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Publications

by members of

Faculty of Business and Economics
Monash University
Clayton, Australia

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

    2008

  1. James Giesecke & G.A. Meagher, 2008. "Modelling the Economic Effects of Population Ageing," Centre of Policy Studies/IMPACT Centre Working Papers g-172, Monash University, Centre of Policy Studies/IMPACT Centre. [Downloadable!]
  2. Tran Hoang Nhi & James A. Giesecke, 2008. "Growth and structural change in the Vietnamese economy 1996-2003: A CGE analysis," Centre of Policy Studies/IMPACT Centre Working Papers g-171, Monash University, Centre of Policy Studies/IMPACT Centre. [Downloadable!]

    2007

  1. H.M. Anderson & H. Chan & R. Faff & Y.K. Ho, 2007. "Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach," ANUCBE School of Economics Working Papers 2007-488, Australian National University, College of Business and Economics, School of Economics. [Downloadable!]
  2. Rob J. Hyndman & Roman A. Ahmed & George Athanasopoulos, 2007. "Optimal combination forecasts for hierarchical time series," Monash Econometrics and Business Statistics Working Papers 9/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  3. George Athanasopoulos & D.S. Poskitt & Farshid Vahid, 2007. "Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form," Monash Econometrics and Business Statistics Working Papers 10/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  4. George Athanasopoulos & Roman A. Ahmed & Rob J. Hyndman, 2007. "Hierarchical forecasts for Australian domestic tourism," Monash Econometrics and Business Statistics Working Papers 12/07, Monash University, Department of Econometrics and Business Statistics, revised Nov 2007. [Downloadable!]
  5. James A. Giesecke & J. Mark Horridge & José A. Scaramucci, 2007. "The Downside of Domestic Substitution of Oil with Biofuels: Will Brazil Catch the Dutch Disease?," Centre of Policy Studies/IMPACT Centre Working Papers g-169, Monash University, Centre of Policy Studies/IMPACT Centre. [Downloadable!]
  6. James A Giesecke & John R Madden, 2007. "The Sydney Olympics, seven years on: an ex-post dynamic CGE assessment," Centre of Policy Studies/IMPACT Centre Working Papers g-168, Monash University, Centre of Policy Studies/IMPACT Centre. [Downloadable!]

    2006

  1. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2006. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," IBMEC RJ Economics Discussion Papers 2006-01, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
  2. George Athanasopoulos & Rob J. Hyndman, 2006. "Modelling and forecasting Australian domestic tourism," Monash Econometrics and Business Statistics Working Papers 19/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  3. George Athanasopoulos & Farshid Vahid, 2006. "A Complete VARMA Modelling Methodology Based on Scalar Components," Monash Econometrics and Business Statistics Working Papers 2/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  4. George Athanasopoulos & Farshid Vahid, 2006. "VARMA versus VAR for Macroeconomic Forecasting," Monash Econometrics and Business Statistics Working Papers 4/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  5. James Giesecke & G.A.Meagher, 2006. "Modelling the Economic Impacts of Migration and Population Growth," Centre of Policy Studies/IMPACT Centre Working Papers g-157, Monash University, Centre of Policy Studies/IMPACT Centre. [Downloadable!]
  6. James A Giesecke & John R Madden, 2006. "Uncovering the Factors behind Comparative Regional Economic Performance: A Dynamic CGE Approach," Centre of Policy Studies/IMPACT Centre Working Papers g-165, Monash University, Centre of Policy Studies/IMPACT Centre. [Downloadable!]

    2005

  1. Richard Scheelings, 2005. "Essays in Law and Economics," Levine's Working Paper Archive 618897000000000950, UCLA Department of Economics. [Downloadable!]
  2. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  3. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Economics Working Papers (Ensaios Economicos da EPGE) 589, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
  4. James Giesecke & Peter B. Dixon & Maureen T. Rimmer, 2005. "Regional Macroeconomic Outcomes Under Alternative Arrangements for the Financing of Urban Infrastructure," Centre of Policy Studies/IMPACT Centre Working Papers g-152, Monash University, Centre of Policy Studies/IMPACT Centre. [Downloadable!]
  5. James Giesecke & John Madden, 2005. "A CGE assessment of a university's effects on a regional economy - supply-side versus demand-side effects," ERSA conference papers ersa05p436, European Regional Science Association. [Downloadable!]

