robert william faff : Citation Profile


Are you robert william faff?

University of Queensland

22

H index

63

i10 index

2350

Citations

RESEARCH PRODUCTION:

246

Articles

10

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   26 years (1993 - 2019). See details.
   Cites by year: 90
   Journals where robert william faff has often published
   Relations with other researchers
   Recent citing documents: 320.    Total self citations: 67 (2.77 %)

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   Permalink: http://citec.repec.org/pfa127
   Updated: 2019-10-06    RAS profile: 2019-07-31    
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Relations with other researchers


Works with:

Gharghori, Philip (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with robert william faff.

Is cited by:

Brooks, Robert (29)

McAleer, Michael (26)

Alsakka, Rasha (22)

ap Gwilym, Owain (22)

lucey, brian (21)

MONEVA, JOSE (18)

Nguyen, Duc Khuong (17)

Chang, Chia-Lin (17)

Ratti, Ronald (16)

Degiannakis, Stavros (15)

Gharghori, Philip (15)

Cites to:

Fama, Eugene (73)

French, Kenneth (69)

Jagannathan, Ravi (51)

Harvey, Campbell (42)

Shleifer, Andrei (35)

Brooks, Robert (34)

Engle, Robert (30)

Bollerslev, Tim (27)

merton, robert (23)

Brown, Stephen (21)

Titman, Sheridan (21)

Main data


Where robert william faff has published?


Journals with more than one article published# docs
Australian Journal of Management25
Pacific-Basin Finance Journal21
Applied Financial Economics20
Journal of Banking & Finance16
Applied Economics Letters10
Journal of Multinational Financial Management10
Accounting and Finance10
Journal of Business Finance & Accounting9
International Review of Financial Analysis8
Review of Quantitative Finance and Accounting7
Journal of International Financial Markets, Institutions and Money7
The Financial Review6
Journal of Accounting and Management Information Systems6
Journal of Financial Research6
Global Finance Journal5
Australian Economic Papers4
Journal of Financial Services Research4
Journal of Corporate Finance4
Applied Financial Economics Letters4
The European Journal of Finance4
International Review of Economics & Finance4
Accounting Research Journal3
International Journal of Accounting and Information Management3
Multinational Finance Journal3
Applied Economics3
International Review of Finance3
Energy Economics3
Journal of Economics and Business3
Journal of Futures Markets3
Economic Modelling2
Abacus2
Journal of Business Ethics2

Recent works citing robert william faff (2019 and 2018)


YearTitle of citing document
2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin. In: The Energy Journal. RePEc:aen:journl:ej39-5-filis.

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2018Reflections on Pitching Research: Do It Your Own Way. (2018). Manchha, Asmita. In: Journal of Accounting and Management Information Systems. RePEc:ami:journl:v:17:y:2018:i:2:p:291-300.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2018Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1811.09312.

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2018Evaluating the Building Blocks of a Dynamically Adaptive Systematic Trading Strategy. (2018). Srivastava, Sonam ; Bhattacharya, Ritabratta. In: Papers. RePEc:arx:papers:1812.02527.

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2019The Effect of Oil Price on Stock Market Returns with Moderating Effect of Foreign Direct Investment & Foreign Portfolio Investment: Evidence from Pakistan Stock Market. (2019). Usman, Muhammad ; Siddiqui, Danish Ahmed. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2019:p:45-61.

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2018Derivatives Usage by Australian Industrial Firms: Pre-, during and post-GFC. (2018). Tanha, Hassan ; Labeb, Mena ; Dempsey, Michael. In: Review of Economics & Finance. RePEc:bap:journl:180103.

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2018El uso de forwards peso dólar en las empresas colombianas del sector real. (2018). Alfonso, Viviana Alejandra . In: Borradores de Economia. RePEc:bdr:borrec:1058.

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2018Are credit rating agencies discredited? Measuring market price effects from agency sovereign debt announcements. (2018). Miao, Evan Weicheng ; Binici, Mahir ; Hutchison, Michael M. In: BIS Working Papers. RePEc:bis:biswps:704.

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2017The Effect of Business and Financial Market Cycles on Credit Ratings: Evidence from the Last Two Decades. (2017). Stolowy, Hervé ; Astolfi, Pierre ; Paugam, Luc ; Lobo, Gerald J. In: Abacus. RePEc:bla:abacus:v:53:y:2017:i:1:p:59-93.

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2017Why Do Overconfident REIT CEOs Issue More Debt? Mechanisms and Value Implications. (2017). Keng, Kelvin Jui . In: Abacus. RePEc:bla:abacus:v:53:y:2017:i:3:p:319-348.

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2018Twenty Years of Accounting and Finance Research on the Chinese Capital Market. (2018). Han, Jianlei ; Shi, Jing ; Pan, Zheyao ; He, Jing. In: Abacus. RePEc:bla:abacus:v:54:y:2018:i:4:p:576-599.

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2017Australian momentum: performance, capacity and the GFC effect. (2017). Vanstone, Bruce J ; Hahn, Tobias ; Smith, Tom. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:1:p:261-287.

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2017Impact of the global financial crisis on Islamic and conventional stocks and bonds. (2017). Akhtar, Shumi ; Smith, Tom ; Jahromi, Maria. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:623-655.

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2017The roles of book-tax conformity and tax enforcement in regulating tax reporting behaviour following International Financial Reporting Standards adoption. (2017). Chen, Ester ; Smith, Tom ; Gavious, Ilanit. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:681-699.

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2017Shareholder say on pay and CEO compensation: three strikes and the board is out. (2017). Grosse, Matthew ; Smith, Tom ; Scott, Tom ; Kean, Stephen . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:701-725.

