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

Short-id: pfa127

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Working Papers

2023

1. The commodity risk premium and neural networks
   Post-Print, HAL View citations (2)
   See also Journal Article The commodity risk premium and neural networks, Journal of Empirical Finance, Elsevier (2023) View citations (2) (2023)

2022

2. The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures
   Post-Print, HAL View citations (1)
   See also Journal Article The strategic allocation to style-integrated portfolios of commodity futures, Journal of Commodity Markets, Elsevier (2022) View citations (1) (2022)

2021

3. Dynamic industry uncertainty networks and the business cycle
   Papers, arXiv.org View citations (1)
   See also Journal Article Dynamic industry uncertainty networks and the business cycle, Journal of Economic Dynamics and Control, Elsevier (2024) View citations (2) (2024)

2020

4. Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?
   Post-Print, HAL View citations (6)
   See also Journal Article Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?, Journal of Empirical Finance, Elsevier (2020) View citations (6) (2020)

2007

5. Are financial derivates really value enhancing? Australian evidence
   Working Papers, Deakin University, Department of Economics View citations (8)
6. 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
   See also Journal Article Reported earnings and analyst forecasts as competing sources of information: A new approach, Australian Journal of Management, Australian School of Business (2012) View citations (2) (2012)

2004

7. Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case
   Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)
8. Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (6)
   See also Journal Article MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2005) View citations (5) (2005)

1998

9. A Multi-Country of Power ARCH Models and National Stock Market Returns
   Working Papers, Melbourne - Centre in Finance
10. 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

11. 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

12. Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period
    Working Papers, Melbourne - Centre in Finance View citations (2)

1995

13. 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

14. 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)

Journal Articles

2024

1. Are there any safe haven assets against oil price falls?
   Applied Economics, 2024, 56, (57), 7845-7860
2. Asymmetry, earnings announcements, and the beta-return relation
   Finance Research Letters, 2024, 67, (PB)
3. Does Social Capital Enhance Stock Liquidity? An Investigation of the Resilience of the Trading Environment During a Crisis of Trust
   Abacus, 2024, 60, (3), 627-664
4. Dynamic industry uncertainty networks and the business cycle
   Journal of Economic Dynamics and Control, 2024, 159, (C) View citations (2)
   See also Working Paper Dynamic industry uncertainty networks and the business cycle, Papers (2021) View citations (1) (2021)
5. Retail traders and co-movement: Evidence from Robinhood trading activity
   International Review of Financial Analysis, 2024, 95, (PB)
6. When Investors Can Talk to Firms, Is It a Meaningful Conversation? Evidence from Investor Postings on Interactive Platforms
   European Accounting Review, 2024, 33, (3), 771-795

2023

7. Behavioral implications of sovereign ceiling doctrine for the access to credit by firms
   International Review of Financial Analysis, 2023, 90, (C)
8. Information acquisition and market liquidity: Evidence from EDGAR search activity
   Global Finance Journal, 2023, 57, (C)
9. Pitching business school researcher profiles
   Journal of Accounting Literature, 2023, 46, (4), 539-564
10. The commodity risk premium and neural networks
    Journal of Empirical Finance, 2023, 74, (C) View citations (2)
    See also Working Paper The commodity risk premium and neural networks, Post-Print (2023) View citations (2) (2023)

2022

11. Effects of incentive pay on systemic risk: evidence from CEO compensation and CoVar
    Empirical Economics, 2022, 63, (6), 3289-3311
12. Effects of institutional investor ownership on innovation
    International Journal of Corporate Governance, 2022, 13, (1), 1-26
13. Foreign ownership and stock liquidity uncertainty
    Journal of International Financial Markets, Institutions and Money, 2022, 81, (C) View citations (8)
14. Industry market reaction to natural disasters: do firm characteristics and disaster magnitude matter?
    Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, 2022, 111, (3), 2963-2994 View citations (1)
15. Nonlinear limits to arbitrage
    Journal of Futures Markets, 2022, 42, (6), 1084-1113
16. Realized moments and the cross-sectional stock returns around earnings announcements
    International Review of Economics & Finance, 2022, 79, (C), 408-427
17. The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?
    International Review of Financial Analysis, 2022, 83, (C) View citations (23)
18. The strategic allocation to style-integrated portfolios of commodity futures
    Journal of Commodity Markets, 2022, 28, (C) View citations (1)
    See also Working Paper The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures, Post-Print (2022) View citations (1) (2022)
19. Uncertainty, investment spikes, and corporate leverage adjustments
    Journal of Banking & Finance, 2022, 145, (C) View citations (1)
20. Vale Emeritus Professor Francis (Frank) James Finn
    Accounting and Finance, 2022, 62, (3), 3069-3071
21. What can we learn from firm-level jump-induced tail risk around earnings announcements?
    Journal of Banking & Finance, 2022, 138, (C)
22. Who's Greenwashing Via the Media and What are the Consequences? Evidence From China
    Abacus, 2022, 58, (4), 759-786 View citations (7)

