robert william faff : Citation Profile

Are you robert william faff?

University of Queensland

33

H index

113

i10 index

4507

Citations

RESEARCH PRODUCTION:

308

Articles

15

Papers

3

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 145
   Journals where robert william faff has often published
   Relations with other researchers
   Recent citing documents: 460.    Total self citations: 99 (2.15 %)

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   Permalink: http://citec.repec.org/pfa127
   Updated: 2024-12-03    RAS profile: 2024-11-06    
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Relations with other researchers

Works with:

Baruník, Jozef (2)

Walsh, Kathleen (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 (32)

lucey, brian (27)

ap Gwilym, Owain (25)

Alsakka, Rasha (24)

Tiwari, Aviral (23)

Nguyen, Duc Khuong (21)

Degiannakis, Stavros (20)

Filis, George (19)

Chang, Chia-Lin (17)

Ratti, Ronald (17)

Yoon, Seong-Min (16)

Cites to:

Fama, Eugene (107)

French, Kenneth (100)

Shleifer, Andrei (70)

Jagannathan, Ravi (68)

Harvey, Campbell (59)

merton, robert (46)

Bollerslev, Tim (41)

Brooks, Robert (40)

Engle, Robert (39)

Subrahmanyam, Avanidhar (37)

Stulz, René (34)

Main data

Where robert william faff has published?

Journals with more than one article published# docs
Australian Journal of Management26
Pacific-Basin Finance Journal22
Accounting and Finance22
Journal of Banking & Finance21
Applied Financial Economics20
International Review of Financial Analysis11
Applied Economics Letters10
Journal of Multinational Financial Management10
Pacific Accounting Review8
Journal of Business Finance & Accounting8
Journal of International Financial Markets, Institutions and Money8
Studies in Economics and Econometrics7
Review of Quantitative Finance and Accounting7
Global Finance Journal6
Journal of Accounting and Management Information Systems6
Journal of Corporate Finance6
International Review of Economics & Finance6
Journal of Financial Research6
The Financial Review6
Applied Economics5
Abacus4
Applied Financial Economics Letters4
Financial Analysts Journal4
Accounting Research Journal4
Journal of Financial Services Research4
The European Journal of Finance4
Australian Economic Papers4
Journal of Economics and Business3
International Review of Finance3
Energy Economics3
Multinational Finance Journal3
Journal of Futures Markets3
International Journal of Managerial Finance2
Journal of Empirical Finance2
Finance Research Letters2
Journal of Business Ethics2
Capital Markets Review2
Economic Modelling2

Working Papers Series with more than one paper published# docs
Post-Print / HAL3

Recent works citing robert william faff (2024 and 2023)

YearTitle of citing document
2023Sektorowe zró?nicowanie efektu interwa?u akcji spó?ek z GPW w dobie pandemii COVID-19. (2023). Lisicki, Bartomiej. In: Ekonomista. RePEc:aoq:ekonom:y:2023:i:2:p:174-194.

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2023Excursion Risk. (2020). Cont, Rama ; Ananova, Anna ; Xu, Renyuan. In: Papers. RePEc:arx:papers:2011.02870.

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2024Detecting data-driven robust statistical arbitrage strategies with deep neural networks. (2022). Neufeld, Ariel ; Yin, Daiying ; Sester, Julian. In: Papers. RePEc:arx:papers:2203.03179.

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2023Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning. (2023). Huang, Jimin ; Lai, Yanzhao ; Peng, Min ; Xie, Qianqian ; Zhang, Boyi. In: Papers. RePEc:arx:papers:2301.10724.

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2024A hidden Markov model for statistical arbitrage in international crude oil futures markets. (2023). Rotondi, Francesco ; Fontana, Claudio ; Fanelli, Viviana. In: Papers. RePEc:arx:papers:2309.00875.

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2024Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework. (2023). Lu, Kevin W ; Leung, Tim. In: Papers. RePEc:arx:papers:2309.05512.

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2024Optimal Entry and Exit with Signature in Statistical Arbitrage. (2023). Lee, Kiseop ; Chakraborty, Prakash ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008.

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2024Pairs Trading Using a Novel Graphical Matching Approach. (2024). Zaman, Tauhid ; Qureshi, Khizar. In: Papers. RePEc:arx:papers:2403.07998.

