IDEAS home Printed from https://ideas.repec.org/d/dfmelau.html

Publications

by members of

University of Melbourne → Faculty of Business and Economics → Department of Finance

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

2020

  1. Kuzmina, Olga & Kelly, Patrick & Gorovyy, Sergiy, 2020, "Does Secrecy Signal Skill? Characteristics and Performance of Secretive Hedge Funds," CEPR Discussion Papers, Centre for Economic Policy Research, number 14873, Jun.

2015

  1. Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015, "Disagreement about inflation and the yield curve," Working Papers, Banco de España, number 1532, Nov.
  2. Mikael C. Bergbrant & Patrick J. Kelly, 2015, "Macroeconomic Expectations and the Size, Value and Momentum Factors," Working Papers, New Economic School (NES), number w0214, Mar.
  3. Mikael C. Bergbrant & Delroy M. Hunter & Patrick J. Kelly, 2015, "Product Market Competition, Capital Constraints and Firm Growth," Working Papers, New Economic School (NES), number w0215, Apr.

2014

  1. Patrick J. Kelly, 2014, "Information Efficiency and Firm-Specific Return Variation," Working Papers, New Economic School (NES), number w0208, Sep.

2011

  1. Alexander Michaelides & Joachim Inkmann, 2011, "Can the Life Insurance Market Provide Evidence for a Bequest Motive?," 2011 Meeting Papers, Society for Economic Dynamics, number 108.

2010

  1. Michaelides, Alexander & Lopes-Cocco, Paula & Inkmann, Joachim, 2010, "How Deep is the Annuity Market Participation Puzzle?," CEPR Discussion Papers, Centre for Economic Policy Research, number 7940, Aug.

2009

  1. Philipp Illeditsch & Michael Gallmeyer & Christian Heyerdahl-Larsen & Paul Ehling, 2009, "Beliefs about Inflation and the Term Structure of Interest Rates," 2009 Meeting Papers, Society for Economic Dynamics, number 1223.

2008

  1. Stathis Tompaidis & Sanjay Srivastava & Michael Gallmeyer & Paul Ehling, 2008, "Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses," 2008 Meeting Papers, Society for Economic Dynamics, number 769.

2007

  1. Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007, "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 13245, Jul.
  2. Alex Michaelides & Paula Lopes & Joachim Inkmann, 2007, "(UBS Paper 044) How Deep is the Annuity Market Participation Puzzle?," FMG Discussion Papers, Financial Markets Group, number dp593, Jul.

2006

  1. A. Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, 2006, "Financial Leverage Does Not Cause the Leverage Effect," 2006 Meeting Papers, Society for Economic Dynamics, number 263.
  2. Stephan Dieckmann & Michael Gallmeyer, 2006, "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers, Society for Economic Dynamics, number 305.
  3. Inkmann, Joachim, 2006, "Compensating wage differentials for defined benefit and defined contribution occupational pension scheme benefits," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24516, May.

2005

  1. Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005, "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 11276, Apr.
  2. Inkmann, J., 2005, "Inverse Probability Weighted Generalised Empirical Likelihood Estimators : Firm Size and R&D Revisited," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-131.

2004

  1. Inkmann, Joachim & Blake, David, 2004, "Liability valuation and optimal asset allocation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24754, Aug.

2001

  1. Inkmann, Joachim, 2001, "Accounting for Nonresponse Heterogeneity in Panel Data," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/03.

2000

  1. Joachim Inkmann, 2000, "Finite Sample Properties of One-Step, Two-Step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0332, Aug.
  2. Inkmann, Joachim, 2000, "Horizontal and Vertical R&D Cooperation," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 00/02.

1999

  1. Joachim Inkmann, 1999, "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," Finance, University Library of Munich, Germany, number 9904003, Apr.

1998

  1. Inkmann, Joachim & Klotz, Stefan & Pohlmeier, Winfried, 1998, "Growing into Work - Pseudo Panel Data Evidence on Labor Market Entrance in Germany," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 98-47.

1997

  1. Wolfgang Franz & Joachim Inkmann & Winfried Pohlmeier & Volker Zimmermann, 1997, "Young and Out in Germany: On the Youths' Chances of Labor Market Entrance in Germany," NBER Working Papers, National Bureau of Economic Research, Inc, number 6212, Oct.
  2. Inkmann, Joachim, 1997, "Circumventing multiple integration: A comparison of GMM and SML estimators for the panel probit model," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 339.