    2004

  1. Don U.A. Galagedera & Robert Faff, 2004. "Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions," Monash Econometrics and Business Statistics Working Papers 8/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  2. Diana Maldonado & Tim Fry & Robert Brooks & Robert Faff, 2004. "Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case," Econometric Society 2004 Australasian Meetings 62, Econometric Society.
  3. Farshid Vahid & George Athanasopoulos, 2004. "Are VAR Models Good Enough?," Econometric Society 2004 Australasian Meetings 244, Econometric Society.
  4. Peter Dixon & James Giesecke & Maurreen Rimmer, 2004. "Regional macroeconomic outcomes under alternative arrangements for the financing of urban infrastructure," ERSA conference papers ersa04p116, European Regional Science Association. [Downloadable!]
  5. James Giesecke, 2004. "The Extent and Consequences of Recent Structural Changes in the Australian Economy, 1997-2002: Results from Historical/Decomposition Simulations with MONASH," Centre of Policy Studies/IMPACT Centre Working Papers g-151, Monash University, Centre of Policy Studies/IMPACT Centre. [Downloadable!]

    2003

  1. John Anderson & Robert W Faff, 2003. "Optimal f and Portfolio Return Optimisation in US Futures Markets," School of Economics and Finance Discussion Papers and Working Papers Series 133, School of Economics and Finance, Queensland University of Technology. [Downloadable!]

    2002

  1. George Athanasopoulos & Farshid Vahid, 2002. "Statistical Inference on Changes in Income Inequality in Australia," Monash Econometrics and Business Statistics Working Papers 9/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  2. Heather M. Anderson & George Athanasopoulos & Farshid Vahid, 2002. "Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries," Monash Econometrics and Business Statistics Working Papers 20/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  3. Madden, John Robert & Giesecke, James, 2002. "Competition reforms and collaborative federalism: a dynamic multiregional applied general equilibrium analysis," ERSA conference papers ersa02p343, European Regional Science Association. [Downloadable!]

    2001

  1. Athanasopoulos, G. & Anderson, H.M. & Vahid, F., 2001. "Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models," Monash Econometrics and Business Statistics Working Papers 7/2001, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

    2000

  1. Edwin D. Maberly & Daniel F. Waggoner, 2000. "Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract," Working Paper 2000-11, Federal Reserve Bank of Atlanta. [Downloadable!]
  2. Takato Hiraki & Edwin D. Maberly, 2000. "An analysis of Japanese stock return dynamics conditional on U.S. Monday holiday closures," Working Paper 2000-6, Federal Reserve Bank of Atlanta. [Downloadable!]

    1998

  1. McKenzie, M. & Michell, H. & Brooks, R.D. & Faff, R.W., 1998. "Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange," Papers 98-3, Melbourne - Centre in Finance.
  2. McKenzie, M. & Michell, H. & Brooks, R.D. & Faff, R.W., 1998. "A Multi-Country of Power ARCH Models and National Stock Market Returns," Papers 98-4, Melbourne - Centre in Finance.

    1997

  1. Brooks, R & Davidson, S & Faff, R, 1997. "An Examination of the Effects of Major Political Change on Stock Market Volatility : The South African Experience," Papers 97-4, Melbourne - Centre in Finance.

    1996

  1. Faff, R. & Brooks, R., 1996. "Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period," Papers 96-10, Melbourne - Centre in Finance.

    1995

  1. Brooks, R. & Faff, R., 1995. "Financial Market Deregulation and Bank Risk: Testing for Beta Instability," Papers 95-3, Melbourne - Centre in Finance.

    1994

  1. Brooks, R.D. & Faff, R.W. & Lee, J.H.H., 1994. "Beta Stability and Portfolio Formation," Papers 94-3, Melbourne - Centre in Finance.

