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Details about Robert William Faff

Workplace:Business School, University of Queensland, (more information at EDIRC)

Access statistics for papers by Robert William Faff.

Last updated 2019-03-29. Update your information in the RePEc Author Service.

Short-id: pfa127


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Working Papers

2007

  1. Are financial derivates really value enhancing? Australian evidence
    Working Papers, Deakin University, Department of Economics View citations (2)
  2. Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads
    See also Journal Article in Australian Journal of Management (2012)

2004

  1. Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)
  2. 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 Downloads View citations (6)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2005)

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 in The European Journal of Finance (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 (8)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (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 (3)

1995

  1. Financial Market Deregulation and Bank Risk: Testing for Beta Instability
    Working Papers, Melbourne - Centre in Finance View citations (8)
    See also Journal Article in Australian Economic Papers (1995)

1994

  1. Beta Stability and Portfolio Formation
    Working Papers, Melbourne - Centre in Finance View citations (20)
    See also Journal Article in Pacific-Basin Finance Journal (1995)

Journal Articles

2019

  1. Do brokers' recommendation changes generate brokerage? Evidence from a central limit order market
    Accounting and Finance, 2019, 59, (1), 115-142 Downloads
  2. Labor unions and corporate financial leverage: The bargaining device versus crowding-out hypotheses
    Journal of Financial Intermediation, 2019, 37, (C), 28-44 Downloads

2018

  1. A specialised volatility index for the new GICS sector - Real estate
    Economic Modelling, 2018, 70, (C), 438-446 Downloads
  2. New evidence on national culture and bank capital structure
    Pacific-Basin Finance Journal, 2018, 50, (C), 41-64 Downloads View citations (1)
  3. New evidence on sovereign to corporate credit rating spill-overs
    International Review of Financial Analysis, 2018, 55, (C), 209-225 Downloads
  4. Noise Momentum Around the World
    Abacus, 2018, 54, (1), 79-104 Downloads
  5. Pitching Non-English Language Research: A Dual-Language Application of the Pitching Research Framework
    Journal of Accounting and Management Information Systems, 2018, 17, (2), 266-290 Downloads

2017

  1. Are excess cash holdings more valuable to firms in times of crisis? Financial constraints and governance matters
    Pacific-Basin Finance Journal, 2017, 45, (C), 157-173 Downloads View citations (1)
  2. Fantasy Pitching
    Journal of Accounting and Management Information Systems, 2017, 16, (2), 360-379 Downloads
  3. Hitting SKEW for SIX
    Economic Modelling, 2017, 64, (C), 449-464 Downloads View citations (1)
  4. The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM
    Journal of Business Ethics, 2017, 146, (2), 353-364 Downloads View citations (2)
  5. The complementary role of cross-sectional and time-series information in forecasting stock returns
    Australian Journal of Management, 2017, 42, (1), 113-139 Downloads

2016

  1. A contemporary view of corporate finance theory, empirical evidence and practice
    Australian Journal of Management, 2016, 41, (4), 662-686 Downloads View citations (3)
  2. CEO overconfidence and corporate debt maturity
    Journal of Corporate Finance, 2016, 36, (C), 93-110 Downloads View citations (9)
  3. Deviation from target capital structure, cost of equity and speed of adjustment
    Journal of Corporate Finance, 2016, 39, (C), 99-120 Downloads View citations (3)
  4. Diamonds vs. precious metals: What shines brightest in your investment portfolio?
    International Review of Financial Analysis, 2016, 43, (C), 1-14 Downloads View citations (6)
  5. Do corporate policies follow a life-cycle?
    Journal of Banking & Finance, 2016, 69, (C), 95-107 Downloads View citations (6)
  6. Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?
    Journal of Banking & Finance, 2016, 68, (C), 153-161 Downloads
  7. Enhancing mean–variance portfolio selection by modeling distributional asymmetries
    Journal of Economics and Business, 2016, 85, (C), 49-72 Downloads View citations (2)
  8. Factors affecting the birth and fund flows of CTAs
    Australian Journal of Management, 2016, 41, (2), 324-352 Downloads
  9. Financial constraints and dividend policy
    Australian Journal of Management, 2016, 41, (3), 484-507 Downloads View citations (3)
  10. Further evidence on idiosyncratic risk and REIT pricing: a cross-country analysis
    Accounting Research Journal, 2016, 29, (1), 34-58 Downloads
  11. Political constraints and trading strategy in times of market stress: Evidence from the chinese national social security fund
    Finance Research Letters, 2016, 19, (C), 217-221 Downloads
  12. Short-selling pressure and last-resort debt finance: evidence from 144A high-yield risk-adjusted debt
    Accounting and Finance, 2016, 56, (4), 1149-1185 Downloads
  13. Stock Liquidity Risk and the Cross-sectional Earnings-Returns Relationship
    Journal of Business Finance & Accounting, 2016, 43, (9-10), 1121-1141 Downloads
  14. Sub-optimal international portfolio allocations and the cost of capital
    Journal of Multinational Financial Management, 2016, 35, (C), 41-58 Downloads
  15. The profitability of pairs trading strategies: distance, cointegration and copula methods
    Quantitative Finance, 2016, 16, (10), 1541-1558 Downloads View citations (12)

