Details about Robert Brooks
Access statistics for papers by Robert Brooks.
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Short-id: pbr492
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Working Papers
2020
- 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 View citations (2)
See also Journal Article Investor-herding and risk-profiles: A State-Space model-based assessment, Pacific-Basin Finance Journal, Elsevier (2020) View citations (2) (2020)
2019
- Dynamic Volatility Spillover Effect between Oil and Agricultural Products
Working Papers, Department of Research, Ipag Business School 
See also Journal Article Dynamic volatility spillover effects between oil and agricultural products, International Review of Financial Analysis, Elsevier (2020) View citations (44) (2020)
2014
- Concurrent momentum and contrarian strategies in the Australian stock market
Working Papers, University of Tasmania, Tasmanian School of Business and Economics 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) View citations (5) (2016)
2013
- The Impact of Patenting Activity on the Financial Performance of Malaysian Firms
Monash Economics Working Papers, Monash University, Department of Economics 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) View citations (3) (2014)
2012
- Inflated Ordered Outcomes
Discussion Paper Series, Department of Economics, Loughborough University View citations (16)
See also Journal Article Inflated ordered outcomes, Economics Letters, Elsevier (2012) View citations (10) (2012)
2009
- 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
2008
- 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 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) View citations (4) (2010)
- Testing Conditional Asset Pricing Models: An Emerging Market Perspective
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (7)
See also Journal Article Testing conditional asset pricing models: An emerging market perspective, Journal of International Money and Finance, Elsevier (2010) View citations (15) (2010)
2007
- An Inflated Ordered Probit Model of Monetary Policy: Evidence from MPC Voting Data
MPRA Paper, University Library of Munich, Germany View citations (11)
- Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets
MPRA Paper, University Library of Munich, Germany
- 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 View citations (1)
- The Pricing and Underwriting Costs of Japanese REIT IPOs
Discussion Papers, Kobe University, Graduate School of Business Administration 
See also Journal Article The Pricing and Underwriting Costs of Japanese REIT IPOs, Journal of Property Research, Taylor & Francis Journals (2008) View citations (12) (2008)
2005
- An Analysis of Watermove Water Markets
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
- 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 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) View citations (24) (2006)
2004
- Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case
Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)
- 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 
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) View citations (11) (2008)
- R&D, Agency Costs and Capital Structure: International Evidence
Econometric Society 2004 Australasian Meetings, Econometric Society View citations (2)
1998
- A Multi-Country of Power ARCH Models and National Stock Market Returns
Working Papers, Melbourne - Centre in Finance
- 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) View citations (17) (2001)
1997
- 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) View citations (12) (1997)
1996
- Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period
Working Papers, Melbourne - Centre in Finance View citations (2)
- The Stability of ARCH Models Across Australian Financial Markets
Working Papers, Melbourne - Centre in Finance
1995
- 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) View citations (2) (1995)
- 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
- 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) View citations (1) (1995)
- 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)
- 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
- The Robustness of Point Optional Testing for Rosenberg Random Regression Co-Efficients
Working Papers, Melbourne - Centre in Finance
Journal Articles
2024
- 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)
- Structural breaks and GARCH models of exchange rate volatility: Re‐examination and extension
Journal of Applied Econometrics, 2024, 39, (7), 1403-1407
- Vale1 Ross Booth (1952–2024)
Journal of Sports Economics, 2024, 25, (7), 887-891
2023
- A New Measure for Idiosyncratic Risk Based on Decomposition Method
JRFM, 2023, 16, (1), 1-8 View citations (1)
- Asset allocation of Australian superannuation funds: a markov regime switching approach
Annals of Operations Research, 2023, 330, (1), 485-515
- Do Oil Shocks Affect Financial Stress? Evidence from Oil-Exporting and -Importing Countries
American Business Review, 2023, 26, (2), 399-430
- ESG and firm performance: The role of size and media channels
Economic Modelling, 2023, 121, (C) View citations (15)
- Risk Analysis of Pension Fund Investment Choices
Abacus, 2023, 59, (3), 872-898
- Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach
International Review of Financial Analysis, 2023, 89, (C) View citations (6)
- The Liquidity Effect of the U.S. QE on Sovereign Yield Spreads of Commodity-Exporting Countries
Commodities, 2023, 2, (2), 1-16
- The nexus between oil and airline stock returns: Does time frequency matter?