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2017How return and risk experiences shape investor beliefs and preferences. (2017). , Arvid ; Smith, Tom ; Post, Thomas. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:759-788.

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2017Externally reported performance measures and benchmarks in Australia. (2017). Woodhouse, Kerrie ; Smith, Tom ; Ranasinghe, Dinithi ; Mather, Paul. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:879-905.

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2017Capital expenditures and firm performance: evidence from a cross†sectional analysis of stock returns. (2017). Kirby, Chris ; Cordis, Adriana S. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:4:p:1019-1042.

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2018Dividend payout determinants for Australian Multinational and Domestic Corporations. (2018). Akhtar, Shumi. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:11-55.

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2018Discretion in bank loan loss allowance, risk taking and earnings management. (2018). Kanagaretnam, Kiridaran ; Lobo, Gerald J ; Jin, Justin. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:171-193.

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2018Partial moment volatility indices. (2018). Liu, Zhangxin ; O'Neill, Michael J. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:195-215.

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2018International compliance with new Basel Accord principles for risk governance. (2018). Wright, Sue ; Magee, Shane ; Sheedy, Elizabeth . In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:279-311.

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2018From the Editor. (2018). Smith, Tom. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:5-10.

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2018Timing of earnings restatements: CEO equity compensation and market reaction. (2018). Ben Youssef, Nourhene ; Khan, Saqib ; Benyoussef, Nourhene. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:2:p:341-365.

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2018Corporate governance and the sensitivity of investments to cash flows. (2018). Bhabra, Gurmeet Singh ; Seoungpil, Ahn ; Kaur, Parvinder. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:2:p:367-396.

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2018Remuneration committees, shareholder dissent on CEO pay and the CEO pay–performance link. (2018). Kent, Pamela ; Routledge, James ; Kercher, Kim. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:2:p:445-475.

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2018A review of research on regulation changes in the Asia‐Pacific region. (2018). Chang, Millicent ; Wee, Marvin ; Jackson, Andrew B. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:635-667.

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2018Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation. (2018). Yew, Rand Kwong. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:423-463.

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2019Evaluating fund capacity: issues and methods. (2019). O'Neill, Michael J ; Warren, Geoffrey J. In: Accounting and Finance. RePEc:bla:acctfi:v:59:y:2019:i:s1:p:773-800.

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2018Portfolio Diversification Strategy Via Tail‐Dependence Clustering and ARMA‐GARCH Vine Copula Approach. (2018). Ji, Hao ; Liseo, Brunero ; Wang, Hao. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:3:p:265-283.

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2018Reinvestigating the Oil Price–Stock Market Nexus: Evidence from Chinese Industry Stock Returns. (2018). Fang, Sheng ; Egan, Paul G ; Lu, Xinsheng. In: China & World Economy. RePEc:bla:chinae:v:26:y:2018:i:3:p:43-62.

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2018Sovereign credit ratings and central banks: Why do analysts pay attention to institutions?. (2018). Bodea, Cristina ; Hicks, Raymond. In: Economics and Politics. RePEc:bla:ecopol:v:30:y:2018:i:3:p:340-365.

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2018Corporate debt maturity and stock price crash risk. (2018). Dang, Viet ; Zeng, Cheng ; Liu, Yangke ; Lee, Edward. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:3:p:451-484.

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2018Oil price collapse and firm leverage in resource-dependent countries. (2018). Kurronen, Sanna. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_010.

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2018Time-varying correlations and Sharpe ratios during quantitative easing. (2018). Haley, Osteen ; Paul, Jones . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:1:p:11:n:5.

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2018Stigma or Cushion? IMF Programs and Sovereign Creditworthiness. (2018). Gehring, Kai ; Lang, Valentin F. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7339.

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2018US shale oil and the behaviour of commodity prices. (2018). Salisu, Afees ; Adediran, Idris. In: Working Papers. RePEc:cui:wpaper:0047.

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2019Ownership Structure, Related Party Transactions, and Firm Valuation. (2019). Henry, Darren ; Ahmed, Kamran ; Khosa, Amrinder . In: Cambridge Books. RePEc:cup:cbooks:9781108492195.

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2018Measuring the effect of watch-preceded and direct rating changes: a note on credit markets. (2018). Kiesel, F ; Kolaric, S. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:87386.

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2019Gender Quotas in the Boardroom: New Evidence from Germany. (2019). Fedorets, Alexandra ; Burow, Norma ; Gibert, Anna. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1810.

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2018Personality and Risk Aversion. (2018). Desmoulins-Lebeault, Franois ; Meunier, Luc ; Gajewski, Jean-Franois. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00614.

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2018Role of Energy on Economy The Case of Micro to Macro Level Analysis. (2018). Sarwar, Suleman ; Khalid, Muqaddas ; Amir, Mehnoor ; Waheed, Rida. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-01019.

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2018Time-Frequency varying beta estimation -a continuous wavelets approach-. (2018). Mestre, Roman ; Terraza, Michel. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00401.

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2018The Role of Macroeconomic Factors on Sukuk Market Development of Gulf Cooperation Council (GCC) Countries. (2018). Al-Raeai, Arafat Mansoor ; Bin, Ahmad Khilmy ; Zainol, Zairy. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-39.

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2018High-frequency Pairs Trading on a Small Stock Exchange. (2018). Mikkelsen, Andreas ; Kjarland, Frode. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-04-11.

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2018Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks in Turkey: New Evidence from a Nonlinear ARDL Approach. (2018). Altintas, Halil ; Yacouba, Kassouri . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-04-7.

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2019The Impact of Financial Leverage on the Cost of Equity. (2019). Yagil, Yossi ; Aharon, David Yechiam. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-02-22.

