Research Interests

Empirical work in investments and behavioural finance.

Teaching

Advanced Investments (FINA 7481)        (Semester 1)
Investment Analysis (FINA 3324)             (Semester 1).

2009

“Analysis of Stock Market Volatility by Continuous-time GARCH Models” with Gernot Müller, Claudia Klüppelberg and Ross Maller in Stock Market Volatility edited by G.N.Gregoriou (Chapman and Hall/CRC Finance, Boca Raton, FL), Chapter Two, pages 31 to 50.

“The value relevance of reported goodwill and identifiable intangible assets within the Australian context” with Firas Dahmash and John Watson, British Accounting Review 41, 120-137.

“A Robustness Test of Asset-Pricing Models Using Individual Security Returns” with Manapon Limkriangkrai and Iain Watson, Applied Economics Letters 16, 629-637.   

“Anger, Sadness and Bear Markets” with Marta Simon and Alex Szimayer, Applied Financial Economics 19, 357-369.       
      Additional material from "Anger, Sadness and Bear Markets"

2008

“An Intimate Portrait of the Individual Investor” with Rick Newby and Jay Sanghani, Journal of Behavioral Finance 9, 193-208.

“Is Liquidity the Missing Link” with Manapon Limkriangkrai and Iain Watson, Accounting and Finance 48, 829-845.       
      Additional material from "Is Liquidity the Missing Link"

“Beyond Greed, Fear and the Iron Curtain” with Marta Simon, Applied Financial Economics 18, 275-293.       
      Additional material from "Beyond Greed, Fear and the Iron Curtain"

“The Role of Salience in Portfolio Formation” with Raymond da Silva Rosa, Pacific-Basin Finance Journal 16 (special issue on Behavioral Finance), 78-94.

2007

“SMB – Arousal, Disproportionate Reactions and the Size-Premium” with Alex Juricev and Gary Smith, Pacific-Basin Finance Journal 15, 315-328.       
      Additional material from "SMB - Arousal, Disproportionate Reactions and the Size-Premium"

2006

“Does Cross-Listing Signal Quality?” with Felix Gunawan and Ann Tarca, Journal of Contemporary Accounting and Economics 2 (2), 170-189.

“Momentum in Australia – A Note” with Gary Smith and Manapon Limkriangkrai, Australian Journal of Management 31 (2), 355-364.

 “In America’s Thrall.  The Effects of the US Market and US Security Characteristics on Australian Stock Returns” with Gary Smith and Manapon Limkriangkrai, Accounting and Finance 46, 577-604.

2005

“The impact of US GAAP reconciliation requirements on choice of foreign stock exchange for firms from common law and code law countries” with Ann Tarca, European Accounting Review 14 (4), 789-813.

“Bias and Consistency of the Maximum Sharpe Ratio” with Ross A. Maller and Peter Lee, Journal of Risk 7 (4), 103-115.

“A Dynamic Implementation of the Markowitz Allocation Procedure” with Ross A. Maller and John Gould in the 2005 AFAANZ Conference Proceedings (ISBN 0-9756976-1-7).

“Foreign firms in the less-regulated market” with Jessica Tan and Ann Tarca, Journal of Contemporary Accounting and Economics 1 (1), 103-118.

2004

“Bubblelepsy.  The Behavioral Wellspring of the Internet Stock Phenomenon” with Aaron Bitmead and Hock Guan Ng, Journal of Behavioral Finance 5, no. 3, 252-267.

“Myopic Loss Aversion and the Equity Premium Puzzle Reconsidered” with Paul Lloyd and Hong Wee Tee, Finance Research Letters 1, 171-177.

“A Best Choice among Asset Pricing Models?  The Conditional CAPM in Australia” with Nick Durack and Ross A. Maller, Accounting and Finance 44, 139-162.        
      Additional material from "A best choice among asset Pricing Models"

2003

“Spin-Offs In Australia” with Oliver Richards and David Woodliff, Accounting Research Journal 16 (2), 90-101.

“iShares Australia: A Clinical Study in International Behavioral Finance” with Douglas Scott, International Review of Financial Analysis 12, 223-239.

“From Gold to Silicon” with Shern-Wei Koh and Hock Guan Ng, Journal of Multinational Financial Management 13, 273-286.

2001

“Who Moved Asian-Pacific Stock Markets?  A Further Consideration of the Impact of the US and Japan” with Koh Sze Kee and Iain Watson, Australian Journal of Management 26, 125-145.