Stephen Thomas

• Professor of Finance,University of Wales,Swansea,1992-1996
• Professor of Financial Markets,University of Southampton,1996-2007
• Visiting Professor,ISMA Centre,University of Reading,1996-
• Visiting Professor,Queen's,Canada,1986/7
• Houblon-Norman Fellow,Bank of England,1990.
• Ranked 11th in Europe for Finance Research,JBFA,2005.
• Director,Bear Stearns Global Alpha Macro Hedge Fund,London,2005-7
• Director,Firecrest Hambro,(Private Client Investment Management),2002-6
• Member,Investment Committee,Hasley Investment Management,UK,2009-11
• Director,Solent Systematic Investment Strategies,2011-
• Prize,Best Paper,Global Finance Conference,Dublin,2005
• Prize,Best Market MicroStructure Paper,Mid-West Finance Meetings,Chicago,2006
• Member of the SME Business Finance Review Advisory Board,Welsh Assembly Government Business Minister,2013
• Member,Academy of Experts,3013-

Qualifications

BSc(Econ) LSE, MSc and Phd (Southampton).

Visiting Appointments

• Visiting Professor, University of Reading, Jun 1996 – present
• Examiner, CFA UK, London, Investment Management Certificate

Memberships of Committees

Member, CFA UK,London, Examinations Committee Languages

Russian.

Expertise

Primary Topics

• Hedge Funds
• Fund Management
• Banking
• Futures & Options
• Asset Pricing
• Financial Economics
• Financial Institutions
• Financial Markets
• Derivatives
• Fixed-Income Investments
• Bond Markets
• Capital Markets
• Finance
• Asset Valuation
• Corporate Finance

Research Topics

• Empirical Modelling of Credit Ratings
• Investment Strategies and Asset Pricing
• Volatility as an Asset Class
• Securitisation and bank credit risk

Books (3)

• Buckle, M. and Thomas, S. (2010). IMC Official Training Manual. London: Institute of Investment Management & Research.
• Thomas, S. and Buckle, M. (2008). IMC Official Training Manual. London: Institute of Investment Management & Research.
• McKenzie, G.W. and Thomas, S.H. (1991). Financial Instability and the International Debt Problem. UK: Springer. ISBN 978-1-349-21730-4.

Chapters (2)

• McManus, I., ap Gwilym, O. and Thomas, S. (2011). Dynamic migration between stock portfolios based on dividend yield and firm size. Financial Asset Pricing: Theory, Global Policy and Dynamics (pp. 29–60). ISBN 978-1-61122-803-8.
• Thomas, S., ap Gwilym, O. and Mcmanus, I. (2009). Futures market liquidity under floor versus electronic trading. In Morrey, J. and Guyton, A. (Eds.), Liquidity: Dynamics, Risks and Management (pp. 111–138). Nova Science Publishing Inc.

Journal Articles (64)

• Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (2016). The trend is our friend: Risk parity, momentum and trend following in global asset allocation. Journal of Behavioral and Experimental Finance, 9, pp. 63–80. doi:10.1016/j.jbef.2016.01.002.
• Clare, A., Sherman, M.B. and Thomas, S. (2016). Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada. Research in International Business and Finance, 36, pp. 212–221. doi:10.1016/j.ribaf.2015.09.011.
• Agyei-Ampomah, S., Clare, A., Mason, A. and Thomas, S. (2015). On luck versus skill when performance benchmarks are style-consistent. Journal of Banking and Finance, 59, pp. 127–145. doi:10.1016/j.jbankfin.2015.05.013.
• Moss, A., Clare, A., Thomas, S. and Seaton, J. (2015). Trend Following and Momentum Strategies for Global REITs. Journal of Real Estate Portfolio Management, 21(1), pp. 21–31.
• Clare, A., Motson, N.E., Payne, R. and Thomas, S. (2014). Heads We Win, Tails You Lose. Why Don't More Fund Managers Offer Symmetric Performance Fees? SSRN .
• Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (2014). Trend following, risk parity and momentum in commodity futures. International Review of Financial Analysis, 31, pp. 1–12. doi:10.1016/j.irfa.2013.10.001.
• Casu, B., Clare, A., Sarkisyan, A. and Thomas, S. (2013). Securitization and Bank Performance. Journal of Money, Credit and Banking, 45(8), pp. 1617–1658. doi:10.1111/jmcb.12064.
• Mason, A., McGroarty, F. and Thomas, S. (2013). Complementary or contradictory? Combining returns-based and characteristics-based investment style analysis. Journal of Asset Management, 14(6), pp. 423–438. doi:10.1057/jam.2014.4.
• Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (2013). Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500. Journal of Asset Management, 14(3), pp. 182–194. doi:10.1057/jam.2013.11.
• Thomas, S., Clare, A. and Motson, N.E. (2013). An Evaluation of Alternative Equity Indices - Part 2: Fundamental Weighting Schemes. SSRN .
• Clare, A., Motson, N.E. and Thomas, S. (2013). An Evaluation of Alternative Equity Indices - Part 1: Heuristic and Optimised Weighting Schemes. SSRN .
• Allen, B., Chan, K.K., Milne, A. and Thomas, S. (2012). Basel III: Is the cure worse than the disease? International Review of Financial Analysis, 25, pp. 159–166. doi:10.1016/j.irfa.2012.08.004.
• Mason, A., McGroarty, F. and Thomas, S. (2012). Style analysis for diversified US equity funds. Journal of Asset Management, 13(3), pp. 170–185. doi:10.1057/jam.2012.6.
• Gwilym, O.A., Clare, A., Seaton, J. and Thomas, S. (2012). Tactical equity investing across bull and bear markets. Journal of Wealth Management, 14(4), pp. 61–69. doi:10.3905/jwm.2012.14.4.061.
• Casu, B., Clare, A., Sarkisyan, A. and Thomas, S. (2011). Does securitization reduce credit risk taking? Empirical evidence from US bank holding companies. European Journal of Finance, 17(9-10), pp. 769–788. doi:10.1080/1351847X.2010.538526.
• Gwilym, O.A., Clare, A., Seaton, J. and Thomas, S. (2011). Gold stocks, the gold price and market timing. Journal of Derivatives and Hedge Funds, 17(3), pp. 266–278. doi:10.1057/jdhf.2011.16.
• Clare, A., Gwilym, O.A., Seaton, J. and Thomas, S. (2011). Explaining international equity valuation ratios: The roles of commodity price inflation and relative asset volatilities. Journal of Asset Management, 12(1), pp. 11–29. doi:10.1057/jam.2009.36.
• McGroarty, F., ap Gwilym, O. and Thomas, S. (2011). Structural changes, bid–ask spread composition and tick size in inter-bank futures trading. The European Journal of Finance, 17(4), pp. 285–306. doi:10.1080/1351847X.2010.481465.
• McGroarty, F., ap Gwilym, O. and Thomas, S. (2010). Market structure and microstructure, in international interest rate futures markets. Research in International Business and Finance, 24(3), pp. 253–266. doi:10.1016/j.ribaf.2009.12.005.
• ap Gwilym, O., Clare, A., Seaton, J. and Thomas, S. (2010). Price and Momentum as Robust Tactical Approaches to Global Equity Investing. The Journal of Investing, 19(3), pp. 80–91. doi:10.3905/joi.2010.19.3.080.
• Casu, B., Sarkisyan, A., Clare, A. and Thomas, S. (2010). Le cartolarizzazioni migliorano la performance delle banche?
• Alcune evidenze empiriche sulle banche commerciali statunitensi. Bancaria, Special Issue .