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2019Ownership Structure and Islamic Banks Performance: An Empirical and Multiregional Tests Before, During and after the Last Global Financial Crisis. (2019). Djeutcheu, Cedrix Ngandop. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-02-24.

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2019Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets. (2019). Santillan-Salgado, Roberto J ; de Jesus-Gutierrez, Raul. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-12.

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2019Stock Market Reaction to Terrorist Attacks and Political Uncertainty: Empirical Evidence from the Tunisian Stock Exchange. (2019). Talbi, Mariem ; ben Moussa, Fatma. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-4.

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2018International and Macroeconomic Determinants of Oil Price: Evidence from Gulf Cooperation Council Countries. (2018). Albaity, Mohamed ; Mustafa, Hasan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-01-9.

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2018Pricing in Oil Market and Using Probit Model for Analysis of Stock Market Effects. (2018). Mikhaylov, Alexey Yurievich. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-02-8.

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2019Portfolio Diversification and Oil Price Shocks: A Sector Wide Analysis. (2019). Khan, Aftab Parvez ; Azmi, Wajahat ; Ali, Mohsin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-03-28.

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2018Do all sectors respond to oil price shocks simultaneously?. (2018). Huang, Shupei ; Wang, Yue. In: Applied Energy. RePEc:eee:appene:v:227:y:2018:i:c:p:393-402.

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2018New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi. In: Applied Energy. RePEc:eee:appene:v:229:y:2018:i:c:p:1202-1217.

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2018Commonality in liquidity: Evidence from India’s National Stock Exchange. (2018). Kumar, Gaurav ; Misra, Arun Kumar . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:1-15.

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2018Socially responsible investment portfolios: Does the optimization process matter?. (2018). Sutcliffe, Charles ; Platanakis, Emmanouil ; Oikonomou, Ioannis. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:379-401.

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2018Specialist CEOs and IPO survival. (2018). Gounopoulos, Dimitrios ; Pham, Hang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:217-243.

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2018Organization capital and firm life cycle. (2018). Cheung, Adrian (Wai-Kong) ; Hasan, Mostafa Monzur. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:556-578.

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2018The mitigating effect of bank financing on shareholder value and firm policies following rating downgrades. (2018). Bedendo, Mascia ; Siming, Linus. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:94-108.

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2018Initial public offerings, subscription precommitments and venture capital participation. (2018). Jeppsson, Hans. In: Journal of Corporate Finance. RePEc:eee:corfin:v:50:y:2018:i:c:p:650-668.

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2018Does short-maturity debt discipline managers? Evidence from cash-rich firms acquisition decisions. (2018). Huang, Qianqian ; Wu, Szu-Yin ; Jiang, Feng. In: Journal of Corporate Finance. RePEc:eee:corfin:v:53:y:2018:i:c:p:133-154.

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2018Do macroeconomic conditions and oil prices influence corporate risk-taking?. (2018). Gupta, Kartick ; Krishnamurti, Chandrasekhar. In: Journal of Corporate Finance. RePEc:eee:corfin:v:53:y:2018:i:c:p:65-86.

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2019Leverage, debt maturity, and social capital. (2019). Shang, Chenguang ; Huang, Kershen. In: Journal of Corporate Finance. RePEc:eee:corfin:v:54:y:2019:i:c:p:26-46.

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2019Risk-adjusted efficiency and corporate governance: Evidence from Islamic and conventional banks. (2019). Shamsuddin, Abul ; Safiullah, MD. In: Journal of Corporate Finance. RePEc:eee:corfin:v:55:y:2019:i:c:p:105-140.

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2019The value of certification in Islamic bond offerings. (2019). Hassan, Kabir M ; Verhoeven, Peter ; How, Janice ; Halim, Zairihan Abdul. In: Journal of Corporate Finance. RePEc:eee:corfin:v:55:y:2019:i:c:p:141-161.

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2019Is privatization a socially responsible reform?. (2019). Wang, HE ; Guedhami, Omrane ; Boubakri, Narjess. In: Journal of Corporate Finance. RePEc:eee:corfin:v:56:y:2019:i:c:p:129-151.

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2019Managerial compensation incentives and corporate debt maturity: Evidence from FAS 123R. (2019). Hong, Jieying. In: Journal of Corporate Finance. RePEc:eee:corfin:v:56:y:2019:i:c:p:388-414.

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2019‘Paying taxes is losing money’: A qualitative study on institutional logics in the tax consultancy field in Romania. (2019). Pop, Alina ; Apostol, Oana . In: CRITICAL PERSPECTIVES ON ACCOUNTING. RePEc:eee:crpeac:v:58:y:2019:i:c:p:1-23.

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2018Factor-adjusted multiple testing of correlations. (2018). Du, Lilun ; Zhong, Pingshou ; Luo, Ronghua ; Lan, Wei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:34-47.

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2018Room for discretion? Biased decision-making in international financial institutions. (2018). Presbitero, Andrea ; Lang, Valentin F. In: Journal of Development Economics. RePEc:eee:deveco:v:130:y:2018:i:c:p:1-16.

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2018Does investor attention matter? The attention-return relationships in FX markets. (2018). Yin, Libo ; Xu, Yang ; Han, Liyan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:644-660.

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2019Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables. (2019). Salisu, Afees ; Oloko, Tirimisiyu F ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:153-171.

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2019Oil price and automobile stock return co-movement: A wavelet coherence analysis. (2019). Pal, Debdatta ; Mitra, Subrata K. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:172-181.

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2018Busy directors and firm performance: Does firm location matter?. (2018). James, Hui Liang ; Xie, Yamin ; Wang, Hongxia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:1-37.