2015

  1. A simple template for pitching research
    Accounting and Finance, 2015, 55, (2), 311-336 Downloads View citations (14)
  2. Corporate governance, firm value and risk: Past, present, and future
    Pacific-Basin Finance Journal, 2015, 35, (PA), 1-12 Downloads View citations (5)
  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 (1)
  4. Herding Behavior and Rating Convergence among Credit Rating Agencies: Evidence from the Subprime Crisis
    Review of Finance, 2015, 19, (4), 1703-1731 Downloads View citations (12)
  5. Individual financial risk tolerance and the global financial crisis
    Accounting and Finance, 2015, 55, (1), 165-185 Downloads View citations (9)
  6. Injecting liquidity into liquidity research
    Pacific-Basin Finance Journal, 2015, 35, (PB), 533-540 Downloads View citations (1)
  7. Yes, one-day international cricket ‘in-play’ trading strategies can be profitable!
    Journal of Banking & Finance, 2015, 61, (S2), S164-S176 Downloads

2014

  1. A Comparative Analysis of the Investment Characteristics of Alternative Gold Assets
    Abacus, 2014, 50, (1), 76-92 Downloads View citations (7)
  2. Alpha
    Journal of Accounting and Management Information Systems, 2014, 13, (4), 607-622 Downloads
  3. An investigation of the asymmetric link between credit re-ratings and corporate financial decisions: “Flicking the switch” with financial flexibility
    Journal of Corporate Finance, 2014, 29, (C), 37-57 Downloads View citations (5)
  4. Bias correction in the estimation of dynamic panel models in corporate finance
    Journal of Corporate Finance, 2014, 25, (C), 494-513 Downloads View citations (11)
  5. Corporate social responsibility and CEO compensation revisited: Do disaggregation, market stress, gender matter?
    Journal of Economics and Business, 2014, 72, (C), 84-103 Downloads View citations (1)
  6. Determinants of the extent of Asia-Pacific banks’ derivative activities
    Journal of Accounting and Management Information Systems, 2014, 13, (3), 430-448 Downloads View citations (1)
  7. Disciplinary tools and bank risk exposure
    Pacific-Basin Finance Journal, 2014, 26, (C), 37-64 Downloads View citations (6)
  8. Fifty years of finance research in the Asia Pacific Basin
    Accounting and Finance, 2014, 54, (2), 335-363 Downloads View citations (28)
  9. Is there a Banking Risk Premium in the US Stock Market?
    Journal of Financial Management, Markets and Institutions, 2014, (1), 27-42 Downloads
  10. Market discipline and bank risk taking
    Australian Journal of Management, 2014, 39, (3), 327-350 Downloads View citations (6)
  11. Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market
    International Review of Economics & Finance, 2014, 29, (C), 627-638 Downloads View citations (2)
  12. The role of board gender on the profitability of insider trading
    International Journal of Accounting and Information Management, 2014, 22, (3), 180-193 Downloads View citations (1)
  13. Uncovering the asymmetric linkage between financial derivatives and firm value — The case of oil and gas exploration and production companies
    Energy Economics, 2014, 45, (C), 340-352 Downloads View citations (4)

