Details about Robert William Faff

Access statistics for papers by Robert William Faff.

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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
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
3. Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach
   ANUCBE School of Economics Working Papers, Australian National University, College of Business and Economics, School of Economics

2004

4. Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case
   Econometric Society 2004 Australasian Meetings, Econometric Society
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
   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
   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

1995

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

1994

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

Journal Articles

2009

1. 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
2. Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective
   The Financial Review, 2009, 44, (2), 213-237
3. 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
4. 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
5. Do Australian hedge fund managers possess timing abilities?
   Applied Financial Economics, 2009, 19, (1), 27-38
6. Tournament behavior in Australian superannuation funds: A non-parametric analysis
   Global Finance Journal, 2009, 19, (3), 307-322

2008

7. Analysing the performance of managed funds using the wavelet multiscaling method
   Review of Quantitative Finance and Accounting, 2008, 31, (1), 55-70
8. Asia-Pacific banks risk exposures: pre and post the Asian financial crisis
   Applied Financial Economics, 2008, 18, (6), 431-449
9. Does oil move equity prices? A global view
   Energy Economics, 2008, 30, (3), 986-997 View citations
10. 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
11. Evidence of feedback trading with Markov switching regimes
    Review of Quantitative Finance and Accounting, 2008, 30, (2), 133-151
12. ON THE LINKAGE BETWEEN FINANCIAL RISK TOLERANCE AND RISK AVERSION
    Journal of Financial Research, 2008, 31, (1), 1-23
13. 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
14. Rights offerings, takeup, renounceability, and underwriting status
    Journal of Financial Economics, 2008, 89, (2), 328-346
15. Style analysis, customized benchmarks, and managed funds: new evidence
    Applied Financial Economics Letters, 2008, 4, (4), 253-258
16. Style drift and fund performance in up and down markets: Australian evidence
    Applied Financial Economics Letters, 2008, 4, (6), 395-398
17. Systematic liquidity in the long run
    Applied Financial Economics Letters, 2008, 4, (3), 187-191
18. THE CHANGING ROLE OF ACCOUNTANTS IN A TRANSITION ECONOMY – EVIDENCE FROM ROMANIA
    Annales Universitatis Apulensis Series Oeconomica, 2008, 1, (10), 5
19. The ex-date impact of special dividend announcements: A note
    International Review of Financial Analysis, 2008, 17, (3), 635-643

2007

20. An examination of conditional asset pricing models in the Australian equities market
    Applied Financial Economics Letters, 2007, 3, (5), 307-312
21. EXPLORING THE LINK BETWEEN INFORMATION QUALITY AND SYSTEMATIC RISK
    Journal of Financial Research, 2007, 30, (3), 335-353
22. 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
23. Market conditions and the optimal IPO allocation mechanism in China
    Pacific-Basin Finance Journal, 2007, 15, (2), 121-139
24. The Information Content of Australian Managed Fund Ratings
    Journal of Business Finance & Accounting, 2007-11, 34, (9-10), 1528-1547
25. 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
26. The relationship between implied volatility and autocorrelation
    International Journal of Managerial Finance, 2007, 3, (2), 191-196

2006

27. An integrated multi-model credit rating system for private firms
    Review of Quantitative Finance and Accounting, 2006, 27, (3), 311-340
28. Asymmetric Market Reactions of Growth and Value Firms with Management Earnings Forecasts-super-
    International Review of Finance, 2006, 6, (1-2), 79-97
29. Conditional performance evaluation and the relevance of money flows for Australian international equity funds
    Pacific-Basin Finance Journal, 2006, 14, (3), 231-249
30. Forecasting stock market volatility: Further international evidence
    European Journal of Finance, 2006, 12, (2), 171-188 View citations
31. Foreign debt and financial hedging: Evidence from Australia
    International Review of Economics & Finance, 2006, 15, (2), 184-201 View citations
32. Modelling return and conditional volatility exposures in global stock markets
    Review of Quantitative Finance and Accounting, 2006, 27, (2), 125-142
33. On the Choice of Superannuation Funds in Australia
    Journal of Financial Services Research, 2006, 29, (3), 255-279
34. 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
35. Short-Run and Long-Run Oil Price Sensitivity of Equity Returns: The South Asian Markets
    Review of Applied Economics, 2006, 2, (2)