Undated

  1. Michael Gallmeyer & Burton Hollifield & Duane Seppi, undated, "Liquidity Discovery and Asset Pricing," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2004-10.
  2. Michael Gallmeyer & Burton Hollifield, undated, "An Examination of Heterogeneous Beliefs with a Short Sale Constraint," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2002-E2.
  3. Michael Gallmeyer & Sanjay Srivastava, undated, "No Arbitrage and the Tax Code," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2003-E37.
  4. A Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, undated, "Financial leverage and the leverage effect: A market and firm analysis," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2007-E31.
  5. Stephan Dieckmann & Michael Gallmeyer, undated, "The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2003-E36.
  6. Suleyman Basak & Michael Gallmeyer, undated, "Capital Market Equilibrium with Differential Taxation," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 1999-E1.
  7. Michael Gallmeyer & Duane Seppi, undated, "Derivative Security Induced Price Manipulation," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2000-E41.
  8. Michael Gallmeyer, undated, "Beliefs and Volatility," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2000-E42.
  9. Michael Gallmeyer & Ron Kaniel & Stathis Tompaidis, undated, "Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2001-E21.
  10. Süleyman Basak & Mike Gallmeyer, undated, "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 09-98.

Journal articles

2025

  1. James Brugler & Joachim Inkmann & Adrian Rizzo, 2025, "Estimating background risk hedging demands from cross‐sectional data," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 48, issue 2, pages 579-604, June, DOI: 10.1111/jfir.12432.

2024

  1. Inkmann, Joachim, 2024, "Aggregate portfolio choice," Journal of Empirical Finance, Elsevier, volume 77, issue C, DOI: 10.1016/j.jempfin.2024.101494.

2023

  1. Campbell, T. Colin & Gallmeyer, Michael & Petkevich, Alex, 2023, "The Only Constant Is Change: Nonconstant Volatility and Implied Volatility Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 58, issue 5, pages 2190-2227, August.

2021

  1. Gorovyy, Sergiy & Kelly, Patrick J. & Kuzmina, Olga, 2021, "Does secrecy signal skill? Own-investor secrecy and hedge fund performance," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106288.

2020

  1. Francis, Bill B. & Hunter, Delroy M. & Kelly, Patrick J., 2020, "Do foreign investors insulate firms from local shocks? Evidence from the response of investable firms to monetary policy," Journal of Empirical Finance, Elsevier, volume 58, issue C, pages 386-411, DOI: 10.1016/j.jempfin.2020.07.003.

2018

  1. Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018, "Disagreement about inflation and the yield curve," Journal of Financial Economics, Elsevier, volume 127, issue 3, pages 459-484, DOI: 10.1016/j.jfineco.2018.01.001.
  2. Paul Ehling & Michael Gallmeyer & Sanjay Srivastava & Stathis Tompaidis & Chunyu Yang, 2018, "Portfolio Tax Trading with Carryover Losses," Management Science, INFORMS, volume 64, issue 9, pages 4156-4176, September, DOI: 10.1287/mnsc.2017.2733.
  3. David A Chapman & Michael F Gallmeyer & J Spencer Martin, 2018, "Aggregate Tail Risk and Expected Returns," The Review of Asset Pricing Studies, Society for Financial Studies, volume 8, issue 1, pages 36-76.
  4. Bergbrant, Mikael C. & Hunter, Delroy M. & Kelly, Patrick J., 2018, "Rivals’ competitive activities, capital constraints, and firm growth," Journal of Banking & Finance, Elsevier, volume 97, issue C, pages 87-108, DOI: 10.1016/j.jbankfin.2018.09.020.

2017

  1. Marcel Fischer & Michael Gallmeyer, 2017, "Taxable and Tax-Deferred Investing with the Limited Use of Losses," Review of Finance, European Finance Association, volume 21, issue 5, pages 1847-1873.
  2. Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017, "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 1-39, December, DOI: 10.1142/S2010139217500112.
  3. Joachim Inkmann & David Blake & Zhen Shi, 2017, "Managing Financially Distressed Pension Plans In The Interest Of Beneficiaries," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 84, issue 2, pages 539-565, June.

