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Calculating and Comparing Security Returns is Harder than you Think : A Comparison between Logarithmic and Simple Returns

Hudson, Robert - 2013

We show that there are some troubling differences between mean returns calculated using logarithmic returns and those calculated using simple returns. The mean of a set of returns calculated using logarithmic returns is less than the mean calculated using simple returns by an amount related to...

Persistent link: https://www.econbiz.de/10013095133

Stock liquidity and return distribution : evidence from the London Stock Exchange

Wang, Andong; Hudson, Robert; Rhodes, Mark J.; Zhang, Sijia - In: Finance research letters 39 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012804976

Tick size and the compass rose : further insights

Wang, Eliza; Hudson, Robert; Keasey, Kevin - In: Economics letters 68 (2000) 2, pp. 119-125

Persistent link: https://www.econbiz.de/10001485044

A note on the weak form efficiency of capital markets : the application of simple technical trading rules to UK stock prices ; 1935 to 1994

Hudson, Robert - In: Journal of banking & finance 20 (1996) 6, pp. 1121-1132

Persistent link: https://www.econbiz.de/10001203097

The risk and return of UK equities following price innovations : a case of market inefficiency?

Hudson, Robert; Keasey, Kevin; Littler, Kevin - In: Applied financial economics 11 (2001) 2, pp. 187-196

Persistent link: https://www.econbiz.de/10001563362

Trading frequency and the compass rose

Cai, Charlie; Hudson, Robert; Keasey, Kevin - In: Applied economics letters 10 (2003) 8, pp. 511-517

Persistent link: https://www.econbiz.de/10001770608

A study of the initial returns and the aftermarket performance of initial public offerings of demutualized building societies in the UK

Shiwakoti, Radha K.; Hudson, Robert; Short, Helen - In: Applied economics letters 12 (2005) 7, pp. 403-409

Persistent link: https://www.econbiz.de/10002937917

Stock return predictability despite low autocorrelation

Amini, Shima; Hudson, Robert; Keasey, Kevin - In: Economics letters 108 (2010) 1, pp. 101-103

Persistent link: https://www.econbiz.de/10008662168

The influence of time, seasonality and market state on momentum : insights from the Australian stock market

Phua, Victor; Chan, Howard Wei-hong; Faff, Robert W.; … - In: Applied financial economics 20 (2010) 19/21, pp. 1547-1563

Persistent link: https://www.econbiz.de/10009011588

How prior realized outcomes affect portfolio decisions

Duxbury, Darren; Hudson, Robert; Keasey, Kevin; Yang, Zhishu - In: Review of quantitative finance and accounting 41 (2013) 4, pp. 611-629

Persistent link: https://www.econbiz.de/10010246419