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2018Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach. (2018). Clements, Adam ; Herrera, Rodrigo ; Gonzalez, Sergio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:70-88.

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2019Board structure, considerable capital, and stock price overreaction informativeness in terms of technical indicators. (2019). Chen, Yuhsin ; Huang, Paoyu ; Ni, Yensen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:514-528.

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2019Network connectedness and net spillover between financial and commodity markets. (2019). Yoon, Seong-Min ; Uddin, Gazi ; al Mamun, MD ; Kang, Sang Hoon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:801-818.

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2018Are credit rating agencies regionally biased?. (2018). Yalta, Talha A. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:4:p:682-694.

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2018Deep learning with long short-term memory networks for financial market predictions. (2018). Fischer, Thomas ; Krauss, Christopher. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:2:p:654-669.

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2018Extreme dependence and risk spillovers between oil and Islamic stock markets. (2018). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis H ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:42-63.

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2018The rise before the close: Underwriter trading around SEOs. (2018). Foley, Sean ; Svec, Jiri ; Low, Siyuan Adrian ; Kwan, Amy. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:221-235.

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2018Relative value arbitrage in European commodity markets. (2018). Hain, Martin ; Uhrig-Homburg, Marliese ; Hess, Julian. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:140-154.

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2018Lets agree to disagree! On payoffs and green tastes in green energy investments. (2018). Ng, Alex ; Zheng, DI. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:155-169.

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2018Identifying price bubble periods in the energy sector. (2018). Escobari, Diego ; Sharma, Shahil. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:418-429.

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2018Investor sentiment and the price of oil. (2018). Qadan, Mahmoud ; Nama, Hazar. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:42-58.

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2018Asymmetric impact of oil price on Islamic sectoral stocks. (2018). Lean, Hooi Hooi ; Badeeb, Ramez. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:128-139.

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2018Impact of oil price risk on sectoral equity markets: Implications on portfolio management. (2018). Tiwari, Aviral ; Yoon, Seong-Min ; Mitra, Amarnath ; Jena, Sangram Keshari. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:120-134.

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2018Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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2018The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies. (2018). Ratti, Ronald ; Kang, Wensheng ; Ewing, Bradley T. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:505-516.

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2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method. (2018). Li, Xiafei ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:565-581.

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2018Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index. (2018). Xiao, Jihong ; Wen, Fenghua ; Zhou, Min. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:777-786.

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2018Time-varying rare disaster risks, oil returns and volatility. (2018). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Suleman, Tahir. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:239-248.

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2019Panel evidence on the ability of oil returns to predict stock returns in the G7 area. (2019). Sharma, Susan Sunila ; Westerlund, Joakim. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:3-12.

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2019Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. (2019). Pourkhanali, Armin ; Alavifard, Farzad ; Manner, Hans ; Tafakori, Laleh. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:143-164.

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2019The importance of oil assets for portfolio optimization: The analysis of firm level stocks. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Anwar, Awais ; Sarwar, Suleman. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:217-234.

