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Publications

by members of

Research School of Finance, Actuarial Studies and Statistics
College of Business and Economics
Australian National University
Canberra, 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 institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2015

  1. Cayton, Peter Julian, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 63755, University Library of Munich, Germany.

2012

  1. Cayton, Peter Julian A. & Mapa, Dennis S., 2012. "Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology," MPRA Paper 36206, University Library of Munich, Germany.
  2. Cayton, Peter Julian & Bersales, Lisa Grace, 2012. "Median-based seasonal adjustment in the presence of seasonal volatility," MPRA Paper 37146, University Library of Munich, Germany.

2009

  1. Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese, 2009. "Estimating Value-at-Risk (VaR) using TiVEx-POT Models," MPRA Paper 25772, University Library of Munich, Germany.

2002

  1. Goyal, Vidhan K. & Yamada, Takeshi & ヤマダ, タケシ, 2002. "Asset Price Shocks, Financial Constraints, and Investment: Evidence from Japan," CEI Working Paper Series 2002-11, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.

Journal articles

2022

  1. Dong, Liang & Dai, Yiqing & Haque, Tariq & Kot, Hung Wan & Yamada, Takeshi, 2022. "Coskewness and reversal of momentum returns: The US and international evidence," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 241-264.

2015

  1. Li, Zhaohua & Yamada, Takeshi, 2015. "Political and economic incentives of government in partial privatization," Journal of Corporate Finance, Elsevier, vol. 32(C), pages 169-189.
  2. Duong, Truong X. & Huszár, Zsuzsa R. & Yamada, Takeshi, 2015. "The costs and benefits of short sale disclosure," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 124-139.
  3. Peter Julian Cayton & Dennis Mapa, 2015. "Time-varying conditional Johnson Su density in Value-at-Risk methodology," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 51(1), pages 23-44, June.

2014

  1. Carlos Primo C. David & Peter Julian A. Cayton & Theresa E. Lorenzo & Eduardo C. Santos, 2014. "Statistical analysis of Philippine water district characteristics and how these affect water tariffs," Water International, Taylor & Francis Journals, vol. 39(1), pages 1-9, January.

2013

  1. Sankaraguruswamy, Srinivasan & Shen, Jianfeng & Yamada, Takeshi, 2013. "The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4134-4143.

2010

  1. Peter Julian A Cayton & Dennis S Mapa & Mary Therese A Lising, 2010. "Estimating Value At Risk Var Using Tivex Pot Models," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 1(2), pages 152-170.

2008

  1. Bae, Kee-Hong & Yamada, Takeshi & Ito, Keiichi, 2008. "Interaction of investor trades and market volatility: Evidence from the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 370-388, September.

2006

  1. Kee‐Hong Bae & Takeshi Yamada & Keiichi Ito, 2006. "How do Individual, Institutional, and Foreign Investors Win and Lose in Equity Trades? Evidence from Japan," International Review of Finance, International Review of Finance Ltd., vol. 6(3‐4), pages 129-155, September.

2004

  1. Vidhan K. Goyal & Takeshi Yamada, 2004. "Asset Price Shocks, Financial Constraints, and Investment: Evidence from Japan," The Journal of Business, University of Chicago Press, vol. 77(1), pages 175-200, January.

2002

  1. Shu, Pei-Gi & Yeh, Yin-Hua & Yamada, Takeshi, 2002. "The behavior of Taiwan mutual fund investors--performance and fund flows," Pacific-Basin Finance Journal, Elsevier, vol. 10(5), pages 583-600, November.

2000

  1. Jun‐Koo Kang & Anil Shivdasani & Takeshi Yamada, 2000. "The Effect of Bank Relations on Investment Decisions: An Investigation of Japanese Takeover Bids," Journal of Finance, American Finance Association, vol. 55(5), pages 2197-2218, October.

1997

  1. Cai, Jun & Chan, K C & Yamada, Takeshi, 1997. "The Performance of Japanese Mutual Funds," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 237-273.

1988

  1. Pettway, Richard H & Tapley, T Craig & Yamada, Takeshi, 1988. "The Impacts of Financial Deregulation upon Trading Efficiency and the Levels of Risk and Return of Japanese Banks," The Financial Review, Eastern Finance Association, vol. 23(3), pages 243-268, August.

Chapters

2019

  1. Peter Julian Cayton & Kin-Yip Ho, 2019. "The Impact of News Sentiment on Financial Risk: An Extreme Value Approach," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers, chapter 13, pages 315-334, World Scientific Publishing Co. Pte. Ltd..

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