27 countries from 1977–1981 and...
Using country balance sheet data to predict debt rescheduling (1989)
Lloyd-Ellis, H., McKenzie, G.W., Thomas, S.H.
In this study we utilise data relating to the balance sheets of developing countries (e.g. short-term debt) in a logit model of debt rescheduling. We find that such variables are theoretically and...
Modelling personal expenditure and savings. (1982)
Thesis (Ph. D.)--University of Southampton, 1982.
Thomas, S H, Wisher, M H, Brandenburg, D, Sönksen, P H
1. The dose-response relationships of insulin stimulation of lipogenesis and inhibition of lipolysis were studied simultaneously by using rat adipocytes to determine whether these different effects...
Portfolio return autocorrelation and non-synchronous trading in UK equities
G.S Morgan, Peter N. Smith, S.H. Thomas
Although infrequent trading in equity stocks is more prevalent in the United Kingdom (and other non-United States countries), we find that it is proportionally more important in explaining the degree...
Therapeutic aerosols in children.
Thomas, S H, Batchelor, S, O'Doherty, M J
The use and variety of drugs administered to children as inhaled aerosols is increasing, but little is known about how much drug reaches the lung and how it is distributed there in different age...
Thomas, S H, Wisher, M H, Brandenburg, D, Sönksen, P H
1. The dose-response relationships of insulin stimulation of lipogenesis and inhibition of lipolysis were studied simultaneously by using rat adipocytes to determine whether these different effects...
Therapeutic aerosols in children.
Thomas, S H, Batchelor, S, O'Doherty, M J
The use and variety of drugs administered to children as inhaled aerosols is increasing, but little is known about how much drug reaches the lung and how it is distributed there in different age...
Concentration dependent cardiotoxicity of terodiline in patients treated for urinary incontinence.
Thomas, S. H., Higham, P. D., Hartigan-Go, K., Kamali, F., Wood, P., Campbell, R. W., ...
OBJECTIVE--Terodiline, an antimuscarinic and calcium antagonist drug, was used to treat detrusor instability but was withdrawn in 1991 after provoking serious ventricular arrhythmias associated with...
Appetite suppressants and primary pulmonary hypertension in the United Kingdom.
Thomas, S. H., Butt, A. Y., Corris, P. A., Egan, J. J., Higenbottam, T. W., Madden, B. P., ...
OBJECTIVE--Amphetamine-like appetite suppressants, particularly fenfluramines, have been implicated in the aetiology of primary pulmonary hypertension. At one specialist centre in France 20% of...
The Effect of Bond Rating Changes and New Ratings on UK Stock Returns
M.J. Barron, A.D. Clare, S.H. Thomas
This is the first study to use daily data from a major capital market outside of the US to examine the role of corporate bond and commercial paper rating changes on common stock returns. Using data...
Using daily data from 1983 to 1993 for the Kuala Lumpur Stock Exchange Composite Index (KLSI) we examine the day-of-the-week effect. Our initial findings indicate that there is a marginally...
M. Buckle, O. Ap Gwilym, S.H. Thomas, M.S. Woodhams
This paper focuses on the intraday behaviour of returns, volatility, volume and price reversals for the "Short Sterling" interest rate and "FTSE100" stock index futures contracts traded on the London...
M. J. Buckle, A. D. Clare, S. H. Thomas
An extensive literature documents the predictability of both short and long horizon returns, over a wide range of sample periods, frequencies and markets. This predictability may represent weak form...
Thomas, S H, Clark, K L, Allen, R, Smith, S E
1. The cardiovascular effects of the proprietary cold remedies, Mu-cron and Boots Cold Relief tablets were compared with 'placebo' Boots Pain Relief tablets in a double-blind study involving 16...
1. Sramek and Bernstein's method of impedance cardiography is a simple, non-invasive and inexpensive computerised way of measuring stroke volume and systolic time intervals. In this study...
Paracetamol elimination in patients with non-insulin dependent diabetes mellitus.
Kamali, F, Thomas, S H, Ferner, R E
The pharmacokinetics and metabolism of an intravenous dose (500 mg) of paracetamol were studied in a group of non-insulin dependent diabetic patients (n = 10) and in a group of healthy control...
Pulmonary deposition of nebulised amiloride in cystic fibrosis: comparison of two nebulisers.
Thomas, S H, O'Doherty, M J, Graham, A, Page, C J, Blower, P, Geddes, D M, ...
BACKGROUND Preliminary evidence suggests that regular inhalation of nebulised amiloride reduces sputum viscoelasticity, increases the clearance of sputum by mucociliary mechanisms and by coughing and...
Pulmonary deposition of a nebulised aerosol during mechanical ventilation.
Thomas, S H, O'Doherty, M J, Fidler, H M, Page, C J, Treacher, D F, Nunan, T O
BACKGROUND: There is increasing use of therapeutic aerosols in patients undergoing mechanical ventilation. Few studies have measured aerosol delivery to the lungs under these conditions with adequate...
Lung deposition of nebulised pentamidine in children.
O'Doherty, M J, Thomas, S H, Gibb, D, Page, C J, Harrington, C, Duggan, C, ...
BACKGROUND: Nebulised pentamidine is effective for preventing Pneumocystis carinii pneumonia in adults with acquired immunodeficiency syndrome. The nebuliser dose required to produce equivalent lung...
Harvey, C J, O'Doherty, M J, Page, C J, Thomas, S H, Nunan, T O, Treacher, D F
BACKGROUND--Several factors have been identified which improve nebulised aerosol delivery in vitro. One of these is the addition of a spacer to the ventilator circuit which improves aerosol delivery...
Masood, A R, Reed, J W, Thomas, S H
BACKGROUND--Inhaled nebulised morphine may reduce breathlessness in patients with lung disease, although the results of controlled trials are conflicting. A direct action of morphine on the lung has...
Using daily data from 1983 to 1993 for the Kuala Lumpur Stock Exchange Composite Index (KLSI) we examine the day-of-the-week effect. Our initial findings indicate that there is a marginally...
Using both traditional Mean Variance Efficient Frontier (MVEF) analysis and the Johansen (1988) procedure for the analysis of cointegrated systems we assess he gains available to a sterling based...
Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?
Clare, A D, Thomas, S H, Wickens, M R
The ratio of a long government bond yield to the equity market dividend yield, the gilt-equity yield ratio, is commonly used by analysts in the United Kingdom as a means of determining the cheapness...
Personal Savings and Transactions Balance Changes.
In this paper the authors draw attention (1) to the role of contra ctual saving via life funds in the definition of personal savings and(2) to the appearance of transactions balance changes in...
Cyanotic tetralogy of Fallot in a 77 year old man.
Thomas, S. H., Bass, P., Pambakian, H., Marigold, J. H.
We report the clinical details of a 77 year old man with classical tetralogy of Fallot. The patient had clubbing and cyanosis at birth, and exertional squatting in childhood. He was asymptomatic as...