2021

23. A visualisation approach for pitching research
    Accounting and Finance, 2021, 61, (4), 5177-5197 View citations (3)
24. Business shocks and corporate leverage
    Journal of Banking & Finance, 2021, 131, (C) View citations (6)
25. Does board independence constrain insider opportunism?
    Australian Journal of Management, 2021, 46, (3), 499-522 View citations (1)
26. Informational content of options around analyst recommendations
    International Journal of Managerial Finance, 2021, 18, (3), 445-465
27. Institutional investor horizon and bank risk-taking
    Journal of Corporate Finance, 2021, 66, (C) View citations (14)
28. Institutional ownership and corporate risk-taking in Japanese listed firms
    Applied Economics, 2021, 53, (16), 1899-1914 View citations (12)
29. Is the ex‐ante equity risk premium always positive? Evidence from a new conditional expectations model
    Accounting and Finance, 2021, 61, (1), 95-124 View citations (1)
30. Pairs trading and idiosyncratic cash flow risk
    Accounting and Finance, 2021, 61, (2), 3171-3206
31. Pitching research for engagement and impact: a simple tool and illustrative examples
    Accounting and Finance, 2021, 61, (2), 3329-3383 View citations (3)
32. Political connections and media slant
    International Review of Economics & Finance, 2021, 74, (C), 58-80 View citations (4)
33. Relative bond-stock liquidity and capital structure choices
    Journal of Corporate Finance, 2021, 69, (C) View citations (2)
34. Social trust and the speed of corporate leverage adjustment: evidence from around the globe
    Accounting and Finance, 2021, 61, (2), 3261-3303 View citations (11)
35. The impact of voluntary capital adequacy disclosure on bank lending and liquidity creation
    Accounting and Finance, 2021, 61, (3), 3915-3935 View citations (2)
36. Using abnormal analyst coverage to unlock new evidence on stock price crash risk
    Accounting and Finance, 2021, 61, (S1), 1557-1588 View citations (2)
37. … More on the use of research templates
    Accounting and Finance, 2021, 61, (4), 5003-5023 View citations (1)

2020

38. A Liquidity Redistribution Effect in Intercorporate Lending: Evidence from Private Firms in Poland
    European Research Studies Journal, 2020, XXIII, (1), 151-175 View citations (2)
39. Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?
    Journal of Empirical Finance, 2020, 58, (C), 164-180 View citations (6)
    See also Working Paper Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?, Post-Print (2020) View citations (6) (2020)
40. Does takeover competition affect acquisition choices and bidding firm performance? Australian evidence
    Accounting and Finance, 2020, 60, (4), 3581-3619 View citations (2)
41. Evidence of strategic information uncertainty around opportunistic insider purchases
    Journal of Banking & Finance, 2020, 117, (C) View citations (4)
42. Market response of US equities to domestic natural disasters: industry‐based evidence
    Accounting and Finance, 2020, 60, (4), 3875-3904 View citations (4)
43. Pitching research: ‘qualitative cousins’ and the ‘extended family’
    Accounting and Finance, 2020, 60, (1), 227-269
44. Size‐conditioned mandatory capital adequacy disclosure and bank intermediation
    Accounting and Finance, 2020, 60, (4), 4387-4417 View citations (1)
45. The impact of audit quality in rights offerings
    Accounting and Finance, 2020, 60, (3), 2007-2037 View citations (3)

2019

46. Adopting a Structured Abstract Design to More Effectively Catch Reader Attention: An Application of the Pitching Research® Framework
    Capital Markets Review, 2019, 27, (2), 1-13 View citations (3)
47. Did connected hedge funds benefit from bank bailouts during the financial crisis?
    Journal of Banking & Finance, 2019, 107, (C), - View citations (2)
48. Do brokers' recommendation changes generate brokerage? Evidence from a central limit order market
    Accounting and Finance, 2019, 59, (1), 115-142
49. Financial markets, innovation and regulation
    The European Journal of Finance, 2019, 25, (7), 595-598 View citations (1)
50. Individualistic cultures and crash risk
    European Financial Management, 2019, 25, (3), 622-654 View citations (22)
51. Is Financial Flexibility a Priced Factor in the Stock Market?
    The Financial Review, 2019, 54, (2), 345-375 View citations (3)
52. Labor unions and corporate financial leverage: The bargaining device versus crowding-out hypotheses
    Journal of Financial Intermediation, 2019, 37, (C), 28-44 View citations (13)
53. Merger and acquisition research in the Asia-Pacific region: A review of the evidence and future directions
    Research in International Business and Finance, 2019, 50, (C), 267-278 View citations (7)
54. Predicting corporate bankruptcy: What matters?
    International Review of Economics & Finance, 2019, 62, (C), 1-19 View citations (15)
55. Responsible science: Celebrating the 50-year legacy of Ball and Brown (1968) using a registration-based framework
    Pacific-Basin Finance Journal, 2019, 56, (C), 129-150 View citations (4)
56. Trusting Clients’ Financial Risk Tolerance Survey Scores
    Financial Analysts Journal, 2019, 75, (2), 91-104 View citations (2)

2018

57. A specialised volatility index for the new GICS sector - Real estate
    Economic Modelling, 2018, 70, (C), 438-446 View citations (4)
58. New evidence on national culture and bank capital structure
    Pacific-Basin Finance Journal, 2018, 50, (C), 41-64 View citations (34)
59. New evidence on sovereign to corporate credit rating spill-overs
    International Review of Financial Analysis, 2018, 55, (C), 209-225 View citations (10)
60. Noise Momentum Around the World
    Abacus, 2018, 54, (1), 79-104 View citations (3)
61. 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

2017

62. Applicability of Investment and Profitability Effects in Asset Pricing Models
    RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), 2017, 21, (6), 851-874 View citations (1)
63. 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 View citations (21)
64. Fantasy Pitching
    Journal of Accounting and Management Information Systems, 2017, 16, (2), 360-379
65. Hitting SKEW for SIX
    Economic Modelling, 2017, 64, (C), 449-464 View citations (11)
66. The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM
    Journal of Business Ethics, 2017, 146, (2), 353-364 View citations (6)
67. The complementary role of cross-sectional and time-series information in forecasting stock returns
    Australian Journal of Management, 2017, 42, (1), 113-139