Journal articles

    2008

  1. Warren Dean & Robert Faff, 2008. "Evidence of feedback trading with Markov switching regimes," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 133-151, February. [Downloadable!] (restricted)
  2. Anderson, John A. & Faff, Robert W., 2008. "Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 198-217. [Downloadable!] (restricted)
  3. Hue Hwa Au Yong & Robert Faff, 2008. "Asia-Pacific banks risk exposures: pre and post the Asian financial crisis," Applied Financial Economics, Taylor and Francis Journals, vol. 18(6), pages 431-449. [Downloadable!] (restricted)
  4. Balachandran, Balasingham & Faff, Robert & Nguyen, Tuan Anh, 2008. "The ex-date impact of special dividend announcements: A note," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 635-643, June. [Downloadable!] (restricted)
  5. Francis In & Sangbae Kim & Vijaya Marisetty & Robert Faff, 2008. "Analysing the performance of managed funds using the wavelet multiscaling method," Review of Quantitative Finance and Accounting, Springer, vol. 31(1), pages 55-70, July. [Downloadable!] (restricted)
  6. Nandha, Mohan & Faff, Robert, 2008. "Does oil move equity prices? A global view," Energy Economics, Elsevier, vol. 30(3), pages 986-997, May. [Downloadable!] (restricted)
  7. George Athanasopoulos & Farshid Vahid, 2008. "A complete VARMA modelling methodology based on scalar components," Journal of Time Series Analysis, Blackwell Publishing, vol. 29(3), pages 533-554, 05. [Downloadable!] (restricted)
  8. James Giesecke, 2008. "A Top-down Framework for Regional Historical Analysis," Spatial Economic Analysis, Taylor and Francis Journals, vol. 3(1), pages 45-87. [Downloadable!] (restricted)
  9. James Giesecke, 2008. "The Effects Of Recent Structural, Policy And External Shocks To The Australian Economy, 1996/97-2001/02," Australian Economic Papers, Blackwell Publishing, vol. 47(1), pages 15-37, 03. [Downloadable!] (restricted)
  10. James Giesecke & Peter B. Dixon & Maureen T. Rimmer, 2008. "Regional macroeconomic outcomes under alternative arrangements for the financing of public infrastructure," Papers in Regional Science, Blackwell Publishing, vol. 87(1), pages 3-31, 03. [Downloadable!] (restricted)

    2007

  1. Ma, Shiguang & Faff, Robert, 2007. "Market conditions and the optimal IPO allocation mechanism in China," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 121-139, April. [Downloadable!] (restricted)
  2. Howard Chan & Robert Faff & Philip Gharghori & Yew Ho, 2007. "The relation between R&D intensity and future market returns: does expensing versus capitalization matter?," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 25-51, July. [Downloadable!] (restricted)
  3. Nguyen, Hoa & Faff, Robert & Marshall, Andrew, 2007. "Exchange rate exposure, foreign currency derivatives and the introduction of the euro: French evidence," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 563-577. [Downloadable!] (restricted)
  4. Robert W. Faff & Jerry T. Parwada & Hun-Lune Poh, 2007. "The Information Content of Australian Managed Fund Ratings," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 34(9-10), pages 1528-1547. [Downloadable!] (restricted)
  5. George Athanasopoulos & Heather M. Anderson & Farshid Vahid, 2007. "Nonlinear autoregressive leading indicator models of output in G-7 countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 63-87. [Downloadable!]
  6. Shams Pathan & Michael Skully & J. Wickramanayake, 2007. "Board Size, Independence and Performance: An Analysis of Thai Banks," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 211-227, September. [Downloadable!] (restricted)

    2006

  1. Nguyen, Hoa & Faff, Robert, 2006. "Foreign debt and financial hedging: Evidence from Australia," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 184-201. [Downloadable!] (restricted)
  2. Ercan Balaban & Asli Bayar & Robert Faff, 2006. "Forecasting stock market volatility: Further international evidence," European Journal of Finance, Taylor and Francis Journals, vol. 12(2), pages 171-188, February. [Downloadable!] (restricted)
  3. Charlie Cai & Robert Faff & David Hillier & Michael McKenzie, 2006. "Modelling return and conditional volatility exposures in global stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 27(2), pages 125-142, September. [Downloadable!] (restricted)
  4. Giovanni Butera & Robert Faff, 2006. "An integrated multi-model credit rating system for private firms," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 311-340, November. [Downloadable!] (restricted)
  5. Benson, Karen L. & Faff, Robert W., 2006. "Conditional performance evaluation and the relevance of money flows for Australian international equity funds," Pacific-Basin Finance Journal, Elsevier, vol. 14(3), pages 231-249, June. [Downloadable!] (restricted)
  6. Faff, Robert & Gray, Philip, 2006. "On the estimation and comparison of short-rate models using the generalised method of moments," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3131-3146, November. [Downloadable!] (restricted)
  7. H. Chan & R. Faff & Y. K. Ho & A. Ramsay, 2006. "Asymmetric Market Reactions of Growth and Value Firms with Management Earnings Forecasts-super-," International Review of Finance, International Review of Finance Ltd., vol. 6(1-2), pages 79-97. [Downloadable!] (restricted)
  8. Benjamin Langford & Robert Faff & Vijaya Marisetty, 2006. "On the Choice of Superannuation Funds in Australia," Journal of Financial Services Research, Springer, vol. 29(3), pages 255-279, June. [Downloadable!] (restricted)
  9. Giesecke, James, 2006. "The National and Regional Economic Consequences of Rapid Growth in Australia's Telecommunications Sector," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 36(1-2), pages 61-97, March/Sep. [Downloadable!]