2005

36. A FURTHER EXAMINATION OF THE PRICE AND VOLATILITY IMPACT OF STOCK DIVIDENDS AT EX-DATES *
    Australian Economic Papers, 2005, 44, (3), 248-268
37. Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence
    Applied Financial Economics, 2005, 15, (18), 1251-1258 View citations
38. 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
39. An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions
    Journal of Business Finance & Accounting, 2005-06, 32, (5-6), 1001-1031 View citations
40. 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
41. Announcements of bonus share options: Signalling of the quality of firms
    Global Finance Journal, 2005, 16, (2), 180-190
42. Asset Pricing and the Illiquidity Premium
    The Financial Review, 2005, 40, (4), 429-458 View citations
43. Complete markets, informed trading and equity option introductions
    Journal of Banking & Finance, 2005, 29, (6), 1359-1384
44. Editorial Note
    Accounting and Finance, 2005, 45, (1), 1-1
45. Firm Size and the Information Content of Annual Earnings Announcements: Australian Evidence
    Journal of Business Finance & Accounting, 2005-01, 32, (1-2), 211-253 View citations
46. International evidence on the determinants of foreign exchange rate exposure of multinational corporations
    Journal of International Business Studies, 2005, 36, (5), 539-558
47. 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
    See also Working Paper (2004)
48. Modeling conditional return autocorrelation
    International Review of Financial Analysis, 2005, 14, (1), 23-42
49. Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection
    Journal of Financial Services Research, 2005, 27, (1), 77-98
50. The stock market impact of German reunification: international evidence
    Applied Financial Economics, 2005, 15, (1), 31-42

2004

51. A simple test of the Fama and French model using daily data: Australian evidence
    Applied Financial Economics, 2004, 14, (2), 83-92 View citations
52. ASYMMETRIC COVARIANCE, VOLATILITY, AND THE EFFECT OF NEWS
    Journal of Financial Research, 2004, 27, (3), 393-413 View citations
53. An International Investigation of the Factors that Determine Conditional Gold Betas
    The Financial Review, 2004, 39, (3), 473-488
54. Censoring and its impact on multivariate testing of the Capital Asset Pricing Model
    Applied Financial Economics, 2004, 14, (6), 413-420
55. Correlations, integration and Hansen-Jagannathan bounds
    Applied Financial Economics, 2004, 14, (16), 1167-1180
56. Further evidence on the announcement effect of bonus shares in an imputation tax setting
    Global Finance Journal, 2004, 15, (2), 147-170
57. Investigating performance benchmarks in the context of international trusts: Australian evidence
    Applied Financial Economics, 2004, 14, (9), 631-644
58. 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
59. Maximizing futures returns using fixed fraction asset allocation
    Applied Financial Economics, 2004, 14, (15), 1067-1073
60. Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-sector Managed Funds
    Journal of Business Finance & Accounting, 2004-04, 31, (3-4), 539-578 View citations
61. The intra-industry impact of special dividend announcements: contagion versus competition
    Journal of Multinational Financial Management, 2004, 14, (4-5), 369-385
62. The national market impact of sovereign rating changes
    Journal of Banking & Finance, 2004, 28, (1), 233-250 View citations
63. The relationship between exchange rate exposure, currency risk management and performance of international equity funds
    Pacific-Basin Finance Journal, 2004, 12, (3), 333-357

2003

64. A performance analysis of Australian international equity trusts
    Journal of International Financial Markets, Institutions and Money, 2003, 13, (1), 69-84
65. An exploratory investigation of the relation between risk tolerance scores and demographic characteristics
    Journal of Multinational Financial Management, 2003, 13, (4-5), 483-502
66. An investigation into the role of liquidity in asset pricing: Australian evidence
    Pacific-Basin Finance Journal, 2003, 11, (5), 555-572
67. 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
68. Creating Fama and French Factors with Style
    The Financial Review, 2003, 38, (2), 311-322 View citations
69. Exchange rate sensitivity of Australian international equity funds
    Global Finance Journal, 2003, 14, (1), 95-120
70. Global industry betas
    Applied Economics Letters, 2003, 10, (1), 21-26
71. Gold factor exposures in international asset pricing
    Journal of International Financial Markets, Institutions and Money, 2003, 13, (3), 271-289 View citations
72. Short-term contrarian investing--is it profitable?... Yes and No
    Journal of Multinational Financial Management, 2003, 13, (4-5), 385-404
73. Sudden changes in property rights: the case of Australian native title
    Journal of Economic Behavior & Organization, 2003, 52, (4), 427-442
74. The Determinants of Conditional Autocorrelation in Stock Returns
    Journal of Financial Research, 2003, 26, (2), 259-274 View citations

2002

75. An Ordered Response Model of Test Cricket Performance
    Applied Economics, 2002, 34, (18), 2353-65
76. 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
77. 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
78. The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study
    Journal of Business, 2002, 75, (1), 95-126 View citations
79. The pricing of foreign exchange risk in the Australian equities market
    Pacific-Basin Finance Journal, 2002, 10, (1), 77-95
80. Time varying country risk: an assessment of alternative modelling techniques
    European Journal of Finance, 2002, 8, (3), 249-274 View citations