Energy Economics, 2023, 117, (C) View citations (2)
2022
- 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 View citations (2)
- Does oil impact gold during COVID-19 and three other recent crises?
Energy Economics, 2022, 108, (C) View citations (10)
- Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries
Energy Economics, 2022, 115, (C) View citations (4)
- What drives cross-market correlations during the United States Q.E.?
International Review of Financial Analysis, 2022, 83, (C) View citations (1)
2021
- Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period
International Review of Financial Analysis, 2021, 77, (C) View citations (7)
- Superstars and “The Voice”
Applied Economics Letters, 2021, 28, (20), 1797-1800
2020
- Dynamic volatility spillover effects between oil and agricultural products
International Review of Financial Analysis, 2020, 69, (C) View citations (44)
See also Working Paper Dynamic Volatility Spillover Effect between Oil and Agricultural Products, Working Papers (2019) (2019)
- Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets
Energy Economics, 2020, 86, (C) View citations (11)
- Investor-herding and risk-profiles: A State-Space model-based assessment
Pacific-Basin Finance Journal, 2020, 62, (C) 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) View citations (2) (2020)
2019
- Asymmetric relationship between order imbalance and realized volatility: Evidence from the Australian market
International Review of Economics & Finance, 2019, 62, (C), 309-320 View citations (8)
- Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets
Pacific-Basin Finance Journal, 2019, 58, (C) View citations (39)
- Investor Attention and Stock Market Activities: New Evidence from Panel Data
IJFS, 2019, 7, (2), 1-19 View citations (9)
2018
- Decomposition of systematic and total risk variations in emerging markets
International Finance, 2018, 21, (2), 158-174
- Volatility spillover between the US, Chinese and Australian stock markets
Australian Journal of Management, 2018, 43, (2), 263-285 View citations (7)
2017
- Dynamic spillover between commodities and commodity currencies during United States Q.E
Energy Economics, 2017, 66, (C), 399-410 View citations (20)
2016
- Classifying Chinese bull and bear markets: indices and individual stocks
Studies in Economics and Finance, 2016, 33, (4), 509-531 View citations (1)
- Concurrent momentum and contrarian strategies in the Australian stock market
Australian Journal of Management, 2016, 41, (1), 77-106 View citations (5)
See also Working Paper Concurrent momentum and contrarian strategies in the Australian stock market, Working Papers (2014) View citations (4) (2014)
- 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 View citations (17)
- Stock and currency market linkages: New evidence from realized spillovers in higher moments
International Review of Economics & Finance, 2016, 42, (C), 167-185 View citations (29)
- The impact of HR political skill in the HRM and organisational performance relationship
Australian Journal of Management, 2016, 41, (1), 161-181 View citations (2)
2015
- 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 View citations (12)
- Cooperation, defection and resistance in Nazi Germany
Explorations in Economic History, 2015, 58, (C), 125-139 View citations (1)
- 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 View citations (10)
- Do TV Viewers Value Uncertainty of Outcome? Evidence from the Australian Football League
The Economic Record, 2015, 91, (295), 523-535 View citations (9)
- Do asset backed securities ratings matter on average?
Research in International Business and Finance, 2015, 33, (C), 32-43 View citations (5)
- Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis
Global Finance Journal, 2015, 28, (C), 24-37 View citations (17)
- The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan
Pacific-Basin Finance Journal, 2015, 35, (PA), 37-55 View citations (7)
2014
- 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
- Banking crises: Identifying dates and determinants
Journal of International Financial Markets, Institutions and Money, 2014, 32, (C), 150-166 View citations (17)
- How does trading volume affect financial return distributions?
International Review of Financial Analysis, 2014, 35, (C), 190-206 View citations (20)
- Price leadership and information transmission in Australian water allocation markets
Agricultural Water Management, 2014, 145, (C), 83-91 View citations (10)
- Thai Financial Markets and Political Change
Journal of Financial Management, Markets and Institutions, 2014, (1), 5-26 View citations (1)
- 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 View citations (6)
- The impact of patenting activity on the financial performance of Malaysian firms
Journal of the Asia Pacific Economy, 2014, 19, (3), 445-463 View citations (3)
See also Working Paper The Impact of Patenting Activity on the Financial Performance of Malaysian Firms, Monash Economics Working Papers (2013) View citations (1) (2013)
2013
- Generalized impulse response analysis in a fractionally integrated vector autoregressive model
Economics Letters, 2013, 118, (3), 462-465 View citations (15)
- Oil, Oil Volatility and Airline Stocks: A Global Analysis
Journal of Accounting and Management Information Systems, 2013, 12, (2), 302-318
- Price clustering in Australian water markets
Applied Economics, 2013, 45, (6), 677-685 View citations (14)
- Second Place Is First of the Losers
Journal of Sports Economics, 2013, 14, (4), 411-439 View citations (13)
- 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
2012
- 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 View citations (6)
- Do trading hours affect volatility links in the foreign exchange market?
