Details about Robert William Faff

Access statistics for papers by Robert William Faff.

Last updated 2013-06-17. Update your information in the RePEc Author Service.

Short-id: pfa127

Working Papers

2007

1. Are Financial Derivates Really Value Enhancing? Australian Evidence
   Accounting, Finance, Financial Planning and Insurance Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance View citations (3)
2. Does the Type of Derivative Instrument Used by Companies Impact Firm Value?
   Accounting, Finance, Financial Planning and Insurance Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance
   See also Journal Article in Applied Economics Letters (2010)
3. Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach
   ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics
   See also Journal Article in Australian Journal of Management (2012)

2004

4. Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case
   Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)
5. Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
   See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2005)

2003

6. Optimal f and Portfolio Return Optimisation in US Futures Markets
   School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology

1998

7. A Multi-Country of Power ARCH Models and National Stock Market Returns
   Working Papers, Melbourne - Centre in Finance
8. Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange
   Working Papers, Melbourne - Centre in Finance
   See also Journal Article in European Journal of Finance (2001)

1997

9. An Examination of the Effects of Major Political Change on Stock Market Volatility: The South African Experience
   Working Papers, Melbourne - Centre in Finance View citations (2)
   See also Journal Article in Journal of International Financial Markets, Institutions and Money (1997)

1996

10. Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period
    Working Papers, Melbourne - Centre in Finance View citations (2)

1995

11. Financial Market Deregulation and Bank Risk: Testing for Beta Instability
    Working Papers, Melbourne - Centre in Finance View citations (5)
    See also Journal Article in Australian Economic Papers (1995)

1994

12. Beta Stability and Portfolio Formation
    Working Papers, Melbourne - Centre in Finance View citations (11)
    See also Journal Article in Pacific-Basin Finance Journal (1995)

Journal Articles

2013

1. Diminishing marginal returns from R&D investment: evidence from manufacturing firms
   Applied Economics, 2013, 45, (5), 611-622
2. Does board structure in banks really affect their performance?
   Journal of Banking & Finance, 2013, 37, (5), 1573-1589

2012

3. ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS?
   Journal of Financial Research, 2012, 35, (2), 261-287
4. Competitive valuation effects of Australian IPOs
   International Review of Financial Analysis, 2012, 24, (C), 74-83
5. Corporate philanthropy: Insights from the 2008 Wenchuan Earthquake in China
   Pacific-Basin Finance Journal, 2012, 20, (3), 363-377
6. Determinants of bond spreads: evidence from credit derivatives of Australian firms
   Australian Journal of Management, 2012, 37, (1), 29-46
7. Location Decisions of Domestic and Foreign-Affiliated Financial Advisors: Australian Evidence
   Journal of Financial Services Research, 2012, 42, (3), 207-228
8. Profiling socially responsible investors: Australian evidence
   Australian Journal of Management, 2012, 37, (2), 189-209
9. Reported earnings and analyst forecasts as competing sources of information: A new approach
   Australian Journal of Management, 2012, 37, (3), 333-359
   See also Working Paper (2007)
10. Rights Offerings, Subscription Period, Shareholder Takeup, and Liquidity
    Journal of Financial and Quantitative Analysis, 2012, 47, (01), 213-239
11. Stock salience and the asymmetric market effect of consumer sentiment news
    Journal of Banking & Finance, 2012, 36, (12), 3289-3301
12. The Global Financial Crisis: some attributes and responses
    Accounting and Finance, 2012, 52, (1), 1-7

2011

13. ARE WATCH PROCEDURES A CRITICAL INFORMATIONAL EVENT IN THE CREDIT RATINGS PROCESS? AN EMPIRICAL INVESTIGATION
    Journal of Financial Research, 2011, 34, (4), 617-640
14. Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets
    Applied Financial Economics, 2011, 21, (22), 1665-1678 View citations (3)
15. Introduction: 50th Anniversary Issue of Accounting & Finance
    Accounting and Finance, 2011, 51, (1), 1-1
16. Is default risk priced in Australian equity? Exploring the role of the business cycle
    Australian Journal of Management, 2011, 36, (2), 217-246
17. The Association Between Firm Characteristics and the Use of a Comprehensive Corporate Hedging Strategy: An Ordered Probit Analysis
    Frontiers in Finance and Economics, 2011, 8, (1), 1-16
18. The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates
    Australian Journal of Management, 2011, 36, (3), 387-403
19. The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns
    Journal of Banking & Finance, 2011, 35, (5), 1239-1249
20. Women and risk tolerance in an aging world
    International Journal of Accounting and Information Management, 2011, 19, (2), 100-117 View citations (1)

