All Outputs (6)

The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics (2008)
Journal Article
Chau, F., Holmes, P., & Paudyal, K. (2008). The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics. Journal of Business Finance and Accounting, 35(1-2), 227-249. https://doi.org/10.1111/j.1468-5957.2007.02067.x

This paper investigates the impact of the introduction of Universal Stock Futures (USFs) on underlying market dynamics (volatility and the level of feedback trading). Analysis of USFs provides a number of advantages compared to investigation of index... Read More about The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics.

Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases (2007)
Journal Article
Paudyal, K., Antoniou, A., & Lam, H. (2007). Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases. Journal of Banking and Finance, 31(3), 955-972. https://doi.org/10.1016/j.jbankfin.2006.08.001

The paper investigates whether business cycle variables and behavioural biases can explain the profitability of momentum trading in three major European markets. Unlike previous studies, the paper nests both risk-based and behavioural-based variables... Read More about Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases.

Are common stocks a hedge against inflation? (2006)
Journal Article
Luintel, K., & Paudyal, K. (2006). Are common stocks a hedge against inflation?. Journal of Financial Research, 29(1), 1-19. https://doi.org/10.1111/j.1475-6803.2006.00163.x

We test whether U.K. common stocks hedge against inflation using a framework of the tax-augmented Fisher hypothesis. Aggregate and disaggregate (seven industry groups) monthly data covering 48 years are used. All pairs of stock and retail price index... Read More about Are common stocks a hedge against inflation?.

Acquisitions: private versus public (2006)
Journal Article
Draper, P., & Paudyal, K. (2006). Acquisitions: private versus public. European Financial Management, 12(1), 57-80. https://doi.org/10.1111/j.1354-7798.2006.00310.x

Takeovers of privately held companies represent more than 80% of all takeovers. Despite their significance, studies of such takeovers and their impact on the wealth of shareholders are rare. Using a very large, near exhaustive, sample of listed and p... Read More about Acquisitions: private versus public.

Explaining Monday returns (2002)
Journal Article
Paudyal, K., & Draper, P. (2002). Explaining Monday returns. Journal of Financial Research, 25(4), 507-520. https://doi.org/10.1111/1475-6803.00034

The Monday effect is reexamined using two stock indexes and a sample of 452 individual stocks that trade on the London Stock Exchange. The results based on conventional test methods reveal a negative average return on Monday. Extending the analysis t... Read More about Explaining Monday returns.

A comparative analysis of earnings forecasts in Europe (2001)
Journal Article
Capstaff, J., Paudyal, K., & Rees, W. (2001). A comparative analysis of earnings forecasts in Europe. Journal of Business Finance and Accounting, 28(5-6), 531-562. https://doi.org/10.1111/1468-5957.00384

This study examines the accuracy and bias of financial analysts' EPS forecasts in nine European countries during 1987 to 1995. There are significant differences between the countries which may be due to the differences in earnings behaviour, accounti... Read More about A comparative analysis of earnings forecasts in Europe.