2013

  1. A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data
    Australian Journal of Management, 2013, 38, (2), 333-352 Downloads
  2. An Empirical Study of the World Price of Sustainability
    Journal of Business Ethics, 2013, 114, (2), 297-310 Downloads View citations (3)
  3. An Investigation of the Interest Rate Risk and Exchange Rate Risk of rhe European Financial Sector: Euro Zone Versus Non-Euro Zone Countries
    Journal of Accounting and Management Information Systems, 2013, 12, (2), 319-344 Downloads View citations (1)
  4. Canonical vine copulas in the context of modern portfolio management: Are they worth it?
    Journal of Banking & Finance, 2013, 37, (8), 3085-3099 Downloads View citations (32)
  5. Diminishing marginal returns from R&D investment: evidence from manufacturing firms
    Applied Economics, 2013, 45, (5), 611-622 Downloads View citations (1)
  6. Do high and low-ranked sustainability stocks perform differently?
    International Journal of Accounting and Information Management, 2013, 21, (2), 116-132 Downloads View citations (3)
  7. Does board structure in banks really affect their performance?
    Journal of Banking & Finance, 2013, 37, (5), 1573-1589 Downloads View citations (61)
  8. Financial Inflexibility and the Value Premium
    International Review of Finance, 2013, 13, (3), 327-344 Downloads View citations (1)
  9. Liquidity in asset pricing: New Australian evidence using low-frequency data
    Australian Journal of Management, 2013, 38, (2), 375-400 Downloads View citations (10)
  10. Mickey Mouse and the IDioT principle for assessing research contribution: discussion of ‘Is the relationship between investment and conditional cash flow volatility ambiguous, asymmetric or both?’
    Accounting and Finance, 2013, 53, (4), 949-960 Downloads
  11. Oil, Oil Volatility and Airline Stocks: A Global Analysis
    Journal of Accounting and Management Information Systems, 2013, 12, (2), 302-318 Downloads
  12. Pricing innovations in consumption growth: A re-evaluation of the recursive utility model
    Journal of Banking & Finance, 2013, 37, (11), 4465-4475 Downloads View citations (1)
  13. Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news
    Journal of Banking & Finance, 2013, 37, (11), 4488-4500 Downloads
  14. The long- and short-run financial impacts of cross listing on Australian firms
    Australian Journal of Management, 2013, 38, (1), 81-98 Downloads View citations (1)
  15. What drives the commodity price beta of oil industry stocks?
    Energy Economics, 2013, 37, (C), 1-15 Downloads View citations (3)

2012

  1. ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS?
    Journal of Financial Research, 2012, 35, (2), 261-287 Downloads View citations (24)
  2. Competitive valuation effects of Australian IPOs
    International Review of Financial Analysis, 2012, 24, (C), 74-83 Downloads View citations (1)
  3. Corporate philanthropy: Insights from the 2008 Wenchuan Earthquake in China
    Pacific-Basin Finance Journal, 2012, 20, (3), 363-377 Downloads View citations (14)
  4. Determinants of bond spreads: evidence from credit derivatives of Australian firms
    Australian Journal of Management, 2012, 37, (1), 29-46 Downloads View citations (3)
  5. Location Decisions of Domestic and Foreign-Affiliated Financial Advisors: Australian Evidence
    Journal of Financial Services Research, 2012, 42, (3), 207-228 Downloads
  6. Profiling socially responsible investors: Australian evidence
    Australian Journal of Management, 2012, 37, (2), 189-209 Downloads View citations (11)
  7. Reported earnings and analyst forecasts as competing sources of information: A new approach
    Australian Journal of Management, 2012, 37, (3), 333-359 Downloads View citations (1)
    See also Working Paper (2007)
  8. Return-based Style Analysis in Australian Funds
    Multinational Finance Journal, 2012, 16, (3-4), 155-188 Downloads
  9. Rights Offerings, Subscription Period, Shareholder Takeup, and Liquidity
    Journal of Financial and Quantitative Analysis, 2012, 47, (01), 213-239 Downloads View citations (8)
  10. Stock salience and the asymmetric market effect of consumer sentiment news
    Journal of Banking & Finance, 2012, 36, (12), 3289-3301 Downloads View citations (10)
  11. The Global Financial Crisis: some attributes and responses
    Accounting and Finance, 2012, 52, (1), 1-7 Downloads View citations (8)

2011

  1. ARE WATCH PROCEDURES A CRITICAL INFORMATIONAL EVENT IN THE CREDIT RATINGS PROCESS? AN EMPIRICAL INVESTIGATION
    Journal of Financial Research, 2011, 34, (4), 617-640 Downloads View citations (3)
  2. Accounting Competencies and the Changing Role of Accountants in Emerging Economies: The Case of Romania
    Accounting in Europe, 2011, 8, (2), 155-184 Downloads View citations (2)
  3. Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets
    Applied Financial Economics, 2011, 21, (22), 1665-1678 Downloads View citations (2)
  4. Introduction: 50th Anniversary Issue of Accounting & Finance
    Accounting and Finance, 2011, 51, (1), 1-1
  5. Is default risk priced in Australian equity? Exploring the role of the business cycle
    Australian Journal of Management, 2011, 36, (2), 217-246 Downloads View citations (9)
  6. The Association Between Firm Characteristics and the Use of a Comprehensive Corporate Hedging Strategy: An Ordered Probit Analysis
    Frontiers in Finance and Economics, 2011, 8, (1), 1-16 Downloads
  7. The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates
    Australian Journal of Management, 2011, 36, (3), 387-403 Downloads View citations (1)
  8. The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns
    Journal of Banking & Finance, 2011, 35, (5), 1239-1249 Downloads View citations (16)
  9. Women and risk tolerance in an aging world
    International Journal of Accounting and Information Management, 2011, 19, (2), 100-117 Downloads View citations (8)

