University of Hull
Hull, HU6 7RX
United Kingdom
Hull University Business School
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Time series momentum; Factor momentum; Return continuation; Factor investing.
Cross-sectional momentum, Time series momentum, Momentum crashes, Volatility scaling
Momentum, reversal, optimal asset allocation, performance
Cross-sectional momentum, Momentum crashes, Generalised risk-adjusted momentum, Excess volatility, Volatility timing
momentum, reversal, portfolio choice, optimality, profitability.
Commodity Trading Advisors, trend following, fundamental strategy, contrarian strategy, stylized facts
Intraday Predictability, Time-Series, Momentum
FX rates, Currency carry trade, Forward-bias puzzle, FX risk premium
Microstructure, Treasury Market, Bid-Ask Spread, Price Discovery
Microscopic simulation models, Econometric analysis
Beta Anomaly, Betting Against Beta, Overconfidence, Trading Volume, Mutual Fund
Liquidity, Liquidity Beta, Investor Sentiment, Asset Pricing, China
overreaction, UK stock market
Investor Sentiment, Return Predictability, Bias Correction, China
Microscopic simulation models, Probability density function, Spectral density function, Memory parameters
Investor Heterogeneity, Intraday Return, Overnight Return, Momentum
Commodity Trading Advisors (CTAs), Foreign Exchange Rate, Carry Trade
Decision analysis; Value-at-Risk; Backtesting; Bayesian framework; Longevity risk
intraday momentum, overnight return, price jump, late-informed trading
contrarian performance, London Stock Exchange, price level
Momentum, Momentum Candidate Variables, Momentum Decomposition, Momentum Crashes
Dividend policy; green policy; China; credit supply; bank monitoring; corporate
Chinese gold market, Futures, Price discovery, Information share, Component share, Information leadership share, Sequential price discovery
Mortality, stochastic models, forecasting, structural breaks
stylized facts, anomalies, heterogeneous beliefs, nonlinear dynamics, stability and bifurcation
social media, investor recognition, asset pricing
Adaptiveness, fundamental and technical analysis, stylized facts, power-law, tail index
Environmental Finance (EF), Environmental Social and Governance (ESG), Financial innovations, bibliometric analysis, ESG disclosure and investment
Sin stocks, Social norms, Shunned stock hypothesis, Market states
Order flow imbalance, Limit order book, Price impact, Futures markets
Mortality, stochastic models, forecasting, structural breaks. hurst exponents
Mortality rates, Frailty models, Deprivation measures
Financial Crisis, Networks, Sovereign Bonds, Connectedness
International Stock Markets; Cointegration; Error Correction Model; Complex Network Theory; Financial Crisis
Asset pricing, fundamentalists and trend followers, (FI)GARCH, power-law, tail index
Heterogeneity, Bounded Rationality, Asymmetrical Beliefs, Long Memory, Modified R/S Test
stock characteristics, factor models
Hedge funds, stock mispricing, asset pricing, arbitrage
Order-flow, Price impact, Trading intensity, Sovereign Bonds
Corporate Social Responsibility (CSR), Social Capital, Loan Amount, Corporate Borrowing, Information Asymmetry, Firm Risk
E-commerce, Channels of distribution, Durable goods, Durability, Selling and leasing
Currency factor, Foreign exchange, Portfolio optimisation, Forward market, Multiple hypothesis testing
Environmental Finance, ESG, Bibliometric analysis, ESG disclosure and investment
Irrational Behaviors, Beta, Noise Trading JEL: G12, G14
Overnight Trend, Investor Clientele, Momentum, Slow Diffusion of Information, Asset Prices
Supply chain resilience, joint replenishment, mixed uncertainty, chance-constrained programming, cross-entropy algorithm
CEO self-interest, CEO greed, CEO Altruism, Corporate citizenship, ESG disclosure
Africa All-Share Index, Stylized facts, GARCH, Fat-tails, Long memory
Asset pricing, fundamentalists and trend followers, market fraction, stability, learning, power-law
Asset pricing, heterogeneous beliefs, market fraction, stability, bifurcation, market behaviour, limiting distribution, autocorrelation