• Ap Gwilym, O., Clare, A., Seaton, J. and Thomas, S. (2009). Consistent dividend growth investment strategies. Journal of Wealth Management, 12(3), pp. 113–124.
• Gwilym, O.A., Clare, A.D., Seaton, J. and Thomas, S.H. (2009). Dividends and Momentum. The Journal of Investing, 18(2), pp. 42–49. doi:10.3905/JOI.2009.18.2.042.
• McGroarty, F., ap Gwilym, O. and Thomas, S. (2009). The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market. Journal of International Financial Markets, Institutions and Money, 19(2), pp. 387–401. doi:10.1016/j.intfin.2008.04.001.
• McManus, I., Gwilym, O.A. and Thomas, S. (2009). Prospective utility and time-varying optimal asset allocation for the UK: 1803-1995. Int. J. of Behavioural Accounting and Finance, 1(2), pp. 95–110.
• Thomas, S., ap Gwilym, O. and Seaton, S. (2008). Very Long Term Equity Investment Strategies: Real Stock Prices and Mean Reversion. Journal of Investing, 17(2), pp. 15–23. doi:10.3905/joi.2008.707214.
• McGroarty, F., Ap Gwilym, O. and Thomas, S. (2007). The components of electronic inter-dealer spot FX bid-ask spreads. Journal of Business Finance and Accounting, 34(9-10), pp. 1635–1650. doi:10.1111/j.1468-5957.2007.02051.x.
• Tang, L., Thomas, L.C., Thomas, S. and Bozzetto, J.F. (2007). It's the economy stupid: modelling financial product purchases. International Journal of Bank Marketing, 25(1), pp. 22–38. doi:10.1108/02652320710722597.
• Thomas, S., ap Gwilym, O. and Mcmanus, I. (2007). Prospective Utility and the Equity Risk Premium. Professional Investor, 17(7), pp. 24–28.
• Cantor, R., Gwilym, O.A. and Thomas, S.H. (2007). The Use of Credit Ratings in Investment Management in the U.S. and Europe. The Journal of Fixed Income, 17(2), pp. 13–26. doi:10.3905/jfi.2007.695282.
• McGroarty, F., ap Gwilym, O. and Thomas, S. (2006). Microstructure effects, bid–ask spreads and volatility in the spot foreign exchange market pre and post-EMU. Global Finance Journal, 17(1), pp. 23–49. doi:10.1016/j.gfj.2006.06.004.
• McManus, I.D., ap Gwilym, O. and Thomas, S.H. (2006). Payment history, past returns and the performance of UK zero dividend stocks. Managerial Finance, 32(6), pp. 518–536. doi:10.1108/03074350610666247.
• Bennell, J.A., Crabbe, D., Thomas, S. and Gwilym, O.A. (2006). Modelling sovereign credit ratings: Neural networks versus ordered probit. Expert Systems with Applications, 30(3), pp. 415–425. doi:10.1016/j.eswa.2005.10.002.
• Gwilym, O.A., Seaton, J., Suddason, K. and Thomas, S.H. (2006). Does the Fed Model Travel Well? The Journal of Portfolio Management, 33(1), pp. 68–75. doi:10.3905/jpm.2006.661376.
• ap Gwilym, O., Seaton, J., Suddason, K. and Thomas, S. (2006). International Evidence on the Payout Ratio, Earnings, Dividends, and Returns. Financial Analysts Journal, 62(1), pp. 36–53. doi:10.2469/faj.v62.n1.4057.
• Thomas, S.H. (2006). Discussion of Short Sales Constraints and Momentum in Stock Returns. Journal of Business Finance and Accounting, 33(3-4), pp. 616–631. doi:10.1111/j.1468-5957.2006.00629.x.
• Thomas, L.C., Thomas, S., Tang, L. and Ap Gwilym, O. (2005). Impact of demographic and economic variables on financial policy purchase timing decisions. Journal of the Operational Research Society, 56(9), pp. 1051–1062. doi:10.1057/palgrave.jors.2601981.
• Gwilym, O.A., Mcmanus, I. and Thomas, S. (2005). Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market. Journal of Futures Markets, 25(5), pp. 419–442. doi:10.1002/fut.20149.
• Gwilym, O.A.P., Seaton, J. and Thomas, S.H. (2005). Dividend Yield Investment Strategies, the Payout Ratio and Zero-Dividend Stocks. The Journal of Investing, 14(4), pp. 69–74. doi:10.3905/joi.2005.605284.
• Gwilym, O.A.P., Trevino, L. and Thomas, S.H. (2002). Bid-Ask Spreads and the Liquidity of International Bonds. The Journal of Fixed Income, 12(2), pp. 82–91. doi:10.3905/jfi.2002.319327.
• ap Gwilym, O. and Thomas, S. (2002). An empirical comparison of quoted and implied bid–ask spreads on futures contracts. Journal of International Financial Markets, Institutions and Money, 12(1), pp. 81–99. doi:10.1016/S1042-4431(01)00047-6.
• Clare, A., Morgan, G. and Thomas, S. (2002). Direct Evidence of Non-trading on the London Stock Exchange. Journal of Business Finance & Accounting, 29(1&2), pp. 29–53.