2016

68. A contemporary view of corporate finance theory, empirical evidence and practice
    Australian Journal of Management, 2016, 41, (4), 662-686 View citations (7)
69. CEO overconfidence and corporate debt maturity
    Journal of Corporate Finance, 2016, 36, (C), 93-110 View citations (87)
70. Deviation from target capital structure, cost of equity and speed of adjustment
    Journal of Corporate Finance, 2016, 39, (C), 99-120 View citations (41)
71. Diamonds vs. precious metals: What shines brightest in your investment portfolio?
    International Review of Financial Analysis, 2016, 43, (C), 1-14 View citations (38)
72. Do corporate policies follow a life-cycle?
    Journal of Banking & Finance, 2016, 69, (C), 95-107 View citations (64)
73. Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?
    Journal of Banking & Finance, 2016, 68, (C), 153-161 View citations (5)
74. Enhancing mean–variance portfolio selection by modeling distributional asymmetries
    Journal of Economics and Business, 2016, 85, (C), 49-72 View citations (12)
75. Factors affecting the birth and fund flows of CTAs
    Australian Journal of Management, 2016, 41, (2), 324-352
76. Financial constraints and dividend policy
    Australian Journal of Management, 2016, 41, (3), 484-507 View citations (10)
77. Further evidence on idiosyncratic risk and REIT pricing: a cross-country analysis
    Accounting Research Journal, 2016, 29, (1), 34-58
78. 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 View citations (1)
79. Short-selling pressure and last-resort debt finance: evidence from 144A high-yield risk-adjusted debt
    Accounting and Finance, 2016, 56, (4), 1149-1185
80. Stock Liquidity Risk and the Cross-sectional Earnings-Returns Relationship
    Journal of Business Finance & Accounting, 2016, 43, (9-10), 1121-1141 View citations (1)
81. Sub-optimal international portfolio allocations and the cost of capital
    Journal of Multinational Financial Management, 2016, 35, (C), 41-58 View citations (2)
82. The profitability of pairs trading strategies: distance, cointegration and copula methods
    Quantitative Finance, 2016, 16, (10), 1541-1558 View citations (47)

2015

83. A simple template for pitching research
    Accounting and Finance, 2015, 55, (2), 311-336 View citations (36)
84. Corporate governance, firm value and risk: Past, present, and future
    Pacific-Basin Finance Journal, 2015, 35, (PA), 1-12 View citations (22)
85. 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)
86. Herding Behavior and Rating Convergence among Credit Rating Agencies: Evidence from the Subprime Crisis
    Review of Finance, 2015, 19, (4), 1703-1731 View citations (32)
87. Individual financial risk tolerance and the global financial crisis
    Accounting and Finance, 2015, 55, (1), 165-185 View citations (33)
88. Injecting liquidity into liquidity research
    Pacific-Basin Finance Journal, 2015, 35, (PB), 533-540 View citations (6)
89. Yes, one-day international cricket ‘in-play’ trading strategies can be profitable!
    Journal of Banking & Finance, 2015, 61, (S2), S164-S176 View citations (3)

2014

90. A Comparative Analysis of the Investment Characteristics of Alternative Gold Assets
    Abacus, 2014, 50, (1), 76-92 View citations (20)
91. Alpha
    Journal of Accounting and Management Information Systems, 2014, 13, (4), 607-622
92. 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 View citations (10)
93. Bias correction in the estimation of dynamic panel models in corporate finance
    Journal of Corporate Finance, 2014, 25, (C), 494-513 View citations (30)
94. Corporate social responsibility and CEO compensation revisited: Do disaggregation, market stress, gender matter?
    Journal of Economics and Business, 2014, 72, (C), 84-103 View citations (18)
95. Determinants of the extent of Asia-Pacific banks’ derivative activities
    Journal of Accounting and Management Information Systems, 2014, 13, (3), 430-448 View citations (1)
96. Disciplinary tools and bank risk exposure
    Pacific-Basin Finance Journal, 2014, 26, (C), 37-64 View citations (19)
97. Fifty years of finance research in the Asia Pacific Basin
    Accounting and Finance, 2014, 54, (2), 335-363 View citations (51)
98. Is there a Banking Risk Premium in the US Stock Market?
    Journal of Financial Management, Markets and Institutions, 2014, (1), 27-42 View citations (1)
99. Market discipline and bank risk taking
    Australian Journal of Management, 2014, 39, (3), 327-350 View citations (11)
100. 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 View citations (3)
101. The role of board gender on the profitability of insider trading
     International Journal of Accounting & Information Management, 2014, 22, (3), 180-193
102. 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 View citations (8)

2013

103. 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 View citations (1)
104. An Empirical Study of the World Price of Sustainability
     Journal of Business Ethics, 2013, 114, (2), 297-310 View citations (13)
105. 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 View citations (2)
106. Canonical vine copulas in the context of modern portfolio management: Are they worth it?
     Journal of Banking & Finance, 2013, 37, (8), 3085-3099 View citations (74)
107. Diminishing marginal returns from R&D investment: evidence from manufacturing firms
     Applied Economics, 2013, 45, (5), 611-622 View citations (7)
108. Do high and low‐ranked sustainability stocks perform differently?
     International Journal of Accounting & Information Management, 2013, 21, (2), 116-132
109. Does board structure in banks really affect their performance?
     Journal of Banking & Finance, 2013, 37, (5), 1573-1589 View citations (208)
110. Financial Inflexibility and the Value Premium
     International Review of Finance, 2013, 13, (3), 327-344 View citations (3)
111. Liquidity in asset pricing: New Australian evidence using low-frequency data
     Australian Journal of Management, 2013, 38, (2), 375-400 View citations (20)
112. 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 View citations (1)
113. Oil, Oil Volatility and Airline Stocks: A Global Analysis
     Journal of Accounting and Management Information Systems, 2013, 12, (2), 302-318
114. Pricing innovations in consumption growth: A re-evaluation of the recursive utility model
     Journal of Banking & Finance, 2013, 37, (11), 4465-4475 View citations (2)
115. Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news
     Journal of Banking & Finance, 2013, 37, (11), 4488-4500 View citations (3)
116. The long- and short-run financial impacts of cross listing on Australian firms
     Australian Journal of Management, 2013, 38, (1), 81-98 View citations (1)
117. What drives the commodity price beta of oil industry stocks?
     Energy Economics, 2013, 37, (C), 1-15 View citations (7)

