Details about Jamie Alcock

Access statistics for papers by Jamie Alcock.

Last updated 2018-03-16. Update your information in the RePEc Author Service.

Short-id: pal542

Working Papers

2016

1. Do Real Estate Investment Trust Investors Value Asymmetric Dependence in returns?
   ERES, European Real Estate Society (ERES)

2013

2. On the Performance of Core, Value-Add and Opportunistic Private Equity Real Estate Funds: The Art of Financial Leverage
   ERES, European Real Estate Society (ERES) View citations (1)
3. Real Risk-Adjusted Performance and Capital Structure: Theory and Evidence from Real Estate Investment Trusts
   ERES, European Real Estate Society (ERES)

2012

4. Capital structure and European property companies
   ERES, European Real Estate Society (ERES)

2011

5. New Evidence on asymmetric dependence in the returns from U.S. Real Estate Estate Investment Trusts
   ERES, European Real Estate Society (ERES)

2010

6. ON THE RELATIONSHIP BETWEEN LEVERAGE AND DEBT MATURITY FOR US REAL ESTATE FIRMS
   ERES, European Real Estate Society (ERES)

2003

7. A Numerical Solution to American Style Options on Commodities
   Computing in Economics and Finance 2003, Society for Computational Economics

Journal Articles

2018

1. Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis
   The Journal of Real Estate Finance and Economics, 2018, 56, (2), 183-216 View citations (1)

2017

2. Characterizing the Asymmetric Dependence Premium
   Review of Finance, 2017, 21, (4), 1701-1737 View citations (2)
3. Non-parametric American option valuation using Cressie–Read divergences
   Australian Journal of Management, 2017, 42, (2), 252-275 View citations (2)
4. The Interrelationships between REIT Capital Structure and Investment
   Abacus, 2017, 53, (3), 371-394 View citations (4)
5. Unexpected Inflation, Capital Structure, and Real Risk-adjusted Firm Performance
   Abacus, 2017, 53, (2), 273-298 View citations (5)

2014

6. Joint Leverage and Maturity Choices in Real Estate Firms: The Role of the REIT Status
   The Journal of Real Estate Finance and Economics, 2014, 48, (1), 57-78 View citations (14)
7. Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options
   Journal of Futures Markets, 2014, 34, (4), 320-345 View citations (4)

2013

8. Canonical vine copulas in the context of modern portfolio management: Are they worth it?
   Journal of Banking & Finance, 2013, 37, (8), 3085-3099 View citations (73)
9. Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence
   The Journal of Real Estate Finance and Economics, 2013, 47, (3), 434-465 View citations (10)

2012

10. The determinants of debt maturity in Australian firms
    Accounting and Finance, 2012, 52, (2), 313-341 View citations (25)

2011

11. Volatile earnings growth, the price of earnings and the Value premium
    Quantitative Finance, 2011, 11, (6), 805-815 View citations (1)

2010

12. Empirical tests of canonical nonparametric American option‐pricing methods
    Journal of Futures Markets, 2010, 30, (6), 509-532 View citations (6)

2008

13. Nonparametric American option pricing
    Journal of Futures Markets, 2008, 28, (8), 717-748 View citations (7)
14. Quantifying the advantage of secondary mathematics study for accounting and finance undergraduates
    Accounting and Finance, 2008, 48, (5), 697-718 View citations (7)

2007

15. Portfolio construction incorporating asymmetric dependence structures: a user's guide
    Accounting and Finance, 2007, 47, (3), 447-472 View citations (16)

2005

16. A simulation analysis of the market effect of the Australian Broadcasting Corporation
    Information Economics and Policy, 2005, 17, (4), 407-427 View citations (3)
17. Dynamic, nonparametric hedging of European style contingent claims using canonical valuation
    Finance Research Letters, 2005, 2, (1), 41-50 View citations (4)
18. Forecasting Stock Returns Using Model‐Selection Criteria
    The Economic Record, 2005, 81, (253), 135-151 View citations (7)

2004

19. A genetic estimation algorithm for parameters of stochastic ordinary differential equations
    Computational Statistics & Data Analysis, 2004, 47, (2), 255-275 View citations (4)