Stuart Hyde

Alliance Manchester Business School - University of Manchester

Booth Street West

Mezzanine Floor, Crawford House

Manchester M15 6PB

United Kingdom

SCHOLARLY PAPERS

31

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Top 7,362

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6,751

SSRN CITATIONS
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SSRN RANKINGS

Top 16,068

in Total Papers Citations

19

CROSSREF CITATIONS

45

Scholarly Papers (31)

Monetary Policy and Behavioral Finance

Cass Business School Research Paper
Number of pages: 42 Posted: 10 Oct 2006
Stuart Hyde, Keith Cuthbertson and Dirk Nitzsche
Alliance Manchester Business School - University of Manchester, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 835 (31,448)

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Monetary policy, behavioral finance, financial markets

Monetary Policy and Behavioral Finance

Journal of Economic Surveys, Vol. 21, No. 5, pp. 935-969, December 2007
Number of pages: 35 Posted: 17 Oct 2007
Stuart Hyde, Keith Cuthbertson and Dirk Nitzsche
Alliance Manchester Business School - University of Manchester, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 25 (563,548)
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2.

Regime Changes in the Relationship between Stock Returns and the Macroeconomy

Number of pages: 35 Posted: 22 Mar 2005
Stuart Hyde and Don Bredin
Alliance Manchester Business School - University of Manchester and University College Dublin (UCD) - Department of Banking & Finance
Downloads 702 (40,417)

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Smooth transition, Regime switching

3.

Non-Linear Predictability in Stock and Bond Returns: When and Where is it Exploitable?

Federal Reserve Bank of St. Louis Working Paper No. 2008-010A
Number of pages: 74 Posted: 30 Apr 2008 Last Revised: 15 Jan 2009
Bocconi University - Department of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 570 (53,136)

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Non-linearities, regime switching, threshold predictive regressions, forecasting, predictability in financial returns

4.

Predicting German Stock and Bond Returns with Macro-Variables: Evidence of Market Timing

Number of pages: 36 Posted: 11 Jan 2010
Stuart Hyde and Kristian Kappel
Alliance Manchester Business School - University of Manchester and Ernst & Young LLP
Downloads 524 (59,140)

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Forecasting, stock returns, bond returns, market timing

5.

Resurrecting the C-Capm: Empirical Evidence from France and Germany

Number of pages: 15 Posted: 16 May 2003
Stuart Hyde and Keith Cuthbertson
Alliance Manchester Business School - University of Manchester and City University London - Sir John Cass Business School
Downloads 441 (73,124)
Citation 1

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Habit Persistence, Volatility Bounds, Risk Aversion, Sharpe Ratio

Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective

Federal Reserve Bank of St. Louis Working Paper No. 2010-002B
Number of pages: 68 Posted: 09 Jan 2010 Last Revised: 01 Sep 2010
Massimo Guidolin and Stuart Hyde
Bocconi University - Department of Finance and Alliance Manchester Business School - University of Manchester
Downloads 231 (147,777)
Citation 2

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Predictability, Strategic Asset Allocation, Markov Switching, Vector Autoregressive Models, Out-of-Sample Performance

Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective

Manchester Business School Research Paper No. 608
Number of pages: 69 Posted: 13 Oct 2010
Massimo Guidolin and Stuart Hyde
Bocconi University - Department of Finance and Alliance Manchester Business School - University of Manchester
Downloads 179 (187,750)
Citation 2

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Predictability, Strategic Asset Allocation, Markov Switching, Vector Autoregressive Models, Out-of-Sample Performance

7.

Correlation Dynamics between Asia-Pacific, EU and US Stock Returns

Number of pages: 34 Posted: 08 Feb 2008
Stuart Hyde, Nghia Trong Nguyen and Don Bredin
Alliance Manchester Business School - University of Manchester, Manchester Business School and University College Dublin (UCD) - Department of Banking & Finance
Downloads 399 (82,270)
Citation 9

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dynamic conditional correlation, asymmetry, international portfolio diversification

8.

Duration, Trading Volume and the Price Impact of Trades in an Emerging Futures Market

Manchester Business School Working Paper No. 519
Number of pages: 37 Posted: 05 Mar 2008
Mike Bowe, Stuart Hyde and Lavern McFarlane
University of Manchester Institute of Science and Technology (UMIST), Alliance Manchester Business School - University of Manchester and University of Manchester - Division of Accounting and Finance
Downloads 387 (85,208)

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Emerging futures market, trading intensity, autoregressive conditional volume, autoregressive conditional duration

9.

A Microstructure Analysis of the Carbon Finance Market

Number of pages: 53 Posted: 01 Aug 2011 Last Revised: 01 Jun 2013
Don Bredin, Stuart Hyde and Cal B. Muckley
University College Dublin (UCD) - Department of Banking & Finance, Alliance Manchester Business School - University of Manchester and University College Dublin
Downloads 371 (89,557)
Citation 7

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CO2 emissions allowances, Futures, Emissions trading, Energy, Kyoto Protocol, Market microstructure

10.