2010

  1. Are firms hedging or speculating? The relationship between financial derivatives and firm risk
    Applied Financial Economics, 2010, 20, (10), 827-843 Downloads View citations (2)
  2. Asymmetry in return and volatility spillover between equity and bond markets in Australia
    Pacific-Basin Finance Journal, 2010, 18, (3), 272-289 Downloads View citations (13)
  3. Corporate usage of financial derivatives, information asymmetry, and insider trading
    Journal of Futures Markets, 2010, 30, (1), 25-47 Downloads View citations (1)
  4. Does the type of derivative instrument used by companies impact firm value?
    Applied Economics Letters, 2010, 17, (7), 681-683 Downloads View citations (5)
  5. 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
  6. Explaining mispricing with Fama-French factors: new evidence from the multiscaling approach
    Applied Financial Economics, 2010, 20, (4), 323-330 Downloads View citations (1)
  7. Financial constraints and stock returns -- Evidence from Australia
    Pacific-Basin Finance Journal, 2010, 18, (3), 306-318 Downloads View citations (2)
  8. Liquidity and stock returns in Japan: New evidence
    Pacific-Basin Finance Journal, 2010, 18, (1), 90-115 Downloads View citations (12)
  9. New evidence on the relation between stock liquidity and measures of trading activity
    International Review of Financial Analysis, 2010, 19, (3), 181-192 Downloads View citations (15)
  10. Performance persistence in hedge funds: Australian evidence
    Journal of International Financial Markets, Institutions and Money, 2010, 20, (4), 346-362 Downloads View citations (2)
  11. Style analysis and dominant index timing: an application to Australian multi-sector managed funds
    Applied Financial Economics, 2010, 20, (4), 293-301 Downloads
  12. Testing seasonality in the liquidity-return relation: Japanese evidence
    Applied Economics Letters, 2010, 17, (10), 951-954 Downloads View citations (1)
  13. The Market Impact of Relative Agency Activity in the Sovereign Ratings Market
    Journal of Business Finance & Accounting, 2010, 37, (9-10), 1309-1347 Downloads View citations (33)
  14. The equity and efficiency of the Australian share market with respect to director trading
    Accounting Research Journal, 2010, 23, (1), 5-19 Downloads View citations (3)
  15. The influence of time, seasonality and market state on momentum: insights from the Australian stock market
    Applied Financial Economics, 2010, 20, (20), 1547-1563 Downloads View citations (4)
  16. Variations in sovereign credit quality assessments across rating agencies
    Journal of Banking & Finance, 2010, 34, (6), 1327-1343 Downloads View citations (56)

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 Downloads View citations (4)
  2. Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective
    The Financial Review, 2009, 44, (2), 213-237 Downloads View citations (67)
  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 Downloads View citations (6)
  4. Default risk and equity returns: Australian evidence
    Pacific-Basin Finance Journal, 2009, 17, (5), 580-593 Downloads View citations (10)
  5. 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 Downloads View citations (12)
  6. Do Australian hedge fund managers possess timing abilities?
    Applied Financial Economics, 2009, 19, (1), 27-38 Downloads
  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 Downloads View citations (1)
  8. Fund Size, Transaction Costs and Performance: Size Matters!
    Australian Journal of Management, 2009, 34, (1), 73-96 Downloads View citations (2)
  9. New Insights into Rights Offerings as Signals of Firm Quality: Evidence from Australia
    Journal of Applied Corporate Finance, 2009, 21, (3), 80-85 Downloads View citations (2)
  10. Nonlinear linkages between financial risk tolerance and demographic characteristics
    Applied Economics Letters, 2009, 16, (13), 1329-1332 Downloads View citations (4)
  11. Revisiting the Vexing Question: Does Superior Corporate Social Performance Lead to Improved Financial Performance?
    Australian Journal of Management, 2009, 34, (1), 21-49 Downloads View citations (18)
  12. The effects of forecast specificity on the asymmetric short-window share market response to management earnings forecasts
    Accounting Research Journal, 2009, 22, (3), 237-261 Downloads View citations (1)
  13. Tournament behavior in Australian superannuation funds: A non-parametric analysis
    Global Finance Journal, 2009, 19, (3), 307-322 Downloads View citations (1)
  14. Trading volume and information asymmetry: routine versus nonroutine earnings announcements in Australia
    Applied Financial Economics, 2009, 19, (21), 1737-1752 Downloads View citations (1)