2012

118. ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS?
     Journal of Financial Research, 2012, 35, (2), 261-287 View citations (58)
119. Competitive valuation effects of Australian IPOs
     International Review of Financial Analysis, 2012, 24, (C), 74-83 View citations (3)
120. Corporate philanthropy: Insights from the 2008 Wenchuan Earthquake in China
     Pacific-Basin Finance Journal, 2012, 20, (3), 363-377 View citations (36)
121. Determinants of bond spreads: evidence from credit derivatives of Australian firms
     Australian Journal of Management, 2012, 37, (1), 29-46 View citations (4)
122. Location Decisions of Domestic and Foreign-Affiliated Financial Advisors: Australian Evidence
     Journal of Financial Services Research, 2012, 42, (3), 207-228
123. Profiling socially responsible investors: Australian evidence
     Australian Journal of Management, 2012, 37, (2), 189-209 View citations (29)
124. Reported earnings and analyst forecasts as competing sources of information: A new approach
     Australian Journal of Management, 2012, 37, (3), 333-359 View citations (2)
     See also Working Paper Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach, ANU Working Papers in Economics and Econometrics (2007) (2007)
125. Return-based Style Analysis in Australian Funds
     Multinational Finance Journal, 2012, 16, (3-4), 155-188 View citations (2)
126. Rights Offerings, Subscription Period, Shareholder Takeup, and Liquidity
     Journal of Financial and Quantitative Analysis, 2012, 47, (1), 213-239 View citations (14)
127. Stock salience and the asymmetric market effect of consumer sentiment news
     Journal of Banking & Finance, 2012, 36, (12), 3289-3301 View citations (29)
128. The Global Financial Crisis: some attributes and responses
     Accounting and Finance, 2012, 52, (1), 1-7 View citations (10)

2011

129. ARE WATCH PROCEDURES A CRITICAL INFORMATIONAL EVENT IN THE CREDIT RATINGS PROCESS? AN EMPIRICAL INVESTIGATION
     Journal of Financial Research, 2011, 34, (4), 617-640 View citations (8)
130. Accounting Competencies and the Changing Role of Accountants in Emerging Economies: The Case of Romania
     Accounting in Europe, 2011, 8, (2), 155-184 View citations (11)
131. Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets
     Applied Financial Economics, 2011, 21, (22), 1665-1678 View citations (4)
132. Introduction: 50th Anniversary Issue of Accounting & Finance
     Accounting and Finance, 2011, 51, (1), 1-1
133. Is default risk priced in Australian equity? Exploring the role of the business cycle
     Australian Journal of Management, 2011, 36, (2), 217-246 View citations (12)
134. 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
135. The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates
     Australian Journal of Management, 2011, 36, (3), 387-403 View citations (3)
136. The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns
     Journal of Banking & Finance, 2011, 35, (5), 1239-1249 View citations (62)
137. Women and risk tolerance in an aging world
     International Journal of Accounting & Information Management, 2011, 19, (2), 100-117

2010

138. Are firms hedging or speculating? The relationship between financial derivatives and firm risk
     Applied Financial Economics, 2010, 20, (10), 827-843 View citations (10)
139. Asymmetry in return and volatility spillover between equity and bond markets in Australia
     Pacific-Basin Finance Journal, 2010, 18, (3), 272-289 View citations (52)
140. Corporate usage of financial derivatives, information asymmetry, and insider trading
     Journal of Futures Markets, 2010, 30, (1), 25-47 View citations (1)
141. Does Simple Pairs Trading Still Work?
     Financial Analysts Journal, 2010, 66, (4), 83-95 View citations (7)
142. Does the type of derivative instrument used by companies impact firm value?
     Applied Economics Letters, 2010, 17, (7), 681-683 View citations (10)
143. 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
144. Explaining mispricing with Fama-French factors: new evidence from the multiscaling approach
     Applied Financial Economics, 2010, 20, (4), 323-330 View citations (1)
145. Financial constraints and stock returns -- Evidence from Australia
     Pacific-Basin Finance Journal, 2010, 18, (3), 306-318 View citations (11)
146. Liquidity and stock returns in Japan: New evidence
     Pacific-Basin Finance Journal, 2010, 18, (1), 90-115 View citations (33)
147. New evidence on the relation between stock liquidity and measures of trading activity
     International Review of Financial Analysis, 2010, 19, (3), 181-192 View citations (28)
148. Performance persistence in hedge funds: Australian evidence
     Journal of International Financial Markets, Institutions and Money, 2010, 20, (4), 346-362 View citations (6)
149. Style analysis and dominant index timing: an application to Australian multi-sector managed funds
     Applied Financial Economics, 2010, 20, (4), 293-301 View citations (1)
150. Testing seasonality in the liquidity-return relation: Japanese evidence
     Applied Economics Letters, 2010, 17, (10), 951-954 View citations (2)
151. The Market Impact of Relative Agency Activity in the Sovereign Ratings Market
     Journal of Business Finance & Accounting, 2010, 37, (9‐10), 1309-1347 View citations (53)
152. The equity and efficiency of the Australian share market with respect to director trading
     Accounting Research Journal, 2010, 23, (1), 5-19 View citations (6)
153. The influence of time, seasonality and market state on momentum: insights from the Australian stock market
     Applied Financial Economics, 2010, 20, (20), 1547-1563 View citations (6)
154. The simultaneous relation between fund flows and returns
     Australian Journal of Management, 2010, 35, (1), 51-68 View citations (8)
155. Variations in sovereign credit quality assessments across rating agencies
     Journal of Banking & Finance, 2010, 34, (6), 1327-1343 View citations (87)