Australian Journal of Management, 2012, 37, (1), 7-27 View citations (5)
- Inflated ordered outcomes
Economics Letters, 2012, 117, (3), 683-686 View citations (10)
See also Working Paper Inflated Ordered Outcomes, Discussion Paper Series (2012) View citations (16) (2012)
- 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
- 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
- The roles of news and volatility in stock market correlations during the global financial crisis
Emerging Markets Review, 2012, 13, (1), 1-7 View citations (26)
2011
- Asset market linkages: Evidence from financial, commodity and real estate assets
Journal of Banking & Finance, 2011, 35, (6), 1415-1426 View citations (181)
- 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 View citations (12)
- Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis
Applied Financial Economics, 2011, 21, (13), 997-1003 View citations (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)
- The demand for creative arts in regional Victoria, Australia
Applied Economics, 2011, 43, (5), 619-629 View citations (6)
- Underpricing of Chinese Initial Public Offerings
Chinese Economy, 2011, 44, (5), 72-85 View citations (7)
- Underwriter reputation and underpricing: evidence from the Australian IPO market
Review of Quantitative Finance and Accounting, 2011, 37, (4), 409-426 View citations (16)
2010
- 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 View citations (16)
- Does volume help in predicting stock returns? An analysis of the Australian market
Research in International Business and Finance, 2010, 24, (2), 146-157 View citations (4)
- 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
- Multivariate tests of asset pricing: simulation evidence from an emerging market
Applied Financial Economics, 2010, 20, (5), 381-395 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) View citations (4) (2008)
- Testing conditional asset pricing models: An emerging market perspective
Journal of International Money and Finance, 2010, 29, (5), 897-918 View citations (15)
See also Working Paper Testing Conditional Asset Pricing Models: An Emerging Market Perspective, Monash Econometrics and Business Statistics Working Papers (2008) View citations (7) (2008)
- 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 View citations (5)
- Variations in sovereign credit quality assessments across rating agencies
Journal of Banking & Finance, 2010, 34, (6), 1327-1343 View citations (87)
- 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 View citations (18)
2009
- 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 View citations (24)
- A duration analysis of the time from prospectus to listing for Australian initial public offerings
Applied Financial Economics, 2009, 19, (3), 183-190 View citations (5)
- Are Chinese stock markets efficient? Further evidence from a battery of nonlinearity tests
Applied Financial Economics, 2009, 19, (2), 147-155 View citations (9)
- 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 (11)
- Do realized betas exhibit up/down market tendencies?
International Review of Economics & Finance, 2009, 18, (3), 511-519 View citations (7)
- 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 View citations (4)
- 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 View citations (8)
- Market depth in an illiquid market: applying the VNET concept to Victorian water markets
Applied Economics Letters, 2009, 16, (13), 1361-1364 View citations (6)
- Oil prices and transport sector returns: an international analysis
Review of Quantitative Finance and Accounting, 2009, 33, (4), 393-409 View citations (66)
- 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 View citations (3)
- Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic
Chaos, Solitons & Fractals, 2009, 40, (3), 1271-1276 View citations (11)
2008
- An ordered probit model of Morningstar individual stock ratings
Applied Financial Economics Letters, 2008, 4, (5), 341-345
- 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 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) (2004)
