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Details about Robert Brooks

Workplace:Department of Econometrics and Business Statistics, Monash Business School, Monash University, (more information at EDIRC)

Access statistics for papers by Robert Brooks.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: pbr492


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Working Papers

2020

  1. Investor-herding and risk-profiles: A State-Space Model-based Assessment
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
    See also Journal Article Investor-herding and risk-profiles: A State-Space model-based assessment, Pacific-Basin Finance Journal, Elsevier (2020) Downloads View citations (2) (2020)

2019

  1. Dynamic Volatility Spillover Effect between Oil and Agricultural Products
    Working Papers, Department of Research, Ipag Business School Downloads
    See also Journal Article Dynamic volatility spillover effects between oil and agricultural products, International Review of Financial Analysis, Elsevier (2020) Downloads View citations (44) (2020)

2014

  1. Concurrent momentum and contrarian strategies in the Australian stock market
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (4)
    See also Journal Article Concurrent momentum and contrarian strategies in the Australian stock market, Australian Journal of Management, Australian School of Business (2016) Downloads View citations (5) (2016)

2013

  1. The Impact of Patenting Activity on the Financial Performance of Malaysian Firms
    Monash Economics Working Papers, Monash University, Department of Economics Downloads View citations (1)
    See also Journal Article The impact of patenting activity on the financial performance of Malaysian firms, Journal of the Asia Pacific Economy, Taylor & Francis Journals (2014) Downloads View citations (3) (2014)

2012

  1. Inflated Ordered Outcomes
    Discussion Paper Series, Department of Economics, Loughborough University Downloads View citations (16)
    See also Journal Article Inflated ordered outcomes, Economics Letters, Elsevier (2012) Downloads View citations (10) (2012)

2009

  1. The effects of centrally determined water prices on irrigation water demand: evidence from the Victorian State Rivers and Water Supply Commission, 1908-1984
    Monash Economics Working Papers, Monash University, Department of Economics Downloads

2008

  1. Multivariate tests of asset pricing: Simulation evidence from an emerging market
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    See also Journal Article Multivariate tests of asset pricing: simulation evidence from an emerging market, Applied Financial Economics, Taylor & Francis Journals (2010) Downloads View citations (4) (2010)
  2. Testing Conditional Asset Pricing Models: An Emerging Market Perspective
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (7)
    See also Journal Article Testing conditional asset pricing models: An emerging market perspective, Journal of International Money and Finance, Elsevier (2010) Downloads View citations (15) (2010)

2007

  1. An Inflated Ordered Probit Model of Monetary Policy: Evidence from MPC Voting Data
    MPRA Paper, University Library of Munich, Germany Downloads View citations (11)
  2. Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  4. The Pricing and Underwriting Costs of Japanese REIT IPOs
    Discussion Papers, Kobe University, Graduate School of Business Administration Downloads
    See also Journal Article The Pricing and Underwriting Costs of Japanese REIT IPOs, Journal of Property Research, Taylor & Francis Journals (2008) Downloads View citations (12) (2008)

2005

  1. An Analysis of Watermove Water Markets
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
  2. Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    See also Journal Article Determinants of sovereign ratings: A comparison of case-based reasoning and ordered probit approaches, Global Finance Journal, Elsevier (2006) Downloads View citations (24) (2006)

2004

  1. Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)
  2. Dividend taxation and Corporate investment: A comparative study between the classical system and imputation system of dividend taxation in the United States and Australia
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads
    See also Journal Article Dividend taxation and corporate investment: a comparative study between the classical system and imputation system of dividend taxation in the United States and Australia, Review of Quantitative Finance and Accounting, Springer (2008) Downloads View citations (11) (2008)
  3. R&D, Agency Costs and Capital Structure: International Evidence
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (2)

1998

  1. A Multi-Country of Power ARCH Models and National Stock Market Returns
    Working Papers, Melbourne - Centre in Finance
  2. Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange
    Working Papers, Melbourne - Centre in Finance
    See also Journal Article Power ARCH modelling of commodity futures data on the London Metal Exchange, The European Journal of Finance, Taylor & Francis Journals (2001) Downloads View citations (17) (2001)

