IDEAS home Printed from https://ideas.repec.org/f/pbo478.html
   My authors  Follow this author

Graham Bornholt

Personal Details

First Name:Graham
Middle Name:
Last Name:Bornholt
Suffix:
RePEc Short-ID:pbo478
[This author has chosen not to make the email address public]
http://www.griffith.edu.au/business-government/griffith-business-school/departments/depart
Department of Accounting, Finance and Economics Gold Coast campus Griffith University QLD 4222 Australia
(61) 755528851

Affiliation

Department of Accounting, Finance and Economics
Griffith Business School
Griffith University

Brisbane, Australia
https://www.griffith.edu.au/griffith-business-school/departments/accounting-finance-economics

(07) 3875-5364
(07) 3875-7750
Nathan, Brisbane, Queensland, 4111
RePEc:edi:segriau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Mirela Malin & Graham Bornholt, 2010. "Enhancing Contrarian Strategies: Evidence from Developed Markets Indices," Discussion Papers in Finance finance:201001, Griffith University, Department of Accounting, Finance and Economics.
  2. Mirela Malin & Graham Bornholt, 2009. "Predictability of Future Index Returns based on the 52 Week High Strategy," Discussion Papers in Finance finance:200907, Griffith University, Department of Accounting, Finance and Economics.

Articles

  1. Bornholt, Graham & Gharaibeh, Omar & Malin, Mirela, 2015. "Industry long-term return reversal," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 65-78.
  2. Graham Bornholt & Paul Dou & Mirela Malin, 2015. "Trading Volume and Momentum: The International Evidence," Multinational Finance Journal, Multinational Finance Journal, vol. 19(4), pages 267-313, December.
  3. Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F., 2014. "Long-term U.S. infrastructure returns and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 314-325.
  4. Omar Gharaibeh & Graham Bornholt & Michael Dempsey, 2014. "Evidence on Industry Cost of Equity Estimators," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(4), pages 1-15.
  5. Graham Bornholt, 2013. "The Failure of the Capital Asset Pricing Model ( CAPM ): An Update and Discussion," Abacus, Accounting Foundation, University of Sydney, vol. 49, pages 36-43, January.
  6. Malin, Mirela & Bornholt, Graham, 2013. "Long-term return reversal: Evidence from international market indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 1-17.
  7. Graham Bornholt & Mirela Malin, 2011. "Is the 52-week high effect as strong as momentum? Evidence from developed and emerging market indices," Applied Financial Economics, Taylor & Francis Journals, vol. 21(18), pages 1369-1379.
  8. Malin, Mirela & Bornholt, Graham, 2010. "Predictability of future index returns based on the 52-week high strategy," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 501-508, November.
  9. Graham Bornholt, 2007. "Extending the capital asset pricing model: the reward beta approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(1), pages 69-83, March.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Mirela Malin & Graham Bornholt, 2009. "Predictability of Future Index Returns based on the 52 Week High Strategy," Discussion Papers in Finance finance:200907, Griffith University, Department of Accounting, Finance and Economics.

    Cited by:

    1. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(4), pages 1-26, October.
    2. Chiao Yi Chang & Hsiang-Lan Chen & Wen-Hsiu Kuo, 2017. "The Analysis of 52-Week High Investing Strategy Based on Herding Behavior," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 77-106, March.

Articles

  1. Bornholt, Graham & Gharaibeh, Omar & Malin, Mirela, 2015. "Industry long-term return reversal," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 65-78.

    Cited by:

    1. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, April.
    2. Zaremba, Adam & Umutlu, Mehmet & Karathanasopoulos, Andreas, 2019. "Alpha momentum and alpha reversal in country and industry equity indexes," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 144-161.
    3. Zaremba, Adam & Umutlu, Mehmet, 2018. "Size matters everywhere: Decomposing the small country and small industry premia," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 1-18.
    4. Kobinger, Sonja & Bornholt, Graham & Malin, Mirela, 2020. "Long-term time series reversal: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).

  2. Graham Bornholt & Paul Dou & Mirela Malin, 2015. "Trading Volume and Momentum: The International Evidence," Multinational Finance Journal, Multinational Finance Journal, vol. 19(4), pages 267-313, December.