2009

156. 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 View citations (10)
157. Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective
     The Financial Review, 2009, 44, (2), 213-237 View citations (201)
158. 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)
159. Default risk and equity returns: Australian evidence
     Pacific-Basin Finance Journal, 2009, 17, (5), 580-593 View citations (17)
160. 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 View citations (17)
161. Do Australian hedge fund managers possess timing abilities?
     Applied Financial Economics, 2009, 19, (1), 27-38 View citations (1)
162. 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)
163. Fund Size, Transaction Costs and Performance: Size Matters!
     Australian Journal of Management, 2009, 34, (1), 73-96 View citations (8)
164. New Insights into Rights Offerings as Signals of Firm Quality: Evidence from Australia*
     Journal of Applied Corporate Finance, 2009, 21, (3), 80-85 View citations (3)
165. Nonlinear linkages between financial risk tolerance and demographic characteristics
     Applied Economics Letters, 2009, 16, (13), 1329-1332 View citations (20)
166. Revisiting the Vexing Question: Does Superior Corporate Social Performance Lead to Improved Financial Performance?
     Australian Journal of Management, 2009, 34, (1), 21-49 View citations (58)
167. Testing for asymmetric effects in the accrual anomaly using piecewise linear regressions
     Pacific Accounting Review, 2009, 21, (1), 5-25
168. 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 View citations (1)
169. Tournament behavior in Australian superannuation funds: A non-parametric analysis
     Global Finance Journal, 2009, 19, (3), 307-322 View citations (1)
170. Trading volume and information asymmetry: routine versus nonroutine earnings announcements in Australia
     Applied Financial Economics, 2009, 19, (21), 1737-1752 View citations (2)

2008

171. An Examination of Commonality in Liquidity: New Evidence from the Australian Stock Exchange
     Studies in Economics and Econometrics, 2008, 32, (3), 55-80
172. Analysing the performance of managed funds using the wavelet multiscaling method
     Review of Quantitative Finance and Accounting, 2008, 31, (1), 55-70 View citations (6)
173. Does oil move equity prices? A global view
     Energy Economics, 2008, 30, (3), 986-997 View citations (390)
174. 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 View citations (9)
175. Evidence of feedback trading with Markov switching regimes
     Review of Quantitative Finance and Accounting, 2008, 30, (2), 133-151 View citations (13)
176. Fortune Favours the Bold? Exploring Tournament Behavior among Australian Superannuation Funds
     Journal of Financial Services Research, 2008, 33, (3), 205-220 View citations (3)
177. ON THE LINKAGE BETWEEN FINANCIAL RISK TOLERANCE AND RISK AVERSION
     Journal of Financial Research, 2008, 31, (1), 1-23 View citations (27)
178. 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 View citations (3)
179. Rights offerings, takeup, renounceability, and underwriting status
     Journal of Financial Economics, 2008, 89, (2), 328-346 View citations (24)
180. Style analysis, customized benchmarks, and managed funds: new evidence
     Applied Financial Economics Letters, 2008, 4, (4), 253-258
181. Style drift and fund performance in up and down markets: Australian evidence
     Applied Financial Economics Letters, 2008, 4, (6), 395-398 View citations (1)
182. Systematic liquidity in the long run
     Applied Financial Economics Letters, 2008, 4, (3), 187-191
183. THE CHANGING ROLE OF ACCOUNTANTS IN A TRANSITION ECONOMY - EVIDENCE FROM ROMANIA
     Annales Universitatis Apulensis Series Oeconomica, 2008, 1, (10), 5 View citations (1)
184. 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
185. The ex-date impact of special dividend announcements: A note
     International Review of Financial Analysis, 2008, 17, (3), 635-643 View citations (1)

2007

186. An examination of conditional asset pricing models in the Australian equities market
     Applied Financial Economics Letters, 2007, 3, (5), 307-312
187. Are the Fama-French Factors Proxying Default Risk?
     Australian Journal of Management, 2007, 32, (2), 223-249 View citations (34)
188. Asia-Pacific banks risk exposures: pre and post the Asian financial crisis
     Applied Financial Economics, 2007, 18, (6), 431-449 View citations (3)
189. Do Derivatives Have a Role in the Risk-Shifting Behaviour of Fund Managers?
     Australian Journal of Management, 2007, 32, (2), 271-292 View citations (7)
190. EXPLORING THE LINK BETWEEN INFORMATION QUALITY AND SYSTEMATIC RISK
     Journal of Financial Research, 2007, 30, (3), 335-353 View citations (1)
191. Exchange rate exposure, foreign currency derivatives and the introduction of the euro: French evidence
     International Review of Economics & Finance, 2007, 16, (4), 563-577 View citations (11)
192. Management earnings forecasts in a continuous disclosure environment
     Pacific Accounting Review, 2007, 19, (1), 5-30
193. Market conditions and the optimal IPO allocation mechanism in China
     Pacific-Basin Finance Journal, 2007, 15, (2), 121-139 View citations (16)
194. The Information Content of Australian Managed Fund Ratings
     Journal of Business Finance & Accounting, 2007, 34, (9‐10), 1528-1547 View citations (4)
195. 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 View citations (12)
196. The relationship between implied volatility and autocorrelation
     International Journal of Managerial Finance, 2007, 3, (2), 191-196 View citations (6)

