Publications

Find my working papers on SSRN: https://ssrn.com/author=384943

Published papers

Forthcoming

Market Development, Information Diffusion and the Global Anomaly Puzzle (with P Li, Q Zhang & K Keasey), Journal of Financial Quantitative Analysis, forthcoming, accepted Feb 2021. SSRN, Vedio Abstract


2020

Why do firms manage their stock price levels? (with A Buchner, S Amini, A Mohamed), Journal of International Financial Markets, Institutions & Money, Volume 67, 2020.


2019

FARVaR: Functional Autoregressive Value-at-Risk (with M Kim, Y Shin & Q Zhang), Journal of Financial Econometrics, Volume 17, Issue 2, pp 284–337, 2019 Available at SSRN: http://ssrn.com/abstract=2412635

Monitoring the foreign exchange rate benchmark fix (with H Jahanshahloo), European Journal of Finance, 2019.

Overreaction to growth opportunities: An explanation of the asset growth anomaly (with P Li, & Q Zhang), European Financial Management, Volume 25, pp 747–776, 2019.


2018

Noise momentum around the world (with R Faff & Y Shin), ABACUS, Volume 54, Issue1, pp 79-104, 2018.

Credit scores and the performance of newly-listed stocks: an exploration of the Chinese A-share market (with Q Zhang & PB McGuinness), Review of Quantitative Finance and Accounting Volume 51, Issue 1, pp 79-111, 2018.

2017

International stock market leadership (with A Mobarek & Q Zhang), Journal of Financial Stability, Volume 33, pp 150-162, 2017

Available at SSRN: http://ssrn.com/abstract=2672594

How firms manage their cash flows: an examination of diversification’s effect (with T Nguyen & P McColgan), Review of Quantitative Finance and Accounting, Volume 48, Issue 3, pp 701–724, 2017.

Capital account reform and short- and long-run stock price leadership (with Q Zhang & PB McGuinness), European Journal of Finance, 2017.

2016

Value-enhancing learning from industry-wide diversification experience (with T Nguyen), British Journal of Management, 27:2, 323–337, 2016.

Multiple large shareholder structure and firm performance: Theory and evidence (with D Hillier & J Wang), Financial Management, 45:2,

401–430, 2016.

High-frequency exchange rate forecasting (with Q Zhang), European Financial Management, 22:1, 120–141, 2016.

2015

Do audit committees reduce the agency costs of ownership structure? (with D Hillier, G Tian & Q Wu), Pacific Basin Journal of Finance, 35:A,

225–240, 2015.

Are market-based rankings of global systemically important financial institutions useful for regulators? (with K Keasey, F Vallascas & Q Zhang), Journal of Money, Credit and Banking, 47:7, 1403–1442, 2015.

Informed trading and market structure (with J Harris, R Hudson & K Keasey), European Financial Management, 21:1, 148–177, 2015.

2014

The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy (with Q Zhang & K Keasey), Review of Quantitative Finance and Accounting, 43:3, 605–625, 2014.

The role of venture capitalists in emerging markets: A study of Chinese IPOs (with P Jiang, K Keasey, M Wright & Q Zhang), International Journal of Small Business, 32:6, 619–643, 2014.

2013

Market reaction to earnings news: A unified test of information risk and transaction costs (with Q Zhang & K Keasey), Journal of Accounting and Economics, 56:2–3, 251–266, 2013.

Consequences of the Capital Asset Pricing Model (CAPM): A critical and broad perspective (with I Clacher & K Keasey), ABACUS, 49:S1, 51–61, 2013.

2012

Stock index return forecasting: The information of the constituents (with K Kyaw & Q Zhang), Economics Letters, 116:1, 72–74, 2012.

2011

The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares (with P McGuinness & Q Zhang ), Journal of Banking and Finance, 35:8, 2123–2136, 2011.

2010

Determinants of the component structure of intraday return distributions (with K Keasey & G Tian), Applied Financial Economics, 20:4, 317–322, 2010.

2009

Forecasting using high-frequency data: A comparison of asymmetric financial duration models (with Q Zhang & K Keasey), Journal of Forecasting, 28:5, 371–386, 2009.