    Cited by:

    1. Ramzi Boussaidi & Chaima Hmida, 2017. "Profitability of the Momentum Strategies in the Tunisian Stock Market," Business and Economic Research, Macrothink Institute, vol. 7(1), pages 17-32, June.

  3. Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F., 2014. "Long-term U.S. infrastructure returns and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 314-325.

    Cited by:

    1. Louis Chakkalakal & Ulrich Hommel & Wenwei Li, 2018. "Transport infrastructure equities in mixed-asset portfolios: estimating risk with a Garch-Copula CVaR model," Journal of Property Research, Taylor & Francis Journals, vol. 35(2), pages 117-138, April.
    2. Daniel Wurstbauer & Stephan Lang & Christoph Rothballer & Wolfgang Schaefers, 2016. "Can common risk factors explain infrastructure equity returns? Evidence from European capital markets," Journal of Property Research, Taylor & Francis Journals, vol. 33(2), pages 97-120, April.
    3. Wouter Thierie & Lieven Moor, 2016. "The characteristics of infrastructure as an investment class," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(3), pages 277-297, August.
    4. Frédéric Blanc-Brude & Timothy Whittaker & Simon Wilde, 2017. "Searching for a listed infrastructure asset class using mean–variance spanning," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(2), pages 137-179, May.

  4. Graham Bornholt, 2013. "The Failure of the Capital Asset Pricing Model ( CAPM ): An Update and Discussion," Abacus, Accounting Foundation, University of Sydney, vol. 49, pages 36-43, January.

    Cited by:

    1. Mike Dempsey, 2014. "The Modigliani and Miller Propositions: The History of a Failed Foundation for Corporate Finance?," Abacus, Accounting Foundation, University of Sydney, vol. 50(3), pages 279-295, September.
    2. Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed, 2014. "Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame," MPRA Paper 60110, University Library of Munich, Germany.
    3. Muhammad Kamran Khan & Jian-Zhou Teng & Javed Pervaiz & Sunil Kumar Chaudhary, 2017. "Nexuses between Economic Factors and Stock Returns in China," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(9), pages 182-191, September.
    4. Pawel Bilinski & Danielle Lyssimachou, 2014. "Risk Interpretation of the CAPM's Beta: Evidence from a New Research Method," Abacus, Accounting Foundation, University of Sydney, vol. 50(2), pages 203-226, June.
    5. Mike Dempsey, 2013. "The CAPM : A Case of Elegance is for Tailors?," Abacus, Accounting Foundation, University of Sydney, vol. 49, pages 82-87, January.
    6. Syed Jawad Hussain Shahzad, 2015. "Multiscale Systematic Risk: Empirical Evidence from Pakistan," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(12), pages 605-615, December.
    7. Joseph Emmanuel Tetteh & Anthony Amoah & Deodat Emilson Adenutsi, 2019. "Drivers of Stock Market Returns in Sub-Saharan Africa: Evidence from Selected Countries," Asian Development Policy Review, Asian Economic and Social Society, vol. 7(3), pages 191-208, September.
    8. Omar Gharaibeh & Graham Bornholt & Michael Dempsey, 2014. "Evidence on Industry Cost of Equity Estimators," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(4), pages 1-15.
    9. Syed Jawad Hussain Shahzad & Saniya Khalid & Saba Ameer, 2016. "CAPM estimates: Can data frequency and time period lend a hand?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-12, June.

  5. Malin, Mirela & Bornholt, Graham, 2013. "Long-term return reversal: Evidence from international market indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 1-17.

    Cited by:

