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Information about:
Robert William Faff

Personal Details | Affiliation | Works
This is information that was supplied by Robert Faff in registering through RePEc. If you are Robert William Faff , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Robert
Middle Name: William
Last Name: Faff
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RePEc Short-ID: pfa127

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Affiliation

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This author is among the top 5% authors according to these criteria:
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  6. Number of Abstract Views in RePEc Services over the past 12 months
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Works

| Working papers | Articles | Editor | Access and download statistics | Citations (if any)| NEP Fields |
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Working papers

  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. 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. 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!]

  4. 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!]

  5. 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.
    Published as:

  6. 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.

  7. 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.
    Published as:

  8. 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.

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

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

Articles

  1. 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)

  2. 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)

  3. 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)

  4. 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)

  5. 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)

  6. 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)

  7. 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)

  8. 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)

  9. 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)

  10. 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)

  11. 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)

  12. 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)

  13. 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)

  14. 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)

  15. 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)

  16. 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)

  17. 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)

  18. 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)

  19. 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)

  20. 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)

  21. 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)

  22. 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)

  23. 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)

  24. 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)

  25. 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)

  26. 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)

  27. 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)

  28. 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)

  29. 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)

  30. 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)

  31. 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)

  32. 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)

  33. 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)

  34. 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)

  35. 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)

  36. 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)

  37. 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)

  38. 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)

  39. 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)

  40. 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)

  41. 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)

  42. 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)

  43. 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)

  44. 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)

  45. 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)

  46. Frida Lie & Robert Faff, 2003. "Global industry betas," Applied Economics Letters, Taylor and Francis Journals, vol. 10(1), pages 21-26, January. [Downloadable!] (restricted)

  47. 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)

  48. 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)

  49. 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)

  50. 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)

  51. 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)

  52. 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)

  53. 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)

  54. 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)

  55. 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)

  56. 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)

  57. 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)

  58. 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!]

  59. 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)

  60. 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)

  61. 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)

  62. 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)

  63. 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)

  64. 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.

  65. 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)
    Other versions:

  66. 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)

  67. 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)

  68. 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)

  69. 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)

  70. 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)

  71. 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)

  72. 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)

  73. 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)

  74. 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)

  75. 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)

  76. 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)

  77. 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)

  78. 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)

  79. 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)

  80. 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)

  81. 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)

  82. 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)

  83. 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)

  84. 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)

  85. 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)

  86. 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)

  87. 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.

  88. 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)

  89. 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)

  90. 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)

  91. 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)

  92. 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)
    Other versions:

  93. 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)

  94. 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.
    Other versions:

  95. 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)
    Other versions:
    Published as:

  96. 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)

  97. 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)

Editor

  1. Accounting and Finance, Accounting and Finance Association of Australia and New Zealand.

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ACC: Accounting & Auditing (1) 2008-01-26 Author is listed
  2. NEP-FIN: Finance (1) 2004-05-02 Author is listed
  3. NEP-FMK: Financial Markets (1) 2004-05-02 Author is listed
  4. NEP-FOR: Forecasting (1) 2008-01-26 Author is listed
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This page was last updated on 2008-7-19.

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