    2005

  1. Do, Viet & Faff, Robert & Wickramanayake, J., 2005. "An empirical analysis of hedge fund performance: The case of Australian hedge funds industry," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 377-393, October. [Downloadable!] (restricted)
  2. Balachandran, Balasingham & Faff, Robert & Jong, Len, 2005. "Announcements of bonus share options: Signalling of the quality of firms," Global Finance Journal, Elsevier, vol. 16(2), pages 180-190, December. [Downloadable!] (restricted)
  3. Faff, Robert & Hillier, David, 2005. "Complete markets, informed trading and equity option introductions," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1359-1384, June. [Downloadable!] (restricted)
  4. Balasingham Balachandran & Robert Faff & Sally Tanner, 2005. "A Further Examination Of The Price And Volatility Impact Of Stock Dividends At Ex-Dates ," Australian Economic Papers, Blackwell Publishing, vol. 44(3), pages 248-268, 09. [Downloadable!] (restricted)
  5. McKenzie, Michael D. & Faff, Robert W., 2005. "Modeling conditional return autocorrelation," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 23-42. [Downloadable!] (restricted)
  6. Robert D. Brooks & Robert W. Faff & Tim R. L. Fry & E. Bissoondoyal-Bheenick, 2005. "Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 15(18), pages 1251-1258, December. [Downloadable!] (restricted)
  7. Robert D. Brooks & Robert W. Faff & David L. Sokulsky, 2005. "The stock market impact of German reunification: international evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 15(1), pages 31-42, January. [Downloadable!] (restricted)
  8. Howard W. Chan & Robert W. Faff, 2005. "Asset Pricing and the Illiquidity Premium," The Financial Review, Eastern Finance Association, vol. 40(4), pages 429-458, November. [Downloadable!] (restricted)
  9. Robert W Faff & Andrew Marshall, 2005. "International evidence on the determinants of foreign exchange rate exposure of multinational corporations," Journal of International Business Studies, Palgrave Macmillan Journals, vol. 36(5), pages 539-558, September. [Downloadable!] (restricted)
  10. Howard Chan & Robert Faff & Alan Ramsay, 2005. "Firm Size and the Information Content of Annual Earnings Announcements: Australian Evidence," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 32(1-2), pages 211-253. [Downloadable!] (restricted)
  11. Robert Faff, 2005. "Editorial Note," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(1), pages 1-1. [Downloadable!] (restricted)
  12. Robert W. Faff & Allan Hodgson & Michael L. Kremmer, 2005. "An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 32(5-6), pages 1001-1031. [Downloadable!] (restricted)
  13. Jerry Parwada & Robert Faff, 2005. "Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection," Journal of Financial Services Research, Springer, vol. 27(1), pages 77-98, February. [Downloadable!] (restricted)