Chinese investment goes global: The China Investment Corporation (with I Clacher), Journal of Financial Regulation and Compliance, 17:1, 9–15, 2009.

2008

Trading frictions and market structure: An empirical analysis (with D Hillier, R Hudson & K Keasey), Journal of Business Finance and Accounting, 35:3–4, 563–579, 2008.

2007

Influence of cultural factors on price clustering and price resistance in China's stock markets (with B Cai & K Keasey), Accounting and Finance, 47:4, 623–641, 2007.

Exploring the link between information quality and systematic risk (with RW Faff, D Hillier & S Mohamed), Journal of Financial Research, 30:3,

335–353, 2007.

A new test of signalling theory (with D Duxbury & K Keasey), Finance Letters, 5:2, 1–5, 2007.

2006

Corporate governance and information efficiency in security markets (with K Keasey & H Short), European Financial Management, 12:5, 763–787, 2006.

Which trades move prices in emerging markets? Evidence from China’s stock market (with B Cai & K Keasey), Pacific-Basin Finance Journal, 14:5,

453–466, 2006.

Modelling return and conditional volatility exposures in global stock markets (with RW Faff, DJ Hillier & MD McKenzie), Review of Quantitative Finance and Accounting, 27:2, 125–142, 2006.

2005

The predictive ability and profitability of technical trading rules: Does company size matter? (with J Bokhari, R Hudson & K Keasey), Economics Letters, 86:1, 21–27, 2005.

Market efficiency and returns to simple technical trading rules: Further evidence from US, UK, Asian and Chinese stock markets (with B Cai & K Keasey), Asia-Pacific Financial Markets, 12:1, 45–60, 2005.

2004

Intra day bid–ask spreads, trading volume and volatility: Recent empirical evidence from the London Stock Exchange (with R Hudson & K Keasey), Journal of Business Finance and Accounting, 31:5–6, 647–676, 2004.

2003

Trading frequency and the compass rose (with R Hudson & K Keasey), Applied Economic Letters, 10:8, 511–517, 2003.

Book chapters

Information transmission across stock and bond markets: International evidence (with R Faff, D Hillier & S Lhaopadchan), in Stock Market Volatility, ed. GN Gregoriou (Chapman & Hall/CRC, London), 2009.

A practical guide to gold as an investment asset (with I Clacher, R Faff & D Hillier), in The Handbook of Commodity Investing, ed. FJ Fabozzi, R Füss & DG Kaiser (John Wiley & Sons, New Jersey), 2008. Download the Chapter Here

Intraday bid–ask spreads, trading volume and volatility (with R Hudson & K Keasey), in The UK Stock Market Almanac, ed. S Eckett (Harriman House, Petersfield), 2005.


Industrial reports

The use of a real-life e-news game to support learning and teaching in finance, BMFA magazine, issue 9, 2010.

The politics of sovereign wealth funds: China Investment Corporation (with I Clacher), part of The Future of Asian Financial Centres – Challenges and Opportunities for the City of London, report for the City of London, Oct 2008.

Financial services survey for UK family firms (with K Keasey & D Hillier), International Institute of Banking and Financial Services, University of Leeds, 2007.

Dotcom IPO: Valuation and underpricing (with K Keasey), Executive Report, no. 39, International Institute of Banking and Financial Services, University of Leeds, 2000.

Research projects

1. Equity Crowd Funding and Growth in Small and Medium Enterprise, funded by University of Liverpool Management School, 2017-date.

2. Credit rating and IPO pricing (with PB McGuinness & Q Zhang), in collaboration with Standard & Poor’s Capital IQ, Hong Kong and Singapore, 2014 to 2016.

3. IFRS and market efficiency: Studying the impact of IFRS adoption on market efficiency around the world (with S Mollah, University of Stockholm), funded by Handelsbanken, 2012–2014.

4. Determinants and consequences of cross-country interdependence in the international stock markets before, during and after the global shocks (with Q Zhang & A Mobarek, University of Stockholm), funded by Handelsbanken, 2012–2014.

5. Private equity and SME financing in China (with P Jiang and K Keasey ), funded by UIBE, Beijing, 2010–2014.