2008

  1. Analysing the performance of managed funds using the wavelet multiscaling method
    Review of Quantitative Finance and Accounting, 2008, 31, (1), 55-70 Downloads View citations (5)
  2. Does oil move equity prices? A global view
    Energy Economics, 2008, 30, (3), 986-997 Downloads View citations (235)
  3. 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 Downloads View citations (6)
  4. Evidence of feedback trading with Markov switching regimes
    Review of Quantitative Finance and Accounting, 2008, 30, (2), 133-151 Downloads View citations (9)
  5. Fortune Favours the Bold? Exploring Tournament Behavior among Australian Superannuation Funds
    Journal of Financial Services Research, 2008, 33, (3), 205-220 Downloads View citations (1)
  6. ON THE LINKAGE BETWEEN FINANCIAL RISK TOLERANCE AND RISK AVERSION
    Journal of Financial Research, 2008, 31, (1), 1-23 Downloads View citations (12)
  7. 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 Downloads View citations (2)
  8. Rights offerings, takeup, renounceability, and underwriting status
    Journal of Financial Economics, 2008, 89, (2), 328-346 Downloads View citations (18)
  9. Style analysis, customized benchmarks, and managed funds: new evidence
    Applied Financial Economics Letters, 2008, 4, (4), 253-258 Downloads
  10. Style drift and fund performance in up and down markets: Australian evidence
    Applied Financial Economics Letters, 2008, 4, (6), 395-398 Downloads View citations (1)
  11. Systematic liquidity in the long run
    Applied Financial Economics Letters, 2008, 4, (3), 187-191 Downloads View citations (2)
  12. THE CHANGING ROLE OF ACCOUNTANTS IN A TRANSITION ECONOMY – EVIDENCE FROM ROMANIA
    Annales Universitatis Apulensis Series Oeconomica, 2008, 1, (10), 5 Downloads
  13. The Impact of the Announcement of Acquisition of Divested Assets on Buyers’ Wealth - Asset Fit and Disclosure of Funds Used: Evidence from the U.K
    Multinational Finance Journal, 2008, 12, (3-4), 219-240 Downloads
  14. The ex-date impact of special dividend announcements: A note
    International Review of Financial Analysis, 2008, 17, (3), 635-643 Downloads

2007

  1. An examination of conditional asset pricing models in the Australian equities market
    Applied Financial Economics Letters, 2007, 3, (5), 307-312 Downloads View citations (2)
  2. Are the Fama-French Factors Proxying Default Risk?
    Australian Journal of Management, 2007, 32, (2), 223-249 Downloads View citations (21)
  3. Asia-Pacific banks risk exposures: pre and post the Asian financial crisis
    Applied Financial Economics, 2007, 18, (6), 431-449 Downloads View citations (2)
  4. Do Derivatives Have a Role in the Risk-Shifting Behaviour of Fund Managers?
    Australian Journal of Management, 2007, 32, (2), 271-292 Downloads View citations (3)
  5. EXPLORING THE LINK BETWEEN INFORMATION QUALITY AND SYSTEMATIC RISK
    Journal of Financial Research, 2007, 30, (3), 335-353 Downloads View citations (1)
  6. Exchange rate exposure, foreign currency derivatives and the introduction of the euro: French evidence
    International Review of Economics & Finance, 2007, 16, (4), 563-577 Downloads View citations (9)
  7. Market conditions and the optimal IPO allocation mechanism in China
    Pacific-Basin Finance Journal, 2007, 15, (2), 121-139 Downloads View citations (13)
  8. The Information Content of Australian Managed Fund Ratings
    Journal of Business Finance & Accounting, 2007, 34, (9-10), 1528-1547 Downloads View citations (2)
  9. 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 Downloads View citations (8)
  10. The relationship between implied volatility and autocorrelation
    International Journal of Managerial Finance, 2007, 3, (2), 191-196 Downloads

2006

  1. An integrated multi-model credit rating system for private firms
    Review of Quantitative Finance and Accounting, 2006, 27, (3), 311-340 Downloads View citations (7)
  2. Asymmetric Market Reactions of Growth and Value Firms with Management Earnings Forecasts-super-
    International Review of Finance, 2006, 6, (1-2), 79-97 Downloads View citations (4)
  3. Conditional performance evaluation and the relevance of money flows for Australian international equity funds
    Pacific-Basin Finance Journal, 2006, 14, (3), 231-249 Downloads View citations (3)
  4. Forecasting stock market volatility: Further international evidence
    The European Journal of Finance, 2006, 12, (2), 171-188 Downloads View citations (8)
  5. Foreign debt and financial hedging: Evidence from Australia
    International Review of Economics & Finance, 2006, 15, (2), 184-201 Downloads View citations (4)
  6. Investigating the Performance of Alternative Default-Risk Models: Option-Based Versus Accounting-Based Approaches
    Australian Journal of Management, 2006, 31, (2), 207-234 Downloads View citations (9)
  7. Modelling return and conditional volatility exposures in global stock markets
    Review of Quantitative Finance and Accounting, 2006, 27, (2), 125-142 Downloads View citations (2)
  8. On the Choice of Superannuation Funds in Australia
    Journal of Financial Services Research, 2006, 29, (3), 255-279 Downloads View citations (3)
  9. On the estimation and comparison of short-rate models using the generalised method of moments
    Journal of Banking & Finance, 2006, 30, (11), 3131-3146 Downloads View citations (7)
  10. Short-Run and Long-Run Oil Price Sensitivity of Equity Returns: The South Asian Markets
    Review of Applied Economics, 2006, 02, (2), 16 Downloads