1997

  1. 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 (10)
    See also Journal Article 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, Elsevier (1997) Downloads View citations (12) (1997)

1996

  1. Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period
    Working Papers, Melbourne - Centre in Finance View citations (2)
  2. The Stability of ARCH Models Across Australian Financial Markets
    Working Papers, Melbourne - Centre in Finance

1995

  1. Autocorrelations, Returns and Australian Financial Futures
    Working Papers, Melbourne - Centre in Finance View citations (2)
    See also Journal Article Autocorrelations, returns and Australian financial futures, Applied Economics Letters, Taylor & Francis Journals (1995) Downloads View citations (2) (1995)
  2. Financial Market Deregulation and Bank Risk: Testing for Beta Instability
    Working Papers, Melbourne - Centre in Finance View citations (9)
    See also Journal Article Financial Market Deregulation and Bank Risk: Testing for Beta Instability, Australian Economic Papers, Wiley Blackwell (1995) View citations (10) (1995)

1994

  1. Beta Stability and Portfolio Formation
    Working Papers, Melbourne - Centre in Finance View citations (22)
    See also Journal Article Beta stability and portfolio formation, Pacific-Basin Finance Journal, Elsevier (1995) Downloads View citations (1) (1995)
  2. Hypothesis Testing of Varying Coefficient Regression Models: Procedures and Applications
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
  3. The Unbiased Prediction Hypothesis in Futures Markets: A Varying Coefficient Approach
    Working Papers, Melbourne - Centre in Finance
    Also in Working Papers, RMIT - Centre Finance (1994)

1993

  1. The Robustness of Point Optional Testing for Rosenberg Random Regression Co-Efficients
    Working Papers, Melbourne - Centre in Finance

Journal Articles

2024

  1. Portfolio balance effect of the U.S. QE between commodities and financial assets in commodity-exporting countries
    The North American Journal of Economics and Finance, 2024, 74, (C) Downloads
  2. Structural breaks and GARCH models of exchange rate volatility: Re‐examination and extension
    Journal of Applied Econometrics, 2024, 39, (7), 1403-1407 Downloads
  3. Vale1 Ross Booth (1952–2024)
    Journal of Sports Economics, 2024, 25, (7), 887-891 Downloads

2023

  1. A New Measure for Idiosyncratic Risk Based on Decomposition Method
    JRFM, 2023, 16, (1), 1-8 Downloads View citations (1)
  2. Asset allocation of Australian superannuation funds: a markov regime switching approach
    Annals of Operations Research, 2023, 330, (1), 485-515 Downloads
  3. Do Oil Shocks Affect Financial Stress? Evidence from Oil-Exporting and -Importing Countries
    American Business Review, 2023, 26, (2), 399-430 Downloads
  4. ESG and firm performance: The role of size and media channels
    Economic Modelling, 2023, 121, (C) Downloads View citations (15)
  5. Risk Analysis of Pension Fund Investment Choices
    Abacus, 2023, 59, (3), 872-898 Downloads
  6. Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach
    International Review of Financial Analysis, 2023, 89, (C) Downloads View citations (6)
  7. The Liquidity Effect of the U.S. QE on Sovereign Yield Spreads of Commodity-Exporting Countries
    Commodities, 2023, 2, (2), 1-16 Downloads
  8. The nexus between oil and airline stock returns: Does time frequency matter?
    Energy Economics, 2023, 117, (C) Downloads View citations (2)

2022

  1. Asymmetric effect of FEARS Sentiment on Stock Returns: Short-sale constraints, limits to arbitrage, and behavioural biases
    Emerging Markets Finance and Trade, 2022, 58, (11), 3119-3135 Downloads View citations (2)
  2. Does oil impact gold during COVID-19 and three other recent crises?
    Energy Economics, 2022, 108, (C) Downloads View citations (10)
  3. Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries
    Energy Economics, 2022, 115, (C) Downloads View citations (4)
  4. What drives cross-market correlations during the United States Q.E.?
    International Review of Financial Analysis, 2022, 83, (C) Downloads View citations (1)

2021

  1. Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period
    International Review of Financial Analysis, 2021, 77, (C) Downloads View citations (7)
  2. Superstars and “The Voice”
    Applied Economics Letters, 2021, 28, (20), 1797-1800 Downloads