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2024Advanced Statistical Arbitrage with Reinforcement Learning. (2024). Lee, Kiseop ; Ning, Boming. In: Papers. RePEc:arx:papers:2403.12180.

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2023Risk Analysis of Pension Fund Investment Choices. (2023). Do, Hung Xuan ; Brooks, Robert ; Bissoondoyalbheenick, Emawtee. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:3:p:872-898.

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2023Voluntary Carbon Reporting Prediction: A Machine Learning Approach. (2023). Yu, Muchen ; Jones, Stewart ; Frost, Geoffrey. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:4:p:1116-1166.

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2023A 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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2024A response surface analysis of critical values for the lead?lag ratio with application to high frequency and non?synchronous financial data. (2020). Rajaguru, Gulasekaran ; O'Neill, Michael. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3979-3990.

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2023Speculative trading preferences of retail investor birth cohorts. (2023). Wright, Danika ; Westerholm, Joakim ; Lepone, Grace. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:555-574.

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2023Capital and labour distortion in China: a systematic literature review using HistCite. (2023). Liang, Yidan. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:1759-1784.

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2023Local social environment and the speed of leverage adjustment. (2023). Lu, Chun ; Li, Tongxia. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:1919-1952.

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2023Customer concentration, leverage adjustments, and firm value. (2023). Li, Junfeng ; Wu, Kai ; Liu, Xiaoxing ; Ur, Obaid. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2035-2079.

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2023CEO overconfidence and the tone of press release. (2023). Gong, Rong. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2081-2108.

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2023Toxic chemical releases and idiosyncratic return volatility: A prospect theory perspective. (2023). Zaman, Rashid ; Nadeem, Muhammad ; Bahadar, Stephen. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2109-2143.

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2023Difference of opinion among investors versus analysts. (2023). Wu, Wenfeng ; Cao, Zhiqi. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2347-2381.

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2023Former auditors on the audit committee and earnings management: Evidence from African banks. (2023). Slimi, Imen ; Mnif, Yosra. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2383-2420.

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2023How do co?shareholding networks affect negative media coverage? Evidence from China. (2023). Liu, Yupei ; Hou, Wendi ; Wang, Lixiang. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:4:p:4221-4249.

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2023The relationship between responsible financial behaviours and financial wellbeing: The case of buy?now?pay?later. (2023). Gengatharen, Rasiah ; Yong, Jaime ; Do, Anh ; Powell, Robert. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:4:p:4431-4451.

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2023Corporate green innovation and stock liquidity in China. (2023). Jiang, Kangqi ; Xiao, YU ; Chen, Zhongfei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1381-1415.

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2023Social media information dissemination and corporate bad news hoarding. (2023). Feng, Lingbing ; He, Feng. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1503-1532.

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2024.

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2023Classifying responsible investors: Identifying clusters of Ontario investors. (2023). Piscitelli, Anthony. In: Annals of Public and Cooperative Economics. RePEc:bla:annpce:v:94:y:2023:i:4:p:1133-1144.

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2023Advisory or monitoring role in ESG scenario: Which women directors are more influential in the Italian context?. (2023). Paolone, Francesco ; Cambrea, Domenico Rocco ; Cucari, Nicola. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:32:y:2023:i:7:p:4299-4314.

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2023Microstructure and asset pricing: An insight on African frontier stock markets. (2023). Nchofoung, Tii ; Hikouatcha, Prince ; Tchoffo, Pierre Ghislain ; Bidias, Hans Patrick ; Njamen, Arsene Aurelien. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:944-987.

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2024Corporate fraud, political connections, and media bias: Evidence from China. (2024). Lai, Chenmeng ; Li, Qian ; Wang, Jiamin ; Song, Victor. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:319-353.

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2024CEO overcaution and capital structure choices. (2024). Brooks, Chris ; Gheno, Andrea ; Rocciolo, Francesco. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:3:p:719-743.

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2023Institutional investors corporate site visits and corporate investment efficiency. (2023). Xiao, HE. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:359-392.

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2023Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440.

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2024Plant Scale and Exchange‐Rate‐Induced Productivity Growth. (2011). Fung, Loretta ; Beaulieu, Eugene ; Baggs, Jen. In: Journal of Economics & Management Strategy. RePEc:bla:jemstr:v:20:y:2011:i:4:p:1197-1230.