2010

21. Are firms hedging or speculating? The relationship between financial derivatives and firm risk
    Applied Financial Economics, 2010, 20, (10), 827-843
22. Asymmetry in return and volatility spillover between equity and bond markets in Australia
    Pacific-Basin Finance Journal, 2010, 18, (3), 272-289
23. Does the type of derivative instrument used by companies impact firm value?
    Applied Economics Letters, 2010, 17, (7), 681-683
    See also Working Paper (2007)
24. Erratum to "Variations in sovereign credit quality assessments across rating agencies" [J. Bank. Finance 34 (2010) 1327-1343]
    Journal of Banking & Finance, 2010, 34, (9), 2306-2306
25. Explaining mispricing with Fama-French factors: new evidence from the multiscaling approach
    Applied Financial Economics, 2010, 20, (4), 323-330
26. Financial constraints and stock returns -- Evidence from Australia
    Pacific-Basin Finance Journal, 2010, 18, (3), 306-318
27. Liquidity and stock returns in Japan: New evidence
    Pacific-Basin Finance Journal, 2010, 18, (1), 90-115 View citations (2)
28. New evidence on the relation between stock liquidity and measures of trading activity
    International Review of Financial Analysis, 2010, 19, (3), 181-192 View citations (2)
29. Performance persistence in hedge funds: Australian evidence
    Journal of International Financial Markets, Institutions and Money, 2010, 20, (4), 346-362
30. Style analysis and dominant index timing: an application to Australian multi-sector managed funds
    Applied Financial Economics, 2010, 20, (4), 293-301
31. Testing seasonality in the liquidity-return relation: Japanese evidence
    Applied Economics Letters, 2010, 17, (10), 951-954
32. The Market Impact of Relative Agency Activity in the Sovereign Ratings Market
    Journal of Business Finance & Accounting, 2010, 37, (9-10), 1309-1347 View citations (1)
33. The equity and efficiency of the Australian share market with respect to director trading
    Accounting Research Journal, 2010, 23, (1), 5-19
34. The influence of time, seasonality and market state on momentum: insights from the Australian stock market
    Applied Financial Economics, 2010, 20, (20), 1547-1563
35. Variations in sovereign credit quality assessments across rating agencies
    Journal of Banking & Finance, 2010, 34, (6), 1327-1343 View citations (8)

2009

36. Are the Fama–French factors proxying news related to GDP growth? The Australian evidence
    Review of Quantitative Finance and Accounting, 2009, 33, (2), 141-158
37. Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective
    The Financial Review, 2009, 44, (2), 213-237 View citations (4)
38. Deal or No Deal, That is the Question: The Impact of Increasing Stakes and Framing Effects on Decision-Making under Risk
    International Review of Finance, 2009, 9, (1-2), 27-50 View citations (1)
39. Default risk and equity returns: Australian evidence
    Pacific-Basin Finance Journal, 2009, 17, (5), 580-593 View citations (4)
40. Derivative activities and Asia-Pacific banks' interest rate and exchange rate exposures
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (1), 16-32 View citations (2)
41. Do Australian hedge fund managers possess timing abilities?
    Applied Financial Economics, 2009, 19, (1), 27-38
42. New Insights into Rights Offerings as Signals of Firm Quality: Evidence from Australia
    Journal of Applied Corporate Finance, 2009, 21, (3), 80-85
43. Nonlinear linkages between financial risk tolerance and demographic characteristics
    Applied Economics Letters, 2009, 16, (13), 1329-1332
44. The effects of forecast specificity on the asymmetric short-window share market response to management earnings forecast
    Accounting Research Journal, 2009, 22, (3), 237-261 View citations (1)
45. Tournament behavior in Australian superannuation funds: A non-parametric analysis
    Global Finance Journal, 2009, 19, (3), 307-322 View citations (1)
46. Trading volume and information asymmetry: routine versus nonroutine earnings announcements in Australia
    Applied Financial Economics, 2009, 19, (21), 1737-1752

