All Outputs (57)

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 about Technical trading and cryptocurrencies.

An investigation of cash holdings debt maturity and corporate performance considering managerial overconfidence evidence from listed Vietnamese firms (2019)
Thesis
Dao, T. T. N. (2019). An investigation of cash holdings debt maturity and corporate performance considering managerial overconfidence evidence from listed Vietnamese firms. (Thesis). University of Hull. Retrieved from https://hull-repository.worktribe.com/output/4270025

One of the most important objectives of any firm is maximizing firm value. In order to achieve that goal, many different aspects come into play. One of those aspects is financial decisions. Financial decisions are mostly determined by managers, there... Read More about An investigation of cash holdings debt maturity and corporate performance considering managerial overconfidence evidence from listed Vietnamese firms.

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 about High-frequency trading from an evolutionary perspective: Financial markets as adaptive systems.

The Impact of the Capital Regulations on Banking Risk and Banking Performance : Empirical Evidence from the OECD and the MENA Countries (2018)
Thesis
Al Balushi, Y. M. Z. (2018). The Impact of the Capital Regulations on Banking Risk and Banking Performance : Empirical Evidence from the OECD and the MENA Countries. (Thesis). University of Hull. Retrieved from https://hull-repository.worktribe.com/output/4677595

The banking regulations have been developed over the last decades as reflected in the amendments of the Basel Accords Framework that is the most voluntary adopted international banking regulations. The new amendments have paid more attention to the b... Read More about The Impact of the Capital Regulations on Banking Risk and Banking Performance : Empirical Evidence from the OECD and the MENA Countries.

Equity and debt market timing, cost of capital and value and performance : evidence from listed firms in Thailand (2018)
Thesis
Chamaiporn Kumpamool. (2018). Equity and debt market timing, cost of capital and value and performance : evidence from listed firms in Thailand. (Thesis). University of Hull. Retrieved from https://hull-repository.worktribe.com/output/4221186

Market timing is an infant theory of capital structure used to explain concealed motivation of managers. Equity market timing refers to equity issuance when the stock market is favourable to reduce the cost of capital, while debt market timing refers... Read More about Equity and debt market timing, cost of capital and value and performance : evidence from listed firms in Thailand.

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 about Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies.

The association between financial derivatives and firms' value and performance: evidence from the UK’s financial firms (2018)
Thesis
Al Fazari, S. A. M. (2018). The association between financial derivatives and firms' value and performance: evidence from the UK’s financial firms. (Thesis). University of Hull. Retrieved from https://hull-repository.worktribe.com/output/4321709

There is a consensus among industry players and academics that the ungoverned use of complex financial derivatives in a high volume of transactions, which very few fully understood, and the lack of transparency underlying the transactions of those co... Read More about The association between financial derivatives and firms' value and performance: evidence from the UK’s financial firms.

Three empirical studies on market efficiency – evidence from the Pakistan stock exchange (2017)
Thesis
Ahmed, R. (2017). Three empirical studies on market efficiency – evidence from the Pakistan stock exchange. (Thesis). University of Hull. Retrieved from https://hull-repository.worktribe.com/output/4223306

The thesis is comprised of three interrelated empirical chapters on the Pakistan stock exchange which effects on the market efficiency. In the first empirical chapter, ‘Is the Market Efficient – Evidence from Pakistan stock exchange’. It is evaluatin... Read More about Three empirical studies on market efficiency – evidence from the Pakistan stock exchange.

Studies of liquidity in the London Stock Exchange (2017)
Thesis
Wang, A. (2017). Studies of liquidity in the London Stock Exchange. (Thesis). University of Hull. Retrieved from https://hull-repository.worktribe.com/output/4220527

The thesis studies liquidity related issues in the London Stock Exchange from 2001 to 2013 from different viewpoints. The first chapter introduces and motivates the study. The second chapter fully discusses the liquidity and liquidity measures from m... Read More about Studies of liquidity in 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.

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 about Stock liquidity and SMEs’ likelihood of bankruptcy: evidence from the US market.

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 about Stock predictability and preceding stock price changes - Evidence from central and Eastern European markets.

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 about Sampling frequency and the performance of different types of technical trading rules.

How to get the most from a business intelligence application during the post implementation phase? Deep structure transformation at a U.K. retail bank (2016)
Journal Article
Audzeyeva, A., & Hudson, R. (2016). How to get the most from a business intelligence application during the post implementation phase? Deep structure transformation at a U.K. retail bank. European Journal of Information Systems, 25(1), 29-46. https://doi.org/10.1057/ejis.2014.44

© 2016 Operational Research Society Ltd. This paper focuses on the process of maximizing the benefits from a business intelligence (BI) application. A general theoretical framework of analysis is formulated based on previous research into organizatio... Read More about How to get the most from a business intelligence application during the post implementation phase? Deep structure transformation at a U.K. retail bank.

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 about Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics.

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 about Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics.

Dispelling the myth of a value premium: contrary evidence of Malaysian crony capitalism (2016)
Journal Article
Ebrahim, M.-S., 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 about Dispelling the myth of a value premium: contrary evidence of Malaysian crony capitalism.

Investigation of institutional changes in the UK housing market using structural break tests and time-varying parameter models (2016)
Journal Article
Zhang, H., Hudson, R., Metcalf, H., & Manahov, V. (2017). Investigation of institutional changes in the UK housing market using structural break tests and time-varying parameter models. Empirical economics, 53(2), 617-640. https://doi.org/10.1007/s00181-016-1127-z

© 2016, Springer-Verlag Berlin Heidelberg. This paper investigates the effects of institutional changes within the UK housing market in recent decades using structural break tests and time-varying parameter models. This approach is motivated by model... Read More about Investigation of institutional changes in the UK housing market using structural break tests and time-varying parameter models.

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 about The price, quality and distribution of mortgage payment protection insurance: a hedonic pricing approach.

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 about The effect of size on the failure probabilities of SMEs : an empirical study on the US market using discrete hazard model.