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YearTitleTypeCited
2017Applicability of Investment and Profitability Effects in Asset Pricing Models In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration).
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2007Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach In: ANU Working Papers in Economics and Econometrics.
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2012Reported earnings and analyst forecasts as competing sources of information: A new approach.(2012) In: Australian Journal of Management.
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2006Short-Run and Long-Run Oil Price Sensitivity of Equity Returns: The South Asian Markets In: Review of Applied Economics.
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2008THE CHANGING ROLE OF ACCOUNTANTS IN A TRANSITION ECONOMY – EVIDENCE FROM ROMANIA In: Annales Universitatis Apulensis Series Oeconomica.
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2013Oil, Oil Volatility and Airline Stocks: A Global Analysis In: Journal of Accounting and Management Information Systems.
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2013An Investigation of the Interest Rate Risk and Exchange Rate Risk of rhe European Financial Sector: Euro Zone Versus Non-Euro Zone Countries In: Journal of Accounting and Management Information Systems.
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2014Determinants of the extent of Asia-Pacific banks’ derivative activities In: Journal of Accounting and Management Information Systems.
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2014Alpha In: Journal of Accounting and Management Information Systems.
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2017Fantasy Pitching In: Journal of Accounting and Management Information Systems.
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2018Pitching Non-English Language Research: A Dual-Language Application of the Pitching Research Framework In: Journal of Accounting and Management Information Systems.
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2014A Comparative Analysis of the Investment Characteristics of Alternative Gold Assets In: Abacus.
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2018Noise Momentum Around the World In: Abacus.
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2001The intertemporal relationship between market return and variance: an Australian perspective In: Accounting and Finance.
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2005Editorial Note In: Accounting and Finance.
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2011Introduction: 50th Anniversary Issue of Accounting & Finance In: Accounting and Finance.
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2012The Global Financial Crisis: some attributes and responses In: Accounting and Finance.
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2013Mickey 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?’ In: Accounting and Finance.
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2015Individual financial risk tolerance and the global financial crisis In: Accounting and Finance.
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2015A simple template for pitching research In: Accounting and Finance.
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2016Short-selling pressure and last-resort debt finance: evidence from 144A high-yield risk-adjusted debt In: Accounting and Finance.
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2019Do brokers recommendation changes generate brokerage? Evidence from a central limit order market In: Accounting and Finance.
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1995Financial Market Deregulation and Bank Risk: Testing for Beta Instability. In: Australian Economic Papers.
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1995Financial Market Deregulation and Bank Risk: Testing for Beta Instability..(1995) In: Melbourne - Centre in Finance.
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1997Financial Deregulation and Relative Risk of Australian Industry. In: Australian Economic Papers.
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2000Modelling the Equity Beta Risk of Australian Financial Sector Companies. In: Australian Economic Papers.
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2005A FURTHER EXAMINATION OF THE PRICE AND VOLATILITY IMPACT OF STOCK DIVIDENDS AT EX‐DATES* In: Australian Economic Papers.
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2019Individualistic cultures and crash risk In: European Financial Management.
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2001A Multivariate Test of a Dual-Beta CAPM: Australian Evidence. In: The Financial Review.
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2003Creating Fama and French Factors with Style In: The Financial Review.
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2004An International Investigation of the Factors that Determine Conditional Gold Betas In: The Financial Review.
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2005Asset Pricing and the Illiquidity Premium In: The Financial Review.
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2009Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective In: The Financial Review.
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2019Is Financial Flexibility a Priced Factor in the Stock Market? In: The Financial Review.
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2013Financial Inflexibility and the Value Premium In: International Review of Finance.
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2009New Insights into Rights Offerings as Signals of Firm Quality: Evidence from Australia In: Journal of Applied Corporate Finance.
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1998Time-varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis In: Journal of Business Finance & Accounting.
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2000Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques In: Journal of Business Finance & Accounting.
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2004Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-sector Managed Funds In: Journal of Business Finance & Accounting.
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2005Firm Size and the Information Content of Annual Earnings Announcements: Australian Evidence In: Journal of Business Finance & Accounting.
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2005An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions In: Journal of Business Finance & Accounting.
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2007The Information Content of Australian Managed Fund Ratings In: Journal of Business Finance & Accounting.
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2010The Market Impact of Relative Agency Activity in the Sovereign Ratings Market In: Journal of Business Finance & Accounting.
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2015Do Sovereign Re-Ratings Destabilize Equity Markets during Financial Crises? New Evidence from Higher Return Moments In: Journal of Business Finance & Accounting.
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2016Stock Liquidity Risk and the Cross-sectional Earnings-Returns Relationship In: Journal of Business Finance & Accounting.
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2003The Determinants of Conditional Autocorrelation in Stock Returns In: Journal of Financial Research.
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2004ASYMMETRIC COVARIANCE, VOLATILITY, AND THE EFFECT OF NEWS In: Journal of Financial Research.
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2007EXPLORING THE LINK BETWEEN INFORMATION QUALITY AND SYSTEMATIC RISK In: Journal of Financial Research.
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2008ON THE LINKAGE BETWEEN FINANCIAL RISK TOLERANCE AND RISK AVERSION In: Journal of Financial Research.
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2011ARE WATCH PROCEDURES A CRITICAL INFORMATIONAL EVENT IN THE CREDIT RATINGS PROCESS? AN EMPIRICAL INVESTIGATION In: Journal of Financial Research.
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2012ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS? In: Journal of Financial Research.
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2012Rights Offerings, Subscription Period, Shareholder Takeup, and Liquidity In: Journal of Financial and Quantitative Analysis.
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2007Are financial derivates really value enhancing? Australian evidence In: Working Papers.
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2004Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case. In: Econometric Society 2004 Australasian Meetings.
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2014Bias correction in the estimation of dynamic panel models in corporate finance In: Journal of Corporate Finance.
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2014An investigation of the asymmetric link between credit re-ratings and corporate financial decisions: “Flicking the switch” with financial flexibility In: Journal of Corporate Finance.
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2016CEO overconfidence and corporate debt maturity In: Journal of Corporate Finance.
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2016Deviation from target capital structure, cost of equity and speed of adjustment In: Journal of Corporate Finance.
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2017Hitting SKEW for SIX In: Economic Modelling.
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2018A specialised volatility index for the new GICS sector - Real estate In: Economic Modelling.
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2002New evidence on the impact of financial leverage on beta risk: A time-series approach In: The North American Journal of Economics and Finance.
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2008Does oil move equity prices? A global view In: Energy Economics.
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2013What drives the commodity price beta of oil industry stocks? In: Energy Economics.
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2014Uncovering the asymmetric linkage between financial derivatives and firm value — The case of oil and gas exploration and production companies In: Energy Economics.
