robert william faff : Citation Profile


Are you robert william faff?

University of Queensland

23

H index

72

i10 index

2683

Citations

RESEARCH PRODUCTION:

254

Articles

12

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   26 years (1994 - 2020). See details.
   Cites by year: 103
   Journals where robert william faff has often published
   Relations with other researchers
   Recent citing documents: 406.    Total self citations: 74 (2.68 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfa127
   Updated: 2020-11-21    RAS profile: 2020-10-30    
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Relations with other researchers


Works with:

Białek-Jaworska, Anna (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 (26)

McAleer, Michael (26)

lucey, brian (21)

Degiannakis, Stavros (20)

Filis, George (19)

ap Gwilym, Owain (18)

Chang, Chia-Lin (17)

Nguyen, Duc Khuong (17)

Alsakka, Rasha (17)

Ratti, Ronald (16)

Roca, Eduardo (15)

Cites to:

Fama, Eugene (84)

French, Kenneth (74)

Jagannathan, Ravi (52)

Harvey, Campbell (48)

Shleifer, Andrei (37)

Brooks, Robert (34)

merton, robert (33)

Engle, Robert (32)

Bollerslev, Tim (28)

Subrahmanyam, Avanidhar (27)

Lo, Andrew (26)

Main data


Where robert william faff has published?


Journals with more than one article published# docs
Pacific-Basin Finance Journal22
Applied Financial Economics20
Journal of Banking & Finance18
Accounting and Finance12
Journal of Multinational Financial Management10
Applied Economics Letters10
Journal of Business Finance & Accounting8
International Review of Financial Analysis8
Journal of International Financial Markets, Institutions and Money7
Review of Quantitative Finance and Accounting7
Journal of Accounting and Management Information Systems6
Journal of Financial Research6
The Financial Review6
Global Finance Journal5
Journal of Corporate Finance4
Australian Economic Papers4
The European Journal of Finance4
Journal of Financial Services Research4
International Review of Economics & Finance4
Applied Financial Economics Letters4
Multinational Finance Journal3
Journal of Futures Markets3
Energy Economics3
Applied Economics3
Journal of Economics and Business3
Accounting Research Journal3
International Review of Finance3
International Journal of Accounting and Information Management3
Journal of Business Ethics2
Capital Markets Review2
Abacus2
Economic Modelling2

Recent works citing robert william faff (2020 and 2019)


YearTitle of citing document
2019The Relationship Between Depositor Behaviour and Risk Tolerance in a South African Context. (2019). Dickason-Koekemoer, Zandri ; Ferreira, Sun. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:3:p:36-55.

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2020Public Listing and Corporate Social Responsibility from a Sustainability Risk Management Perspective. (2020). Hu, Fang ; Li, Ruitao. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:22:y:2020:i:55:p:808.

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2019Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1811.09312.

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2019A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index. (2019). Volchenkov, Dimitri ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1911.01826.

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2019Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis. (2019). Stephan, Andreas ; Sahamkhadam, Maziar. In: Papers. RePEc:arx:papers:1912.10328.

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2020A closed-form solution for optimal mean-reverting trading strategies. (2020). de Prado, Marcos Lopez ; Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.10502.

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2020Decision-Making, Sub-Additive Recursive Matching Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Preferences. (2020). Nwogugu, Michael C. In: Papers. RePEc:arx:papers:2005.01708.

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2020Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709.

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2020Gold Standard Pairs Trading Rules: Are They Valid?. (2020). Fil, Miroslav. In: Papers. RePEc:arx:papers:2010.01157.

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2020Excursion Risk. (2020). Xu, Renyuan ; Cont, Rama ; Ananova, Anna. In: Papers. RePEc:arx:papers:2011.02870.

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2019The Relationship between Risk and Return - An Empirical Evidence from Real Estate Stocks Listed in Vietnam. (2019). Toan, Le Duc ; Bao, Phan Nguyen ; Trang, Tran Thi ; Minh, Phan Tran ; Diem, Vo Hoang. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:1211-1226.

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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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2020Foreign exchange derivatives and currency mismatch in Irish investment funds. (2020). Bua, Giovanna ; Bianchi, Benedetta. In: IFC Bulletins chapters. RePEc:bis:bisifc:52-10.