• Thomas, S. and Trevino, L. (2001). Local versus Foreign Currency Ratings: What Determines Sovereign Transfer Risk? Journal of Fixed Income, 11(1), pp. 65–76. doi:10.3905/jfi.2001.319293.
• Hamkins, J.D. and Thomas, S. (2000). Changing the heights of automorphism towers. Annals of Pure and Applied Logic, 102(1-3), pp. 139–157.
• Ap Gwilym, O., Brooks, C., Clare, A. and Thomas, S. (1999). Tests of non-linearity using LIFFE futures transactions price data. The Manchester School, 67(2), pp. 167–186. doi:10.1111/1467-9957.00140.
• ap Gwilym, O., Clare, A. and Thomas, S. (1998). Price clustering and bid-ask spreads in international bond futures. Journal of International Financial Markets, Institutions and Money, 8(3-4), pp. 377–391. doi:10.1016/S1042-4431(98)00045-6.
• Gwilym, O.A., Clare, A. and Thomas, S. (1998). The bid-ask spread on stock index options: An ordered probit analysis. Journal of Futures Markets, 18(4), pp. 467–485. doi:10.1002/(SICI)1096-9934(199806)18:43.0.CO;2-R.
• Morgan, G. and Thomas, S. (1998). Taxes, dividend yields and returns in the UK equity market. , 22(4), pp. 405–423.
• Buckle, M., Gwilym, O.A., Thomas, S.H. and Woodhams, M.S. (1998). Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements. Journal of Business Finance and Accounting, 25(7-8), pp. 921–944. doi:10.1111/1468-5957.00219.
• Gwilym, O.A. and Thomas, S. (1998). The Influence of Electronic Trading on Bid-Ask Spreads: New Evidence from European Bond Futures. Journal of Fixed Income, 8(1), pp. 7–20. doi:10.3905/jfi.1998.408234.
• Gwilym, O.A., Clare, A. and Thomas, S. (1998). Extreme price clustering in the London equity index futures and options markets. Journal of Banking and Finance, 22, pp. 1193–1206.
• Clare, A., O'Brien, R. and Thomas, S. (1998). Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stockmarket. International Journal of Finance and Economics, 3, pp. 111–126.
• Clare, A., Priestley, R. and Thomas, S.H. (1998). Reports of beta's death are premature: Evidence from the UK. Journal of Banking and Finance, 22, pp. 1207–1229.
• Gwilym, O.A., Buckle, M., Clare, A.D. and Thomas, S.H. (1998). The Transaction-by-Transaction Adjustment of Interest Rate and Equity Index Futures Markets to Macroeconomic Announcements. The Journal of Derivatives, 6(2), pp. 7–17. doi:10.3905/jod.6.2.7.
• Clare, A., Priestly, R. and Thomas, S. (1997). Is Beta dead? The role of alternative estimation methods. Applied Economics Letters, 4, pp. 559–562.
• Clare, A., Priestley, R. and Thomas, S. (1997). The Robustness of the APT to Alternative Estimators. Journal of Business Finance and Accounting, 24, pp. 645–656.
• Gwilym, O.A.P., Buckle, M., Foord, T. and Thomas, S.H. (1996). The Intraday Behavior of European Bond Futures. The Journal of Fixed Income, 6(2), pp. 49–66. doi:10.3905/jfi.1996.408179.
• Clare, A., O'Brien, R., Smith, P.N. and Thomas, S. (1996). Global macroeconomic shocks, time-varying covariances and tests of the international CAPM. Applied Economic Letters, 3, pp. 109–114.
• McKenzie, G. and Thomas, S. (1983). Liquidity, credit creation and international banking : An econometric investigation. , 7(4), pp. 467–480.
• Turk, A., Switala, E.D. and Thomas, S.H. (1980). Suprathreshold odlor measurements by dynamic olfactometry: Principles and practice. Journal of the Air Pollution Control Association, 30(12), pp. 1289–1294. doi:10.1080/00022470.1980.10465183.
• McManus, I., Gwilym, O.A. and Thomas, S. The Role of Payout Ratio in the Relationship Between Stock Returns and Dividend Yield. Journal of Business Finance & Accounting, 31(9-10), pp. 1355–1387.
• Gwilym, O.A., Morgan, G. and Thomas, S. Dividend Stability, Dividend Yield and Stock Returns: UK Evidence. Journal of Business Finance & Accounting, 27(3-4), pp. 261–281.
• Moss, A., Clare, A., Seaton, J. and Thomas, S. The Blended Approach to Real Estate Allocations: Performance Implications of Combining an Exposure to German Spezialfonds with Global Listed Real Estate Securities. Alternative Investment Analysts' Review .
• Clare, A., Thomas, S., Smith, P.N. and Seaton, J. Reducing sequence risk using trend following and the CAPE ratio. Financial Analysts Journal .

Course Directorship

• 2009 - present, Executive MBA, Director

Editorial Activity

Journal of Business Finance and Accounting, Member of Editorial Board, 1996 – present.