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2023The role of bank lenders in firm leverage adjustments. (2023). Chen, Kai ; Zhu, Feifei ; Gao, Wenlian. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:63-97.

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2024Climate Change and Sovereign Risk: A Regional Analysis for the Caribbean. (2024). Mohaddes, Kamiar ; Klusak, P ; Doherty-Bigara, J ; Burke, M ; Agarwala, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2420.

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2024.

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2023Preferred habitat investors in the green bond market. (2023). Boermans, Martijn. In: Working Papers. RePEc:dnb:dnbwpp:773.

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2024Liquidity on Eurozone stock markets: A non-linear approach. (2024). Seyte, Franoise ; Souiki, Boumediene. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01064.

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2023Window dressing of regulatory metrics: evidence from repo markets. (2023). Waibel, Martin ; Grill, Michael ; Behn, Markus ; Bassi, Claudio. In: Working Paper Series. RePEc:ecb:ecbwps:20232771.

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2023Momentum in Low Carbon and Fossil Fuel Free Equity Investing. (2023). Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-05-51.

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2023The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models. (2023). Catik, Nazif A ; Helmi, Mohamad Husam ; Akdeniz, Coskun ; Huyuguzel, Gul Serife ; Kosedagli, Begum Yurteri. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-45.

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2024Which ESG+F dimension matters most to retail investors? An experimental study on financial decisions and future generations. (2024). Bax, Karoline ; Klaser, Klaudijo ; Benuzzi, Matteo. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635023000965.

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2023Missing the boat: Regulatory approval delay and investment project outcomes. (2023). Keng, Kelvin Jui ; Huang, Ronghong ; Ye, Qiaozhi. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:6:s0890838923000161.

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2023Prosocial CEOs and the cost of debt: Evidence from syndicated loan contracts. (2023). Zhang, Wenqiao ; Yang, Haoyi ; Xu, Liang ; Liu, Chunbo. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001596.

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2023On dividend policy and market valuations of Australia’s listed electricity utilities: Regulated vs. merchant. (2023). Simshauser, Paul. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:696-715.

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2024Labor dynamics and unions: An empirical analysis through Okuns Law. (2024). Zambrano-Monserrate, Manuel A. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:613-628.

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2023Does national culture impact trade credit provision of SMEs?. (2023). Ly, Kim Cuong ; Hoang, Cong Huan ; Zhang, Xuan ; Xiao, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001001.

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2023Are activist hedge funds good business advisors?. (2023). Desrousseaux, Luc. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001475.

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2023Breaking news headlines: Impact on trading activity in the cryptocurrency market. (2023). Subramaniam, Sowmya ; Kulbhaskar, Anamika Kumar. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002092.

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2024Discrepancy and cross-regional bias in sovereign credit ratings: Analyzing the role of public debt. (2024). Nguimkeu, Pierre ; Tatoutchoup, Didier ; ben Hmiden, Oussama ; Avele, Donatien. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s0264999323004121.

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2024Impact of ESG preferences on investments and emissions in a DSGE framework. (2024). Xiong, Xiong ; Bian, Yuxiang ; Wang, Ren. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000877.

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2023Hedge fund performance persistence under different business cycles and stock market regimes. (2023). Tolikas, Konstantinos ; Andrikopoulos, Athanasios ; Stafylas, Dimitrios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002017.

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2023Analyzing quantile spillover effects among international financial markets. (2023). Pan, NA ; Liu, Tangyong ; Wang, Jie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000049.

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2023Searching hedging instruments against diverse global risks and uncertainties. (2023). Rafia, Humaira Tahsin ; Gider, Zeynullah ; Hassan, Kabir M ; Hasan, Md Bokhtiar ; Rashid, Mamunur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000165.

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2023Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x.

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2024CEO overconfidence, risk-taking, and firm value: Influence of incentive compensation and financial constraints. (2024). Chang, Chong-Chuo ; Tang, Hui-Wen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001572.

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2024Does swing pricing reduce investment funds’ liquidity risk in times of market stress? – Evidence from the March-2020 episode. (2024). Fong, Tom Pak-Wing ; Wong, Joe Ho-Yeung ; Wu, Gabriel Shui-Tang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000433.