2020

  1. Dynamic volatility spillover effects between oil and agricultural products
    International Review of Financial Analysis, 2020, 69, (C) Downloads View citations (44)
    See also Working Paper Dynamic Volatility Spillover Effect between Oil and Agricultural Products, Working Papers (2019) Downloads (2019)
  2. Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets
    Energy Economics, 2020, 86, (C) Downloads View citations (11)
  3. Investor-herding and risk-profiles: A State-Space model-based assessment
    Pacific-Basin Finance Journal, 2020, 62, (C) Downloads View citations (2)
    See also Working Paper Investor-herding and risk-profiles: A State-Space Model-based Assessment, Monash Econometrics and Business Statistics Working Papers (2020) Downloads View citations (2) (2020)

2019

  1. Asymmetric relationship between order imbalance and realized volatility: Evidence from the Australian market
    International Review of Economics & Finance, 2019, 62, (C), 309-320 Downloads View citations (8)
  2. Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets
    Pacific-Basin Finance Journal, 2019, 58, (C) Downloads View citations (39)
  3. Investor Attention and Stock Market Activities: New Evidence from Panel Data
    IJFS, 2019, 7, (2), 1-19 Downloads View citations (9)

2018

  1. Decomposition of systematic and total risk variations in emerging markets
    International Finance, 2018, 21, (2), 158-174 Downloads
  2. Volatility spillover between the US, Chinese and Australian stock markets
    Australian Journal of Management, 2018, 43, (2), 263-285 Downloads View citations (7)

2017

  1. Dynamic spillover between commodities and commodity currencies during United States Q.E
    Energy Economics, 2017, 66, (C), 399-410 Downloads View citations (20)

2016

  1. Classifying Chinese bull and bear markets: indices and individual stocks
    Studies in Economics and Finance, 2016, 33, (4), 509-531 Downloads View citations (1)
  2. Concurrent momentum and contrarian strategies in the Australian stock market
    Australian Journal of Management, 2016, 41, (1), 77-106 Downloads View citations (5)
    See also Working Paper Concurrent momentum and contrarian strategies in the Australian stock market, Working Papers (2014) Downloads View citations (4) (2014)
  3. Foreign investors and stock price efficiency: Thresholds, underlying channels and investor heterogeneity
    The North American Journal of Economics and Finance, 2016, 36, (C), 1-28 Downloads View citations (17)
  4. Stock and currency market linkages: New evidence from realized spillovers in higher moments
    International Review of Economics & Finance, 2016, 42, (C), 167-185 Downloads View citations (29)
  5. The impact of HR political skill in the HRM and organisational performance relationship
    Australian Journal of Management, 2016, 41, (1), 161-181 Downloads View citations (2)

2015

  1. Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression
    International Review of Economics & Finance, 2015, 38, (C), 94-111 Downloads View citations (12)
  2. Cooperation, defection and resistance in Nazi Germany
    Explorations in Economic History, 2015, 58, (C), 125-139 Downloads View citations (1)
  3. Do Sovereign Re-Ratings Destabilize Equity Markets during Financial Crises? New Evidence from Higher Return Moments
    Journal of Business Finance & Accounting, 2015, 42, (5-6), 777-799 Downloads View citations (10)
  4. Do TV Viewers Value Uncertainty of Outcome? Evidence from the Australian Football League
    The Economic Record, 2015, 91, (295), 523-535 Downloads View citations (9)
  5. Do asset backed securities ratings matter on average?
    Research in International Business and Finance, 2015, 33, (C), 32-43 Downloads View citations (5)
  6. Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis
    Global Finance Journal, 2015, 28, (C), 24-37 Downloads View citations (17)
  7. The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan
    Pacific-Basin Finance Journal, 2015, 35, (PA), 37-55 Downloads View citations (7)

