Skip to main content

Research Repository

See what's under the surface


Technical trading and cryptocurrencies (2019)
Journal Article
Hudson, R., & Urquhart, A. (2019). Technical trading and cryptocurrencies. Annals of Operations Research, https://doi.org/10.1007/s10479-019-03357-1

© 2019, The Author(s). This paper carries out a comprehensive examination of technical trading rules in cryptocurrency markets, using data from two Bitcoin markets and three other popular cryptocurrencies. We employ almost 15,000 technical trading ru... Read More

High-frequency trading from an evolutionary perspective: Financial markets as adaptive systems (2018)
Journal Article
Manahov, V., Hudson, R., & Urquhart, A. (2018). High-frequency trading from an evolutionary perspective: Financial markets as adaptive systems. International journal of finance & economics : IJFE, 24(2), 943-962. https://doi.org/10.1002/ijfe.1700

The recent rapid growth of algorithmic high-frequency trading strategies makes it a very interesting time to revisit the long-standing debates about the efficiency of stock prices and the best way to model the actions of market participants. To evalu... Read More

Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies (2018)
Journal Article
Yang, Y., Gebka, B., & Hudson, R. (2019). Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies. Research in international business and finance, 47, 78-101. https://doi.org/10.1016/j.ribaf.2018.07.003

© 2018 Elsevier B.V. The contribution of this paper is to enable solid conclusions to be drawn about the existence of momentum effects in China as the current evidence is unsatisfactory. We review and analyse the existing empirical studies on momentu... Read More

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

Stock liquidity and SMEs’ likelihood of bankruptcy: evidence from the US market (2017)
Journal Article
El Kalak, I., Azevedo, A., Hudson, R., & Abd Karim, M. (2017). Stock liquidity and SMEs’ likelihood of bankruptcy: evidence from the US market. Research in international business and finance, 42, 1383-1393. https://doi.org/10.1016/j.ribaf.2017.07.077

We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a dataset that comprises information on 5075 firms over the time period from 1984 to 2013 using the hazard model of Campbell et al. (2008... Read More

Stock predictability and preceding stock price changes - Evidence from central and Eastern European markets (2017)
Journal Article
Ison, L., & Hudson, R. (2017). Stock predictability and preceding stock price changes - Evidence from central and Eastern European markets. Economics Bulletin, 37(2), 733-740

This paper extends the empirical evidence on stock returns after preceding price innovations using data from Central and Eastern European (CEE) markets. In contrast to many previous papers, we find no evidence of either overreaction effects or ration... Read More

Sampling frequency and the performance of different types of technical trading rules (2017)
Journal Article
Hudson, R., McGroarty, F., & Urquhart, A. (2017). Sampling frequency and the performance of different types of technical trading rules. Finance research letters, 22, 136-139. https://doi.org/10.1016/j.frl.2016.12.015

The predictive ability of technical trading rules has been studied in great detail however many papers group all technical trading rules together into one basket. We argue that there are two main types of technical trading rules, namely rules based o... Read More

Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics (2016)
Journal Article
El Kalak, I., Azevedo, A., & Hudson, R. (2016). Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics. International review of financial analysis, 48, 85-97. https://doi.org/10.1016/j.irfa.2016.09.008

© 2016 Elsevier Inc. This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to managerial characteristics (a companion piece covers the return and risk management characteristics... Read More

Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics (2016)
Journal Article
El Kalak, I., Azevedo, A., & Hudson, R. (2016). Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics. International review of financial analysis, 48, 55-66. https://doi.org/10.1016/j.irfa.2016.09.006

© 2016 Elsevier Inc. This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to risk management characteristics (a companion piece investigates the managerial characteristics of H... Read More

Dispelling the myth of a value premium: contrary evidence of Malaysian crony capitalism (2016)
Journal Article
Ebrahim, M., Hudson, R., Iqbal, A., & Eskandar Shah MohdRasid, M. (2016). Dispelling the myth of a value premium: contrary evidence of Malaysian crony capitalism. International Journal of Banking, Accounting and Finance, 7(1), 1-33. https://doi.org/10.1504/ijbaaf.2016.079164

This paper contradicts the existence of a universal value anomaly by studying Malaysia, a country with a unique institutional setting. We investigate this counter-example to attribute the anomaly to: 1) the leverage effect of value firms; 2) the inve... Read More

The price, quality and distribution of mortgage payment protection insurance: a hedonic pricing approach (2016)
Journal Article
Ashton, J. K., & Hudson, R. S. (2017). The price, quality and distribution of mortgage payment protection insurance: a hedonic pricing approach. The British accounting review, 49(2), 242-255. https://doi.org/10.1016/j.bar.2016.07.003