2005

  1. A FURTHER EXAMINATION OF THE PRICE AND VOLATILITY IMPACT OF STOCK DIVIDENDS AT EX-DATES *
    Australian Economic Papers, 2005, 44, (3), 248-268 Downloads View citations (1)
  2. Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence
    Applied Financial Economics, 2005, 15, (18), 1251-1258 Downloads View citations (7)
  3. 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 Downloads
  4. An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions
    Journal of Business Finance & Accounting, 2005, 32, (5-6), 1001-1031 Downloads View citations (10)
  5. 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 Downloads View citations (8)
  6. Announcements of bonus share options: Signalling of the quality of firms
    Global Finance Journal, 2005, 16, (2), 180-190 Downloads
  7. Asset Pricing and the Illiquidity Premium
    The Financial Review, 2005, 40, (4), 429-458 Downloads View citations (31)
  8. Complete markets, informed trading and equity option introductions
    Journal of Banking & Finance, 2005, 29, (6), 1359-1384 Downloads View citations (10)
  9. Editorial Note
    Accounting and Finance, 2005, 45, (1), 1-1 Downloads
  10. Firm Size and the Information Content of Annual Earnings Announcements: Australian Evidence
    Journal of Business Finance & Accounting, 2005, 32, (1-2), 211-253 Downloads View citations (6)
  11. International evidence on the determinants of foreign exchange rate exposure of multinational corporations
    Journal of International Business Studies, 2005, 36, (5), 539-558 Downloads View citations (8)
  12. 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 Downloads View citations (3)
    See also Working Paper (2004)
  13. Modeling conditional return autocorrelation
    International Review of Financial Analysis, 2005, 14, (1), 23-42 Downloads View citations (7)
  14. Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection
    Journal of Financial Services Research, 2005, 27, (1), 77-98 Downloads View citations (3)
  15. Tactical Asset Allocation: Australian Evidence
    Australian Journal of Management, 2005, 30, (2), 261-282 Downloads View citations (9)
  16. The stock market impact of German reunification: international evidence
    Applied Financial Economics, 2005, 15, (1), 31-42 Downloads View citations (1)

2004

  1. A simple test of the Fama and French model using daily data: Australian evidence
    Applied Financial Economics, 2004, 14, (2), 83-92 Downloads View citations (29)
  2. ASYMMETRIC COVARIANCE, VOLATILITY, AND THE EFFECT OF NEWS
    Journal of Financial Research, 2004, 27, (3), 393-413 Downloads View citations (1)
  3. An International Investigation of the Factors that Determine Conditional Gold Betas
    The Financial Review, 2004, 39, (3), 473-488 Downloads View citations (9)
  4. 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)
  5. Correlations, integration and Hansen-Jagannathan bounds
    Applied Financial Economics, 2004, 14, (16), 1167-1180 Downloads View citations (1)
  6. Do futures‐based strategies enhance dynamic portfolio insurance?
    Journal of Futures Markets, 2004, 24, (6), 591-608 Downloads View citations (3)
  7. Further evidence on the announcement effect of bonus shares in an imputation tax setting
    Global Finance Journal, 2004, 15, (2), 147-170 Downloads View citations (3)
  8. Investigating performance benchmarks in the context of international trusts: Australian evidence
    Applied Financial Economics, 2004, 14, (9), 631-644 Downloads View citations (3)
  9. 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 Downloads View citations (29)
    See also Chapter (2018)
  10. Maximizing futures returns using fixed fraction asset allocation
    Applied Financial Economics, 2004, 14, (15), 1067-1073 Downloads View citations (1)
  11. Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-sector Managed Funds
    Journal of Business Finance & Accounting, 2004, 31, (3-4), 539-578 Downloads View citations (25)
  12. The intra-industry impact of special dividend announcements: contagion versus competition
    Journal of Multinational Financial Management, 2004, 14, (4-5), 369-385 Downloads View citations (1)
  13. The national market impact of sovereign rating changes
    Journal of Banking & Finance, 2004, 28, (1), 233-250 Downloads View citations (93)
  14. The relationship between exchange rate exposure, currency risk management and performance of international equity funds
    Pacific-Basin Finance Journal, 2004, 12, (3), 333-357 Downloads View citations (2)