2014

  1. A Generalized Approach to Measure Market Timing Skills of Fund Managers: Theory and Evidence
    International Journal of Risk and Contingency Management (IJRCM), 2014, 3, (1), 40-75 Downloads
  2. Banking crises: Identifying dates and determinants
    Journal of International Financial Markets, Institutions and Money, 2014, 32, (C), 150-166 Downloads View citations (17)
  3. How does trading volume affect financial return distributions?
    International Review of Financial Analysis, 2014, 35, (C), 190-206 Downloads View citations (20)
  4. Price leadership and information transmission in Australian water allocation markets
    Agricultural Water Management, 2014, 145, (C), 83-91 Downloads View citations (10)
  5. Thai Financial Markets and Political Change
    Journal of Financial Management, Markets and Institutions, 2014, (1), 5-26 Downloads View citations (1)
  6. The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union
    International Review of Financial Analysis, 2014, 34, (C), 5-20 Downloads View citations (6)
  7. The impact of patenting activity on the financial performance of Malaysian firms
    Journal of the Asia Pacific Economy, 2014, 19, (3), 445-463 Downloads View citations (3)
    See also Working Paper The Impact of Patenting Activity on the Financial Performance of Malaysian Firms, Monash Economics Working Papers (2013) Downloads View citations (1) (2013)

2013

  1. Generalized impulse response analysis in a fractionally integrated vector autoregressive model
    Economics Letters, 2013, 118, (3), 462-465 Downloads View citations (15)
  2. Oil, Oil Volatility and Airline Stocks: A Global Analysis
    Journal of Accounting and Management Information Systems, 2013, 12, (2), 302-318 Downloads
  3. Price clustering in Australian water markets
    Applied Economics, 2013, 45, (6), 677-685 Downloads View citations (14)
  4. Second Place Is First of the Losers
    Journal of Sports Economics, 2013, 14, (4), 411-439 Downloads View citations (13)
  5. The Effect of the Introduction of the Euro on Asymmetric Stock Market Returns Volatility Across the Euro-Zone
    Journal of Accounting and Management Information Systems, 2013, 12, (2), 280-301 Downloads

2012

  1. Conditional Relation between Systematic Risk and Returns in the Conventional and Downside Frameworks: Evidence from the Indonesian Market
    Journal of Emerging Market Finance, 2012, 11, (3), 271-300 Downloads View citations (6)
  2. Do trading hours affect volatility links in the foreign exchange market?
    Australian Journal of Management, 2012, 37, (1), 7-27 Downloads View citations (5)
  3. Inflated ordered outcomes
    Economics Letters, 2012, 117, (3), 683-686 Downloads View citations (10)
    See also Working Paper Inflated Ordered Outcomes, Discussion Paper Series (2012) Downloads View citations (16) (2012)
  4. Player Salaries and Revenues in the Australian Football League 2001–2009: Theory and Evidence
    The Economic and Labour Relations Review, 2012, 23, (2), 39-54 Downloads
  5. Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval
    Mathematics and Computers in Simulation (MATCOM), 2012, 83, (C), 10-22 Downloads
  6. The roles of news and volatility in stock market correlations during the global financial crisis
    Emerging Markets Review, 2012, 13, (1), 1-7 Downloads View citations (26)

2011

  1. Asset market linkages: Evidence from financial, commodity and real estate assets
    Journal of Banking & Finance, 2011, 35, (6), 1415-1426 Downloads View citations (181)
  2. Effects of the open policy on the dependence between the Chinese 'A' stock market and other equity markets: An industry sector perspective
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (1), 49-74 Downloads View citations (12)
  3. Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis
    Applied Financial Economics, 2011, 21, (13), 997-1003 Downloads View citations (4)
  4. THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE
    Journal of Economic Surveys, 2011, 25, (1), 69-108 View citations (178)
  5. The demand for creative arts in regional Victoria, Australia
    Applied Economics, 2011, 43, (5), 619-629 Downloads View citations (6)
  6. Underpricing of Chinese Initial Public Offerings
    Chinese Economy, 2011, 44, (5), 72-85 Downloads View citations (7)
  7. Underwriter reputation and underpricing: evidence from the Australian IPO market
    Review of Quantitative Finance and Accounting, 2011, 37, (4), 409-426 Downloads View citations (16)