2008

47. Analysing the performance of managed funds using the wavelet multiscaling method
    Review of Quantitative Finance and Accounting, 2008, 31, (1), 55-70 View citations (2)
48. Does oil move equity prices? A global view
    Energy Economics, 2008, 30, (3), 986-997 View citations (36)
49. Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework
    International Review of Financial Analysis, 2008, 17, (5), 998-1011
50. Evidence of feedback trading with Markov switching regimes
    Review of Quantitative Finance and Accounting, 2008, 30, (2), 133-151 View citations (1)
51. Fortune Favours the Bold? Exploring Tournament Behavior among Australian Superannuation Funds
    Journal of Financial Services Research, 2008, 33, (3), 205-220
52. ON THE LINKAGE BETWEEN FINANCIAL RISK TOLERANCE AND RISK AVERSION
    Journal of Financial Research, 2008, 31, (1), 1-23
53. Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market
    International Review of Financial Analysis, 2008, 17, (1), 198-217
54. Rights offerings, takeup, renounceability, and underwriting status
    Journal of Financial Economics, 2008, 89, (2), 328-346
55. Style analysis, customized benchmarks, and managed funds: new evidence
    Applied Financial Economics Letters, 2008, 4, (4), 253-258
56. Style drift and fund performance in up and down markets: Australian evidence
    Applied Financial Economics Letters, 2008, 4, (6), 395-398
57. Systematic liquidity in the long run
    Applied Financial Economics Letters, 2008, 4, (3), 187-191
58. THE CHANGING ROLE OF ACCOUNTANTS IN A TRANSITION ECONOMY – EVIDENCE FROM ROMANIA
    Annales Universitatis Apulensis Series Oeconomica, 2008, 1, (10), 5
59. The ex-date impact of special dividend announcements: A note
    International Review of Financial Analysis, 2008, 17, (3), 635-643

2007

60. An examination of conditional asset pricing models in the Australian equities market
    Applied Financial Economics Letters, 2007, 3, (5), 307-312
61. Asia-Pacific banks risk exposures: pre and post the Asian financial crisis
    Applied Financial Economics, 2007, 18, (6), 431-449
62. EXPLORING THE LINK BETWEEN INFORMATION QUALITY AND SYSTEMATIC RISK
    Journal of Financial Research, 2007, 30, (3), 335-353
63. Exchange rate exposure, foreign currency derivatives and the introduction of the euro: French evidence
    International Review of Economics & Finance, 2007, 16, (4), 563-577 View citations (2)
64. Market conditions and the optimal IPO allocation mechanism in China
    Pacific-Basin Finance Journal, 2007, 15, (2), 121-139 View citations (4)
65. The Information Content of Australian Managed Fund Ratings
    Journal of Business Finance & Accounting, 2007, 34, (9-10), 1528-1547
66. The relation between R&D intensity and future market returns: does expensing versus capitalization matter?
    Review of Quantitative Finance and Accounting, 2007, 29, (1), 25-51
67. The relationship between implied volatility and autocorrelation
    International Journal of Managerial Finance, 2007, 3, (2), 191-196

2006

68. An integrated multi-model credit rating system for private firms
    Review of Quantitative Finance and Accounting, 2006, 27, (3), 311-340 View citations (4)
69. Asymmetric Market Reactions of Growth and Value Firms with Management Earnings Forecasts-super-
    International Review of Finance, 2006, 6, (1-2), 79-97
70. Conditional performance evaluation and the relevance of money flows for Australian international equity funds
    Pacific-Basin Finance Journal, 2006, 14, (3), 231-249
71. Forecasting stock market volatility: Further international evidence
    European Journal of Finance, 2006, 12, (2), 171-188 View citations (5)
72. Foreign debt and financial hedging: Evidence from Australia
    International Review of Economics & Finance, 2006, 15, (2), 184-201 View citations (2)
73. Modelling return and conditional volatility exposures in global stock markets
    Review of Quantitative Finance and Accounting, 2006, 27, (2), 125-142
74. On the Choice of Superannuation Funds in Australia
    Journal of Financial Services Research, 2006, 29, (3), 255-279
75. On the estimation and comparison of short-rate models using the generalised method of moments
    Journal of Banking & Finance, 2006, 30, (11), 3131-3146 View citations (4)
76. Short-Run and Long-Run Oil Price Sensitivity of Equity Returns: The South Asian Markets
    Review of Applied Economics, 2006, 2, (2)