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2020Competitive effects of IPOs: evidence from Chinese listing suspensions. (2020). Spiegel, Mark ; Packer, Frank. In: BIS Working Papers. RePEc:bis:biswps:888.

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2019Machine Learning and Expert Judgement: Analyzing Emerging Topics in Accounting and Finance Research in the Asia–Pacific. (2019). Singh, Abhay K ; Marrone, Mauricio ; Linnenluecke, Martina K ; Cai, Cynthia W. In: Abacus. RePEc:bla:abacus:v:55:y:2019:i:4:p:709-733.

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2019A machine learning analysis of citation impact among selected Pacific Basin journals. (2019). Alam, Nurul ; Jones, Stewart. In: Accounting and Finance. RePEc:bla:acctfi:v:59:y:2019:i:4:p:2509-2552.

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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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2020The value of ongoing venture capital investment to newly listed firms. (2020). Suchard, Joann ; Owen, Sian ; Hsu, Weihuei. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1327-1349.

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2020Emerging new themes in environmental, social and governance investing: a systematic literature review. (2020). Daugaard, Dan. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1501-1530.

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2020Trade credit use and bank loan access: an agency theory perspective. (2020). Ma, Shiguang. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1835-1865.

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2020Does stronger corporate governance constrain insider trading? Asymmetric evidence from Australia. (2020). Uylangco, Katherine ; Seamer, Michael ; Hodgson, Allan. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2665-2687.

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2020Pitching research: ‘Qualitative cousins’, the ‘extended family’ and ‘living harmoniously’. (2020). Lodhia, Sumit. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2879-2887.

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2020The discrete and differential impact of monetary policy. (2020). McCredie, Bronwyn. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2919-2937.

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2020Cash holdings, costly financing and the q theory of returns. (2020). Galpin, Neal . In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:s1:p:1149-1174.

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2020Influence of media coverage and sentiment on seasoned equity offerings. (2020). Guo, Jie ; Wang, Jiaguo ; Zhou, YI ; Sun, JI. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:s1:p:557-585.

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2020Say‐on‐pay judgements: the two‐strikes rule and the pay‐performance link. (2020). Rankin, Michaela ; Moroney, Robyn ; Liang, Yimeng. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:s1:p:943-970.

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2020Evidence of governance arbitrage by private equity sponsors. (2020). Schofield, Guy. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:s1:p:971-1005.

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2020Comovement of dairy product futures and firm value: returns and volatility. (2020). Leung, Henry ; Furfaro, Frank. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:64:y:2020:i:3:p:632-654.

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2020Fair Value Exposure, Changes in Fair Value and Audit Fees: Evidence from the Australian Real Estate Industry. (2020). Uddin, Md Borhan ; Jiang, Haiyan ; Habib, Ahsan ; Sangchan, Pinprapa. In: Australian Accounting Review. RePEc:bla:ausact:v:30:y:2020:i:2:p:123-143.

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2020Does individualistic culture impact operational risk?. (2020). Li, Donghui ; Chen, Zhian ; Cao, Zhe ; An, Zhe. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:808-838.

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2020An Institutional Theory Approach to the Evolution of the Corporate Social Performance – Corporate Financial Performance Relationship. (2020). Dacin, Peter A ; Brower, Jacob. In: Journal of Management Studies. RePEc:bla:jomstd:v:57:y:2020:i:4:p:805-836.

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2019Biased beliefs, costly external finance, and firm behavior : A Unified theory. (2019). Yang, Jinqiang ; Mu, Congming ; Lu, Lei ; Li, Delong. In: Research Discussion Papers. RePEc:bof:bofrdp:2019_018.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2020Determinantes del rating soberano: el caso de Chile. (2020). Hitschfeld, Mauricio ; Gallardo, Natalia . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:891.

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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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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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2019Sovereign Ratings and Finance Ministers Characteristics. (2019). Jalles, Joao ; Afonso, Antonio. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00559.

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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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2020The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia. (2020). Alsharif, Mohammad. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-1.

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2020An Empirical Analysis of Financial Risk Tolerance and Demographic Factors of Business Graduates in Pakistan. (2020). Khan, Muhammad Asad ; Arif, Muhammad ; Khalid, Waqar ; Shah, Naveed Hussain . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-27.