2010

  1. Detecting hot and cold cycles using a Markov regime switching model--Evidence from the Chinese A-share IPO market
    International Review of Economics & Finance, 2010, 19, (2), 196-210 Downloads View citations (16)
  2. Does volume help in predicting stock returns? An analysis of the Australian market
    Research in International Business and Finance, 2010, 24, (2), 146-157 Downloads View citations (4)
  3. 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 Downloads
  4. Multivariate tests of asset pricing: simulation evidence from an emerging market
    Applied Financial Economics, 2010, 20, (5), 381-395 Downloads View citations (4)
    See also Working Paper Multivariate tests of asset pricing: Simulation evidence from an emerging market, Monash Econometrics and Business Statistics Working Papers (2008) Downloads View citations (4) (2008)
  5. Testing conditional asset pricing models: An emerging market perspective
    Journal of International Money and Finance, 2010, 29, (5), 897-918 Downloads View citations (15)
    See also Working Paper Testing Conditional Asset Pricing Models: An Emerging Market Perspective, Monash Econometrics and Business Statistics Working Papers (2008) Downloads View citations (7) (2008)
  6. Underpricing, Risk Management, Hot Issue and Crowding out Effects: Evidence From the Australian Resources Sector Initial Public Offerings
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2010, 13, (03), 333-361 Downloads View citations (5)
  7. Variations in sovereign credit quality assessments across rating agencies
    Journal of Banking & Finance, 2010, 34, (6), 1327-1343 Downloads View citations (87)
  8. WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSIS
    Macroeconomic Dynamics, 2010, 14, (S1), 3-41 Downloads View citations (18)

2009

  1. A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
    Journal of Econometrics, 2009, 153, (1), 21-32 Downloads View citations (24)
  2. A duration analysis of the time from prospectus to listing for Australian initial public offerings
    Applied Financial Economics, 2009, 19, (3), 183-190 Downloads View citations (5)
  3. Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests
    Applied Financial Economics, 2009, 19, (2), 147-155 Downloads View citations (9)
  4. 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 Downloads View citations (11)
  5. Do realized betas exhibit up/down market tendencies?
    International Review of Economics & Finance, 2009, 18, (3), 511-519 Downloads View citations (7)
  6. Does Risk Aversion Vary with Decision‐Frame? An Empirical Test Using Recent Game Show Data
    Review of Behavioral Finance, 2009, 1, (1/2), 44-61 Downloads View citations (4)
  7. Duration of IPOs between offering and listing: Cox proportional hazard models--Evidence for Chinese A-share IPOs
    International Review of Financial Analysis, 2009, 18, (5), 239-249 Downloads View citations (8)
  8. Market depth in an illiquid market: applying the VNET concept to Victorian water markets
    Applied Economics Letters, 2009, 16, (13), 1361-1364 Downloads View citations (6)
  9. Oil prices and transport sector returns: an international analysis
    Review of Quantitative Finance and Accounting, 2009, 33, (4), 393-409 Downloads View citations (66)
  10. On the validity of conventional statistical tests given evidence of nonsynchronous trading and nonlinear dynamics in returns generating process: a further note
    Applied Economics Letters, 2009, 16, (6), 649-652 Downloads View citations (3)
  11. Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic
    Chaos, Solitons & Fractals, 2009, 40, (3), 1271-1276 Downloads View citations (11)

2008

  1. An ordered probit model of Morningstar individual stock ratings
    Applied Financial Economics Letters, 2008, 4, (5), 341-345 Downloads
  2. Dividend taxation and corporate investment: a comparative study between the classical system and imputation system of dividend taxation in the United States and Australia
    Review of Quantitative Finance and Accounting, 2008, 31, (2), 209-224 Downloads View citations (11)
    See also Working Paper Dividend taxation and Corporate investment: A comparative study between the classical system and imputation system of dividend taxation in the United States and Australia, Econometric Society 2004 Australasian Meetings (2004) Downloads (2004)
  3. Efficiency gains from water markets: Empirical analysis of Watermove in Australia
    Agricultural Water Management, 2008, 95, (4), 391-399 Downloads View citations (43)
  4. Financial crisis and stock market efficiency: Empirical evidence from Asian countries
    International Review of Financial Analysis, 2008, 17, (3), 571-591 Downloads View citations (117)
  5. Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (5), 527-544 Downloads View citations (31)
  6. Relationship between downside risk and return: new evidence through a multiscaling approach
    Applied Financial Economics, 2008, 18, (20), 1623-1633 Downloads View citations (2)
  7. The Factors Influencing Saving in a Matched Savings Program: Goals, Knowledge of Payment Instruments, and Other Behavior
    Journal of Family and Economic Issues, 2008, 29, (2), 234-250 Downloads View citations (20)
  8. The Pricing and Underwriting Costs of Japanese REIT IPOs
    Journal of Property Research, 2008, 25, (3), 221-239 Downloads View citations (12)
    See also Working Paper The Pricing and Underwriting Costs of Japanese REIT IPOs, Discussion Papers (2007) Downloads (2007)
  9. The underpricing of gold mining initial public offerings
    Research in International Business and Finance, 2008, 22, (1), 1-16 Downloads View citations (4)
  10. Underpricing of Chinese A-share IPOs and short-run underperformance under the approval system from 2001 to 2005
    International Review of Financial Analysis, 2008, 17, (5), 984-997 Downloads View citations (30)
  11. Untangling demand curves from information effects: evidence from Australian index adjustments
    Applied Financial Economics, 2008, 18, (8), 605-616 Downloads View citations (1)

