David Michayluk : Citation Profile


Are you David Michayluk?

University of Technology Sydney

7

H index

5

i10 index

200

Citations

RESEARCH PRODUCTION:

24

Articles

19

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 10
   Journals where David Michayluk has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 2 (0.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmi143
   Updated: 2018-09-22    RAS profile: 2018-09-21    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with David Michayluk.

Is cited by:

Liow, Kim (12)

DUMITRIU, Ramona (6)

Stefanescu, Razvan (6)

lucey, brian (5)

Dimovski, Bill (3)

Gerig, Austin (3)

Worthington, Andrew (3)

Alcock, Jamie (3)

Zhou, Jian (3)

Hoesli, Martin (2)

Brooks, Robert (2)

Cites to:

Stoll, Hans (8)

Lee, Charles (8)

Ready, Mark (7)

Easley, David (5)

Fama, Eugene (5)

Foucault, Thierry (4)

Engle, Robert (4)

Miller, Merton (4)

Roll, Richard (4)

Kim, Kenneth (3)

Brown, Stephen (3)

Main data


Where David Michayluk has published?


Journals with more than one article published# docs
International Review of Financial Analysis2
Journal of Financial Research2
Journal of Economics and Finance2
Pacific-Basin Finance Journal2

Working Papers Series with more than one paper published# docs
Published Paper Series / Finance Discipline Group, UTS Business School, University of Technology, Sydney12
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney4

Recent works citing David Michayluk (2018 and 2017)


YearTitle of citing document
2017The effect of the “very important paper” (VIP) designation in Angewandte Chemie International Edition on citation impact: A propensity score matching analysis. (2017). Mutz, Rudiger ; Daniel, Hans-Dieter ; Wolbring, Tobias. In: Journal of the Association for Information Science & Technology. RePEc:bla:jinfst:v:68:y:2017:i:9:p:2139-2153.

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2017Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey. (2017). coskun, yener ; Yilmaz, Bilgi ; Selcuk-Kestel, Sevtap A. In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:4:p:199-215.

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2017Market maker competition and price efficiency: Evidence from China. (2017). Zhang, Wei ; Feng, XU ; Huang, Ke. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:121-131.

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2017On the robustness of week-day effect to error distributional assumption: International evidence. (2017). Nguyen, Duc Khuong ; Saadi, Samir ; Essaddam, Naceur ; Boubaker, Sabri. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:114-130.

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2018Who drives the Monday effect?. (2018). Ulku, Numan ; Rogers, Madeline. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:148:y:2018:i:c:p:46-65.

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2017Gender differences in financial risk tolerance. (2017). Fisher, Patti J ; Yao, Rui. In: Journal of Economic Psychology. RePEc:eee:joepsy:v:61:y:2017:i:c:p:191-202.

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2018The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets. (2018). Moriyasu, Hiroshi ; Yu, Jing ; Wee, Marvin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:103-128.

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2017The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets. (2017). Zhang, Xingwei ; Zheng, Xiaolong ; Zeng, Daniel Dajun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:472:y:2017:i:c:p:32-42.

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2017Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?. (2017). Ftiti, Zied ; Hadhri, Sinda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:39-60.

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2018Is There Seasonality in Traded and Non-Traded Period Returns in the US Equity Market? A Multiple Structural Change Approach. (2018). Miralles Quirós, Jose ; Manso, Jose ; Miralles-Quiros, Jose Luis ; Monteiro, Joao Dionisio. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:68:y:2018:i:1:p:71-98.

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2017The Impact of the Global Financial Crisis on the Co-Integration Relationship between Reit and Stock Markets: A Dynamic Co-Integration Approach. (2017). Yuksel, Aydin S ; Ozturk, Hakki ; Erol, Umit . In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:7:p:86-98.

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2018Increased Tail Dependence in Global Public Real Estate Markets. (2018). Deng, Yang ; Gong, PU. In: International Real Estate Review. RePEc:ire:issued:v:21:n:02:2018:p:145-168.

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2017REITs and Market Microstructure: A Comprehensive Analysis of Market Quality. (2017). Jain, Pawan ; Westby-Gibson, Janean K ; Sunderman, Mark . In: Journal of Real Estate Research. RePEc:jre:issued:v:39:n:1:2017:p:65_98.

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2018Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis. (2018). Alcock, Jamie ; Andrlikova, Petra. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:56:y:2018:i:2:d:10.1007_s11146-016-9593-9.

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2018Fundamental Drivers of Dependence in REIT Returns. (2018). Alcock, Jamie ; Steiner, Eva. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:57:y:2018:i:1:d:10.1007_s11146-016-9562-3.

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2018One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations. (2018). Verousis, Thanos ; Sermpinis, Georgios ; Perotti, Pietro. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0632-2.

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2017Liquidity, Price Behavior, and Market-related Events. (2017). Lu-Andrews, Ran ; Glascock, John L. In: Eastern Economic Journal. RePEc:pal:easeco:v:43:y:2017:i:2:d:10.1057_s41302-016-0002-0.

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2017Ill Think about it Tomorrow: Price Drifts Following Large Pre-Holiday Stock Price Moves. (2017). Kudryavtsev, Andrey. In: The Review of Finance and Banking. RePEc:rfb:journl:v:09:y:2017:i:2:p:007-026.

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2018Do high-frequency fleeting orders exacerbate market illiquidity?. (2018). Li, Kun. In: Electronic Commerce Research. RePEc:spr:elcore:v:18:y:2018:i:2:d:10.1007_s10660-017-9273-8.

