Michael E. Drew : Citation Profile


Are you Michael E. Drew?

Griffith University

6

H index

4

i10 index

130

Citations

RESEARCH PRODUCTION:

30

Articles

46

Papers

RESEARCH ACTIVITY:

   17 years (2000 - 2017). See details.
   Cites by year: 7
   Journals where Michael E. Drew has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 20 (13.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdr17
   Updated: 2018-11-10    RAS profile: 2018-05-09    
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Relations with other researchers


Works with:

Bianchi, Robert (7)

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael E. Drew.

Is cited by:

Worthington, Andrew (10)

Phillips, Peter (7)

Caporale, Guglielmo Maria (5)

Plastun, Alex (5)

Roca, Eduardo (4)

Gil-Alana, Luis (4)

Demirer, Riza (3)

Thorp, Susan (3)

Wu, Ji (2)

Nartea, Gilbert (2)

Vargas, Juan (2)

Cites to:

Fama, Eugene (50)

French, Kenneth (47)

Campbell, John (33)

Stanford, Jon (23)

Titman, Sheridan (15)

Stambaugh, Robert (13)

Sharpe, William (12)

Thaler, Richard (11)

Cochrane, John (11)

faff, robert (10)

Blake, David (9)

Main data


Where Michael E. Drew has published?


Journals with more than one article published# docs
Economic Papers5
Journal of Banking & Finance3
Australian Economic Review3
Review of Pacific Basin Financial Markets and Policies (RPBFMP)2
Australian Accounting Review2
Economic Analysis and Policy2
Accounting Research Journal2

Working Papers Series with more than one paper published# docs
School of Economics and Finance Discussion Papers and Working Papers Series / School of Economics and Finance, Queensland University of Technology28
Discussion Papers in Finance / Griffith University, Department of Accounting, Finance and Economics15

Recent works citing Michael E. Drew (2018 and 2017)


YearTitle of citing document
2018Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana. In: Working Papers Series. RePEc:bcb:wpaper:479.

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2017Design of MySuper default funds: influences and outcomes. (2017). Thorp, Susan ; Smith, Tom ; Warren, Geoffrey J ; Foster, Douglas F ; Donald, Scott M ; Butt, Adam. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:1:p:47-85.

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2018On the Frequency of Price Overreactions. (2018). Caporale, Guglielmo Maria ; Plastun, Alex. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7011.

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2018The “Sell in May” effect: A review and new empirical evidence. (2018). Degenhardt, Thomas ; Auer, Benjamin R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:169-205.

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2018To trust or not to trust? A comparative study of conventional and clean energy exchange-traded funds. (2018). Alexopoulos, Thomas A. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:97-107.

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2018Sentiment-based momentum strategy. (2018). Suh, Sangwon ; Kim, Byungoh. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:52-68.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2018Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market. (2018). Kang, Wenjin ; Xu, BU ; Gu, Ming. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:240-258.

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2018One size fits all? Tailoring retirement plan defaults. (2018). Thorp, Susan ; Warren, Geoffrey J ; Foster, Douglas F ; Donald, Scott M ; Butt, Adam. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:145:y:2018:i:c:p:546-566.

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2017.

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2017Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hussain, Syed Jawad ; Raza, Naveed ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:208-218.

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2018Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market. (2018). Wan, Xiaoyuan . In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:1-15.

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2017A Portfolio Approach to Assessing an Auto-Enrolment Pension Scheme for Ireland. (2017). Gallagher, Liam ; Ryan, Fionnuala . In: The Economic and Social Review. RePEc:eso:journl:v:48:y:2017:i:4:p:515-548.

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2018The Impact of Unsystematic Risk on Stock Returns in an Emerging Capital Markets (ECM¡¯s) Country: An Empirical Study. (2018). Masry, Mohamed ; el Menshawy, Heba. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:9:y:2018:i:1:p:189-202.

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2018Short-Term Price Overreactions: Identification, Testing, Exploitation. (2018). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9651-2.

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2017Searching for a listed infrastructure asset class using mean–variance spanning. (2017). Blanc-Brude, Frederic ; Wilde, Simon ; Whittaker, Timothy. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:2:d:10.1007_s11408-017-0286-z.

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2018How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Mogel, Benjamin ; Auer, Benjamin R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y.

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2017Does persistence in idiosyncratic risk proxy return-reversals?. (2017). Sarafidis, Vasilis ; Nath, Harmindar B. In: Journal of Banking and Financial Economics. RePEc:sgm:jbfeuw:v:2:y:2017:i:8:p:27-53.