2003

  1. A performance analysis of Australian international equity trusts
    Journal of International Financial Markets, Institutions and Money, 2003, 13, (1), 69-84 Downloads View citations (2)
  2. An exploratory investigation of the relation between risk tolerance scores and demographic characteristics
    Journal of Multinational Financial Management, 2003, 13, (4-5), 483-502 Downloads View citations (12)
  3. An investigation into the role of liquidity in asset pricing: Australian evidence
    Pacific-Basin Finance Journal, 2003, 11, (5), 555-572 Downloads View citations (27)
  4. 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 Downloads View citations (18)
  5. Capital Market Integration and Industrial Structure: The Case of Australia, Canada and the United States
    Journal of Economic Integration, 2003, 18, 433-465 View citations (5)
  6. Creating Fama and French Factors with Style
    The Financial Review, 2003, 38, (2), 311-322 Downloads View citations (8)
  7. Exchange rate sensitivity of Australian international equity funds
    Global Finance Journal, 2003, 14, (1), 95-120 Downloads View citations (2)
  8. Further Evidence on the Corporate Use of Derivatives in Australia: The Case of Foreign Currency and Interest Rate Instruments
    Australian Journal of Management, 2003, 28, (3), 307-317 Downloads View citations (11)
  9. Global industry betas
    Applied Economics Letters, 2003, 10, (1), 21-26 Downloads
  10. Gold factor exposures in international asset pricing
    Journal of International Financial Markets, Institutions and Money, 2003, 13, (3), 271-289 Downloads View citations (30)
  11. Short-term contrarian investing--is it profitable?... Yes and No
    Journal of Multinational Financial Management, 2003, 13, (4-5), 385-404 Downloads View citations (10)
  12. Sudden changes in property rights: the case of Australian native title
    Journal of Economic Behavior & Organization, 2003, 52, (4), 427-442 Downloads
  13. The Determinants of Conditional Autocorrelation in Stock Returns
    Journal of Financial Research, 2003, 26, (2), 259-274 Downloads View citations (16)

2002

  1. An ordered response model of test cricket performance
    Applied Economics, 2002, 34, (18), 2353-2365 Downloads View citations (10)
  2. International cross-listings towards more liquid markets: the impact on domestic firms
    Journal of Multinational Financial Management, 2002, 12, (4-5), 365-390 Downloads View citations (6)
  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 (9)
  4. On The Determinants of Derivative Usage by Australian Companies
    Australian Journal of Management, 2002, 27, (1), 1-24 Downloads View citations (18)
  5. The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study
    The Journal of Business, 2002, 75, (1), 95-126 Downloads View citations (6)
  6. The pricing of foreign exchange risk in the Australian equities market
    Pacific-Basin Finance Journal, 2002, 10, (1), 77-95 Downloads View citations (11)
  7. Time varying country risk: an assessment of alternative modelling techniques
    The European Journal of Finance, 2002, 8, (3), 249-274 Downloads View citations (18)

2001

  1. A Multivariate Test of a Dual-Beta CAPM: Australian Evidence
    The Financial Review, 2001, 36, (4), 157-74 View citations (17)
  2. An Examination of the Fama and French Three-Factor Model Using Commercially Available Factors
    Australian Journal of Management, 2001, 26, (1), 1-17 Downloads View citations (23)
  3. 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 (11)
  4. Induced persistence or reversals in fund performance?: the effect of survivorship bias
    Applied Financial Economics, 2001, 11, (2), 119-126 Downloads View citations (11)
  5. New insights into the impact of the introduction of futures trading on stock price volatility
    Journal of Futures Markets, 2001, 21, (3), 237-255 Downloads View citations (6)
  6. 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 (11)
    See also Working Paper (1998)
  7. Testing a two factor APT model on Australian industry equity portfolios: the effect of intervaling
    Applied Financial Economics, 2001, 11, (2), 157-163 Downloads
  8. The Effect of Intervaling on the Foreign Exchange Exposure of Australian Stock Returns
    Multinational Finance Journal, 2001, 5, (1), 1-33 Downloads View citations (1)
  9. The intertemporal relationship between market return and variance: an Australian perspective
    Accounting and Finance, 2001, 41, (3), 169-196 Downloads View citations (4)