2001

81. A Multivariate Test of a Dual-Beta CAPM: Australian Evidence
    The Financial Review, 2001, 36, (4), 157-74 View citations
82. 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
83. Induced Persistence or Reversals in Fund Performance? The Effect of Survivorship Bias
    Applied Financial Economics, 2001, 11, (2), 119-26 View citations
84. Power ARCH modelling of commodity futures data on the London Metal Exchange
    European Journal of Finance, 2001, 7, (1), 22-38 View citations
    See also Working Paper (1998)
85. Testing a Two-Factor APT Model on Australian Industry Equity Portfolios: The Effect of Intervaling
    Applied Financial Economics, 2001, 11, (2), 157-63
86. The intertemporal relationship between market return and variance: an Australian perspective
    Accounting and Finance, 2001, 41, (3), 169-196

2000

87. 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
88. 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
89. Australian Industry Beta Risk, the Choice of Market Index and Business Cycles
    Applied Financial Economics, 2000, 10, (1), 49-58 View citations
90. 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
91. Modeling Australia's country risk: a country beta approach
    Journal of Economics and Business, 2000, 52, (3), 259-276 View citations
92. Modelling the Equity Beta Risk of Australian Financial Sector Companies
    Australian Economic Papers, 2000, 39, (3), 301-11 View citations
93. Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques
    Journal of Business Finance & Accounting, 2000-06, 27, (5&6), 523-554 View citations

1999

94. An Examination of the Relationship between Australian Industry Equity Returns and Expected Inflation
    Applied Economics, 1999, 31, (8), 915-33 View citations
95. An International Market Model and Exchange Rate Risk: Australian Evidence
    Applied Economics Letters, 1999, 6, (2), 77-80 View citations
96. 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
97. 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
98. Mean reversion and the forecasting of country betas: a note
    Global Finance Journal, 1999, 10, (2), 231-245 View citations
99. Oil price risk and the Australian stock market
    Journal of Energy Finance & Development, 1999, 4, (1), 69-87 View citations
100. Some Additional Australian Evidence on the Day-of-the-Week Effect
     Applied Economics Letters, 1999, 6, (4), 247-49 View citations

1998

101. A Multifactor Model of Gold Industry Stock Returns: Evidence from the Australian Equity Market
     Applied Financial Economics, 1998, 8, (1), 21-28 View citations
102. A test of the intertemporal CAPM in the Australian equity market
     Journal of International Financial Markets, Institutions and Money, 1998, 8, (2), 175-188
103. An investigation into the extent of beta instability in the Singapore stock market
     Pacific-Basin Finance Journal, 1998, 6, (1-2), 87-101
104. Consumption versus Market Betas of Australian Industry Portfolios
     Applied Economics Letters, 1998, 5, (8), 513-17
105. The empirical relationship between aggregate consumption and security prices in Australia
     Pacific-Basin Finance Journal, 1998, 6, (1-2), 213-224
106. Time-varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis
     Journal of Business Finance & Accounting, 1998-06, 25, (5&6), 721-745 View citations

1997

107. A Note on Beta Forecasting
     Applied Economics Letters, 1997, 4, (2), 77-78 View citations
108. 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
109. 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
     See also Working Paper (1997)
110. Bank Exposures to Interest-Rate Risk: The Case of the Australian Banking Industry
     Applied Economics Letters, 1997, 4, (12), 737-39
111. Beta Stability and Monthly Seasonal Effects: Evidence from the Australian Capital Market
     Applied Economics Letters, 1997, 4, (9), 563-66 View citations
112. Financial Deregulation and Relative Risk of Australian Industry
     Australian Economic Papers, 1997, 36, (69), 308-20
113. Testing the conditional CAPM and the effect of intervaling: A note
     Pacific-Basin Finance Journal, 1997, 5, (5), 527-537 View citations

1996

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

1995

115. 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
     See also Working Paper (1994)
116. Financial Market Deregulation and Bank Risk: Testing for Beta Instability
     Australian Economic Papers, 1995, 34, (65), 180-99 View citations
     See also Working Paper (1995)

1994

117. An Investigation of the Robustness of the Day-of-the-Week Effect in Australia
     Applied Financial Economics, 1994, 4, (2), 99-110 View citations

1992

118. The Form of Time Variation of Systematic Risk: Some Australian Evidence
     Applied Financial Economics, 1992, 2, (4), 191-98 View citations

Editor

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