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2018Transport infrastructure equities in mixed-asset portfolios: estimating risk with a Garch-Copula CVaR model. (2018). Chakkalakal, Louis ; Li, Wenwei ; Hommel, Ulrich. In: Journal of Property Research. RePEc:taf:jpropr:v:35:y:2018:i:2:p:117-138.

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2017Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets. (2017). Rosales, Enrique Benavides ; McMillan, David. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1339772.

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2018Asset Pricing and Momentum: A South African Perspective. (2018). Charteris, Ailie ; Chidede, Tafadzwa-Hidah ; Rwishema, Mukashema. In: Journal of African Business. RePEc:taf:wjabxx:v:19:y:2018:i:1:p:62-85.

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2017Decumulation, Sequencing Risk and the Safe Withdrawal Rate: Why the 4% Withdrawal Rule leaves Money on the Table. (2017). Smith, Peter ; Thomas, Stephen ; Seaton, James ; Clare, Andrew . In: Discussion Papers. RePEc:yor:yorken:17/06.

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Works by Michael E. Drew:


YearTitleTypeCited
2004Portability of Superannuation Balances In: Agenda - A Journal of Policy Analysis and Reform.
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article0
2004Portability of Superannuation Balances.(2004) In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2017Risk factors in Australian bond returns In: Accounting and Finance.
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article0
2006Superannuation: Switching and Roulette Wheels In: Australian Accounting Review.
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article1
2007Superannuation: Switching and Roulette Wheels.(2007) In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2009The Puzzle of Financial Reporting and Corporate Short-Termism: A Universal Ownership Perspective In: Australian Accounting Review.
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2010The Puzzle of Financial Reporting and Corporate Short- Termism: A Universal Ownership Perspective.(2010) In: Discussion Papers in Finance.
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paper
2003Principal and Agent Problems in Superannuation Funds In: Australian Economic Review.
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article10
2003Principal and Agent Problems in Superannuation Funds.(2003) In: School of Economics and Finance Discussion Papers and Working Papers Series.
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This paper has another version. Agregated cites: 10
paper
2004Why is Superannuation Compulsory? In: Australian Economic Review.
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article2
2009The Case for Gender-Sensitive Superannuation Plan Design In: Australian Economic Review.
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article1
2009The Case for Gender-Sensitive Superannuation Plan Design.(2009) In: Discussion Papers in Finance.
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This paper has another version. Agregated cites: 1
paper
2001ASSET SELECTION AND SUPERANNUATION FUND PERFORMANCE: A NOTE FOR TRUSTEES In: Economic Papers.
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article5
2001HOT HANDS AND SUPERANNUATION FUND PERFORMANCE: A SECOND NOTE FOR TRUSTEES In: Economic Papers.
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article1
2002ASSETS UNDER MANAGEMENT AND SUPERANNUATION FUND PERFORMANCE: A THIRD NOTE FOR TRUSTEES In: Economic Papers.
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article2
2003IS THERE A POSITIVE RELATIONSHIP BETWEEN SUPERANNUATION FUND COSTS AND RETURNS? In: Economic Papers.
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2016Retirement Adequacy of Indigenous Australians: A Baseline Study In: Economic Papers.
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2015The value of tail risk hedging in defined contribution plans: what does history tell us In: Journal of Pension Economics and Finance.
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2001The Impact of Fund Attrition on Superannuation Returns In: Economic Analysis and Policy.
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article5
2002Efficiency with Costly Information: A Study of Australian Wholesale Superannuation Fund Performance In: Economic Analysis and Policy.
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article1
2004Is idiosyncratic volatility priced?: Evidence from the Shanghai Stock Exchange In: International Review of Financial Analysis.
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article14
2014Long-term U.S. infrastructure returns and portfolio selection In: Journal of Banking & Finance.
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article4
2015Combining momentum with reversal in commodity futures In: Journal of Banking & Finance.
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article10
2016Commodities momentum: A behavioral perspective In: Journal of Banking & Finance.
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article1
2010The appropriateness of default investment options in defined contribution plans: Australian evidence In: Pacific-Basin Finance Journal.
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article5
2009The Appropriateness of Default Investment Options in Defined Contribution Plans: Australian Evidence.(2009) In: Discussion Papers in Finance.
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This paper has another version. Agregated cites: 5
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2010Establishing additionality: fraud vulnerabilities in the clean development mechanism In: Accounting Research Journal.
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article3
2010Establishing additionality: fraud vulnerabilities in the clean development mechanism.(2010) In: Discussion Papers in Finance.
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This paper has another version. Agregated cites: 3
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2010On the responsible investment disclosure practices of the worlds largest pension funds In: Accounting Research Journal.
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2007Do momentum strategies work? Australian evidence In: Managerial Finance.
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article3