2006

197. An integrated multi-model credit rating system for private firms
     Review of Quantitative Finance and Accounting, 2006, 27, (3), 311-340 View citations (10)
198. Asymmetric Market Reactions of Growth and Value Firms with Management Earnings Forecasts*
     International Review of Finance, 2006, 6, (1‐2), 79-97 View citations (5)
199. Conditional performance evaluation and the relevance of money flows for Australian international equity funds
     Pacific-Basin Finance Journal, 2006, 14, (3), 231-249 View citations (4)
200. Do Precious Metals Shine? An Investment Perspective
     Financial Analysts Journal, 2006, 62, (2), 98-106 View citations (27)
201. Factors or Characteristics? That is the Question
     Pacific Accounting Review, 2006, 18, (1), 21-46 View citations (1)
202. Forecasting stock market volatility: Further international evidence
     The European Journal of Finance, 2006, 12, (2), 171-188 View citations (14)
203. Foreign debt and financial hedging: Evidence from Australia
     International Review of Economics & Finance, 2006, 15, (2), 184-201 View citations (17)
204. Investigating the Determinants of the Decision to Engage In a Corporate Hedging Strategy
     Studies in Economics and Econometrics, 2006, 30, (1), 147-160
205. Investigating the Performance of Alternative Default-Risk Models: Option-Based Versus Accounting-Based Approaches
     Australian Journal of Management, 2006, 31, (2), 207-234 View citations (21)
206. Modelling return and conditional volatility exposures in global stock markets
     Review of Quantitative Finance and Accounting, 2006, 27, (2), 125-142 View citations (5)
207. On the Choice of Superannuation Funds in Australia
     Journal of Financial Services Research, 2006, 29, (3), 255-279 View citations (6)
208. On the estimation and comparison of short-rate models using the generalised method of moments
     Journal of Banking & Finance, 2006, 30, (11), 3131-3146 View citations (12)
209. Short-Run and Long-Run Oil Price Sensitivity of Equity Returns: The South Asian Markets
     Review of Applied Economics, 2006, 02, (2), 16

2005

210. A FURTHER EXAMINATION OF THE PRICE AND VOLATILITY IMPACT OF STOCK DIVIDENDS AT EX‐DATES*
     Australian Economic Papers, 2005, 44, (3), 248-268 View citations (3)
211. A Simple Test of the ‘Risk Class Hypothesis’
     Studies in Economics and Econometrics, 2005, 29, (1), 83-96
212. Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence
     Applied Financial Economics, 2005, 15, (18), 1251-1258 View citations (6)
213. 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 View citations (4)
214. 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 View citations (13)
215. 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 View citations (16)
216. Announcements of bonus share options: Signalling of the quality of firms
     Global Finance Journal, 2005, 16, (2), 180-190
217. Asia Pacific banks' derivative and risk management disclosures
     Asian Review of Accounting, 2005, 13, (1), 15-44
218. Asset Pricing and the Illiquidity Premium
     The Financial Review, 2005, 40, (4), 429-458 View citations (51)
219. Complete markets, informed trading and equity option introductions
     Journal of Banking & Finance, 2005, 29, (6), 1359-1384 View citations (19)
220. Editorial Note
     Accounting and Finance, 2005, 45, (1), 1-1
221. Firm Size and the Information Content of Annual Earnings Announcements: Australian Evidence
     Journal of Business Finance & Accounting, 2005, 32, (1‐2), 211-253 View citations (8)
222. International evidence on the determinants of foreign exchange rate exposure of multinational corporations
     Journal of International Business Studies, 2005, 36, (5), 539-558 View citations (20)
223. 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 View citations (5)
     See also Working Paper Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions, Monash Econometrics and Business Statistics Working Papers (2004) View citations (6) (2004)
224. Modeling conditional return autocorrelation
     International Review of Financial Analysis, 2005, 14, (1), 23-42 View citations (7)
225. Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection
     Journal of Financial Services Research, 2005, 27, (1), 77-98 View citations (6)
226. Profitability of Trading Rules in Futures Markets
     Accounting Research Journal, 2005, 18, (2), 83-92 View citations (2)
227. Tactical Asset Allocation: Australian Evidence
     Australian Journal of Management, 2005, 30, (2), 261-282 View citations (9)
228. The stock market impact of German reunification: international evidence
     Applied Financial Economics, 2005, 15, (1), 31-42 View citations (2)