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 (39)
  2. An analysis of asymmetry in foreign currency exposure of the Australian equities market
    Journal of Multinational Financial Management, 2000, 10, (2), 133-159 Downloads View citations (26)
  3. Australian industry beta risk, the choice of market index and business cycles
    Applied Financial Economics, 2000, 10, (1), 49-58 Downloads View citations (6)
  4. Beta and Return: Implications of Australia's Dividend Imputation Tax System
    Australian Journal of Management, 2000, 25, (3), 245-260 Downloads View citations (2)
  5. 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 (8)
  6. Modeling Australia's country risk: a country beta approach
    Journal of Economics and Business, 2000, 52, (3), 259-276 Downloads View citations (11)
  7. Modelling the Equity Beta Risk of Australian Financial Sector Companies
    Australian Economic Papers, 2000, 39, (3), 301-11 Downloads View citations (16)
  8. Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques
    Journal of Business Finance & Accounting, 2000, 27, (5&6), 523-554 Downloads View citations (41)
  9. 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. An examination of Australian equity trusts for selectivity and market timing performance
    Journal of Multinational Financial Management, 1999, 9, (3-4), 387-402 Downloads View citations (22)
  2. An examination of the relationship between Australian industry equity returns and expected inflation
    Applied Economics, 1999, 31, (8), 915-933 Downloads View citations (5)
  3. An international market model and exchange rate risk: Australian evidence
    Applied Economics Letters, 1999, 6, (2), 77-80 Downloads View citations (2)
  4. Interest rate risk of Australian financial sector companies in a period of regulatory change
    Pacific-Basin Finance Journal, 1999, 7, (1), 83-101 Downloads View citations (14)
  5. Mean reversion and the forecasting of country betas: a note
    Global Finance Journal, 1999, 10, (2), 231-245 Downloads View citations (2)
  6. Oil price risk and the Australian stock market
    Journal of Energy Finance & Development, 1999, 4, (1), 69-87 Downloads View citations (159)
  7. Some additional Australian evidence on the day-of-the-week effect
    Applied Economics Letters, 1999, 6, (4), 247-249 Downloads View citations (17)

1998

  1. A multifactor model of gold industry stock returns: evidence from the Australian equity market
    Applied Financial Economics, 1998, 8, (1), 21-28 Downloads View citations (33)
  2. A test of the intertemporal CAPM in the Australian equity market
    Journal of International Financial Markets, Institutions and Money, 1998, 8, (2), 175-188 Downloads
  3. 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 (5)
  4. Consumption versus market betas of Australian industry portfolios
    Applied Economics Letters, 1998, 5, (8), 513-517 Downloads View citations (1)
  5. The empirical relationship between aggregate consumption and security prices in Australia
    Pacific-Basin Finance Journal, 1998, 6, (1-2), 213-224 Downloads View citations (2)
  6. Time-varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis
    Journal of Business Finance & Accounting, 1998, 25, (5&6), 721-745 Downloads View citations (35)
  7. Time†Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques
    Australian Journal of Management, 1998, 23, (1), 1-22 Downloads View citations (19)

1997

  1. A further examination of the effect of diversification on the stability of portfolio betas
    Applied Financial Economics, 1997, 7, (1), 9-14 Downloads View citations (3)
  2. 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 (4)
  3. A note on beta forecasting
    Applied Economics Letters, 1997, 4, (2), 77-78 Downloads View citations (4)
  4. 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 (6)
    See also Working Paper (1997)
  5. Bank exposures to interest-rate risk: the case of the Australian banking industry
    Applied Economics Letters, 1997, 4, (12), 737-739 Downloads View citations (2)
  6. Beta stability and monthly seasonal effects: evidence from the Australian capital market
    Applied Economics Letters, 1997, 4, (9), 563-566 Downloads View citations (6)
  7. Financial Deregulation and Relative Risk of Australian Industry
    Australian Economic Papers, 1997, 36, (69), 308-20 View citations (2)
  8. Testing the conditional CAPM and the effect of intervaling: A note
    Pacific-Basin Finance Journal, 1997, 5, (5), 527-537 Downloads View citations (13)

1996

  1. An evaluation of volatility forecasting techniques
    Journal of Banking & Finance, 1996, 20, (3), 419-438 Downloads View citations (127)
  2. The Nature and Extent of Beta Instability In the Kuala Lumpur Stock Market
    Capital Markets Review, 1996, 4, (2), 1-14 Downloads

1995

  1. 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 (19)

    See also Working Paper (1994)
  2. 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 (1995)

1993

  1. A Multivariate Test of an Equilibrium APT with Time Varying Risk Premia in the Australian Equity Market
    Australian Journal of Management, 1993, 17, (2), 233-258 Downloads

Chapters

2018

  1. Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond, Stock and Foreign Exchange Markets
    Chapter 5 in Information Spillovers and Market Integration in International Finance Empirical Analyses, 2018, pp 151-174 Downloads
    See also Journal Article in Journal of Multinational Financial Management (2004)

Editor

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