The Response of Industry Stock Returns to Market, Exchange Rate and Interest Rate Risks

Manchester Business School Working Paper No. 491
Number of pages: 21 Posted: 19 Mar 2007
Stuart Hyde
Alliance Manchester Business School - University of Manchester
Downloads 310 (109,518)
Citation 3

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Exchange rate exposure, interest rate risk, stock returns

11.

European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response

Manchester Business School Working Paper No. 493
Number of pages: 27 Posted: 11 Jul 2007
University College Dublin (UCD) - Department of Banking & Finance, Alliance Manchester Business School - University of Manchester, City University London - Sir John Cass Business School and Central Bank & Financial Services Authority of Ireland
Downloads 233 (147,027)
Citation 2

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Monetary policy, stock market, interest rates

12.

What Tames the Celtic Tiger? Portfolio Implications from a Multivariate Markov Switching Model

EFA 2006 Zurich Meetings Paper, FRB of St. Louis Working Paper No. 2006-029A
Number of pages: 36 Posted: 14 Jun 2006
Stuart Hyde and Massimo Guidolin
Alliance Manchester Business School - University of Manchester and Bocconi University - Department of Finance
Downloads 208 (163,661)
Citation 1

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international portfolio diversification, multivariate regime switching, national stock markets comovements, Sharpe ratios

13.

Determinants of Corporate Exchange Rate Exposure and Implications for Investors: Evidence from Chilean Firms

Manchester Business School Research Paper No. 606
Number of pages: 24 Posted: 01 Oct 2010 Last Revised: 20 Dec 2010
Erwin Hansen and Stuart Hyde
University of Chile - Department of Business Administration and Alliance Manchester Business School - University of Manchester
Downloads 198 (171,500)

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Foreign Exchange, Exposure, Stock Returns, International Finance, Hedging

14.

Habit Formation, Surplus Consumption and Return Predictability: International Evidence

Journal of International Money and Finance, Vol. 29, pp. 1237-1255, 2010
Number of pages: 33 Posted: 23 Jun 2008 Last Revised: 14 May 2011
University of Aarhus - CREATES, Alliance Manchester Business School - University of Manchester and Aarhus University - CREATES
Downloads 189 (178,899)
Citation 10

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Habit formation, Campbell-Cochrane model, surplus consumption ratio, GMM estimation, pricing errors, return predictability

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Manchester Business School Research Paper No. 607
Number of pages: 39 Posted: 15 Oct 2010
Bocconi University - Department of Finance, Alliance Manchester Business School - University of Manchester, affiliation not provided to SSRN and Hiroshima University
Downloads 103 (291,248)

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regime switching, threshold, smooth transition, predictive regressions, forecasting

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Federal Reserve Bank of St. Louis Working Paper No. 2010-039A
Number of pages: 38 Posted: 25 Oct 2010
Bocconi University - Department of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 80 (342,509)

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regime switching, threshold, smooth transition, predictive regressions, forecasting

16.

Linear Predictability vs. Bull and Bear Market Models in Strategic Asset Allocation Decisions: Evidence from UK Data

Manchester Business School Research Paper No. 631
Number of pages: 48 Posted: 17 Jan 2013
Massimo Guidolin and Stuart Hyde
Bocconi University - Department of Finance and Alliance Manchester Business School - University of Manchester
Downloads 170 (196,339)

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Predictability, Strategic Asset Allocation, Markov Switching, Vector Autoregressive Models, Out-of-Sample Performance

17.

Equity Portfolio Diversification Under Time-Varying Predictability and Comovements: Evidence from Ireland, the US, and the UK

Number of pages: 35 Posted: 31 Jan 2008
Stuart Hyde and Massimo Guidolin
Alliance Manchester Business School - University of Manchester and Bocconi University - Department of Finance
Downloads 136 (236,107)

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multivariate regime switching; Sharpe ratio; time-varying predictability

18.

The Reality of Stock Market Jumps Diversification (with Internet Appendix)

Number of pages: 49 Posted: 14 Feb 2017 Last Revised: 17 Nov 2017
University of Manchester - Manchester Business School, University of Essex - Essex Business School, Alliance Manchester Business School - University of Manchester and Alliance Manchester Business School, University of Manchester
Downloads 118 (263,039)

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Asset allocation, international portfolio diversification, home bias, systemic and idiosyncratic jumps, jump news

19.

