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Andrew R. Grant

University of Sydney - Discipline of Finance, Faculty of Economics and Business

Lecturer

P.O. Box H58

Sydney, NSW 2006

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

  • University of Sydney - Discipline of Finance, Faculty of Economics and Business

    • Email
    • Tel: 61-2-9036-7991
SCHOLARLY PAPERS

9

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Scholarly Papers (9)

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1.

Idiosyncratic Volatility, Return Reversals and Momentum: Australian Evidence

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 41 Posted: 24 Aug 2010
Andrew R. Grant and Jason Phung
University of Sydney - Discipline of Finance, Faculty of Economics and Business and University of Sydney - Discipline of Finance
Downloads 292 (74,478)

Abstract:

idiosyncratic volatility, return reversals, momentum, limits to arbitrage, Australia

2.

Asymmetric Effects of Sell-Side Analyst Optimism and Broker Market Share by Clientele

Number of pages: 60 Posted: 25 May 2010 Last Revised: 01 Sep 2010
Andrew R. Grant, Elvis Jarnecic and Mark Su
University of Sydney - Discipline of Finance, Faculty of Economics and Business, The University of Sydney and The University of Sydney
Downloads 98 (207,281)

Abstract:

Analyst Recommendations, Volume, Broker

3.

How Are Investor Trading Activity and Performance Affected by Major Lifecycle Events? The Case of Divorce

FIRN Research Paper
Number of pages: 47 Posted: 04 Jun 2014 Last Revised: 03 Feb 2017
Andrew R. Grant, Petko S. Kalev, Avanidhar Subrahmanyam and P. Joakim Westerholm
University of Sydney - Discipline of Finance, Faculty of Economics and Business, La Trobe Business School, University of California, Los Angeles (UCLA) - Finance Area and University of Sydney Business School
Downloads 62 (212,737)

Abstract:

divorce, stressors, individual investor performance

4.

Time Varying Volatility Indexes and Their Determinants: Evidence from Developed and Emerging Stock Markets

Number of pages: 43 Posted: 16 Sep 2014 Last Revised: 26 Sep 2014
Nalin Prasad, Andrew R. Grant and Suk-Joong Kim
University of Sydney Business School, University of Sydney - Discipline of Finance, Faculty of Economics and Business and The University of Sydney Business School
Downloads 61 (211,358)

Abstract:

Stock market spillovers, Realized Volatility, Spillover index, VAR, Volatility transmission

5.

Reference Price Formation for Packaged Transactions

Number of pages: 13 Posted: 29 Aug 2012
Andrew R. Grant and P. Joakim Westerholm
University of Sydney - Discipline of Finance, Faculty of Economics and Business and University of Sydney Business School
Downloads 30 (380,690)

Abstract:

6.

Economic Value of Analyst Recommendations in Australia: An Application of the Black–Litterman Asset Allocation Model

Accounting & Finance, Vol. 53, Issue 2, pp. 441-470, 2013
Number of pages: 30 Posted: 04 May 2013
Peng William He, Andrew R. Grant and Joel Fabre
The University of Sydney, University of Sydney - Discipline of Finance, Faculty of Economics and Business and affiliation not provided to SSRN
Downloads 1 (551,404)
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Abstract:

Analyst recommendations, Black–Litterman, Asset allocation

7.

Faulty Anchors: Individual Investor Order Intensity and Order Type at the 52 Week High

Number of pages: 27 Posted: 18 Aug 2017
Josh Della Vedova, Andrew R. Grant and P. Joakim Westerholm
University of Sydney Business School, University of Sydney - Discipline of Finance, Faculty of Economics and Business and University of Sydney Business School
Downloads 0 (454,699)

Abstract:

52 Week High, Anchoring, Limit order, Market Order

8.

Trading Momentum: How Shares and Investors Behave During Momentum Periods

29th Australasian Finance and Banking Conference 2016
Number of pages: 35 Posted: 22 Aug 2016 Last Revised: 12 Dec 2016
Josh Della Vedova, Andrew R. Grant and P. Joakim Westerholm
University of Sydney Business School, University of Sydney - Discipline of Finance, Faculty of Economics and Business and University of Sydney Business School
Downloads 0 (211,358)

Abstract:

Momentum, 52 Week High, Disposition Effect, limit order

9.

Fool's Mate: What Does CHESS Tell Us About Individual Investor Trading Performance?

CIFR Paper No. 80/2015
Number of pages: 47 Posted: 07 Oct 2015
Reza Bradrania, Andrew R. Grant, P. Joakim Westerholm and Wei Wu
University of South Australia - UniSA Business School, University of Sydney - Discipline of Finance, Faculty of Economics and Business, University of Sydney Business School and The University of Sydney
Downloads 0 (172,422)

Abstract:

Individual investors, institutional investors, short-term reversals, liquidity

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