    2004

  1. Edwin D Maberly & Raylene M Pierce, 2004. "Stock Market Efficiency Withstands another Challenge: Solving the “Sell in May/Buy after Halloween” Puzzle," Econ Journal Watch, Atlas Economic Research Foundation, vol. 1(1), pages 29-46, April. [Downloadable!]
  2. Balachandran, Balasingham & Faff, Robert & Nguyen, Tuan Anh, 2004. "The intra-industry impact of special dividend announcements: contagion versus competition," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 369-385. [Downloadable!] (restricted)
  3. Robert Faff, 2004. "A simple test of the Fama and French model using daily data: Australian evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 14(2), pages 83-92, January. [Downloadable!] (restricted)
  4. Balachandran, Balasingham & Faff, Robert & Tanner, Sally, 2004. "Further evidence on the announcement effect of bonus shares in an imputation tax setting," Global Finance Journal, Elsevier, vol. 15(2), pages 147-170, August. [Downloadable!] (restricted)
  5. Robert Faff & David Hillier, 2004. "An International Investigation of the Factors that Determine Conditional Gold Betas," The Financial Review, Eastern Finance Association, vol. 39(3), pages 473-488, 08. [Downloadable!] (restricted)
  6. Brooks, Robert & Faff, Robert W. & Hillier, David & Hillier, Joseph, 2004. "The national market impact of sovereign rating changes," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 233-250, January. [Downloadable!] (restricted)
  7. Kim, Suk-Joong & McKenzie, Michael D. & Faff, Robert W., 2004. "Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 14(3), pages 217-232, July. [Downloadable!] (restricted)
  8. Benson, Karen L. & Faff, Robert W., 2004. "The relationship between exchange rate exposure, currency risk management and performance of international equity funds," Pacific-Basin Finance Journal, Elsevier, vol. 12(3), pages 333-357, June. [Downloadable!] (restricted)
  9. Robert D. Brooks & Robert W. Faff & Tim R. L. Fry & Emma Newton, 2004. "Censoring and its impact on multivariate testing of the Capital Asset Pricing Model," Applied Financial Economics, Taylor and Francis Journals, vol. 14(6), pages 413-420, March. [Downloadable!] (restricted)
  10. John A. Anderson & Robert W. Faff, 2004. "Maximizing futures returns using fixed fraction asset allocation," Applied Financial Economics, Taylor and Francis Journals, vol. 14(15), pages 1067-1073, October. [Downloadable!] (restricted)
  11. Vanitha Ragunathan & Robert W. Faff & Robert D. Brooks, 2004. "Correlations, integration and Hansen-Jagannathan bounds," Applied Financial Economics, Taylor and Francis Journals, vol. 14(16), pages 1167-1180, November. [Downloadable!] (restricted)
  12. Karen L. Benson & Robert W. Faff, 2004. "Investigating performance benchmarks in the context of international trusts: Australian evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 14(9), pages 631-644, June. [Downloadable!] (restricted)
  13. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-sector Managed Funds," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 31(3-4), pages 539-578. [Downloadable!] (restricted)
  14. Giesecke, J. & Madden, J.R., 2004. "Modelling the Regional Economic Consequences of Efficiency Gains in the Utilities Sector," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 34(1), pages 15-35, March. [Downloadable!]

    2003

  1. Edwin Maberly & Raylene Pierce, 2003. "The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 319-334, December. [Downloadable!] (restricted)
  2. Nguyen, Hoa & Faff, Robert, 2003. "Can the use of foreign currency derivatives explain variations in foreign exchange exposure?: Evidence from Australian companies," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 193-215, July. [Downloadable!] (restricted)
  3. Brooks, Robert & Davidson, Sinclair & Faff, Robert, 2003. "Sudden changes in property rights: the case of Australian native title," Journal of Economic Behavior & Organization, Elsevier, vol. 52(4), pages 427-442, December. [Downloadable!] (restricted)
  4. Hallahan, Terrence & Faff, Robert & McKenzie, Michael, 2003. "An exploratory investigation of the relation between risk tolerance scores and demographic characteristics," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 483-502, December. [Downloadable!] (restricted)
  5. Frida Lie & Robert Faff, 2003. "Global industry betas," Applied Economics Letters, Taylor and Francis Journals, vol. 10(1), pages 21-26, January. [Downloadable!] (restricted)
  6. Davidson, Sinclair & Faff, Robert & Hillier, David, 2003. "Gold factor exposures in international asset pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 271-289, July. [Downloadable!] (restricted)
  7. Lee, Darren D. & Chan, Howard & Faff, Robert W. & Kalev, Petko S., 2003. "Short-term contrarian investing--is it profitable? ... Yes and No," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 385-404, December. [Downloadable!] (restricted)
  8. Benson, Karen L. & Faff, Robert W., 2003. "Exchange rate sensitivity of Australian international equity funds," Global Finance Journal, Elsevier, vol. 14(1), pages 95-120, May. [Downloadable!] (restricted)
  9. Benson, Karen L. & Faff, Robert W., 2003. "A performance analysis of Australian international equity trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 69-84, February. [Downloadable!] (restricted)
  10. Chan, Howard W. & Faff, Robert W., 2003. "An investigation into the role of liquidity in asset pricing: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 11(5), pages 555-572, November. [Downloadable!] (restricted)
  11. Robert W. Faff, 2003. "Creating Fama and French Factors with Style," The Financial Review, Eastern Finance Association, vol. 38(2), pages 311-322, 05. [Downloadable!] (restricted)
  12. George Athanasopoulos & Farshid Vahid, 2003. "Statistical Inference and Changes in Income Inequality in Australia," The Economic Record, The Economic Society of Australia, vol. 79(247), pages 412-424, December. [Downloadable!] (restricted)
  13. James Giesecke, 2003. "Targeting Regional Output with State Government Fiscal Instruments: a Dynamic Multi-regional CGE Analysis," Australian Economic Papers, Blackwell Publishing, vol. 42(2), pages 214-233, 06. [Downloadable!] (restricted)