International Influences on Irish Stock Returns

Number of pages: 19 Posted: 28 May 2004
Stuart Hyde and Don Bredin
Alliance Manchester Business School - University of Manchester and University College Dublin (UCD) - Department of Banking & Finance
Downloads 114 (269,523)

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Smooth transition, Regime switching

Investigating Sources of Unanticipated Exposure in Industry Stock Returns

Journal of Banking and Finance, Forthcoming, Manchester Business School Research Paper No. 605
Number of pages: 33 Posted: 02 Oct 2010
Don Bredin and Stuart Hyde
University College Dublin (UCD) - Department of Banking & Finance and Alliance Manchester Business School - University of Manchester
Downloads 64 (388,347)

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Foreign Exchange, Exposure, Interest Rates, Stock Returns, International

Investigating Sources of Unanticipated Exposure in Industry Stock Returns

Manchester Business School Research Paper No. 605
Number of pages: 33 Posted: 08 Oct 2010
Stuart Hyde and Don Bredin
Alliance Manchester Business School - University of Manchester and University College Dublin (UCD) - Department of Banking & Finance
Downloads 46 (454,484)
Citation 1

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Foreign Exchange, Exposure, Interest Rates, Stock Returns, International Finance

21.

Consumption Asset Pricing Models: Evidence from the UK

Number of pages: 21 Posted: 23 May 2005
Stuart Hyde and Mohamed Sherif
Alliance Manchester Business School - University of Manchester and Edinburgh Business School
Downloads 31 (513,295)
Citation 1
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22.

New Classical and Bayesian Estimators for Classifying Investor Intentions from Trade Data

Number of pages: 93 Posted: 01 Jul 2020
Michael Bowe, Sungjun Cho, Stuart Hyde and Iljin Sung
University of Manchester, Alliance Manchester Business School, Alliance Manchester Business School - University of Manchester and University of Manchester - Manchester Business School
Downloads 24 (553,416)

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Trade Classification, Bayesian State-Space Method, Market Micro-structure, Brexit Referendum, Effective Bid-Ask Spread

23.

Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies

European Financial Management, Vol. 14, Issue 2, pp. 315-346, March 2008
Number of pages: 32 Posted: 12 Mar 2008
Stuart Hyde and Don Bredin
Alliance Manchester Business School - University of Manchester and University College Dublin (UCD) - Department of Banking & Finance
Downloads 18 (592,148)
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24.

Forex Risk: Measurement and Evaluation Using Value-at-Risk

Number of pages: 30 Posted: 29 Nov 2004
Stuart Hyde and Don Bredin
Alliance Manchester Business School - University of Manchester and University College Dublin (UCD) - Department of Banking & Finance
Downloads 18 (592,148)
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Value-at-Risk, foreign exchange, portfolio

25.

UK Stock Returns and the Impact of Domestic Monetary Policy Shocks

Journal of Business Finance & Accounting, Vol. 34, No. 5-6, pp. 872-888, June/July 2007
Number of pages: 17 Posted: 11 Jul 2007
University College Dublin (UCD) - Department of Banking & Finance, Alliance Manchester Business School - University of Manchester, City University London - Sir John Cass Business School and Central Bank & Financial Services Authority of Ireland
Downloads 16 (605,324)
Citation 2
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26.

Financial Development and the Effect of Cross-Border Bank Flows on House Prices

Number of pages: 52 Posted: 10 Sep 2020
Nestor Romero, Sungjun Cho and Stuart Hyde
University of Manchester - Alliance Manchester Business School, Alliance Manchester Business School and Alliance Manchester Business School - University of Manchester
Downloads 11 (640,326)

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Cross-Border Bank Flows, House Prices, Financial Development, Historical Decomposition

27.

The Yen Risk Premium: A Story of Regime Shifts in Bond Markets

Posted: 01 Nov 2018
Sungjun Cho, Stuart Hyde and Liu Liu
Alliance Manchester Business School, Alliance Manchester Business School - University of Manchester and Leibniz Institute for Financial Research SAFE

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Exchange Rates, Term Structure, Regime Switching

28.

Consumption Asset Pricing and the Term Structure

Posted: 20 Apr 2017 Last Revised: 27 Apr 2020
Stuart Hyde and Mohamed Sherif
Alliance Manchester Business School - University of Manchester and Edinburgh Business School

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29.

Don't Break the Habit: Structural Stability Tests of Consumption Asset Pricing Models in the UK

Posted: 20 Apr 2017
Stuart Hyde and Mohamed Sherif
Alliance Manchester Business School - University of Manchester and Edinburgh Business School

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30.

Tests of the Conditional Asset Pricing Model: Further Evidence from the Cross-Section of Stock Returns

Posted: 20 Apr 2017
Stuart Hyde and Mohamed Sherif
Alliance Manchester Business School - University of Manchester and Edinburgh Business School

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31.

Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out‐Of‐Sample Evidence

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 4, pp. 510-535, 2014
Number of pages: 26 Posted: 03 Jul 2014
Bocconi University - Department of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 0 (740,082)
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