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2005Modeling conditional return autocorrelation In: International Review of Financial Analysis.
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2008Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market In: International Review of Financial Analysis.
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2008The ex-date impact of special dividend announcements: A note In: International Review of Financial Analysis.
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2008Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework In: International Review of Financial Analysis.
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2010New evidence on the relation between stock liquidity and measures of trading activity In: International Review of Financial Analysis.
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2012Competitive valuation effects of Australian IPOs In: International Review of Financial Analysis.
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2016Diamonds vs. precious metals: What shines brightest in your investment portfolio? In: International Review of Financial Analysis.
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2018New evidence on sovereign to corporate credit rating spill-overs In: International Review of Financial Analysis.
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2016Political constraints and trading strategy in times of market stress: Evidence from the chinese national social security fund In: Finance Research Letters.
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1999Mean reversion and the forecasting of country betas: a note In: Global Finance Journal.
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2003Exchange rate sensitivity of Australian international equity funds In: Global Finance Journal.
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2004Further evidence on the announcement effect of bonus shares in an imputation tax setting In: Global Finance Journal.
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2005Announcements of bonus share options: Signalling of the quality of firms In: Global Finance Journal.
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2009Tournament behavior in Australian superannuation funds: A non-parametric analysis In: Global Finance Journal.
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2001GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume In: Journal of International Financial Markets, Institutions and Money.
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2003A performance analysis of Australian international equity trusts In: Journal of International Financial Markets, Institutions and Money.
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2003Gold factor exposures in international asset pricing In: Journal of International Financial Markets, Institutions and Money.
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2009Derivative activities and Asia-Pacific banks interest rate and exchange rate exposures In: Journal of International Financial Markets, Institutions and Money.
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2010Performance persistence in hedge funds: Australian evidence In: Journal of International Financial Markets, Institutions and Money.
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1997An examination of the effects of major political change on stock market volatility: the South African experience In: Journal of International Financial Markets, Institutions and Money.
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1997An Examination of the Effects of Major Political Change on Stock Market Volatility : The South African Experience..(1997) In: Melbourne - Centre in Finance.
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1998A test of the intertemporal CAPM in the Australian equity market In: Journal of International Financial Markets, Institutions and Money.
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1996An evaluation of volatility forecasting techniques In: Journal of Banking & Finance.
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article127
1997A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions In: Journal of Banking & Finance.
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article3
2004The national market impact of sovereign rating changes In: Journal of Banking & Finance.
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article91
2005Complete markets, informed trading and equity option introductions In: Journal of Banking & Finance.
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article11
2006On the estimation and comparison of short-rate models using the generalised method of moments In: Journal of Banking & Finance.
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article7
2010Variations in sovereign credit quality assessments across rating agencies In: Journal of Banking & Finance.
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2010Erratum to Variations in sovereign credit quality assessments across rating agencies [J. Bank. Finance 34 (2010) 1327-1343] In: Journal of Banking & Finance.
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2011The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns In: Journal of Banking & Finance.
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2012Stock salience and the asymmetric market effect of consumer sentiment news In: Journal of Banking & Finance.
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2013Pricing innovations in consumption growth: A re-evaluation of the recursive utility model In: Journal of Banking & Finance.
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2013Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news In: Journal of Banking & Finance.
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2013Does board structure in banks really affect their performance? In: Journal of Banking & Finance.
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2013Canonical vine copulas in the context of modern portfolio management: Are they worth it? In: Journal of Banking & Finance.
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2015Yes, one-day international cricket ‘in-play’ trading strategies can be profitable! In: Journal of Banking & Finance.
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2016Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality? In: Journal of Banking & Finance.
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2016Do corporate policies follow a life-cycle? In: Journal of Banking & Finance.
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2003Sudden changes in property rights: the case of Australian native title In: Journal of Economic Behavior & Organization.
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2000Modeling Australias country risk: a country beta approach In: Journal of Economics and Business.
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2014Corporate social responsibility and CEO compensation revisited: Do disaggregation, market stress, gender matter? In: Journal of Economics and Business.
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2016Enhancing mean–variance portfolio selection by modeling distributional asymmetries In: Journal of Economics and Business.
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1999Oil price risk and the Australian stock market In: Journal of Energy Finance & Development.
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2008Rights offerings, takeup, renounceability, and underwriting status In: Journal of Financial Economics.
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2019Labor unions and corporate financial leverage: The bargaining device versus crowding-out hypotheses In: Journal of Financial Intermediation.
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2000A multi-country study of power ARCH models and national stock market returns In: Journal of International Money and Finance.
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2000An analysis of asymmetry in foreign currency exposure of the Australian equities market In: Journal of Multinational Financial Management.
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2002International cross-listings towards more liquid markets: the impact on domestic firms In: Journal of Multinational Financial Management.
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2003Can the use of foreign currency derivatives explain variations in foreign exchange exposure?: Evidence from Australian companies In: Journal of Multinational Financial Management.
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2003Short-term contrarian investing--is it profitable? ... Yes and No In: Journal of Multinational Financial Management.
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2003An exploratory investigation of the relation between risk tolerance scores and demographic characteristics In: Journal of Multinational Financial Management.
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2004Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets In: Journal of Multinational Financial Management.
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2005An empirical analysis of hedge fund performance: The case of Australian hedge funds industry In: Journal of Multinational Financial Management.
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2016Sub-optimal international portfolio allocations and the cost of capital In: Journal of Multinational Financial Management.
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1999An examination of Australian equity trusts for selectivity and market timing performance In: Journal of Multinational Financial Management.
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2002The pricing of foreign exchange risk in the Australian equities market In: Pacific-Basin Finance Journal.
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2003An investigation into the role of liquidity in asset pricing: Australian evidence In: Pacific-Basin Finance Journal.
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2004The relationship between exchange rate exposure, currency risk management and performance of international equity funds In: Pacific-Basin Finance Journal.
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2006Conditional performance evaluation and the relevance of money flows for Australian international equity funds In: Pacific-Basin Finance Journal.