2007

  1. Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan
    Journal of Multinational Financial Management, 2007, 17, (1), 75-93 Downloads View citations (14)
  2. Asia/Pacific Regional Trade Agreements: An empirical study
    Journal of Asian Economics, 2007, 18, (6), 974-987 Downloads View citations (12)
  3. Country risk and the estimation of asset return distributions
    Quantitative Finance, 2007, 7, (3), 261-265 Downloads View citations (1)
  4. Is co-skewness a better measure of risk in the downside than downside beta?: Evidence in emerging market data
    Journal of Multinational Financial Management, 2007, 17, (3), 214-230 Downloads View citations (16)
  5. Power arch modelling of the volatility of emerging equity markets
    Emerging Markets Review, 2007, 8, (2), 124-133 Downloads View citations (28)
  6. The costs of raising equity capital for closed-end fund IPOs
    Applied Financial Economics Letters, 2007, 3, (5), 295-299 Downloads
  7. The target cash rate and its impact on investment asset returns in Australia
    Applied Financial Economics, 2007, 17, (8), 615-633 Downloads View citations (3)

2006

  1. A citation analysis of ARC Discovery and Linkage grant investigators in economics and finance
    Applied Economics Letters, 2006, 13, (3), 141-146 Downloads
  2. Determinants of sovereign ratings: A comparison of case-based reasoning and ordered probit approaches
    Global Finance Journal, 2006, 17, (1), 136-154 Downloads View citations (24)
    See also Working Paper Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches, Monash Econometrics and Business Statistics Working Papers (2005) Downloads View citations (4) (2005)
  3. FUNDING THE NON-PROFIT WELFARE SECTOR: EXPLAINING CHANGING FUNDING SOURCES 1960–1999
    Economic Papers, 2006, 25, (1), 83-99 Downloads
  4. Factors Influencing Money Left on the Table by Property Trust IPO Issuers
    Journal of Property Research, 2006, 23, (3), 269-280 Downloads View citations (4)
  5. Risk-return tradeoffs from investing in the Australian cash management industry
    Applied Financial Economics Letters, 2006, 2, (3), 147-150 Downloads
  6. THE INITIAL IMPACTS OF A MATCHED SAVINGS PROGRAM: THE SAVER PLUS PROGRAM
    Economic Papers, 2006, 25, (1), 32-40 Downloads View citations (3)
  7. The Pricing of Property Trust IPOs in Australia
    The Journal of Real Estate Finance and Economics, 2006, 32, (2), 185-199 Downloads View citations (6)

2005

  1. Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence
    Applied Financial Economics, 2005, 15, (18), 1251-1258 Downloads View citations (6)
  2. Putting Their Money Where Their Mouth Is: The Importance of Shareholder Directors Post Listing
    Accounting Research Journal, 2005, 18, (1), 34-39 Downloads
  3. The stock market impact of German reunification: international evidence
    Applied Financial Economics, 2005, 15, (1), 31-42 Downloads View citations (2)

