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Article
Publication date: 6 May 2020

Robert Hudson and Yaz Gulnur Muradoglu

The paper aims to provide the individual routes of the authors into behavioural finance in order to introduce the special issue.

Abstract

Purpose

The paper aims to provide the individual routes of the authors into behavioural finance in order to introduce the special issue.

Design/methodology/approach

The paper provides the background to the authors' personal route into behavioural finance.

Findings

The paper highlights general themes of development and influence of behavioural finance and relationships with practice and other areas of academic finance.

Originality/value

The paper offers the perspectives of the authors on how they feel the research area of behavioural finance will develop in the future.

Details

Review of Behavioral Finance, vol. 12 no. 1
Type: Research Article
ISSN: 1940-5979

Keywords

Content available
Article
Publication date: 8 March 2021

Robert Hudson and Gulnur Muradoglu

Abstract

Details

Review of Behavioral Finance, vol. 13 no. 1
Type: Research Article
ISSN: 1940-5979

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Article
Publication date: 31 March 2020

Izidin El Kalak and Robert Hudson

This study aims to examine the cross-market efficiency of the FTSE/MIB index options contracts traded on the Italian derivatives market (IDEM) during a period including…

Abstract

Purpose

This study aims to examine the cross-market efficiency of the FTSE/MIB index options contracts traded on the Italian derivatives market (IDEM) during a period including the financial crisis between 1st October 2007 and 31st December 2012 using daily option prices.

Design/methodology/approach

Two fundamental no-arbitrage conditions were tested: the lower boundary condition (LBC) and the put–call parity (PCP) condition while taking into account the role of transaction costs in mitigating the number of violations reported. Ex post tests of LBC and PCP revealed a low incidence of mispricing in this market. Furthermore, to check the robustness of the results obtained by the ex post tests, ex ante tests were applied to PCP violations occurring within a one-day lag.

Findings

The results showed a significant drop in the number of profitable arbitrage strategies. The findings obtained from all these tests generally support the cross-market efficiency of the Italian index options market during the sample period, though some violations were occasionally reported. Overall, the number and monetary value of the violations reported declined during the post-financial crisis period compared to those during the financial crisis period.

Research limitations/implications

This study can be extended to test the relationships between arbitrage profitability and other factors such as the moneyness (in the money, out of the money, at the money) of options and the maturity of options. Options market efficiency tests can be conducted such as call and put spreads, box spreads and put/call convexities (butterfly spreads).

Originality/value

There are several factors that influenced the decision to test the Italian index options market. First, the limited number of studies conducted on this market. Second, the fact that the two main studies on this market are relatively old, which makes it interesting to test the efficiency of this market with respect to a new set of data, taking into account the introduction of the Euro and the impact of the recent financial crisis on this market and whether the market efficiency hypothesis holds during the period of crisis. Third, it is important to consider the effect of the new rules applied to this market.

Details

Review of Accounting and Finance, vol. 19 no. 2
Type: Research Article
ISSN: 1475-7702

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Article
Publication date: 22 May 2020

Andros Gregoriou and Robert Hudson

We examine the impact of market frictions in the form of trading costs on investor average holding periods for stocks in the S&P global 1200 index to examine constraints…

Abstract

Purpose

We examine the impact of market frictions in the form of trading costs on investor average holding periods for stocks in the S&P global 1200 index to examine constraints on international portfolio diversification.

Design/methodology/approach

We determine whether it is appropriate to pool stocks listed in the USA, Canada, Latin America, Europe, Japan, Asia and Australia into investigations using the same empirical specification. This is very important because the pooled effects may not provide consistent estimates of the average.

Findings

We report overwhelming econometric evidence that it is not valid to pool stocks in all the underlying regional equity indices for our investigation, indicating that the effect of frictions varies between markets.

Research limitations/implications

When we pool the stocks within markets, we discover that for companies listed in the USA, Europe, Canada and Australia, market frictions do not significantly influence holding periods and hence are not a barrier to portfolio rebalancing. However, companies listed in Latin America and Asia face market frictions, which are significant in terms of increasing holding periods.

Practical implications

We ascertain that taking into account the properties of stock markets in different geographical locations is vital for understanding the limits on achieving international portfolio diversification.

Originality/value

Unlike prior research, we overcome the problems caused by contemporaneous correlation, endogeneity and joint determination of investor average holding periods and trading costs by employing the Generalized Method of Moments (GMM) system panel estimator. This makes our empirical estimates robust and more reliable than the previous empirical research in this area.