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2007Market conditions and the optimal IPO allocation mechanism in China In: Pacific-Basin Finance Journal.
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2009Default risk and equity returns: Australian evidence In: Pacific-Basin Finance Journal.
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2010Liquidity and stock returns in Japan: New evidence In: Pacific-Basin Finance Journal.
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2010Asymmetry in return and volatility spillover between equity and bond markets in Australia In: Pacific-Basin Finance Journal.
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2010Financial constraints and stock returns -- Evidence from Australia In: Pacific-Basin Finance Journal.
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2012Corporate philanthropy: Insights from the 2008 Wenchuan Earthquake in China In: Pacific-Basin Finance Journal.
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2014Disciplinary tools and bank risk exposure In: Pacific-Basin Finance Journal.
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1994Beta stability and portfolio formation In: Pacific-Basin Finance Journal.
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1995Beta stability and portfolio formation.(1995) In: Pacific-Basin Finance Journal.
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1994Beta Stability and Portfolio Formation..(1994) In: Melbourne - Centre in Finance.
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2015Corporate governance, firm value and risk: Past, present, and future In: Pacific-Basin Finance Journal.
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2015Injecting liquidity into liquidity research In: Pacific-Basin Finance Journal.
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2017Are excess cash holdings more valuable to firms in times of crisis? Financial constraints and governance matters In: Pacific-Basin Finance Journal.
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2018New evidence on national culture and bank capital structure In: Pacific-Basin Finance Journal.
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1997Testing the conditional CAPM and the effect of intervaling: A note In: Pacific-Basin Finance Journal.
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1998The empirical relationship between aggregate consumption and security prices in Australia In: Pacific-Basin Finance Journal.
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1998An investigation into the extent of beta instability in the Singapore stock market In: Pacific-Basin Finance Journal.
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1999Interest rate risk of Australian financial sector companies in a period of regulatory change In: Pacific-Basin Finance Journal.
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2000Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks In: The Quarterly Review of Economics and Finance.
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2006Foreign debt and financial hedging: Evidence from Australia In: International Review of Economics & Finance.
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2007Exchange rate exposure, foreign currency derivatives and the introduction of the euro: French evidence In: International Review of Economics & Finance.
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2014Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market In: International Review of Economics & Finance.
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2019Predicting corporate bankruptcy: What matters? In: International Review of Economics & Finance.
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2009The effects of forecast specificity on the asymmetric short-window share market response to management earnings forecasts In: Accounting Research Journal.
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2010The equity and efficiency of the Australian share market with respect to director trading In: Accounting Research Journal.
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2016Further evidence on idiosyncratic risk and REIT pricing: a cross-country analysis In: Accounting Research Journal.
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2011Women and risk tolerance in an aging world In: International Journal of Accounting and Information Management.
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2013Do high and low-ranked sustainability stocks perform differently? In: International Journal of Accounting and Information Management.
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2014The role of board gender on the profitability of insider trading In: International Journal of Accounting and Information Management.
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2007The relationship between implied volatility and autocorrelation In: International Journal of Managerial Finance.
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2009Does Risk Aversion Vary with Decision-Frame? An Empirical Test Using Recent Game Show Data In: Review of Behavioral Finance.
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1996Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period. In: Melbourne - Centre in Finance.
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1998Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange. In: Melbourne - Centre in Finance.
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2001Power ARCH modelling of commodity futures data on the London Metal Exchange.(2001) In: The European Journal of Finance.
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2017The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM In: Journal of Business Ethics.
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2005Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection In: Journal of Financial Services Research.
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2006On the Choice of Superannuation Funds in Australia In: Journal of Financial Services Research.
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2008Fortune Favours the Bold? Exploring Tournament Behavior among Australian Superannuation Funds In: Journal of Financial Services Research.
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2012Location Decisions of Domestic and Foreign-Affiliated Financial Advisors: Australian Evidence In: Journal of Financial Services Research.
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2000U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach. In: Review of Quantitative Finance and Accounting.
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2006Modelling return and conditional volatility exposures in global stock markets In: Review of Quantitative Finance and Accounting.
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2006An integrated multi-model credit rating system for private firms In: Review of Quantitative Finance and Accounting.
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2007The relation between R&D intensity and future market returns: does expensing versus capitalization matter? In: Review of Quantitative Finance and Accounting.
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2008Evidence of feedback trading with Markov switching regimes In: Review of Quantitative Finance and Accounting.
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2008Analysing the performance of managed funds using the wavelet multiscaling method In: Review of Quantitative Finance and Accounting.
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2009Are the Fama–French factors proxying news related to GDP growth? The Australian evidence In: Review of Quantitative Finance and Accounting.
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1996The Nature and Extent of Beta Instability In the Kuala Lumpur Stock Market In: Capital Markets Review.
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2008The Impact of the Announcement of Acquisition of Divested Assets on Buyers’ Wealth - Asset Fit and Disclosure of Funds Used: Evidence from the U.K. In: Multinational Finance Journal.
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2012Return-based Style Analysis in Australian Funds In: Multinational Finance Journal.
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2001The Effect of Intervaling on the Foreign Exchange Exposure of Australian Stock Returns In: Multinational Finance Journal.
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2004Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions In: Monash Econometrics and Business Statistics Working Papers.
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2005MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS.(2005) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2014Is there a Banking Risk Premium in the US Stock Market? In: Journal of Financial Management, Markets and Institutions.
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2015Herding Behavior and Rating Convergence among Credit Rating Agencies: Evidence from the Subprime Crisis In: Review of Finance.
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2005International evidence on the determinants of foreign exchange rate exposure of multinational corporations In: Journal of International Business Studies.
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2003Capital Market Integration and Industrial Structure: The Case of Australia, Canada and the United States In: Journal of Economic Integration.
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1998Time†Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques In: Australian Journal of Management.
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2000Beta and Return: Implications of Australias Dividend Imputation Tax System In: Australian Journal of Management.
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2001An Examination of the Fama and French Three-Factor Model Using Commercially Available Factors In: Australian Journal of Management.
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2002On The Determinants of Derivative Usage by Australian Companies In: Australian Journal of Management.
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2003Further Evidence on the Corporate Use of Derivatives in Australia: The Case of Foreign Currency and Interest Rate Instruments In: Australian Journal of Management.
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2005Tactical Asset Allocation: Australian Evidence In: Australian Journal of Management.