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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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2019Oil Price Predictors: Machine Learning Approach. (2019). Moiseev, Nikita ; Mikhaylov, Alexey ; An, Jaehyung. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-05-1.

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2019Relationship between Crude Oil Price Changes and Airlines Stock Price: The Case of Indian Aviation Industry. (2019). Venkateswar, Sankaran ; Maniam, Balasundram ; Selvam, Murugesan ; Kathiravan, Chinnadurai. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-05-2.

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2019Energy Prices and the Nigerian Stock Market. (2019). Ezeaku, Hillary Chijindu ; Egbo, Obiamaka P ; Okolo, Victor O ; Alio, Felix Chukwubuzo. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-06-4.

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2020Did the US Shale Oil Revolution Ruin Oil Industry Stock Market Returns?. (2020). Barrows, Samuel D. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-04-1.

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2020The Causality Analysis of the Effect of Oil and Natural Gas Prices on Ukraine Stock Index. (2020). Akbulaev, Nurkhodzha Nazirkhodzha ; Rahimli, Etimad Munasib ; Suleymanli, Javid Elkhan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-04-15.

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2020The Effects of Environment, Society and Governance Scores on Investment Returns and Stock Market Volatility. (2020). Birau, Ramona ; SPULBAR, Cristi ; Mohapatra, Latasha ; Hawaldar, Iqbal Thonse ; Meher, Bharat Kumar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-04-29.

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2019Does personality predict financial risk tolerance of pre-retiree baby boomers?. (2019). Wang, Christina ; Yao, Zheying ; Rabbani, Abed G. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:23:y:2019:i:c:p:124-132.

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2019Chair-CEO generation gap and bank risk-taking. (2019). Molyneux, Philip ; Kara, Alper ; Zhou, Yifan. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:4:p:352-372.

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2020Intra-industry transfer effects of credit risk news: Rated versus unrated rivals. (2020). Abad, Pilar ; Robles, M D ; Ferreras, R. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:1:s0890838918300830.

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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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2019Corporate hedging and speculation with derivatives. (2019). Bartram, Söhnke. In: Journal of Corporate Finance. RePEc:eee:corfin:v:57:y:2019:i:c:p:9-34.

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2019What is the role of institutional investors in corporate capital structure decisions? A survey analysis. (2019). Brown, Stephen ; Veld-Merkoulova, Yulia ; Dutordoir, Marie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:270-286.

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2020Hard markets, hard times: On the inefficiency of the CAT bond market. (2020). Gurtler, Marc ; Gotze, Tobias. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911991930937x.

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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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2020Stigma or cushion? IMF programs and sovereign creditworthiness. (2020). Lang, Valentin ; Gehring, Kai. In: Journal of Development Economics. RePEc:eee:deveco:v:146:y:2020:i:c:s0304387820300821.

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2019Asymmetric causality between oil price and stock returns:A sectoral analysis. (2019). Bahmani-Oskooee, Mohsen ; Ghodsi, Seyed Hesam ; Hadzic, Muris. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:165-174.

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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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2019Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets. (2019). Wang, Jinghua ; Kim, Yea Lee ; Ngene, Geoffrey M. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:136-147.

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2020Provincial economic performance and underpricing of IPOs: Evidence from political interventions in China. (2020). Li, Yuan ; Uchida, Konari ; Liu, Jianlei . In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:274-285.

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2020Do cash flow imbalances facilitate leverage adjustments of Chinese listed firms? Evidence from a dynamic panel threshold model. (2020). Jian, Wenqing ; Zhao, Zhao ; Zhang, Jianhua. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:201-214.

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2020Does board gender diversity influence firm profitability? A control function approach. (2020). Simioni, Michel ; Reddy, Krishna ; Houanti, Lhocine ; Ng, Rey. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:168-181.

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2020Asymmetric signals and skewness. (2020). Zhen, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:32-42.

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2020Does foreign exchange derivatives market promote R&D? International industry-level evidence. (2020). Xie, Fang ; Sun, Qinru ; Hao, Xiangchao. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:33-42.

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2020Does corporate social responsibility reduce financial distress risk?. (2020). Saeed, Asif ; Manita, Riadh ; Cellier, Alexis ; Boubaker, Sabri. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:835-851.

