Stuart Hyde

Alliance Manchester Business School - University of Manchester

Booth Street West

Mezzanine Floor, Crawford House

Manchester M15 6PB

United Kingdom

SCHOLARLY PAPERS

32

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8,207

SSRN CITATIONS
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SSRN RANKINGS

Top 23,076

in Total Papers Citations

39

CROSSREF CITATIONS

15

Scholarly Papers (32)

1.

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, affiliation not provided to SSRN and City University London - The Business School
Downloads 895 (50,325)
Citation 1

Abstract:

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Monetary policy, behavioral finance, financial markets

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 762 (62,587)

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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, Dept. of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 641 (78,167)
Citation 3

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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 613 (82,570)

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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 affiliation not provided to SSRN
Downloads 489 (109,388)
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, Dept. of Finance and Alliance Manchester Business School - University of Manchester
Downloads 266 (212,781)
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, Dept. of Finance and Alliance Manchester Business School - University of Manchester
Downloads 214 (263,227)
Citation 2

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

7.

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 451 (120,438)
Citation 11

Abstract:

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

8.

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 438 (124,663)
Citation 9

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dynamic conditional correlation, asymmetry, international portfolio diversification

9.

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 The University of Manchester - Division of Accounting and Finance
Downloads 437 (124,998)
Citation 1

Abstract:

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

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 337 (167,223)
Citation 7

Abstract:

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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 - The Business School and Central Bank & Financial Services Authority of Ireland
Downloads 293 (193,880)
Citation 2

Abstract:

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Monetary policy, stock market, interest rates

12.

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 247 (230,279)
Citation 1

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

13.

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, Dept. of Finance
Downloads 247 (230,279)
Citation 1

Abstract:

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

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 243 (233,903)
Citation 10

Abstract:

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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, Dept. of Finance, Alliance Manchester Business School - University of Manchester, affiliation not provided to SSRN and Hiroshima University
Downloads 120 (430,783)

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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, Dept. of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 97 (503,569)

Abstract:

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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, Dept. of Finance and Alliance Manchester Business School - University of Manchester
Downloads 194 (288,831)
Citation 1

Abstract:

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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, Dept. of Finance
Downloads 164 (334,844)

Abstract:

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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
The 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 163 (336,575)

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

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 85 (548,605)

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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 77 (583,043)
Citation 1

Abstract:

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

20.

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 145 (370,853)

Abstract:

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Smooth transition, Regime switching

21.

Asymmetric Co-fluctuations of U.S. Output and Unemployment: Friedman’s Plucking Model and Okun’s Law

Number of pages: 70 Posted: 29 Nov 2023
Mohammad Dehghani, Sungjun Cho and Stuart Hyde
The University of Manchester - Alliance Manchester Business School, Alliance Manchester Business School and Alliance Manchester Business School - University of Manchester
Downloads 136 (389,895)

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Business Cycle Asymmetries, Friedman’s Plucking Model, Okun’s Law, Structural Break, Trend-Cycle Decomposition.

22.

Slow Recovery of Output after the 2007−09 Financial Crisis: U.S. Shortfall Spillovers and the U.K. Productivity Puzzle

Number of pages: 59 Posted: 01 Dec 2023
Mohammad Dehghani, Sungjun Cho and Stuart Hyde
The University of Manchester - Alliance Manchester Business School, Alliance Manchester Business School and Alliance Manchester Business School - University of Manchester
Downloads 112 (451,705)

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Slow Recovery, Productivity Puzzle, Business Cycles, Trend-Cycle Decomposition, Okun’s Law, Dynamic Factor Model (DFM), Structural Break, Open-economy Macroeconomics.

23.

Financial Advisory Firms, Asset Reallocation and Price Pressure In The FOREX Market

Number of pages: 63 Posted: 14 Nov 2022
Francisco Pinto, Michael Bowe and Stuart Hyde
The University of Manchester, University of Manchester and Alliance Manchester Business School - University of Manchester
Downloads 79 (567,142)

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Exchange rates; exchange rate volatility; financial advisory firms; pension funds; price pressure

24.

Mispricing, Learning, and Price Discovery

Number of pages: 44 Posted: 04 Dec 2023
Sungjun Cho, Stuart Hyde and Tianzong Wang
Alliance Manchester Business School, Alliance Manchester Business School - University of Manchester and The University of Manchester
Downloads 74 (588,720)

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Market Microstructure, Information Share, High-frequency Data, Price Formation, State Space Model

25.

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
The University of Manchester - Alliance Manchester Business School, Alliance Manchester Business School and Alliance Manchester Business School - University of Manchester
Downloads 66 (625,956)
Citation 1

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

26.

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 The University of Manchester - Manchester Business School
Downloads 64 (636,037)

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

27.

Ai Algorithmic Pathways Depicting Norms of Governance Representing Rule of Law, Control of Corruption and Democracy Impact on Earnings Management

Number of pages: 60 Posted: 09 Sep 2022
University of Hull, University of Manitoba, Alliance Manchester Business School - University of Manchester and Bowling Green State University
Downloads 37 (804,323)

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Earnings Management, Ethical Process Thinking Model, Managers' Perception, Rule of Law, Control of Corruption

28.

Mispricing, Learning, and Price Discovery Appendix

Number of pages: 23 Posted: 05 Dec 2023
Sungjun Cho, Stuart Hyde and Tianzong Wang
Alliance Manchester Business School, Alliance Manchester Business School - University of Manchester and The University of Manchester
Downloads 21 (944,769)

Abstract:

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Market Microstructure, Information Share, High-frequency data, Price Formation, State Space Model

29.

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

30.

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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31.

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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32.

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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