    2002

  1. Di Iorio, Amalia & Faff, Robert, 2002. "The pricing of foreign exchange risk in the Australian equities market," Pacific-Basin Finance Journal, Elsevier, vol. 10(1), pages 77-95, January. [Downloadable!] (restricted)
  2. Faff, Robert W. & Hodgson, Allan & Saudagaran, Shahrokh, 2002. "International cross-listings towards more liquid markets: the impact on domestic firms," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 365-390. [Downloadable!] (restricted)
  3. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 249-274, September. [Downloadable!] (restricted)
  4. Faff, R. W. & Brooks, R. D. & Kee, Ho Yew, 2002. "New evidence on the impact of financial leverage on beta risk: A time-series approach," The North American Journal of Economics and Finance, Elsevier, vol. 13(1), pages 1-20, May. [Downloadable!] (restricted)
  5. Brooks, Robert D & Faff, Robert W & Sokulsky, David, 2002. "An Ordered Response Model of Test Cricket Performance," Applied Economics, Taylor and Francis Journals, vol. 34(18), pages 2353-65, December. [Downloadable!] (restricted)
  6. Robert W. Faff, 2002. "The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study," Journal of Business, University of Chicago Press, vol. 75(1), pages 95-126, January. [Downloadable!]
  7. James Giesecke, 2002. "Explaining regional economic performance: An historical application of a dynamic multi-regional CGE model," Papers in Regional Science, Springer, vol. 81(2), pages 247-278. [Downloadable!] (restricted)

    2001

  1. Faff, Robert, 2001. "A Multivariate Test of a Dual-Beta CAPM: Australian Evidence," The Financial Review, Eastern Finance Association, vol. 36(4), pages 157-74, November.
  2. Josev, Thomas & Brooks, Robert D & Faff, Robert W, 2001. "Testing a Two-Factor APT Model on Australian Industry Equity Portfolios: The Effect of Intervaling," Applied Financial Economics, Taylor and Francis Journals, vol. 11(2), pages 157-63, April. [Downloadable!] (restricted)
  3. Hallahan, Terrence A & Faff, Robert W, 2001. "Induced Persistence or Reversals in Fund Performance? The Effect of Survivorship Bias," Applied Financial Economics, Taylor and Francis Journals, vol. 11(2), pages 119-26, April. [Downloadable!] (restricted)
  4. Brooks, Robert D. & Faff, Robert W. & Fry, Tim R. L., 2001. "GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 215-222, June. [Downloadable!] (restricted)
  5. Michael D. McKenzie, Heather Mitchell, Robert D. Brooks, Robert W. Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," European Journal of Finance, Taylor and Francis Journals, vol. 7(1), pages 22-38, March. [Downloadable!] (restricted)
  6. Warren G. Dean & Robert W. Faff, 2001. "The intertemporal relationship between market return and variance: an Australian perspective," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 41(3), pages 169-196. [Downloadable!] (restricted)