Mortgage payment protection insurance (hereafter MPPI) provides varying combinations of accident, sickness and unemployment insurance and is used to protect the mortgage payments of policyholders in the event of a fall in income. Despite alleviating... Read More

The effect of size on the failure probabilities of SMEs : an empirical study on the US market using discrete hazard model (2015)
Journal Article
El Kalak, I., & Hudson, R. (2016). The effect of size on the failure probabilities of SMEs : an empirical study on the US market using discrete hazard model. International review of financial analysis, 43(January), 135-145. https://doi.org/10.1016/j.irfa.2015.11.009

This paper investigates the extent to which the size affects the SME probabilities of bankruptcy. Using a dataset of (11,117) US non-financial firms, of which (465) filed for insolvency under chapters 7/11 between 1980 and 2013. We forecast the bankr... Read More

Investor sentiment and local bias in extreme circumstances: the case of the Blitz (2015)
Journal Article
Urquhart, A., & Hudson, R. (2016). Investor sentiment and local bias in extreme circumstances: the case of the Blitz. Research in international business and finance, 36(January), 340-350. https://doi.org/10.1016/j.ribaf.2015.09.010

© 2015 Elsevier B.V. This paper treats the Blitz, the bombing of Britain during World War Two, as a natural experiment which can provide insights into the effects of investor sentiment on stock returns. The period of the Blitz is very interesting in... Read More

The benefits of combining seasonal anomalies and technical trading rules (2015)
Journal Article
Gebka, B., Hudson, R. S., & Atanasova, C. V. (2015). The benefits of combining seasonal anomalies and technical trading rules. Finance research letters, 14, 36-44. https://doi.org/10.1016/j.frl.2015.06.001

Although many seasonal anomalies and technical trading rules have been shown to have predictive ability, investigations have focused only on them operating individually. We study the benefits of trading based on combinations of three of the best know... Read More

The implications of trader cognitive abilities on stock market properties (2013)
Journal Article
Manahov, V., Soufian, M., & Hudson, R. (2014). The implications of trader cognitive abilities on stock market properties. Intelligent Systems in Accounting, Finance and Management, 21(1), 1-18. https://doi.org/10.1002/isaf.1348

Market structure and individual rationality remain at the centre of a debate as to which is the main driving force in market performance. We examine the role of individual rationality, comparing zero‐intelligence traders with traders with different l... Read More

Informed trading and market structure (2013)
Journal Article
Cai, C. X., Harris, J. H., Hudson, R. S., & Keasey, K. (2015). Informed trading and market structure. European Financial Management, 21(1), 148-177. https://doi.org/10.1111/eufm.12003

We examine London Stock Exchange trading around information releases and link market quality dimensions with market structure during periods with heightened interaction between informed and uninformed traders. We find support for both the hypothesis... Read More

How prior realized outcomes affect portfolio decisions (2012)
Journal Article
Duxbury, D., Hudson, R., Keasey, K., Yang, Z., & Yao, S. (2013). How prior realized outcomes affect portfolio decisions. Review of Quantitative Finance and Accounting, 41(4), 611-629. https://doi.org/10.1007/s11156-012-0325-9

Investors have been shown to have particular preferences when it comes to the characteristics of stock they hold in their portfolios, while prior gains and losses have been shown to impact on individuals' economic decisions, both in an investment con... Read More

Trading frictions and market structure: An empirical analysis (2008)
Journal Article
Cai, C. X., Hillier, D., Hudson, R., & Keasey, K. (2008). Trading frictions and market structure: An empirical analysis. Journal of Business Finance and Accounting, 35(3-4), 563-579. https://doi.org/10.1111/j.1468-5957.2008.02076.x

Market structure affects the informational and real frictions faced by traders in equity markets. Using bid-ask spreads, we present evidence which suggests that while real frictions associated with the costs of supplying immediacy are less in order-d... Read More

Interest rate clustering in UK financial services markets (2007)
Journal Article
Ashton, J. K., & Hudson, R. S. (2008). Interest rate clustering in UK financial services markets. Journal of Banking and Finance, 32(7), 1393-1403. https://doi.org/10.1016/j.jbankfin.2007.11.002

This study forwards an explanation and empirical investigation of price clustering in retail banking markets. It is proposed that price or interest rate clustering forms in retail markets as firms wish to maximise returns from customers, some of whom... Read More