Details

Journal of Economic Studies, vol. 48 no. 2
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 1 December 2003

Robert Hudson

The forthcoming revision of the Basel Accord will cause major changes in the capital incentives driving banks’ management decisions. The author briefly outlines the main…

Abstract

The forthcoming revision of the Basel Accord will cause major changes in the capital incentives driving banks’ management decisions. The author briefly outlines the main proposals then considers the impact from the point of view of a bank treasurer. The discussion leads him to question whether all of the possible consequences are as desirable as they might appear.

Details

Balance Sheet, vol. 11 no. 4
Type: Research Article
ISSN: 0965-7967

Keywords

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Article
Publication date: 1 March 1996

ROBERT HUDSON, KEVIN KEASEY and KEVIN LITTLER

If the UK retail financial services sector is to seize the opportunities which will emerge in the future, it will be necessary to restore consumer confidence in the…

Abstract

If the UK retail financial services sector is to seize the opportunities which will emerge in the future, it will be necessary to restore consumer confidence in the market. This paper argues that this will only be achieved through a radical transformation in the nature of regulatory compliance. The roots of the current consumer crisis of confidence are exposed by retracing the recent history of the sector; particular consideration is given to how the sector has responded to the changing political, economic and regulatory conditions of the post‐War era. It is possible to characterise the sector prior to the 1980s as somewhat anti‐competitive and lacking in innovation. Changes during the 1980s led to highly favourable business conditions, without stringent regulation, making it easy and profitable for the sector to continue to be short term in outlook without considering the longer‐term consequences for consumer confidence. Not surprisingly, the drive for short‐term profits led to the exploitation of many consumers and the subsequent scandals have reduced general confidence in the sector and also resulted in a regulatory backlash. Demographic changes and an emerging political consensus on a reduction in state welfare provision mean that the future business environmnent is potentially very promising. However, if the sector and its constituent organisations do not evolve to regain the trust of consumers and satisfy the demands of their regulators they will face severe competition from outside competitors and an even more hostile regulatory environment. Many of the organisations in the sector will need a complete overhaul in their attitudes to compliance if they are to succeed. Current approaches to developing internal compliance cultures may not be enough but emerging technology may soon provide a revolutionary new approach.

Details

Journal of Financial Regulation and Compliance, vol. 4 no. 3
Type: Research Article
ISSN: 1358-1988

Content available
Article
Publication date: 13 November 2009

Robert Hudson

Abstract

Details

Journal of Financial Regulation and Compliance, vol. 17 no. 4
Type: Research Article
ISSN: 1358-1988

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Article
Publication date: 1 March 2003

Kevin Littler and Robert Hudson

The staggered emergence of the new regulatory regime affecting the distribution of retail financial products in the UK is leading to industry players taking strategic…

Abstract

The staggered emergence of the new regulatory regime affecting the distribution of retail financial products in the UK is leading to industry players taking strategic decisions under increased uncertainty. While the debate over the final form of the regulation continues, this paper identifies five emergent themes to the proposed regulatory changes and discusses their potential impact on product distribution. The paper concludes that the proposals constitute the catalyst for a wholesale restructuring of the processes and interactions between the manufacturing and distribution tiers of the UK financial services industry, wherein e‐business developments may take on increasing significance. Whether this restructuring would deliver the consumer benefits desired by the regulator remains an open question.

Details

Journal of Financial Regulation and Compliance, vol. 11 no. 1
Type: Research Article
ISSN: 1358-1988

Keywords

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Abstract

Details

Journal of Financial Regulation and Compliance, vol. 13 no. 3
Type: Research Article
ISSN: 1358-1988

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Article
Publication date: 1 December 2002

Kevin Keasey and Robert Hudson

This paper has the objective of reflecting on the role of non‐executive directors (NEDs) in the corporate governance process. The paper reviews the role of NEDs both from…

Abstract

This paper has the objective of reflecting on the role of non‐executive directors (NEDs) in the corporate governance process. The paper reviews the role of NEDs both from an academic perspective and from the perspective of the lead author’s practical experience of being (having been) a chairman, a chief executive and a NED on the boards of private and public companies. In addition to taking an overview of the main issues involved the paper comments on the specific issues raised in the Department of Trade and Industry (DTI) review of the role and effectiveness on NEDs by Derek Higgs. Finally, the paper offers conclusions and recommendations for improving the effectiveness of NEDs.

Details

Journal of Financial Regulation and Compliance, vol. 10 no. 4
Type: Research Article
ISSN: 1358-1988

Keywords

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