2004Do Momentum Strategies Work?: - Australian Evidence.(2004) In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2009Dynamic Lifecycle Strategies for Target Date Retirement Funds In: Discussion Papers in Finance.
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2010Systemic Risk, the TED Spread and Hedge Fund Returns In: Discussion Papers in Finance.
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2010Ponzimonium: Madoff and the Red Flags of Fraud In: Discussion Papers in Finance.
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2010The Identification of Ponzi Schemes: Can a Picture Tell a Thousand Frauds? In: Discussion Papers in Finance.
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20122012-07 The Retirement Risk Zone: A Baseline Study In: Discussion Papers in Finance.
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20122012-08 Regimes in Australian Pension Fund Returns: A Hidden Semi-Markov Approach In: Discussion Papers in Finance.
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20122012-09 Who was Swimming Naked when the Tide went out? Introducing Criminology to the Finance Curriculum In: Discussion Papers in Finance.
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20122012-12 On the Ethics of Short Selling In: Discussion Papers in Finance.
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2013Industry-academic partnerships in finance programmes. Cast of CFA-partnered programmes. In: Discussion Papers in Finance.
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2014Equity risk versus retirement adequacy: Asset allocation solutions for KiwiSaver In: Discussion Papers in Finance.
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2015Microscopic momentum in commodity futures In: Discussion Papers in Finance.
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2005A test of momentum trading strategies in foreign exchange markets: evidence from the G7 In: Global Business and Economics Review.
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2004A Test of Momentum Trading Strategies in Foreign Exchange Markets: Evidence from the G7.(2004) In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2006Appropriateness of Default Investment Options in Defined Contribution Plans: The Australian Evidence In: MPRA Paper.
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2003A Review Of Australias Compulsory Superannuation Scheme After A Decade In: Discussion Papers Series.
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2003A Review of Australia’s Compulsory Superannuation Scheme After a Decade.(2003) In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2003Sustainable Retirement: A Look At Consumer Desires In: Discussion Papers Series.
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2000Multifactor Models are Alive and Well In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2001On the Value Premium in Malaysia In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2001ASSET PRICING IN THE ASIAN REGION In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2001IDIOSYNCRATIC RISK AND AUSTRALIAN EQUITY RETURNS In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2001TESTING THE INCOMPLETE ARBITRATE HYPOTHESIS: EVIDENCE FROM AUSTRALIAN WHOLESALE SUPERANNUATION FUNDS In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2002The Economics of Choice of Superannuation Fund In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2002Market Timing and Selectivity: Evidence from Australian Equity Superannuation Funds In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2002Stock Market Interdependence: Evidence from Australia In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2002Idiosyncratic Volatility: Evidence from Asia In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2002Students’ Experience of The Honours’ Supervisory Relationship: A Preliminary Investigation In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2003Retail Superannuation Management in Australia: Risk, Cost and Alpha In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2003Asset Pricing in China: Evidence from the Shanghai Stock Exchange In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2003Investor Expectations and Systematic Risk In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2003Superannuation Funds: The Fees and Performance Debate In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2004Equity Premium: - Does it exist? Evidence from Germany and United Kingdom In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2004Small Firm Effect, Liquidity and Security Returns: Australian Evidence In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2004Pricing of Equities in China: Evidence from the Shanghai Stock Exchange In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2004Idiosyncratic Volatility Matter? New Zealand Evidence In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2007Australia’s Retail Superannuation Fund Industry: Structure, Conduct and Performance In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2007Institutional Homogeneity and Choice in Superannuation In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2007The Death of the Overreaction Anomaly? A Multifactor Explanation of Contrarian Returns In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2009HACking at Non-linearity: Evidence from Stocks and Bonds In: School of Economics and Finance Discussion Papers and Working Papers Series.
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2006Small Firm Effect, Liquidity and Security Returns In: Journal of Emerging Market Finance.
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2012Sustainable stock indices and long-term portfolio decisions In: Journal of Sustainable Finance & Investment.
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2003Beta, Firm Size, Book-to-Market Equity and Stock Returns In: Journal of the Asia Pacific Economy.
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2003Returns from investing in Australian equity superannuation funds, 1991--1999 In: The Service Industries Journal.
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2007Does Idiosyncratic Volatility Matter? New Zealand Evidence In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
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2016The Predictive Performance of Asset Pricing Models: Evidence from the Australian Securities Exchange In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
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