2004

229. A simple test of the Fama and French model using daily data: Australian evidence
     Applied Financial Economics, 2004, 14, (2), 83-92 View citations (42)
230. ASYMMETRIC COVARIANCE, VOLATILITY, AND THE EFFECT OF NEWS
     Journal of Financial Research, 2004, 27, (3), 393-413 View citations (1)
231. An International Investigation of the Factors that Determine Conditional Gold Betas
     The Financial Review, 2004, 39, (3), 473-488 View citations (18)
232. Censoring and its impact on multivariate testing of the Capital Asset Pricing Model
     Applied Financial Economics, 2004, 14, (6), 413-420 View citations (2)
233. Correlations, integration and Hansen-Jagannathan bounds
     Applied Financial Economics, 2004, 14, (16), 1167-1180 View citations (1)
234. Do futures‐based strategies enhance dynamic portfolio insurance?
     Journal of Futures Markets, 2004, 24, (6), 591-608 View citations (6)
235. Does Undercapitalisation Help Explain Why Futures Speculators Lose Money?
     Studies in Economics and Econometrics, 2004, 28, (1), 45-56
236. Further evidence on the announcement effect of bonus shares in an imputation tax setting
     Global Finance Journal, 2004, 15, (2), 147-170 View citations (3)
237. Investigating performance benchmarks in the context of international trusts: Australian evidence
     Applied Financial Economics, 2004, 14, (9), 631-644 View citations (2)
238. Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets
     Journal of Multinational Financial Management, 2004, 14, (3), 217-232 View citations (42)
     See also Chapter Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond, Stock and Foreign Exchange Markets, World Scientific Book Chapters, 2018, 151-174 (2018) (2018)
239. Maximizing futures returns using fixed fraction asset allocation
     Applied Financial Economics, 2004, 14, (15), 1067-1073 View citations (4)
240. 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 View citations (27)
241. The intra-industry impact of special dividend announcements: contagion versus competition
     Journal of Multinational Financial Management, 2004, 14, (4-5), 369-385 View citations (5)
242. The national market impact of sovereign rating changes
     Journal of Banking & Finance, 2004, 28, (1), 233-250 View citations (137)
243. The relationship between exchange rate exposure, currency risk management and performance of international equity funds
     Pacific-Basin Finance Journal, 2004, 12, (3), 333-357 View citations (2)
244. What’s in a Name? Evidence on Corporate Name Changes from the Australian Capital Market
     Pacific Accounting Review, 2004, 16, (1), 57-76 View citations (1)

2003

245. A performance analysis of Australian international equity trusts
     Journal of International Financial Markets, Institutions and Money, 2003, 13, (1), 69-84 View citations (3)
246. An Investigation of the Relationship between Stated Fund Management Policy and Market Timing Ability
     Pacific Accounting Review, 2003, 15, (1), 1-15
247. An exploratory investigation of the relation between risk tolerance scores and demographic characteristics
     Journal of Multinational Financial Management, 2003, 13, (4-5), 483-502 View citations (35)
248. An investigation into the role of liquidity in asset pricing: Australian evidence
     Pacific-Basin Finance Journal, 2003, 11, (5), 555-572 View citations (39)
249. Can the use of foreign currency derivatives explain variations in foreign exchange exposure?: Evidence from Australian companies
     Journal of Multinational Financial Management, 2003, 13, (3), 193-215 View citations (26)
250. 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 (6)
251. Creating Fama and French Factors with Style
     The Financial Review, 2003, 38, (2), 311-322 View citations (15)
252. Exchange rate sensitivity of Australian international equity funds
     Global Finance Journal, 2003, 14, (1), 95-120 View citations (2)
253. 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 View citations (17)
254. Global industry betas
     Applied Economics Letters, 2003, 10, (1), 21-26 View citations (1)
255. Gold factor exposures in international asset pricing
     Journal of International Financial Markets, Institutions and Money, 2003, 13, (3), 271-289 View citations (37)
256. Short-term contrarian investing--is it profitable?... Yes and No
     Journal of Multinational Financial Management, 2003, 13, (4-5), 385-404 View citations (14)
257. Sudden changes in property rights: the case of Australian native title
     Journal of Economic Behavior & Organization, 2003, 52, (4), 427-442
258. The Determinants of Conditional Autocorrelation in Stock Returns
     Journal of Financial Research, 2003, 26, (2), 259-274 View citations (22)

2002

259. An ordered response model of test cricket performance
     Applied Economics, 2002, 34, (18), 2353-2365 View citations (15)
260. Are Returns in the International Economy Explained by a Single or Multi-Factor Structure?
     Studies in Economics and Econometrics, 2002, 26, (1), 17-32
261. International cross-listings towards more liquid markets: the impact on domestic firms
     Journal of Multinational Financial Management, 2002, 12, (4-5), 365-390 View citations (7)
262. 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)
263. On The Determinants of Derivative Usage by Australian Companies
     Australian Journal of Management, 2002, 27, (1), 1-24 View citations (41)
264. The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study
     The Journal of Business, 2002, 75, (1), 95-126 View citations (10)
265. The pricing of foreign exchange risk in the Australian equities market
     Pacific-Basin Finance Journal, 2002, 10, (1), 77-95 View citations (16)
266. Time varying country risk: an assessment of alternative modelling techniques
     The European Journal of Finance, 2002, 8, (3), 249-274 View citations (23)

2001

267. A Multivariate Test of a Dual-Beta CAPM: Australian Evidence
     The Financial Review, 2001, 36, (4), 157-74 View citations (24)
268. An Empirical Investigation of the Cross‐Industry Variation in Mean Reversion of Australian Stock Betas
     Pacific Accounting Review, 2001, 13, (2), 1-16
269. An Examination of the Fama and French Three-Factor Model Using Commercially Available Factors
     Australian Journal of Management, 2001, 26, (1), 1-17 View citations (48)
270. 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)
271. Induced persistence or reversals in fund performance?: the effect of survivorship bias
     Applied Financial Economics, 2001, 11, (2), 119-126 View citations (13)
272. New insights into the impact of the introduction of futures trading on stock price volatility
     Journal of Futures Markets, 2001, 21, (3), 237-255 View citations (18)
273. 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)
274. Taxation and Black's Zero-Beta Strategy Revisited
     Financial Analysts Journal, 2001, 57, (5), 57-65
275. 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)
276. The Effect of Intervaling on the Foreign Exchange Exposure of Australian Stock Returns
     Multinational Finance Journal, 2001, 5, (1), 1-33 View citations (9)
277. The intertemporal relationship between market return and variance: an Australian perspective
     Accounting and Finance, 2001, 41, (3), 169-196 View citations (7)