- Efficiency gains from water markets: Empirical analysis of Watermove in Australia
Agricultural Water Management, 2008, 95, (4), 391-399 View citations (43)
- Financial crisis and stock market efficiency: Empirical evidence from Asian countries
International Review of Financial Analysis, 2008, 17, (3), 571-591 View citations (117)
- 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 View citations (31)
- Relationship between downside risk and return: new evidence through a multiscaling approach
Applied Financial Economics, 2008, 18, (20), 1623-1633 View citations (2)
- 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 View citations (20)
- The Pricing and Underwriting Costs of Japanese REIT IPOs
Journal of Property Research, 2008, 25, (3), 221-239 View citations (12)
See also Working Paper The Pricing and Underwriting Costs of Japanese REIT IPOs, Discussion Papers (2007) (2007)
- The underpricing of gold mining initial public offerings
Research in International Business and Finance, 2008, 22, (1), 1-16 View citations (4)
- 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 View citations (30)
- Untangling demand curves from information effects: evidence from Australian index adjustments
Applied Financial Economics, 2008, 18, (8), 605-616 View citations (1)
2007
- 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 View citations (14)
- Asia/Pacific Regional Trade Agreements: An empirical study
Journal of Asian Economics, 2007, 18, (6), 974-987 View citations (12)
- Country risk and the estimation of asset return distributions
Quantitative Finance, 2007, 7, (3), 261-265 View citations (1)
- 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 View citations (16)
- Power arch modelling of the volatility of emerging equity markets
Emerging Markets Review, 2007, 8, (2), 124-133 View citations (28)
- The costs of raising equity capital for closed-end fund IPOs
Applied Financial Economics Letters, 2007, 3, (5), 295-299
- The target cash rate and its impact on investment asset returns in Australia
Applied Financial Economics, 2007, 17, (8), 615-633 View citations (3)
2006
- A citation analysis of ARC Discovery and Linkage grant investigators in economics and finance
Applied Economics Letters, 2006, 13, (3), 141-146
- Determinants of sovereign ratings: A comparison of case-based reasoning and ordered probit approaches
Global Finance Journal, 2006, 17, (1), 136-154 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) View citations (4) (2005)
- FUNDING THE NON-PROFIT WELFARE SECTOR: EXPLAINING CHANGING FUNDING SOURCES 1960–1999
Economic Papers, 2006, 25, (1), 83-99
- Factors Influencing Money Left on the Table by Property Trust IPO Issuers
Journal of Property Research, 2006, 23, (3), 269-280 View citations (4)
- Risk-return tradeoffs from investing in the Australian cash management industry
Applied Financial Economics Letters, 2006, 2, (3), 147-150
- THE INITIAL IMPACTS OF A MATCHED SAVINGS PROGRAM: THE SAVER PLUS PROGRAM
Economic Papers, 2006, 25, (1), 32-40 View citations (3)
- The Pricing of Property Trust IPOs in Australia
The Journal of Real Estate Finance and Economics, 2006, 32, (2), 185-199 View citations (6)
2005
- Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence
Applied Financial Economics, 2005, 15, (18), 1251-1258 View citations (6)
- Putting Their Money Where Their Mouth Is: The Importance of Shareholder Directors Post Listing
Accounting Research Journal, 2005, 18, (1), 34-39
- The stock market impact of German reunification: international evidence
Applied Financial Economics, 2005, 15, (1), 31-42 View citations (2)
2004
- ARC LINKAGE PROJECTS AND RESEARCH-INTENSIVE ORGANIZATIONS: ARE RESEARCH-INTENSIVE ORGANIZATIONS LIKELY TO PARTICIPATE?
Economic Papers, 2004, 23, (2), 175-188
- Censoring and its impact on multivariate testing of the Capital Asset Pricing Model
Applied Financial Economics, 2004, 14, (6), 413-420 View citations (2)
- Correlations, integration and Hansen-Jagannathan bounds
Applied Financial Economics, 2004, 14, (16), 1167-1180 View citations (1)
- 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 View citations (6)
- HOW MUCH R&D SHOULD AUSTRALIA UNDERTAKE?