2004

  1. ARC LINKAGE PROJECTS AND RESEARCH-INTENSIVE ORGANIZATIONS: ARE RESEARCH-INTENSIVE ORGANIZATIONS LIKELY TO PARTICIPATE?
    Economic Papers, 2004, 23, (2), 175-188 Downloads
  2. Censoring and its impact on multivariate testing of the Capital Asset Pricing Model
    Applied Financial Economics, 2004, 14, (6), 413-420 Downloads View citations (2)
  3. Correlations, integration and Hansen-Jagannathan bounds
    Applied Financial Economics, 2004, 14, (16), 1167-1180 Downloads View citations (1)
  4. Do you really want to ask an underwriter how much money you should leave on the table?
    Journal of International Financial Markets, Institutions and Money, 2004, 14, (3), 267-280 Downloads View citations (6)
  5. HOW MUCH R&D SHOULD AUSTRALIA UNDERTAKE?
    Economic Papers, 2004, 23, (2), 165-174 Downloads View citations (1)
  6. Initial Public Offerings in Australia 1994 to 1999, Recent Evidence of Underpricing and Underperformance
    Review of Quantitative Finance and Accounting, 2004, 22, (3), 179-198 Downloads View citations (14)
  7. Stakeholder representation on the boards of Australian initial public offerings
    Applied Financial Economics, 2004, 14, (17), 1233-1238 Downloads View citations (3)
  8. THE PRICE OF DISCRIMINATION: AN ECONOMIC ANALYSIS OF THE HUMAN RIGHTS AND EQUAL OPPORTUNITY COMMISSION RULINGS 1985–2000
    Economic Papers, 2004, 23, (3), 244-256 Downloads
  9. The national market impact of sovereign rating changes
    Journal of Banking & Finance, 2004, 28, (1), 233-250 Downloads View citations (137)

2003

  1. Financial characteristics of Australian initial public offerings from 1994 to 1999
    Applied Economics, 2003, 35, (14), 1599-1607 Downloads
  2. Returns and volatility on the Chinese stock markets
    Applied Financial Economics, 2003, 13, (10), 747-752 Downloads View citations (17)
  3. Sudden changes in property rights: the case of Australian native title
    Journal of Economic Behavior & Organization, 2003, 52, (4), 427-442 Downloads

2002

  1. An ordered response model of test cricket performance
    Applied Economics, 2002, 34, (18), 2353-2365 Downloads View citations (15)
  2. INVESTIGATING THE “BOUNCE-BACK” HYPOTHESIS AFTER THE ASIAN CRISIS
    Economic Papers, 2002, 21, (2), 71-85 Downloads View citations (1)
  3. 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 Downloads View citations (12)

2001

  1. An Empirical Investigation of the Cross‐Industry Variation in Mean Reversion of Australian Stock Betas
    Pacific Accounting Review, 2001, 13, (2), 1-16 Downloads
  2. 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 Downloads View citations (13)
  3. Power ARCH modelling of commodity futures data on the London Metal Exchange
    The European Journal of Finance, 2001, 7, (1), 22-38 Downloads View citations (17)
    See also Working Paper Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange, Working Papers (1998) (1998)
  4. Testing a two factor APT model on Australian industry equity portfolios: the effect of intervaling
    Applied Financial Economics, 2001, 11, (2), 157-163 Downloads View citations (1)

2000

  1. A multi-country study of power ARCH models and national stock market returns
    Journal of International Money and Finance, 2000, 19, (3), 377-397 Downloads View citations (50)
  2. Australian industry beta risk, the choice of market index and business cycles
    Applied Financial Economics, 2000, 10, (1), 49-58 Downloads View citations (6)
  3. 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 Downloads View citations (10)
  4. Modeling Australia's country risk: a country beta approach
    Journal of Economics and Business, 2000, 52, (3), 259-276 Downloads View citations (12)
  5. Modelling the Equity Beta Risk of Australian Financial Sector Companies
    Australian Economic Papers, 2000, 39, (3), 301-311 Downloads View citations (21)
  6. The Sydney Olympic Games announcement and Australian stock market reaction
    Applied Economics Letters, 2000, 7, (12), 781-784 Downloads View citations (28)
  7. U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach
    Review of Quantitative Finance and Accounting, 2000, 14, (1), 17-43 Downloads View citations (9)