    2000

  1. Block, Stanley B. & French, Dan W. & Maberly, Edwin D., 2000. "The Pattern of Intraday Portfolio Management Decisions: A Case Study of Intraday Security Return Patterns," Journal of Business Research, Elsevier, vol. 50(3), pages 321-326, December. [Downloadable!] (restricted)
  2. Di Iorio, Amalia & Faff, Robert, 2000. "An analysis of asymmetry in foreign currency exposure of the Australian equities market," Journal of Multinational Financial Management, Elsevier, vol. 10(2), pages 133-159, June. [Downloadable!] (restricted)
  3. Lie, Frida & Brooks, Robert & Faff, Robert, 2000. "Modelling the Equity Beta Risk of Australian Financial Sector Companies," Australian Economic Papers, Blackwell Publishing, vol. 39(3), pages 301-11, September. [Downloadable!] (restricted)
  4. Gangemi, Michael A. M. & Brooks, Robert D. & Faff, Robert W., 2000. "Modeling Australia's country risk: a country beta approach," Journal of Economics and Business, Elsevier, vol. 52(3), pages 259-276. [Downloadable!] (restricted)
  5. Brooks, Robert D. & Faff, Robert W. & McKenzie, Michael D. & Mitchell, Heather, 2000. "A multi-country study of power ARCH models and national stock market returns," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 377-397, June. [Downloadable!] (restricted)
  6. Ragunathan, Vanitha & Faff, Robert W & Brooks, Robert D, 2000. "Australian Industry Beta Risk, the Choice of Market Index and Business Cycles," Applied Financial Economics, Taylor and Francis Journals, vol. 10(1), pages 49-58, February. [Downloadable!] (restricted)
  7. McKenzie, Michael D. & Brooks, Robert D. & Faff, Robert W. & Ho, Yew Kee, 2000. "Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 85-106. [Downloadable!] (restricted)
  8. Robert W. Faff & David Hillier & Joseph Hillier, 2000. "Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 27(5&6), pages 523-554. [Downloadable!] (restricted)

    1999

  1. Di Iorio, Amalia & Faff, Robert, 1999. "An International Market Model and Exchange Rate Risk: Australian Evidence," Applied Economics Letters, Taylor and Francis Journals, vol. 6(2), pages 77-80, February. [Downloadable!] (restricted)
  2. Davidson, Sinclair & Faff, Robert, 1999. "Some Additional Australian Evidence on the Day-of-the-Week Effect," Applied Economics Letters, Taylor and Francis Journals, vol. 6(4), pages 247-49, April. [Downloadable!] (restricted)
  3. Faff, Robert & Heaney, Richard, 1999. "An Examination of the Relationship between Australian Industry Equity Returns and Expected Inflation," Applied Economics, Taylor and Francis Journals, vol. 31(8), pages 915-33, August. [Downloadable!] (restricted)
  4. Faff, Robert W. & Brailsford, Timothy J., 1999. "Oil price risk and the Australian stock market," Journal of Energy Finance & Development, Elsevier, vol. 4(1), pages 69-87, June. [Downloadable!] (restricted)
  5. Faff, R. W. & Howard, P. F., 1999. "Interest rate risk of Australian financial sector companies in a period of regulatory change," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 83-101, February. [Downloadable!] (restricted)
  6. Hallahan, Terrence A. & Faff, Robert W., 1999. "An examination of Australian equity trusts for selectivity and market timing performance," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 387-402, November. [Downloadable!] (restricted)
  7. Gangemi, Michael & Brooks, Robert & Faff, Robert, 1999. "Mean reversion and the forecasting of country betas: a note," Global Finance Journal, Elsevier, vol. 10(2), pages 231-245. [Downloadable!] (restricted)

    1998

  1. Faff, Robert & Chan, Howard, 1998. "A Multifactor Model of Gold Industry Stock Returns: Evidence from the Australian Equity Market," Applied Financial Economics, Taylor and Francis Journals, vol. 8(1), pages 21-28, February. [Downloadable!] (restricted)
  2. Faff, Robert & Chan, Howard, 1998. "A test of the intertemporal CAPM in the Australian equity market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 175-188, June. [Downloadable!] (restricted)
  3. Brooks, Robert D. & Faff, Robert W. & Ariff, Mohamed, 1998. "An investigation into the extent of beta instability in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 87-101, May. [Downloadable!] (restricted)
  4. Faff, Robert W & Oliver, Barry R, 1998. "Consumption versus Market Betas of Australian Industry Portfolios," Applied Economics Letters, Taylor and Francis Journals, vol. 5(8), pages 513-17, August. [Downloadable!] (restricted)
  5. Faff, Robert W., 1998. "The empirical relationship between aggregate consumption and security prices in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 213-224, May. [Downloadable!] (restricted)
  6. R.W. Faff & R.D. Brooks, 1998. "Time-varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 25(5&6), pages 721-745. [Downloadable!] (restricted)