2000

278. A Test of a Two‐Factor ‘Market and Oil’ Pricing Model
     Pacific Accounting Review, 2000, 12, (1), 61-77
279. 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)
280. An analysis of asymmetry in foreign currency exposure of the Australian equities market
     Journal of Multinational Financial Management, 2000, 10, (2), 133-159 View citations (32)
281. Australian industry beta risk, the choice of market index and business cycles
     Applied Financial Economics, 2000, 10, (1), 49-58 View citations (6)
282. Beta and Return: Implications of Australia's Dividend Imputation Tax System
     Australian Journal of Management, 2000, 25, (3), 245-260 View citations (4)
283. 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)
284. Modeling Australia's country risk: a country beta approach
     Journal of Economics and Business, 2000, 52, (3), 259-276 View citations (12)
285. Modelling the Equity Beta Risk of Australian Financial Sector Companies
     Australian Economic Papers, 2000, 39, (3), 301-311 View citations (21)
286. Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques
     Journal of Business Finance & Accounting, 2000, 27, (5‐6), 523-554 View citations (66)
287. 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

288. An examination of Australian equity trusts for selectivity and market timing performance
     Journal of Multinational Financial Management, 1999, 9, (3-4), 387-402 View citations (26)
289. An examination of the relationship between Australian industry equity returns and expected inflation
     Applied Economics, 1999, 31, (8), 915-933 View citations (8)
290. An international market model and exchange rate risk: Australian evidence
     Applied Economics Letters, 1999, 6, (2), 77-80 View citations (2)
291. Extra-Market Sensitivity to a Gold Price Factor: Evidence From National Market Portfolios
     Studies in Economics and Econometrics, 1999, 23, (3), 1-14
292. Interest rate risk of Australian financial sector companies in a period of regulatory change
     Pacific-Basin Finance Journal, 1999, 7, (1), 83-101 View citations (19)
293. Mean reversion and the forecasting of country betas: a note
     Global Finance Journal, 1999, 10, (2), 231-245 View citations (3)
294. Oil price risk and the Australian stock market
     Journal of Energy Finance & Development, 1999, 4, (1), 69-87 View citations (231)
295. Some additional Australian evidence on the day-of-the-week effect
     Applied Economics Letters, 1999, 6, (4), 247-249 View citations (18)

1998

296. A Test of a Two-Factor APT Based on the Quadratic Market Model: International Evidence
     Studies in Economics and Econometrics, 1998, 22, (2), 65-76
297. A multifactor model of gold industry stock returns: evidence from the Australian equity market
     Applied Financial Economics, 1998, 8, (1), 21-28 View citations (44)
298. A test of the intertemporal CAPM in the Australian equity market
     Journal of International Financial Markets, Institutions and Money, 1998, 8, (2), 175-188 View citations (5)
299. 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)
300. Consumption versus market betas of Australian industry portfolios
     Applied Economics Letters, 1998, 5, (8), 513-517 View citations (2)
301. The empirical relationship between aggregate consumption and security prices in Australia
     Pacific-Basin Finance Journal, 1998, 6, (1-2), 213-224 View citations (5)
302. Time†Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques
     Australian Journal of Management, 1998, 23, (1), 1-22 View citations (59)
303. Time‐varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis
     Journal of Business Finance & Accounting, 1998, 25, (5‐6), 721-745 View citations (18)

1997

304. A GENERALISED METHOD OF MOMENTS TEST OF MEAN VARIANCE EFFICIENCY IN THE AUSTRALIAN STOCK MARKET
     Pacific Accounting Review, 1997, 9, (1), 2-16
305. A further examination of the effect of diversification on the stability of portfolio betas
     Applied Financial Economics, 1997, 7, (1), 9-14 View citations (3)
306. 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)
307. A note on beta forecasting
     Applied Economics Letters, 1997, 4, (2), 77-78 View citations (6)
308. 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)
309. Bank exposures to interest-rate risk: the case of the Australian banking industry
     Applied Economics Letters, 1997, 4, (12), 737-739 View citations (2)
310. Beta stability and monthly seasonal effects: evidence from the Australian capital market
     Applied Economics Letters, 1997, 4, (9), 563-566 View citations (6)
311. Financial Deregulation and Relative Risk of Australian Industry
     Australian Economic Papers, 1997, 36, (69), 308-20 View citations (4)
312. Testing the conditional CAPM and the effect of intervaling: A note
     Pacific-Basin Finance Journal, 1997, 5, (5), 527-537 View citations (17)

1996

313. An evaluation of volatility forecasting techniques
     Journal of Banking & Finance, 1996, 20, (3), 419-438 View citations (166)
314. The Nature and Extent of Beta Instability In the Kuala Lumpur Stock Market
     Capital Markets Review, 1996, 4, (2), 1-14

1995

315. 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)
316. 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

317. 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

Chapters

2019

1. Conceptual Framework for Lending Money Outside Business Groups: Evidence from Poland
   Springer

2018

2. 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
   See also Journal Article Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets, Elsevier (2004) View citations (42) (2004)

2015

3. Profiling Ethical Investors
   Springer View citations (1)

Editor

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