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2024Is the digital economy an effective tool for decreasing energy vulnerability? A global case. (2024). Dong, Kangyin ; Liu, Yang ; Wang, Jianda. In: Ecological Economics. RePEc:eee:ecolec:v:216:y:2024:i:c:s0921800923002914.

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2023Natural disasters, investor sentiments and stock market reactions: Evidence from Turkey–Syria earthquakes. (2023). Oyekola, Olayinka ; Adigun, Rasheed ; Dosumu, Oluwatoyin Esther ; Lawal, Rodiat ; Sakariyahu, Rilwan. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001787.

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2024Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; An, Ran ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494.

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2023Pairs trading via unsupervised learning. (2023). Wei, Alenson Jun ; He, Zhaodong ; Han, Chulwoo. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:929-947.

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2023Margin trading and spillover effects: Evidence from the Chinese stock markets. (2023). Ye, Qing ; Zhou, Shengjie. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014123000109.

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2023The Nexus among board diversity and bank stability: Implications from gender, nationality and education. (2023). Mohamed, Toka S ; Alharbi, Rana ; Elnahass, Marwa ; McLaren, Josie. In: Emerging Markets Review. RePEc:eee:ememar:v:57:y:2023:i:c:s1566014123000766.

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2023Product competition, political connections, and the costs of high leverage. (2023). Song, Victor ; Wang, Shihao ; Li, Qian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s092753982300097x.

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2023A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001081.

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2023Corporate social responsibility and excess perks. (2023). Wang, Xue ; Wu, Yuze ; Fu, Zhe. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s092753982300110x.

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2024Carbon dioxide and asset pricing: Evidence from international stock markets. (2024). Lu, Andrea ; Liu, Jinyu ; Chen, Zhuo ; Tao, Libin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001287.

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2023COVID-19 and the quantile connectedness between energy and metal markets. (2023). Umar, Zaghum ; Teplova, Tamara ; Pham, Linh ; Ghosh, Bikramaditya. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005497.

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2023The nexus between oil and airline stock returns: Does time frequency matter?. (2023). Brooks, Robert ; Do, Hung Xuan ; Pham, Son D ; Asadi, Mehrad. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005734.

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2023Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953.

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2023Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy. (2023). Roubaud, David ; Tiwari, Aviral Kumar ; Roudari, Soheil ; Asadi, Mehrad. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006119.

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2023Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis. (2023). Abakah, Emmanuel ; Ntowgyamfi, Matthew ; Le, Tn-Lan ; Shao, Xuefeng ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006272.

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2023Oil price and the automobile industry: Dynamic connectedness and portfolio implications with downside risk. (2023). Kang, Sang Hoon ; Maitra, Debasish ; Jain, Prachi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s014098832300035x.

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2023The systemic risk of US oil and natural gas companies. (2023). Panzica, Roberto ; Fontini, Fulvio ; Caporin, Massimiliano. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001482.

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2023Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach. (2023). , Mohamed. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002694.

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2023Does green improve portfolio optimisation?. (2023). Moussa, Faten ; Boubaker, Sabri ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003298.

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2023Network connectedness between Chinas crude oil futures and sector stock indices. (2023). Fan, Ying ; Liu, Bing-Yue ; Wang, Zi-Xin. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003468.

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2023Energy shocks and bank efficiency in emerging economies. (2023). Kim, Ja Ryong ; Ullah, Subhan ; Nasim, Asma ; Hameed, Affan. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005030.

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2024Energy price uncertainty, environmental policy, and firm investment: A dynamic modeling approach. (2024). Hao, YU ; Deng, Zhengxing. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000148.

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2024Faking for fortune: Emissions trading schemes and corporate greenwashing in China. (2024). Pan, Lulu ; Cai, Qijun ; Tan, Ruipeng. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000276.

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More than 100 citations found, this list is not complete...

robert william faff is editor of

Journal
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).
[Full Text][Citation analysis]		article1
2007Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach In: ANU Working Papers in Economics and Econometrics.
[Full Text][Citation analysis]		paper2
2012Reported earnings and analyst forecasts as competing sources of information: A new approach.(2012) In: Australian Journal of Management.
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This paper has nother version. Agregated cites: 2		article
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