1999

  1. Autocorrelations, returns and Australian stock indices
    Applied Economics Letters, 1999, 6, (9), 581-584 Downloads View citations (1)
  2. International diversification of the funds management industry
    Applied Economics Letters, 1999, 6, (10), 663-667 Downloads View citations (1)
  3. Mean reversion and the forecasting of country betas: a note
    Global Finance Journal, 1999, 10, (2), 231-245 Downloads View citations (3)
  4. Variance ratio testing of the Australian forward foreign exchange market
    Applied Economics Letters, 1999, 6, (7), 417-419 Downloads

1998

  1. An investigation into the extent of beta instability in the Singapore stock market
    Pacific-Basin Finance Journal, 1998, 6, (1-2), 87-101 Downloads View citations (8)
  2. Is there a common response in Australian bilateral exchange rates following current account announcements?
    Applied Economics Letters, 1998, 5, (10), 645-648 Downloads
  3. Returns and volatility in the Kuala Lumpur crude
    Journal of Futures Markets, 1998, 18, (8), 985-999 Downloads
  4. The nature and extent of revisions to Australian macroeconomic data
    Applied Economics Letters, 1998, 5, (3), 169-174 Downloads View citations (4)

1997

  1. 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 Downloads View citations (9)
  2. A note on beta forecasting
    Applied Economics Letters, 1997, 4, (2), 77-78 Downloads View citations (6)
  3. 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 Downloads View citations (12)
    See also Working Paper An Examination of the Effects of Major Political Change on Stock Market Volatility: The South African Experience, Working Papers (1997) View citations (10) (1997)
  4. Beta stability and monthly seasonal effects: evidence from the Australian capital market
    Applied Economics Letters, 1997, 4, (9), 563-566 Downloads View citations (6)
  5. Financial Deregulation and Relative Risk of Australian Industry
    Australian Economic Papers, 1997, 36, (69), 308-20 View citations (4)
  6. The impact of exchange rate volatility on German-US trade flows
    Journal of International Financial Markets, Institutions and Money, 1997, 7, (1), 73-87 Downloads View citations (87)
  7. The stability of ARCH models across Australian financial futures markets
    Applied Financial Economics, 1997, 7, (4), 347-359 Downloads

1996

  1. Forecast Error and Social Loss Approaches to Testing the Efficiency of Australian Financial Futures
    Australian Economic Papers, 1996, 35, (66), 132-40

1995

  1. Autocorrelations, returns and Australian financial futures
    Applied Economics Letters, 1995, 2, (10), 323-326 Downloads View citations (2)
    See also Working Paper Autocorrelations, Returns and Australian Financial Futures, Working Papers (1995) View citations (2) (1995)
  2. Beta stability and portfolio formation
    Pacific-Basin Finance Journal, 1995, 3, (1), 145-146 Downloads View citations (1)
    Also in Pacific-Basin Finance Journal, 1994, 2, (4), 463-479 (1994) Downloads View citations (20)

    See also Working Paper Beta Stability and Portfolio Formation, Working Papers (1994) View citations (22) (1994)
  3. Financial Market Deregulation and Bank Risk: Testing for Beta Instability
    Australian Economic Papers, 1995, 34, (65), 180-99 View citations (10)
    See also Working Paper Financial Market Deregulation and Bank Risk: Testing for Beta Instability, Working Papers (1995) View citations (9) (1995)

1993

  1. Alternative point-optimal tests for regression coefficient stability
    Journal of Econometrics, 1993, 57, (1-3), 365-376 Downloads View citations (3)

1991

  1. A Social Loss Approach to Testing the Efficiency of Australian Financial Futures
    Australian Economic Papers, 1991, 30, (57), 192-201

Chapters

2022

  1. Jump Connectedness in the European Foreign Exchange Market
    Springer

2015

  1. Stock Market Impact of Sovereign Rating Changes: Alternative Benchmark Models
    Palgrave Macmillan

2011

  1. Violence in the Australian Football League: Good or Bad?
    Springer View citations (1)

2007

  1. Differences in Underpricing Returns Between REIT IPOs and Industrial Company IPOs
    Chapter 11 in Advances In Quantitative Analysis Of Finance And Accounting, 2007, pp 215-225 Downloads
 
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