2016

  1. Fischer, Marcel & Gallmeyer, Michael F., 2016, "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 611-625, DOI: 10.1016/j.jfineco.2016.01.024.
  2. Inkmann, Joachim & Shi, Zhen, 2016, "Life-cycle patterns in the design and adoption of default funds in DC pension plans," Journal of Pension Economics and Finance, Cambridge University Press, volume 15, issue 4, pages 429-454, October.
  3. Mikael C. Bergbrant & Patrick J. Kelly, 2016, "Macroeconomic Expectations and the Size, Value, and Momentum Factors," Financial Management, Financial Management Association International, volume 45, issue 4, pages 809-844, December.

2015

  1. Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015, "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, volume 74, issue C, pages 117-132, DOI: 10.1016/j.jmoneco.2015.06.004.
  2. Joachim Inkmann & Zhen Shi, 2015, "Parametric Portfolio Policies in the Surplus Consumption Ratio," International Review of Finance, International Review of Finance Ltd., volume 15, issue 2, pages 257-282, June.

2014

  1. Patrick J. Kelly, 2014, "Information Efficiency and Firm-Specific Return Variation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 04, pages 1-44, DOI: 10.1142/S2010139214500189.

2013

  1. Dieckmann, Stephan & Gallmeyer, Michael, 2013, "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, volume 33, issue C, pages 163-187, DOI: 10.1016/j.jimonfin.2012.11.017.

2012

  1. Joachim Inkmann & Alexander Michaelides, 2012, "Can the Life Insurance Market Provide Evidence for a Bequest Motive?," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 79, issue 3, pages 671-695, September, DOI: j.1539-6975.2011.01455.x.

2011

  1. Campbell, T. Colin & Gallmeyer, Michael & Johnson, Shane A. & Rutherford, Jessica & Stanley, Brooke W., 2011, "CEO optimism and forced turnover," Journal of Financial Economics, Elsevier, volume 101, issue 3, pages 695-712, September.
  2. Joachim Inkmann & Paula Lopes & Alexander Michaelides, 2011, "How Deep Is the Annuity Market Participation Puzzle?," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 1, pages 279-319.
  3. John M. Griffin & Nicholas H. Hirschey & Patrick J. Kelly, 2011, "How Important Is the Financial Media in Global Markets?," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 12, pages 3941-3992.

2010

  1. Joachim Inkmann, 2010, "Estimating Firm Size Elasticities of Product and Process R&D," Economica, London School of Economics and Political Science, volume 77, issue 306, pages 384-402, April, DOI: 10.1111/j.1468-0335.2008.00768.x.
  2. Kelly, Patrick J. & Meschke, Felix, 2010, "Sentiment and stock returns: The SAD anomaly revisited," Journal of Banking & Finance, Elsevier, volume 34, issue 6, pages 1308-1326, June.
  3. John M. Griffin & Patrick J. Kelly & Federico Nardari, 2010, "Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 8, pages 3225-3277, August.

2008

  1. Michael Gallmeyer & Burton Hollifield, 2008, "An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy," Review of Finance, European Finance Association, volume 12, issue 2, pages 323-364.

2007

  1. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007, "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, volume 89, issue Jul, pages 305-326.

2006

  1. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006, "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, volume 80, issue 2, pages 243-291, May.

2005

  1. Dieckmann, Stephan & Gallmeyer, Michael, 2005, "The equilibrium allocation of diffusive and jump risks with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 9, pages 1547-1576, September.
  2. Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005, "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, volume 52, issue 5, pages 921-950, July.

2003

  1. Suleyman Basak & Michael Gallmeyer, 2003, "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, volume 7, issue 2, pages 121-159.
  2. Nikolaus Hautsch & Joachim Inkmann, 2003, "Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations," Journal of Asset Management, Palgrave Macmillan, volume 4, issue 3, pages 173-198, September, DOI: 10.1057/palgrave.jam.2240102.

2000

  1. Inkmann, Joachim, 2000, "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," Journal of Econometrics, Elsevier, volume 97, issue 2, pages 227-259, August.

1999

  1. Suleyman Basak & Michael Gallmeyer, 1999, "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium," Mathematical Finance, Wiley Blackwell, volume 9, issue 1, pages 1-30, January, DOI: 10.1111/1467-9965.00061.

Chapters

2000

  1. Wolfgang Franz & Joachim Inkmann & Winfried Pohlmeier & Volker Zimmermann, 2000, "Young and Out in Germany (On Youths? Chances of Labor Market Entrance in Germany)," NBER Chapters, National Bureau of Economic Research, Inc, "Youth Employment and Joblessness in Advanced Countries".

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.