All Outputs (12)

Automated Machine Learning and Asset Pricing (2024)
Journal Article
Healy, J. V., Gregoriou, A., & Hudson, R. (2024). Automated Machine Learning and Asset Pricing. Risks, 12(9), Article 148. https://doi.org/10.3390/risks12090148

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications... Read More about Automated Machine Learning and Asset Pricing.

Economic policy uncertainty and cross-border mergers and acquisitions (2021)
Journal Article
Gregoriou, A., Nguyen, B. D., Nguyen, T. D., Le, H., & Hudson, R. (2021). Economic policy uncertainty and cross-border mergers and acquisitions. International review of financial analysis, 78, Article 101911. https://doi.org/10.1016/j.irfa.2021.101911

We examine the impact of policy uncertainty on cross-border mergers and acquisitions (M&As). Using a sample of 23 countries worldwide over the period from 2003 to 2016, we provide evidence that when a country has high policy uncertainty, the volume o... Read More about Economic policy uncertainty and cross-border mergers and acquisitions.

The implications of liquidity ratios: Evidence from Pakistan stock exchange limited (2020)
Journal Article
Ahmed, R., ullah, S., Hudson, R., & Gregoriou, A. (in press). The implications of liquidity ratios: Evidence from Pakistan stock exchange limited. Quarterly Review of Economics and Finance, https://doi.org/10.1016/j.qref.2020.12.006

In this paper we test two recently developed liquidity measures the Return-to-Turnover (hereafter RtoTR) proposed by Florackis et al. (2011) and Return-to-Volume (hereafter RtoV) recommended by Amihud, 2002, for 386 companies listed on the Pakistani... Read More about The implications of liquidity ratios: Evidence from Pakistan stock exchange limited.

Market frictions and the geographical location of global stock exchanges. Evidence from the S&P Global Index (2020)
Journal Article
Hudson, R., & Gregoriou, A. (in press). Market frictions and the geographical location of global stock exchanges. Evidence from the S&P Global Index. Journal of Economic Studies, https://doi.org/10.1108/JES-03-2020-0091

We examine the impact of trading costs on investor average holding periods for the S&P global 1200 index. We report overwhelming evidence that global equity indices cannot be pooled. When we differentiate between stock indices based on their geograph... Read More about Market frictions and the geographical location of global stock exchanges. Evidence from the S&P Global Index.

Stock liquidity and return distribution: Evidence from the London Stock Exchange (2020)
Journal Article
Wang, A., Hudson, R., Rhodes, M., Zhang, S., & Gregoriou, A. (2020). Stock liquidity and return distribution: Evidence from the London Stock Exchange. Finance research letters, Article 101539. https://doi.org/10.1016/j.frl.2020.101539

We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002-2018. We find a strong relationship between the distribution of returns, as measured by skewness and kur... Read More about Stock liquidity and return distribution: Evidence from the London Stock Exchange.

Test of recent advances in extracting information from option prices (2017)
Journal Article
Healy, J. V., Gregoriou, A., & Hudson, R. (2018). Test of recent advances in extracting information from option prices. International review of financial analysis, 56, 292-302. https://doi.org/10.1016/j.irfa.2017.09.011

© 2017 Elsevier Inc. A large literature exists on techniques for extracting probability distributions for future asset prices from option prices. No definitive method has been developed however. The parametric 'mixture of normals', and non-parametric... Read More about Test of recent advances in extracting information from option prices.

The accuracy of spread decomposition models in capturing informed trades: Evidence from the London Stock Exchange and behavioural implications (2017)
Journal Article
Gregoriou, A., & Rhodes, M. (2017). The accuracy of spread decomposition models in capturing informed trades: Evidence from the London Stock Exchange and behavioural implications. Review of Behavioural Finance, 9(1), 2-13. https://doi.org/10.1108/rbf-02-2017-0016

Purpose – The purpose is to examine the empirical relationship between trades undertaken by informed agents (managers) and the proxies for informed trades computed by bid-ask spread decomposition models. Design/methodology/approach – An econometric a... Read More about The accuracy of spread decomposition models in capturing informed trades: Evidence from the London Stock Exchange and behavioural implications.

Liquidity and market efficiency in the world's largest carbon market (2015)
Journal Article
Ibikunle, G., Gregoriou, A., Hoepner, A. G. F., & Rhodes, M. (2016). Liquidity and market efficiency in the world's largest carbon market. The British accounting review, 48(4), 431-447. https://doi.org/10.1016/j.bar.2015.11.001

We investigate liquidity and market efficiency on the world's largest carbon exchange, IntercontinentalExchange Inc.’s European Climate Exchange (ECX), by using intraday short-horizon return predictability as an inverse indicator of market efficiency... Read More about Liquidity and market efficiency in the world's largest carbon market.

Risk aversion, exchange-rate uncertainty, and the law of one price: Insights from the market for online air-travel tickets (2011)
Journal Article
Arghyrou, M. G., Gregoriou, A., & Pourpourides, P. M. (2011). Risk aversion, exchange-rate uncertainty, and the law of one price: Insights from the market for online air-travel tickets. Canadian Journal of Economics / Revue Canadienne d'Économique, 44(3), 880-906. https://doi.org/10.1111/j.1540-5982.2011.01659.x

We argue that risk aversion driven by exchange-rate uncertainty causes a wedge between the domestic and foreign prices of a homogeneous good. We test our hypothesis using a unique micro-data set from a market with minimum imperfections. The empirical... Read More about Risk aversion, exchange-rate uncertainty, and the law of one price: Insights from the market for online air-travel tickets.

Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (2011)
Journal Article
Gregoriou, A., Florackis, C., & Kostakis, A. (2011). Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. Journal of Banking and Finance, 35(12), 3335-3350. https://doi.org/10.1016/j.jbankfin.2011.05.014

This study proposes a new price impact ratio as an alternative to the widely used Amihud's (2002) Return-to-Volume ratio. We demonstrate that the new price impact ratio, which is deemed Return-to-Turnover ratio, has a number of appealing features. Us... Read More about Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio.

The composition of government spending and growth: Is current or capital spending better? (2007)
Journal Article
Ghosh, S., & Gregoriou, A. (2008). The composition of government spending and growth: Is current or capital spending better?. Oxford economic papers, 60(3), 484-516. https://doi.org/10.1093/oep/gpn005

In an endogenous growth framework with two public goods with differing productivities, this paper analytically characterizes optimal fiscal policy for a decentralized economy, whereby the optimal values of the growth rate, tax rate and expenditure sh... Read More about The composition of government spending and growth: Is current or capital spending better?.

Adaptation towards reference values: a non-linear perspective (2007)
Journal Article
Georgellis, Y., Gregoriou, A., & Tsitsianis, N. (2008). Adaptation towards reference values: a non-linear perspective. Journal of Economic Behavior and Organization, 67(3-4), 768-781. https://doi.org/10.1016/j.jebo.2007.08.007

Using large-scale panel data, we examine the dynamics of adjustment towards reference points for key workplace attributes. We discover that an Exponential Smooth Transition Autoregressive (ESTAR) model is superior to a linear model in characterizing... Read More about Adaptation towards reference values: a non-linear perspective.