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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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2019Has the Grexit news affected euro area financial markets?. (2019). Gregori, Wildmer Daniel ; Sacchi, Agnese. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:71-84.

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2019Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets. (2019). Yin, Libo ; Su, Zhi ; Mo, Xuan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301007.

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2020Interest rate derivatives and risk exposure: Evidence from the life insurance industry. (2020). Shiu, Yung-Ming ; Chang, Ariana ; Liu, Hui-Hsuan . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301566.

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2020Lasso-based index tracking and statistical arbitrage long-short strategies. (2020). Filomena, Tiago Pascoal ; Caldeira, Joo Frois ; Santanna, Leonardo Riegel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830336x.

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2020A quantile-copula approach to dependence between financial assets. (2020). Jung, Hojin ; Tabacu, Lucia ; Kim, Jong-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300105.

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2020Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?. (2020). Yoon, Seong-Min ; Sadorsky, Perry ; Hernandez, Jose Arreola ; Hanif, Waqas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302335.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach. (2020). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986.

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2020Factors affecting delinquency of household credit in the U.S.: Does consumer sentiment play a role?. (2020). Tang, Xueli ; Ali, Huson Joher ; Wadud, Mokhtarul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303547.

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2020Liquidity and firm value in an emerging market: Nonlinearity, political connections and corporate ownership. (2020). Lim, Kian-Ping ; Goh, Kim-Leng ; Chia, Yee-Ee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300668.

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2020The impact of appointment-based CEO connectedness on firms’ performance and profitability. (2020). Hung, Mao-Wei ; Chien, Yi-Hsin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300802.

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2020Compensation for illiquidity in China: Evidence from an alternative measure. (2020). Wang, Guanying ; Zhang, Yiming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s106294082030084x.

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2020Directors’ prior life experience and corporate donations: Evidence from China. (2020). Fung, Hung-Gay ; Xiao, Zuoping ; Xu, Yuyang ; Su, Zhong-Qin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300887.

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2019The role of blockholders in the corporate debt maturity structure. (2019). Keng, Kelvin Jui ; Pan, Zheyao. In: Economics Letters. RePEc:eee:ecolet:v:185:y:2019:i:c:s0165176519303726.

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2020How do markets value stock liquidity? Comparative evidence from the UK, the US, Germany and China. (2020). Liu, Guy ; Bo, Yibo ; Gregoriou, Andros. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302198.

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2019Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302358.

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2020Do mutual fund managers earn their fees? New measures for performance appraisal. (2020). Tan, Kian ; Galagedera, Don ; Watson, John ; Fukuyama, Hirofumi. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:653-667.

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2020Board independence and firm value: A quasi-natural experiment using Taiwanese data. (2020). Liu, Frank Hong ; Kao, Mao-Feng ; Jiang, Yuxiang ; Fan, Yaoyao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:71-88.

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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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2019Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis. (2019). Tiwari, Aviral ; Hamdi, Besma ; Alqahtani, Faisal ; Aloui, Mouna. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:536-552.

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2019Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

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robert william faff is editor of


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Accounting and Finance

Works by robert william faff:


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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2006Short-Run and Long-Run Oil Price Sensitivity of Equity Returns: The South Asian Markets In: Review of Applied Economics.
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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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2014Fifty years of finance research in the Asia Pacific Basin 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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2020Pitching research: ‘qualitative cousins’ and the ‘extended family’ In: Accounting and Finance.
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2020The impact of audit quality in rights offerings 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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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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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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2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios? In: Journal of Empirical Finance.
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2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?.(2020) In: Post-Print.
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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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2019Did connected hedge funds benefit from bank bailouts during the financial crisis? In: Journal of Banking & Finance.
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2020Evidence of strategic information uncertainty around opportunistic insider purchases In: Journal of Banking & Finance.
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1996An evaluation of volatility forecasting techniques In: Journal of Banking & Finance.
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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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2004The national market impact of sovereign rating changes In: Journal of Banking & Finance.
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2005Complete markets, informed trading and equity option introductions In: Journal of Banking & Finance.
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2006On the estimation and comparison of short-rate models using the generalised method of moments In: Journal of Banking & Finance.
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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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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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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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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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2019Responsible science: Celebrating the 50-year legacy of Ball and Brown (1968) using a registration-based framework 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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2005Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection In: Journal of Financial Services Research.
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