2005

77. A FURTHER EXAMINATION OF THE PRICE AND VOLATILITY IMPACT OF STOCK DIVIDENDS AT EX-DATES *
    Australian Economic Papers, 2005, 44, (3), 248-268
78. Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence
    Applied Financial Economics, 2005, 15, (18), 1251-1258 View citations (5)
79. An Investigation of Conditional Autocorrelation and Cross-Autocorrelation in Emerging Markets
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2005, 08, (03), 467-499
80. An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions
    Journal of Business Finance & Accounting, 2005, 32, (5-6), 1001-1031 View citations (2)
81. An empirical analysis of hedge fund performance: The case of Australian hedge funds industry
    Journal of Multinational Financial Management, 2005, 15, (4-5), 377-393 View citations (3)
82. Announcements of bonus share options: Signalling of the quality of firms
    Global Finance Journal, 2005, 16, (2), 180-190
83. Asset Pricing and the Illiquidity Premium
    The Financial Review, 2005, 40, (4), 429-458 View citations (8)
84. Complete markets, informed trading and equity option introductions
    Journal of Banking & Finance, 2005, 29, (6), 1359-1384 View citations (3)
85. Editorial Note
    Accounting and Finance, 2005, 45, (1), 1-1
86. Firm Size and the Information Content of Annual Earnings Announcements: Australian Evidence
    Journal of Business Finance & Accounting, 2005, 32, (1-2), 211-253 View citations (3)
87. International evidence on the determinants of foreign exchange rate exposure of multinational corporations
    Journal of International Business Studies, 2005, 36, (5), 539-558 View citations (1)
88. MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (01), 75-95 View citations (2)
    See also Working Paper (2004)
89. Modeling conditional return autocorrelation
    International Review of Financial Analysis, 2005, 14, (1), 23-42 View citations (1)
90. Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection
    Journal of Financial Services Research, 2005, 27, (1), 77-98
91. Profitability of Trading Rules in Futures Markets
    Accounting Research Journal, 2005, 18, (2), 83-92
92. The stock market impact of German reunification: international evidence
    Applied Financial Economics, 2005, 15, (1), 31-42

2004

93. A simple test of the Fama and French model using daily data: Australian evidence
    Applied Financial Economics, 2004, 14, (2), 83-92 View citations (12)
94. ASYMMETRIC COVARIANCE, VOLATILITY, AND THE EFFECT OF NEWS
    Journal of Financial Research, 2004, 27, (3), 393-413 View citations (2)
95. An International Investigation of the Factors that Determine Conditional Gold Betas
    The Financial Review, 2004, 39, (3), 473-488 View citations (2)
96. Censoring and its impact on multivariate testing of the Capital Asset Pricing Model
    Applied Financial Economics, 2004, 14, (6), 413-420 View citations (2)
97. Correlations, integration and Hansen-Jagannathan bounds
    Applied Financial Economics, 2004, 14, (16), 1167-1180
98. Further evidence on the announcement effect of bonus shares in an imputation tax setting
    Global Finance Journal, 2004, 15, (2), 147-170 View citations (2)
99. Investigating performance benchmarks in the context of international trusts: Australian evidence
    Applied Financial Economics, 2004, 14, (9), 631-644
100. Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets
     Journal of Multinational Financial Management, 2004, 14, (3), 217-232 View citations (11)
101. Maximizing futures returns using fixed fraction asset allocation
     Applied Financial Economics, 2004, 14, (15), 1067-1073 View citations (1)
102. Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-sector Managed Funds
     Journal of Business Finance & Accounting, 2004, 31, (3-4), 539-578 View citations (6)
103. The intra-industry impact of special dividend announcements: contagion versus competition
     Journal of Multinational Financial Management, 2004, 14, (4-5), 369-385
104. The national market impact of sovereign rating changes
     Journal of Banking & Finance, 2004, 28, (1), 233-250 View citations (17)
105. The relationship between exchange rate exposure, currency risk management and performance of international equity funds
     Pacific-Basin Finance Journal, 2004, 12, (3), 333-357 View citations (1)

