Published Paper Series

From Finance Discipline Group, UTS Business School, University of Technology, Sydney
PO Box 123, Broadway, NSW 2007, Australia.
Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().

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2012-1: The Determinants of the Convexity in the Flow-Performance Relationship

Richard Fu, Marco Navone, Marco Pagani and Themis D. Pantos

2011-5: Interaction between Australian carbon prices and energy prices

Deborah Cotton and Stefan Trück

2011-4: A Brief Critical Review of Australia's Retirement Savings System

Jack Gray and Ron Bird

2011-3: Demand and Supply and Their Relationship to Liquidity: Evidence from the S&P 500 Change to Free Float

David Lam, Bing-Xuan Lin and David Michayluk

2011-2: Empirical performance of loss given default prediction models

Benjamin Bade, Daniel Roesch and Harald Scheule

2011-1: Default and Recovery Risk Dependencies in a Simple Credit Risk Model

Benjamin Bade, Daniel Roesch and Harald Scheule

2010-6: Endogeneity and the corporate governance - performance relation

Emma L. Schultz, David T. Tan and Kathleen Walsh

2010-5: On nonlinear models of markets with finite liquidity: Some cautionary notes

Kristoffer Glover, Peter W Duck and David P Newton

2010-4: The Banking Relationship's Role in the Choice of the Target's Advisor in Mergers and Acquisitions

Gianfranco Forte, Giuliano Iannotta and Marco Navone

2010-3: Accounting for employee stock options: What can we learn from the market's perceptions?

Emanuel Bagna, Mauro Bini, Ron Bird, Francesco Momentè and Francesco Reggiani

2010-2: Naked short sales and fails-to-deliver: An overview of clearing and settlement procedures for stock trades in the USA

Talis Putnins

2010-1: Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives

Daniel Roesch and Harald Scheule

2009-8: Financial market meltdown and a need for new financial regulations

Stefan Mittnik, Edward Nell, Eckhard Platen, Willi Semmler and Raphaele Chappe

2009-7: Memorandum on a new financial architecture and new regulations

Teresa Ghilarducci, Edward Nell, Stefan Mittnik, Eckhard Platen, Willi Semmler and Raphaele Chappe

2009-6: Asymmetry of technical analysis and market price volatility

Min Zheng, Duo Wang and Xuezhong (Tony) He

2009-5: Developing actionable trading agents

Longbing Cao and Xuezhong (Tony) He

2009-4: A market valuation for Optus pre-listing: A case note

Scott Walker and Graham Partington

2009-3: Improving pension management and delivery: An (im)modest and likely (un)popular proposal

Ron Bird and Jack Gray

2009-2: Credit Portfolio Loss Forecasts for Economic Downturns

Daniel Roesch and Harald Scheule

2009-1: What Do Options Have to Do With It?: Inclusion of Options Market Indicators in Bid-ask Spread Decomposition

David Michayluk, Laurie Prather, Li-Anne E. Woo and Henry Y. K. Yip

2008-3: Exchange Rate Regime and Monetary Policy: A Proposal for Small and Less Developed Economies

G Gong, J Gao and Xuezhong (Tony) He

2008-2: Liquidity issues surrounding neglected firms

William J. Bertin, David Michayluk and Laurie Prather

2008-1: Downturn LGD for Hong Kong mortgage loan portfolios

Daniel Roesch and Harald Scheule

2007-7: Strong approximations of stochastic differential equations with jumps

NicolaBruti-Liberati and Eckhard Platen

2007-6: A Hybrid Artificial Neural Network-Numerical Model for Ground Water Problems

Ferenc Szidarovszky, Emery A. Coppola, Jingjie Long, Anthony Hall and Mary M. Poulton

2007-5: Where Do Australian Active Equity Managers Outperform?

Kingsley Fong, David Gallagher and Adrian Lee

2007-4: Sarbannes-Oxley: Some Unintended Consequences

Allan Graham, Bing-Xuan Lin, David Michayluk and Pamela Stuerke

2007-3: Subjectivity in Judgments: Further Evidence from the Financial Planning Industry

David Michayluk and Gerhard Van de Venter

2007-2: Multi-Year Dynamics for Forecasting Economic and Regulatory Capital in Banking

Daniel Roesch and Harald Scheule

2007-1: Stress-testing credit risk parameters: An application to retail loan portfolios

Daniel Roesch and Harald Scheule

2006-5: Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets

David Michayluk, Patrick J. Wilson and Ralf Zurbruegg

2006-4: A benchmark approach to asset management

Eckhard Platen

2006-3: Insights into the Momentum Life Cycle for European Stocks

Ron Bird and Lorenzo Casavecchia

2006-2: Biases and information in analysts'recommendations: The European experience

Sarah Azzi, Ron Bird, Paolo Ghiringhelli and Emanuele Rossi

2006-1: Forecasting credit event frequency – empirical evidence for West German firms

Alfred Hamerle, Thilo Liebig and Harald Scheule

2005-5: The case for market inefficiency: Investment style and market pricing

Ron Bird, Xuezhong (Tony) He, Satish Thosar and Paul Woolley

2005-4: Momentum and index investing: implications for market efficiency

Ron Bird, Xuezhong (Tony) He, Satish Thosar and Paul Woolley

2005-3: The Role of Growth in Long Term Investment Returns

John Broussard, David Michayluk and Walter P. Neely

2005-2: Rating Properties and their Implication on Basel II-Capital

Robert Rauhmeier and Harald Scheule

2005-1: A multi-factor approach for systematic default and recovery risk

Daniel Roesch and Harald Scheule

2004-6: Symmetry group methods for fundamental solutions

Mark Craddock and Eckhard Platen

2004-5: A class of complete benchmark models with intensity-based jumps

Eckhard Platen

2004-4: Regime Switching in the Real Estate Risk Premium

Patrick Wilson, John Okunev, Tiffany Hutcheson and Ralf Zurbruegg

2004-3: The performance of value and momentum investment portfolios: Recent experience in the major European markets Part 2

Ron Bird and Jonathan Whitaker

2004-2: Repeated LBOs: The Case of Multiple LBO Transactions

Arman Kosedag and David Michayluk

2004-1: Forecasting retail portfolio credit risk

Daniel Roesch and Harald Scheule

2003-3: Predicting behaviour in Australian securitised property markets

Patrick Wilson, John Okunev and Tiffany Hutcheson

2003-2: Economic implications of passive investing

Paul Woolley and Ron Bird

2003-1: The performance of value and momentum investment portfolios: Recent experience in the major European markets

Ron Bird and Jonathan Whitaker

2002-3: Using Regression Techniques to Estimate Futures Hedge Ratios Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures

David Allen, Garry MacDonald, Kathleen Walsh and D Walsh