Owain Ap Gwilym

Bangor Business School

Bangor Business School

College Road

Gwynedd LL57 2DG, Wales LL57 2DG

United Kingdom

http://www.bangor.ac.uk/business/staff/owain_ap_gwilym.php.en

  • Bangor Business School

SCHOLARLY PAPERS

21

DOWNLOADS

3,850

SSRN CITATIONS

11

CROSSREF CITATIONS

16

Scholarly Papers (21)

Actions:
Email selected abstracts
1.

A Robust Estimation of the Relation between Stock Returns, Size, Dividend Yield and Payout Ratio

EFMA 2002 London Meetings
Number of pages: 24 Posted: 20 Jun 2002
Ian D. McManus, Owain Ap Gwilym and Stephen Thomas
University of Southampton - School of Management, Bangor Business School and University of Southampton - School of Management
Downloads 1,889 (7,968)

Abstract:

Loading...

2.

The Use of Credit Ratings in Investment Management in the US and Europe

Number of pages: 28 Posted: 27 Jun 2007
Richard Cantor, Owain Ap Gwilym and Stephen Thomas
Moody's Investors Service, Bangor Business School and University of Southampton - School of Management
Downloads 920 (24,428)
Citation 9

Abstract:

Loading...

credit ratings, investment management, rating agencies

3.

Dividend Resumption, Future Profitability and Stock Returns

University of Southampton Working Paper No. CRR-05-06
Number of pages: 30 Posted: 02 Dec 2005
Owain Ap Gwilym, James Seaton and Stephen Thomas
Bangor Business School, University of Southampton - School of Management and University of Southampton - School of Management
Downloads 275 (110,706)

Abstract:

Loading...

4.

Private Information, Excessive Volatility and Intraday Empirical Regularities in the Spot Foreign Exchange Market

Centre for Risk Research Working Papers, School of Management Paper No. CRR-05-01
Number of pages: 39 Posted: 02 Jun 2005
Frank McGroarty, Stephen Thomas and Owain Ap Gwilym
University of Southampton - Southampton Business School, University of Southampton - School of Management and Bangor Business School
Downloads 187 (161,533)
Citation 2

Abstract:

Loading...

High frequency data, Foreign exchange, Market microstructure, Asymmetric information, Order-driven

5.

Fractional Versus Decimal Pricing: Evidence from the UK Long Gilt Futures Market

EFMA 2003 Helsinki Meetings
Number of pages: 35 Posted: 19 Apr 2003
Owain Ap Gwilym, Ian D. McManus and Stephen Thomas
Bangor Business School, University of Southampton - School of Management and University of Southampton - School of Management
Downloads 161 (184,174)
Citation 2

Abstract:

Loading...

Decimalisation, Tick size, Price clustering, Bid-ask spreads, Trade size

6.

The Microstructure of Individual Equity Options: Firm-Level and Common Effects on Liquidity

Number of pages: 42 Posted: 27 May 2013
Thanos Verousis and Owain Ap Gwilym
Essex Business School and Bangor Business School
Downloads 90 (283,809)
Citation 1

Abstract:

Loading...

market microstructure, LIFFE, options, liquidity, bid-ask spread

7.

The Relative Importance of Information, Inventory and Price Clustering for Stir Futures Pre- and Post-Emu

University of Southampton Working Paper No. CRR-05-07
Number of pages: 33 Posted: 02 Dec 2005
Frank McGroarty, Stephen Thomas and Owain Ap Gwilym
University of Southampton - Southampton Business School, University of Southampton - School of Management and Bangor Business School
Downloads 69 (331,891)

Abstract:

Loading...

High frequency data, Futures, Market infranstructure, Asymmetric information, Order-driven

8.

Speculate Against Speculative Demand

Number of pages: 39 Posted: 03 Feb 2013 Last Revised: 28 Jul 2013
Owain Ap Gwilym, Arben Kita and Qingwei Wang
Bangor Business School, Southampton Institute - Southampton Business School and Cardiff University - Cardiff Business School
Downloads 66 (339,845)

Abstract:

Loading...

Investor Attention, Speculative Demand, Penny Stocks, Market Returns, Trading Strategy, Limits to Arbitrage

9.

Time Varying Prospective Utility and Optimal Asset Allocation for Stocks and Bonds: The Case of Australia and Japan, 1926-1995

Number of pages: 38 Posted: 13 Aug 2012
Ian D. McManus, Owain Ap Gwilym and Steve Thomas
University of Southampton - School of Management, Bangor Business School and City University London - Sir John Cass Business School
Downloads 60 (356,689)

Abstract:

Loading...

prospective utility, loss aversion, myopia, demographics, equity risk premium

10.

In Search of Concepts: The Effects of Speculative Demand on Returns and Volume

Downloads 58 (362,656)
Citation 2

In Search of Concepts: The Effects of Speculative Demand on Returns and Volume

Bank of Finland Research Discussion Paper No. 10/2013
Number of pages: 38 Posted: 10 Jul 2013
Owain Ap Gwilym, Qingwei Wang, Iftekhar Hasan and Ru Xie
Bangor Business School, Cardiff University - Cardiff Business School, Fordham University - Gabelli School of Business and University of Bath, School of management
Downloads 30 (479,834)
Citation 2

Abstract:

Loading...

investor attention, speculative demand, concept stock, market returns, trading volume

In Search of Concepts: The Effects of Speculative Demand on Returns and Volume

Bank of Finland Research Discussion Paper No. 10/2013, Gabelli School of Business, Fordham University Research Paper No. 2856938
Number of pages: 38 Posted: 21 Oct 2016
Owain Ap Gwilym, Iftekhar Hasan, Qingwei Wang and Ru Xie
Bangor Business School, Fordham University - Gabelli School of Business, Cardiff University - Cardiff Business School and University of Bath, School of management
Downloads 28 (490,688)

Abstract:

Loading...