Economic Papers, 2004, 23, (2), 165-174 View citations (1)
- 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 View citations (14)
- Stakeholder representation on the boards of Australian initial public offerings
Applied Financial Economics, 2004, 14, (17), 1233-1238 View citations (3)
- 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
- The national market impact of sovereign rating changes
Journal of Banking & Finance, 2004, 28, (1), 233-250 View citations (137)
2003
- Financial characteristics of Australian initial public offerings from 1994 to 1999
Applied Economics, 2003, 35, (14), 1599-1607
- Returns and volatility on the Chinese stock markets
Applied Financial Economics, 2003, 13, (10), 747-752 View citations (17)
- Sudden changes in property rights: the case of Australian native title
Journal of Economic Behavior & Organization, 2003, 52, (4), 427-442
2002
- An ordered response model of test cricket performance
Applied Economics, 2002, 34, (18), 2353-2365 View citations (15)
- INVESTIGATING THE “BOUNCE-BACK” HYPOTHESIS AFTER THE ASIAN CRISIS
Economic Papers, 2002, 21, (2), 71-85 View citations (1)
- 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 (12)
2001
- An Empirical Investigation of the Cross‐Industry Variation in Mean Reversion of Australian Stock Betas
Pacific Accounting Review, 2001, 13, (2), 1-16
- 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 (13)
- Power ARCH modelling of commodity futures data on the London Metal Exchange
The European Journal of Finance, 2001, 7, (1), 22-38 View citations (17)
See also Working Paper Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange, Working Papers (1998) (1998)
- Testing a two factor APT model on Australian industry equity portfolios: the effect of intervaling
Applied Financial Economics, 2001, 11, (2), 157-163 View citations (1)
2000
- 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 (50)
- Australian industry beta risk, the choice of market index and business cycles
Applied Financial Economics, 2000, 10, (1), 49-58 View citations (6)
- 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 (10)
- Modeling Australia's country risk: a country beta approach
Journal of Economics and Business, 2000, 52, (3), 259-276 View citations (12)
- Modelling the Equity Beta Risk of Australian Financial Sector Companies
Australian Economic Papers, 2000, 39, (3), 301-311 View citations (21)
- The Sydney Olympic Games announcement and Australian stock market reaction
Applied Economics Letters, 2000, 7, (12), 781-784 View citations (28)
- 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 View citations (9)
1999
- Autocorrelations, returns and Australian stock indices
Applied Economics Letters, 1999, 6, (9), 581-584 View citations (1)
- International diversification of the funds management industry
Applied Economics Letters, 1999, 6, (10), 663-667 View citations (1)
- Mean reversion and the forecasting of country betas: a note
Global Finance Journal, 1999, 10, (2), 231-245 View citations (3)
- Variance ratio testing of the Australian forward foreign exchange market
Applied Economics Letters, 1999, 6, (7), 417-419
1998
- 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 (8)
- Is there a common response in Australian bilateral exchange rates following current account announcements?
Applied Economics Letters, 1998, 5, (10), 645-648
- Returns and volatility in the Kuala Lumpur crude
Journal of Futures Markets, 1998, 18, (8), 985-999
- The nature and extent of revisions to Australian macroeconomic data
Applied Economics Letters, 1998, 5, (3), 169-174 View citations (4)
1997
- 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 (9)
- A note on beta forecasting
Applied Economics Letters, 1997, 4, (2), 77-78 View citations (6)
- 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 (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)
- Beta stability and monthly seasonal effects: evidence from the Australian capital market
Applied Economics Letters, 1997, 4, (9), 563-566 View citations (6)
- Financial Deregulation and Relative Risk of Australian Industry
Australian Economic Papers, 1997, 36, (69), 308-20 View citations (4)
- The impact of exchange rate volatility on German-US trade flows
Journal of International Financial Markets, Institutions and Money, 1997, 7, (1), 73-87 View citations (87)
- The stability of ARCH models across Australian financial futures markets
Applied Financial Economics, 1997, 7, (4), 347-359
1996
- Forecast Error and Social Loss Approaches to Testing the Efficiency of Australian Financial Futures
Australian Economic Papers, 1996, 35, (66), 132-40
1995
- Autocorrelations, returns and Australian financial futures
Applied Economics Letters, 1995, 2, (10), 323-326 View citations (2)
See also Working Paper Autocorrelations, Returns and Australian Financial Futures, Working Papers (1995) View citations (2) (1995)
- Beta stability and portfolio formation
Pacific-Basin Finance Journal, 1995, 3, (1), 145-146 View citations (1)
Also in Pacific-Basin Finance Journal, 1994, 2, (4), 463-479 (1994) View citations (20)
See also Working Paper Beta Stability and Portfolio Formation, Working Papers (1994) View citations (22) (1994)
- 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
- Alternative point-optimal tests for regression coefficient stability
Journal of Econometrics, 1993, 57, (1-3), 365-376 View citations (3)
1991
- A Social Loss Approach to Testing the Efficiency of Australian Financial Futures
Australian Economic Papers, 1991, 30, (57), 192-201
Chapters
2022
- Jump Connectedness in the European Foreign Exchange Market
Springer
2015
- Stock Market Impact of Sovereign Rating Changes: Alternative Benchmark Models
Palgrave Macmillan
2011
- Violence in the Australian Football League: Good or Bad?
Springer View citations (1)
2007
- 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
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