    1997

  1. Brooks, Robert D. & Faff, Robert W. & Yew, Kee Ho, 1997. "A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 197-219, February. [Downloadable!] (restricted)
  2. Brooks, Robert D & Faff, Robert W, 1997. "A Note on Beta Forecasting," Applied Economics Letters, Taylor and Francis Journals, vol. 4(2), pages 77-78, February. [Downloadable!] (restricted)
  3. Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997. "An examination of the effects of major political change on stock market volatility: the South African experience," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 255-275, October. [Downloadable!] (restricted)
  4. Faff, R W & Howard, P F, 1997. "Bank Exposures to Interest-Rate Risk: The Case of the Australian Banking Industry," Applied Economics Letters, Taylor and Francis Journals, vol. 4(12), pages 737-39, December. [Downloadable!] (restricted)
  5. Brooks, Robert D & Faff, Robert W & Josev, Thomas, 1997. "Beta Stability and Monthly Seasonal Effects: Evidence from the Australian Capital Market," Applied Economics Letters, Taylor and Francis Journals, vol. 4(9), pages 563-66, September. [Downloadable!] (restricted)
  6. Brooks, Robert D & Faff, Robert W, 1997. "Financial Deregulation and Relative Risk of Australian Industry," Australian Economic Papers, Blackwell Publishing, vol. 36(69), pages 308-20, December.
  7. Brailsford, Timothy J. & Faff, Robert W., 1997. "Testing the conditional CAPM and the effect of intervaling: A note," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 527-537, December. [Downloadable!] (restricted)

    1996

  1. Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 419-438, April. [Downloadable!] (restricted)

    1995

  1. Hiraki, Takato & Maberly, Edwin D. & Park, Young S., 1995. "Day-of-the-week mean spillover effects between New York and Tokyo: January 1976 to August 1992: A note," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 138-139, May. [Downloadable!] (restricted)
  2. Hiraki, Takato & Maberly, Edwin D., 1995. "Are preholiday returns in Tokyo really anomalous? If so, why?," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 93-111, May. [Downloadable!] (restricted)
  3. Brooks, Robert D. & Faff, Robert W. & Lee, John H. H., 1995. "Beta stability and portfolio formation," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 145-146, May. [Downloadable!] (restricted)
  4. Brooks, Robert D & Faff, Robert W, 1995. "Financial Market Deregulation and Bank Risk: Testing for Beta Instability," Australian Economic Papers, Blackwell Publishing, vol. 34(65), pages 180-99, December.

    1994

  1. Hiraki, Takato & Maberly, Edwin D. & Park, Young S., 1994. "Day-of-the-week mean spillover effects between New York and Tokyo: January 1976 to August 1992: A note," Pacific-Basin Finance Journal, Elsevier, vol. 2(1), pages 61-71, March. [Downloadable!] (restricted)
  2. Easton, Stephen A & Faff, Robert W, 1994. "An Investigation of the Robustness of the Day-of-the-Week Effect in Australia," Applied Financial Economics, Taylor and Francis Journals, vol. 4(2), pages 99-110, April. [Downloadable!] (restricted)
  3. Brooks, Robert D. & Faff, Robert W. & Lee, John H. H., 1994. "Beta stability and portfolio formation," Pacific-Basin Finance Journal, Elsevier, vol. 2(4), pages 463-479, December. [Downloadable!] (restricted)

    1992

  1. Brooks, Robert D & Faff, Robert W & Lee, John H H, 1992. "The Form of Time Variation of Systematic Risk: Some Australian Evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 2(4), pages 191-98, December. [Downloadable!] (restricted)

    1990

  1. Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-43, March. [Downloadable!] (restricted)

    1988

  1. Dyl, Edward A & Maberly, Edwin D, 1988. " The Anomaly That Isn't There: A Comment on Friday the Thirteenth," Journal of Finance, American Finance Association, vol. 43(5), pages 1285-86, December. [Downloadable!] (restricted)

    1986

  1. Dyl, Edward A & Maberly, Edwin D, 1986. " The Weekly Pattern in Stock Index Futures: A Further Note," Journal of Finance, American Finance Association, vol. 41(5), pages 1149-52, December. [Downloadable!] (restricted)
Did you know? You can create a compilation of all publications of a group of people, say alumni of a program, your students or memers of an association.

This page was last updated on 2008-8-3.

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