In Search of Concepts: The Effects of Speculative Demand on Returns and Volume

Posted: 20 May 2012 Last Revised: 28 May 2019
Owain Ap Gwilym, Iftekhar Hasan, Ru Xie and Qingwei Wang
Bangor Business School, Fordham University - Gabelli School of Business, University of Bath, School of management and Cardiff University - Cardiff Business School

Abstract:

Loading...

Investor Attention, Speculative Demand, Concept Stock, Market Returns, Trading Volume

11.

The Impact of a Premium Based Tick Size on Equity Option Liquidity

Number of pages: 38 Posted: 22 Sep 2014
Thanos Verousis, Owain Ap Gwilym and Nikolaos Voukelatos
Essex Business School, Bangor Business School and University of Kent
Downloads 44 (409,422)
Citation 2

Abstract:

Loading...

Liquidity, Tick Size, PBTS, Equity options, Amsterdam LIFFE

12.

The Role of Payout Ratio in the Relationship between Stock Returns and Dividend Yield

Journal of Business Finance & Accounting, Vol. 31, No. 9-10, pp. 1355-1387, November 2004
Number of pages: 34 Posted: 29 Nov 2004
Ian D. McManus, Owain Ap Gwilym and Stephen Thomas
University of Southampton - School of Management, Bangor Business School and University of Southampton - School of Management
Downloads 21 (516,292)
Citation 1
  • Add to Cart

Abstract:

Loading...

returns, asset pricing, payout ratio, dividend yield, earnings

13.

The Components of Electronic Inter-Dealer Spot FX Bid-Ask Spreads

Journal of Business Finance & Accounting, Vol. 34, Issue 9-10, pp. 1635-1650, November/December 2007
Number of pages: 16 Posted: 11 Dec 2007
Frank McGroarty and Owain Ap Gwilym
University of Southampton - Southampton Business School and Bangor Business School
Downloads 10 (582,581)
  • Add to Cart

Abstract:

Loading...

14.

In Search of Concepts: The Effects of Speculative Demand on Stock Returns

European Financial Management, Vol. 22, Issue 3, pp. 427-449, 2016
Number of pages: 23 Posted: 06 Jun 2016
Owain Ap Gwilym, Iftekhar Hasan, Qingwei Wang and Ru Xie
Bangor Business School, Fordham University - Gabelli School of Business, Cardiff University - Cardiff Business School and University of Bath, School of management
Downloads 0 (669,923)
  • Add to Cart

Abstract:

Loading...

investment concepts, speculative demand, investor attention, market returns, trading volume

15.

Market Impact Under a New Regulatory Regime: Credit Rating Agencies in Europe

Economic Notes, Vol. 44, Issue 2, pp. 275-308, 2015
Number of pages: 34 Posted: 30 Jun 2015
Rasha Alsakka, Owain Ap Gwilym, Patrycja Klusak and Vu Tran
Bangor Business School, Bangor Business School, Norwich Business School and Swansea University - School of Management
Downloads 0 (669,923)
  • Add to Cart

Abstract:

Loading...

16.

Price Clustering and Under-Pricing in the IPO Aftermarket

International Review of Financial Analysis, Vol. 19, No. 2, pp. 89-97, 2010
Posted: 27 Apr 2011
Owain Ap Gwilym and Thanos Verousis
Bangor Business School and Essex Business School

Abstract:

Loading...

17.

Return Reversals and the Compass Rose: Insights from High Frequency Options Data

European Journal of Finance, Forthcoming
Posted: 27 Apr 2011
Thanos Verousis and Owain Ap Gwilym
Essex Business School and Bangor Business School

Abstract:

Loading...

compass rose, high frequency data, return reversals, equity options

18.

An Improved Algorithm for Cleaning Ultrahigh Frequency Data

Journal of Derivatives and Hedge Funds, Vol. 15, No. 4, pp. 323-340, 2010
Posted: 27 Apr 2011
Thanos Verousis and Owain Ap Gwilym
Essex Business School and Bangor Business School

Abstract:

Loading...

Ultra High Frequency, data mining and cleaning, equity options, LIFFE

19.

The Extent and Causes of Sovereign Split Ratings

Posted: 22 Oct 2010
Rasha Alsakka and Owain Ap Gwilym
Bangor Business School and Bangor Business School

Abstract:

Loading...

20.

Sovereign Ratings and Migrations: Emerging Markets

Posted: 22 Oct 2010
Rasha Alsakka and Owain Ap Gwilym
Bangor Business School and Bangor Business School

Abstract:

Loading...

21.

The Intraday Behavior of Bid-Ask Spreads, Returns, and Volatility for Ftse-100 Stock Index Options

J. OF DERIVATIVES, Summer 1997
Posted: 31 Jul 1997
Owain Ap Gwilym, Mike Buckle and Stephen Thomas
Bangor Business School, University of Wales, Swansea - School of Business and Economics and University of Southampton - School of Management

Abstract:

Loading...