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2017The evolution and cross-section of the day-of-the-week effect. (2017). Zilca, Shlomo. In: Financial Innovation. RePEc:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0077-6.

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2017Day-of-the-week returns and mood: an exterior template approach. (2017). Zilca, Shlomo. In: Financial Innovation. RePEc:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0079-4.

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2017On price co-movement and volatility spillover effects in China’s housing markets. (2017). Weng, Yingliang ; Gong, PU. In: International Journal of Strategic Property Management. RePEc:taf:ijspmg:v:21:y:2017:i:3:p:240-255.

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2017Coming early to the party. (2017). Pelizzon, Loriana ; Yuferova, Darya ; Uno, Jun ; Subrahmanyam, Marti ; Bellia, Mario. In: SAFE Working Paper Series. RePEc:zbw:safewp:182.

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David Michayluk is editor of


Journal
International Journal of Managerial Finance

Works by David Michayluk:


YearTitleTypeCited
2010Automated Liquidity Provision and the Demise of Traditional Market Making In: Papers.
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paper8
2014Automated Liquidity Provision.(2014) In: Research Paper Series.
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This paper has another version. Agregated cites: 8
paper
2004Real Estate Markets In: ERES.
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paper2
2010Stock Splits and Bond Yields: Isolating the Signaling Hypothesis In: The Financial Review.
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article3
2008Is Liquidity Symmetric? A Study of Newly Listed Internet and Technology Stocks In: International Review of Finance.
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article5
2014Are Certain Dividend Increases Predictable? The Effect of Repeated Dividend Increases on Market Returns In: Journal of Applied Corporate Finance.
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article0
2006DAY-END EFFECT ON THE PARIS BOURSE In: Journal of Financial Research.
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article5
2006INVESTOR OVERREACTION DURING MARKET DECLINES: EVIDENCE FROM THE 1997 ASIAN FINANCIAL CRISIS In: Journal of Financial Research.
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article13
2006Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets In: Real Estate Economics.
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article47
2009French and U.S. trading of cross-listed stocks around the period of U.S. decimalization: Volume, spreads, and depth effects In: International Review of Financial Analysis.
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article1
2016Return predictability following different drivers of large price changes In: International Review of Financial Analysis.
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article1
2007Are foreign issuers complying with Regulation Fair Disclosure? In: Journal of International Financial Markets, Institutions and Money.
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article1
2012A longitudinal study of financial risk tolerance In: Journal of Economic Psychology.
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article12
2003Suspicious trading halts In: Journal of Multinational Financial Management.
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article4
2008Hubris amongst Japanese bidders In: Pacific-Basin Finance Journal.
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article5
2017Automated liquidity provision In: Pacific-Basin Finance Journal.
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article6
2014Automated Liquidity Provision.(2014) In: Research Paper Series.
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paper
2000Dividend initiations in reverse-LBO firms In: Review of Financial Economics.
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article3
2005Intraday REIT Liquidity In: Journal of Real Estate Research.
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article8
2004The Riskiness of REITs Surrounding the October 1997 Stock Market Decline In: The Journal of Real Estate Finance and Economics.
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article22
2008A Liquidity Motivated Algorithm for Discerning Trade Direction In: Multinational Finance Journal.
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article1
2008An Insight into Overconfidence in the Forecasting Abilities of Financial Advisors In: Australian Journal of Management.
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article6
1998Individual versus institutional investors and the weekend effect In: Journal of Economics and Finance.
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article7
2010An analysis of Australian exchange traded options and warrants In: Journal of Economics and Finance.
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article1
2014Do lead articles signal higher quality in the digital age? Evidence from finance journals In: Scientometrics.
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article1
2013Do Lead Articles Signal Higher Quality in the Digital Age? Evidence from Finance Journals.(2013) In: Working Paper Series.
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1998The persistent holiday effect: additional evidence In: Applied Economics Letters.
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article28
2008The rise and fall of single-letter ticker symbols In: Business History.
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1997The Holiday Anomaly: An Investigation of Firm Size versus Share Price Effects In: Published Paper Series.
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paper4
2004Repeated LBOs: The Case of Multiple LBO Transactions In: Published Paper Series.
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2005The Role of Growth in Long Term Investment Returns In: Published Paper Series.
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2007Subjectivity in Judgments: Further Evidence from the Financial Planning Industry In: Published Paper Series.
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2007Sarbannes-Oxley: Some Unintended Consequences In: Published Paper Series.
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2008Liquidity issues surrounding neglected firms In: Published Paper Series.
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paper1
2009What Do Options Have to Do With It?: Inclusion of Options Market Indicators in Bid-ask Spread Decomposition In: Published Paper Series.
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2011Demand and Supply and Their Relationship to Liquidity: Evidence from the S&P 500 Change to Free Float In: Published Paper Series.
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2013Financial risk tolerance: An analysis of unexplored factors In: Published Paper Series.
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2014Ambiguity in markets: A test in an Australian emissions market In: Published Paper Series.
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2015Determining value in a complex service setting In: Published Paper Series.
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2015Takeovers and the Market for Corporate Control in Japanese REITs In: Published Paper Series.
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2008Modelling Adverse Selection on Electronic Order-Driven Markets In: Research Paper Series.
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2001Market Structure and Stock Splits In: Research Paper Series.
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2009Reversing the lead, or a series of unfortunate events? NYMEX, ICE, and Amaranth In: Journal of Futures Markets.
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