2003

106. A performance analysis of Australian international equity trusts
     Journal of International Financial Markets, Institutions and Money, 2003, 13, (1), 69-84 View citations (3)
107. An exploratory investigation of the relation between risk tolerance scores and demographic characteristics
     Journal of Multinational Financial Management, 2003, 13, (4-5), 483-502 View citations (3)
108. An investigation into the role of liquidity in asset pricing: Australian evidence
     Pacific-Basin Finance Journal, 2003, 11, (5), 555-572 View citations (9)
109. Can the use of foreign currency derivatives explain variations in foreign exchange exposure?: Evidence from Australian companies
     Journal of Multinational Financial Management, 2003, 13, (3), 193-215 View citations (7)
110. Capital Market Integration and Industrial Structure: The Case of Australia, Canada and the United States
     Journal of Economic Integration, 2003, 18, 433-465 View citations (4)
111. Creating Fama and French Factors with Style
     The Financial Review, 2003, 38, (2), 311-322 View citations (3)
112. Exchange rate sensitivity of Australian international equity funds
     Global Finance Journal, 2003, 14, (1), 95-120 View citations (2)
113. Global industry betas
     Applied Economics Letters, 2003, 10, (1), 21-26
114. Gold factor exposures in international asset pricing
     Journal of International Financial Markets, Institutions and Money, 2003, 13, (3), 271-289 View citations (9)
115. Short-term contrarian investing--is it profitable?... Yes and No
     Journal of Multinational Financial Management, 2003, 13, (4-5), 385-404 View citations (1)
116. Sudden changes in property rights: the case of Australian native title
     Journal of Economic Behavior & Organization, 2003, 52, (4), 427-442
117. The Determinants of Conditional Autocorrelation in Stock Returns
     Journal of Financial Research, 2003, 26, (2), 259-274 View citations (5)

2002

118. An ordered response model of test cricket performance
     Applied Economics, 2002, 34, (18), 2353-2365 View citations (5)
119. International cross-listings towards more liquid markets: the impact on domestic firms
     Journal of Multinational Financial Management, 2002, 12, (4-5), 365-390 View citations (5)
120. New evidence on the impact of financial leverage on beta risk: A time-series approach
     The North American Journal of Economics and Finance, 2002, 13, (1), 1-20 View citations (1)
121. The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study
     The Journal of Business, 2002, 75, (1), 95-126 View citations (1)
122. The pricing of foreign exchange risk in the Australian equities market
     Pacific-Basin Finance Journal, 2002, 10, (1), 77-95 View citations (3)
123. Time varying country risk: an assessment of alternative modelling techniques
     European Journal of Finance, 2002, 8, (3), 249-274 View citations (7)

2001

124. A Multivariate Test of a Dual-Beta CAPM: Australian Evidence
     The Financial Review, 2001, 36, (4), 157-74 View citations (8)
125. GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume
     Journal of International Financial Markets, Institutions and Money, 2001, 11, (2), 215-222 View citations (8)
126. Induced persistence or reversals in fund performance?: the effect of survivorship bias
     Applied Financial Economics, 2001, 11, (2), 119-126 View citations (5)
127. Power ARCH modelling of commodity futures data on the London Metal Exchange
     European Journal of Finance, 2001, 7, (1), 22-38 View citations (4)
     See also Working Paper (1998)
128. Testing a two factor APT model on Australian industry equity portfolios: the effect of intervaling
     Applied Financial Economics, 2001, 11, (2), 157-163
129. The intertemporal relationship between market return and variance: an Australian perspective
     Accounting and Finance, 2001, 41, (3), 169-196

2000

130. A multi-country study of power ARCH models and national stock market returns
     Journal of International Money and Finance, 2000, 19, (3), 377-397 View citations (20)
131. An analysis of asymmetry in foreign currency exposure of the Australian equities market
     Journal of Multinational Financial Management, 2000, 10, (2), 133-159 View citations (17)
132. Australian industry beta risk, the choice of market index and business cycles
     Applied Financial Economics, 2000, 10, (1), 49-58 View citations (3)
133. Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks
     The Quarterly Review of Economics and Finance, 2000, 40, (1), 85-106 View citations (8)
134. Modeling Australia's country risk: a country beta approach
     Journal of Economics and Business, 2000, 52, (3), 259-276 View citations (7)
135. Modelling the Equity Beta Risk of Australian Financial Sector Companies
     Australian Economic Papers, 2000, 39, (3), 301-11 View citations (7)
136. Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques
     Journal of Business Finance & Accounting, 2000, 27, (5&6), 523-554 View citations (10)