    1. Shangkari V Anusakumar & Ruhani Ali & Chee-Wooi Hooy, 2014. "Are momentum and contrarian effects related? Evidence from the Chinese stock market," Economics Bulletin, AccessEcon, vol. 34(4), pages 2361-2367.
    2. Day, Min-Yuh & Ni, Yensen & Huang, Paoyu, 2019. "Trading as sharp movements in oil prices and technical trading signals emitted with big data concerns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 349-372.
    3. Kim, Byungoh & Suh, Sangwon, 2018. "Sentiment-based momentum strategy," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 52-68.
    4. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, April.
    5. Manhwa Wu & Paoyu Huang & Yensen Ni, 2017. "Investing strategies as continuous rising (falling) share prices released," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(4), pages 763-773, October.
    6. Adam Zaremba, 2016. "Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 88-103, March.
    7. Alex Plastun & Elie Bouri & Rangan Gupta, 2021. "Price Effects after One-Day Abnormal Returns in Developed and Emerging Markets: ESG versus Traditional Indices," Working Papers 202119, University of Pretoria, Department of Economics.
    8. Zaremba, Adam & Kizys, Renatas & Raza, Muhammad Wajid, 2020. "The long-run reversal in the long run: Insights from two centuries of international equity returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 177-199.
    9. Alves, Paulo & Carvalho, Luís, 2020. "Recent Evidence on International Stock Markets Overreaction," MPRA Paper 97983, University Library of Munich, Germany.
    10. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
    11. Zaremba, Adam & Umutlu, Mehmet & Karathanasopoulos, Andreas, 2019. "Alpha momentum and alpha reversal in country and industry equity indexes," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 144-161.
    12. Bornholt, Graham & Gharaibeh, Omar & Malin, Mirela, 2015. "Industry long-term return reversal," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 65-78.
    13. Yensen Ni & Min-Yuh Day & Paoyu Huang, 2020. "Trading stocks following sharp movements in the USDX, GBP/USD, and USD/CNY," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-17, December.
    14. Zaremba, Adam & Umutlu, Mehmet, 2018. "Size matters everywhere: Decomposing the small country and small industry premia," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 1-18.
    15. Kobinger, Sonja & Bornholt, Graham & Malin, Mirela, 2020. "Long-term time series reversal: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    16. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(4), pages 1-26, October.
    17. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2015. "Combining momentum with reversal in commodity futures," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 423-444.
    18. Ni, Yensen & Wu, Manhwa & Day, Min-Yuh & Huang, Paoyu, 2020. "Do sharp movements in oil prices matter for stock markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    19. Shuai Zhao & Yunhai Tong & Zitian Wang & Shaohua Tan, 2016. "Identifying Key Drivers of Return Reversal with Dynamical Bayesian Factor Graph," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-20, November.
    20. Ni, Yensen & Cheng, Yirung & Huang, Paoyu & Day, Min-Yuh, 2018. "Trading strategies in terms of continuous rising (falling) prices or continuous bullish (bearish) candlesticks emitted," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 501(C), pages 188-204.
    21. Adam Zaremba, 2018. "Country Risk and Expected Returns Across Global Equity Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(4), pages 374-398, September.

  6. Graham Bornholt & Mirela Malin, 2011. "Is the 52-week high effect as strong as momentum? Evidence from developed and emerging market indices," Applied Financial Economics, Taylor & Francis Journals, vol. 21(18), pages 1369-1379.

    Cited by:

    1. Julio Lobao & Joao Meira Fernandes, 2017. "The 52-Week High and Momentum Investing: Implications for Asset Pricing Models," Annals of Economics and Finance, Society for AEF, vol. 18(2), pages 349-376, November.
    2. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(4), pages 1-26, October.
    3. Chiao Yi Chang & Hsiang-Lan Chen & Wen-Hsiu Kuo, 2017. "The Analysis of 52-Week High Investing Strategy Based on Herding Behavior," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 77-106, March.

  7. Malin, Mirela & Bornholt, Graham, 2010. "Predictability of future index returns based on the 52-week high strategy," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 501-508, November.
    See citations under working paper version above.
  8. Graham Bornholt, 2007. "Extending the capital asset pricing model: the reward beta approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(1), pages 69-83, March.

    Cited by:

    1. Issouf Soumar� & Edoh Kossi Am�nounv� & Ousmane Diop & Dramane M�it� & Yao Djifa N'sougan, 2013. "Applying the CAPM and the Fama--French models to the BRVM stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(4), pages 275-285, February.
    2. Lilian de Castro Medeiros & Aureliano Angel Bressan, 2015. "Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market," Brazilian Business Review, Fucape Business School, vol. 12(3), pages 67-90, May.
    3. Omar Gharaibeh & Graham Bornholt & Michael Dempsey, 2014. "Evidence on Industry Cost of Equity Estimators," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(4), pages 1-15.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Graham Bornholt should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.