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2006Investigating the Performance of Alternative Default-Risk Models: Option-Based Versus Accounting-Based Approaches In: Australian Journal of Management.
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2007Are the Fama-French Factors Proxying Default Risk? In: Australian Journal of Management.
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2007Do Derivatives Have a Role in the Risk-Shifting Behaviour of Fund Managers? In: Australian Journal of Management.
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2009Revisiting the Vexing Question: Does Superior Corporate Social Performance Lead to Improved Financial Performance? In: Australian Journal of Management.
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2009Fund Size, Transaction Costs and Performance: Size Matters! In: Australian Journal of Management.
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2011Is default risk priced in Australian equity? Exploring the role of the business cycle In: Australian Journal of Management.
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2011The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates In: Australian Journal of Management.
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2012Determinants of bond spreads: evidence from credit derivatives of Australian firms In: Australian Journal of Management.
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2012Profiling socially responsible investors: Australian evidence In: Australian Journal of Management.
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2013The long- and short-run financial impacts of cross listing on Australian firms In: Australian Journal of Management.
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2013A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data In: Australian Journal of Management.
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2013Liquidity in asset pricing: New Australian evidence using low-frequency data In: Australian Journal of Management.
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2014Market discipline and bank risk taking In: Australian Journal of Management.
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2016Factors affecting the birth and fund flows of CTAs In: Australian Journal of Management.
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2016Financial constraints and dividend policy In: Australian Journal of Management.
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2016A contemporary view of corporate finance theory, empirical evidence and practice In: Australian Journal of Management.
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2017The complementary role of cross-sectional and time-series information in forecasting stock returns In: Australian Journal of Management.
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2011Accounting Competencies and the Changing Role of Accountants in Emerging Economies: The Case of Romania In: Accounting in Europe.
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2009Nonlinear linkages between financial risk tolerance and demographic characteristics In: Applied Economics Letters.
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2010Testing seasonality in the liquidity-return relation: Japanese evidence In: Applied Economics Letters.
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2010Does the type of derivative instrument used by companies impact firm value? In: Applied Economics Letters.
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1997Bank exposures to interest-rate risk: the case of the Australian banking industry In: Applied Economics Letters.
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1997A note on beta forecasting In: Applied Economics Letters.
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1997Beta stability and monthly seasonal effects: evidence from the Australian capital market In: Applied Economics Letters.
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1998Consumption versus market betas of Australian industry portfolios In: Applied Economics Letters.
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1999An international market model and exchange rate risk: Australian evidence In: Applied Economics Letters.
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1999Some additional Australian evidence on the day-of-the-week effect In: Applied Economics Letters.
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2007An examination of conditional asset pricing models in the Australian equities market In: Applied Financial Economics Letters.
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2008Systematic liquidity in the long run In: Applied Financial Economics Letters.
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2008Style analysis, customized benchmarks, and managed funds: new evidence In: Applied Financial Economics Letters.
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2008Style drift and fund performance in up and down markets: Australian evidence In: Applied Financial Economics Letters.
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2000Australian industry beta risk, the choice of market index and business cycles In: Applied Financial Economics.
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2001Induced persistence or reversals in fund performance?: the effect of survivorship bias In: Applied Financial Economics.
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2001Testing a two factor APT model on Australian industry equity portfolios: the effect of intervaling In: Applied Financial Economics.
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2004Maximizing futures returns using fixed fraction asset allocation In: Applied Financial Economics.
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2004Correlations, integration and Hansen-Jagannathan bounds In: Applied Financial Economics.
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2004A simple test of the Fama and French model using daily data: Australian evidence In: Applied Financial Economics.
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2004Censoring and its impact on multivariate testing of the Capital Asset Pricing Model In: Applied Financial Economics.
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2004Investigating performance benchmarks in the context of international trusts: Australian evidence In: Applied Financial Economics.
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2005Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence In: Applied Financial Economics.
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2005The stock market impact of German reunification: international evidence In: Applied Financial Economics.
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2007Asia-Pacific banks risk exposures: pre and post the Asian financial crisis In: Applied Financial Economics.
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2009Do Australian hedge fund managers possess timing abilities? In: Applied Financial Economics.
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2009Trading volume and information asymmetry: routine versus nonroutine earnings announcements in Australia In: Applied Financial Economics.
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2010Are firms hedging or speculating? The relationship between financial derivatives and firm risk In: Applied Financial Economics.
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2010The influence of time, seasonality and market state on momentum: insights from the Australian stock market In: Applied Financial Economics.
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2010Style analysis and dominant index timing: an application to Australian multi-sector managed funds In: Applied Financial Economics.
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2010Explaining mispricing with Fama-French factors: new evidence from the multiscaling approach In: Applied Financial Economics.
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2011Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets In: Applied Financial Economics.
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1997A further examination of the effect of diversification on the stability of portfolio betas In: Applied Financial Economics.
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1998A multifactor model of gold industry stock returns: evidence from the Australian equity market In: Applied Financial Economics.
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2013Diminishing marginal returns from R&D investment: evidence from manufacturing firms In: Applied Economics.
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1999An examination of the relationship between Australian industry equity returns and expected inflation In: Applied Economics.
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2002An ordered response model of test cricket performance In: Applied Economics.
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2006Forecasting stock market volatility: Further international evidence In: The European Journal of Finance.
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2019Financial markets, innovation and regulation In: The European Journal of Finance.
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2002Time varying country risk: an assessment of alternative modelling techniques In: The European Journal of Finance.
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2016The profitability of pairs trading strategies: distance, cointegration and copula methods In: Quantitative Finance.
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2002The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study In: The Journal of Business.
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2001New insights into the impact of the introduction of futures trading on stock price volatility In: Journal of Futures Markets.
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2004Do futures‐based strategies enhance dynamic portfolio insurance? In: Journal of Futures Markets.
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2010Corporate usage of financial derivatives, information asymmetry, and insider trading In: Journal of Futures Markets.
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2005An Investigation of Conditional Autocorrelation and Cross-Autocorrelation in Emerging Markets In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
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