1999

137. An examination of Australian equity trusts for selectivity and market timing performance
     Journal of Multinational Financial Management, 1999, 9, (3-4), 387-402 View citations (7)
138. An examination of the relationship between Australian industry equity returns and expected inflation
     Applied Economics, 1999, 31, (8), 915-933 View citations (3)
139. An international market model and exchange rate risk: Australian evidence
     Applied Economics Letters, 1999, 6, (2), 77-80 View citations (1)
140. Interest rate risk of Australian financial sector companies in a period of regulatory change
     Pacific-Basin Finance Journal, 1999, 7, (1), 83-101 View citations (5)
141. Mean reversion and the forecasting of country betas: a note
     Global Finance Journal, 1999, 10, (2), 231-245 View citations (2)
142. Oil price risk and the Australian stock market
     Journal of Energy Finance & Development, 1999, 4, (1), 69-87 View citations (43)
143. Some additional Australian evidence on the day-of-the-week effect
     Applied Economics Letters, 1999, 6, (4), 247-249 View citations (8)

1998

144. A multifactor model of gold industry stock returns: evidence from the Australian equity market
     Applied Financial Economics, 1998, 8, (1), 21-28 View citations (10)
145. A test of the intertemporal CAPM in the Australian equity market
     Journal of International Financial Markets, Institutions and Money, 1998, 8, (2), 175-188
146. An investigation into the extent of beta instability in the Singapore stock market
     Pacific-Basin Finance Journal, 1998, 6, (1-2), 87-101 View citations (4)
147. Consumption versus market betas of Australian industry portfolios
     Applied Economics Letters, 1998, 5, (8), 513-517 View citations (1)
148. The empirical relationship between aggregate consumption and security prices in Australia
     Pacific-Basin Finance Journal, 1998, 6, (1-2), 213-224 View citations (1)
149. Time-varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis
     Journal of Business Finance & Accounting, 1998, 25, (5&6), 721-745 View citations (5)

1997

150. A further examination of the effect of diversification on the stability of portfolio betas
     Applied Financial Economics, 1997, 7, (1), 9-14 View citations (2)
151. A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions
     Journal of Banking & Finance, 1997, 21, (2), 197-219 View citations (4)
152. A note on beta forecasting
     Applied Economics Letters, 1997, 4, (2), 77-78 View citations (2)
153. An examination of the effects of major political change on stock market volatility: the South African experience
     Journal of International Financial Markets, Institutions and Money, 1997, 7, (3), 255-275 View citations (2)
     See also Working Paper (1997)
154. Bank exposures to interest-rate risk: the case of the Australian banking industry
     Applied Economics Letters, 1997, 4, (12), 737-739
155. Beta stability and monthly seasonal effects: evidence from the Australian capital market
     Applied Economics Letters, 1997, 4, (9), 563-566 View citations (3)
156. Financial Deregulation and Relative Risk of Australian Industry
     Australian Economic Papers, 1997, 36, (69), 308-20 View citations (1)
157. Testing the conditional CAPM and the effect of intervaling: A note
     Pacific-Basin Finance Journal, 1997, 5, (5), 527-537 View citations (5)

1996

158. An evaluation of volatility forecasting techniques
     Journal of Banking & Finance, 1996, 20, (3), 419-438 View citations (54)

1995

159. Beta stability and portfolio formation
     Pacific-Basin Finance Journal, 1995, 3, (1), 145-146
     Also in Pacific-Basin Finance Journal, 1994, 2, (4), 463-479 (1994) View citations (10)
     See also Working Paper (1994)
160. Financial Market Deregulation and Bank Risk: Testing for Beta Instability
     Australian Economic Papers, 1995, 34, (65), 180-99 View citations (7)
     See also Working Paper (1995)

Editor

1. Accounting and Finance
   Accounting and Finance Association of Australia and New Zealand