Ben R. Marshall

Massey University - School of Economics and Finance

Private Bag 11-222

Palmerston North, 30974

New Zealand

SCHOLARLY PAPERS

47

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42,758

SSRN CITATIONS
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Top 10,855

in Total Papers Citations

126

CROSSREF CITATIONS

19

Scholarly Papers (47)

1.

Technical Analysis Around the World

Number of pages: 31 Posted: 30 Jul 2008 Last Revised: 01 Dec 2011
Ben R. Marshall, Rochester H. Cahan and Jared Cahan
Massey University - School of Economics and Finance, Macquarie Capital (USA) and Macquarie Bank Ltd
Downloads 8,000 (1,532)
Citation 5

Abstract:

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Technical Analysis, Quantitative, Market Timing

2.

Market Timing with Candlestick Technical Analysis

Number of pages: 18 Posted: 16 Apr 2007 Last Revised: 14 Sep 2009
Ben R. Marshall, Martin R. Young and Lawrence C. Rose
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and Massey University
Downloads 5,713 (2,680)

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Market Timing, Candlesticks, Technical Analysis, Quantitative Investment

3.

ETF Arbitrage: Intraday Evidence

Number of pages: 45 Posted: 16 Nov 2010 Last Revised: 24 Jan 2013
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 5,053 (3,335)
Citation 11

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Arbitrage, Pairs Trading, ETF

4.

Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies?

Number of pages: 28 Posted: 26 Jul 2007 Last Revised: 12 Nov 2007
Ben R. Marshall, Rochester H. Cahan and Jared Cahan
Massey University - School of Economics and Finance, Macquarie Capital (USA) and Macquarie Bank Ltd
Downloads 3,012 (7,821)
Citation 12

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Commodity, Futures, Technical Analysis, Quantitative, Market Timing

5.

Time-Series Momentum versus Moving Average Trading Rules

Number of pages: 45 Posted: 27 Feb 2013 Last Revised: 26 Feb 2015
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 2,979 (7,951)
Citation 8

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G11, G12

6.

Return Predictability Revisited

EFA 2007 Ljubljana Meetings Paper, 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 73 Posted: 25 Feb 2007 Last Revised: 19 Nov 2009
Ben Jacobsen, Ben R. Marshall and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 2,373 (11,454)
Citation 1

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observation interval, return predictability tests, market efficiency, gradual information diffusion, market timing, quantitative investment techniques, commodity

7.

Is Technical Analysis Profitable on U.S. Stocks With Certain Size, Liquidity or Industry Characteristics?

Number of pages: 25 Posted: 15 Sep 2006 Last Revised: 13 Nov 2007
Ben R. Marshall, Qian Sun and Martin R. Young
Massey University - School of Economics and Finance, Fudan University and Massey University - School of Economics and Finance
Downloads 1,619 (20,877)

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Technical Analysis, Size, Liquidity

8.

Stock Market Predictability and Industrial Metal Returns

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 50 Posted: 19 Aug 2010 Last Revised: 12 Jul 2016
Ben Jacobsen, Ben R. Marshall and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 1,129 (35,567)
Citation 21

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industrial metals, state-switching, return predictability, gradual information diffusion, business cycle

9.

Bitcoin Liquidity

Number of pages: 45 Posted: 27 Jun 2018 Last Revised: 05 Jun 2019
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 735 (64,525)
Citation 1

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Bitcoin, Liquidity, Cryptocurrency

10.

Risk Reduction Using Trailing Stop-Loss Rules

Number of pages: 31 Posted: 01 Apr 2019
Tsinghua University - Tsinghua University School of Economics and Management, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 656 (74,686)
Citation 2

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Stop-Loss Rule, Risk Reduction

11.

Estimating Long-Term Expected Returns

Number of pages: 50 Posted: 10 Jul 2023 Last Revised: 25 Mar 2024
La Trobe University - La Trobe Business School, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 654 (74,821)

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Long-Term Expected Returns, Asset Allocation

12.

Is There Momentum or Reversal in Weekly Currency Returns?

26th Australasian Finance and Banking Conference 2013
Number of pages: 41 Posted: 30 Apr 2013 Last Revised: 10 Jun 2015
Ahmad Raza, Ben R. Marshall and Nuttawat Visaltanachoti
University of Otago - Department of Accountancy and Finance, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 647 (75,865)

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currency, momentum, reversal

13.

Market Volatility, Liquidity Shocks, and Stock Returns: Worldwide Evidence

9th Conference on Financial Markets and Corporate Governance (FMCG) 2018
Number of pages: 56 Posted: 13 Nov 2017 Last Revised: 18 Mar 2018
Rui Ma, Hamish D. Anderson and Ben R. Marshall
La Trobe University - La Trobe Business School, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 636 (77,485)

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market volatility, liquidity, returns, international stock markets

14.

Stock Market Liquidity and Trading Activity: Is China Different?

Number of pages: 47 Posted: 04 Apr 2017 Last Revised: 29 Jun 2017
Rui Ma, Hamish D. Anderson and Ben R. Marshall
La Trobe University - La Trobe Business School, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 625 (79,227)
Citation 10

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Liquidity, trading activity, volume, stock market, China

15.

Technical Indicators and Cross-Sectional Expected Returns

Number of pages: 33 Posted: 27 Dec 2021 Last Revised: 24 Mar 2022
Massey University - Department of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 562 (90,549)

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Cross-sectional stock returns, technical indicators, three factor Fama-French model, cross-sectional expected return determinants

16.

Risk Perceptions and International Stock Market Liquidity

29th Australasian Finance and Banking Conference 2016
Number of pages: 59 Posted: 25 May 2016 Last Revised: 27 May 2018
Rui Ma, Hamish D. Anderson and Ben R. Marshall
La Trobe University - La Trobe Business School, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 551 (92,851)
Citation 2

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liquidity, international stock markets, risk perception, VIX

17.

Lottery Stocks and Stop-loss Rules

Number of pages: 35 Posted: 04 May 2021 Last Revised: 03 Dec 2021
Tsinghua University - Tsinghua University School of Economics and Management, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 520 (99,737)
Citation 2

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Lottery Stocks, Stop-loss Rules, Trading Strategies, Individual Investors

18.

Insider Trading and Climate Disasters

Number of pages: 60 Posted: 14 Jan 2022 Last Revised: 03 Apr 2023
La Trobe University - La Trobe Business School, Massey University - School of Economics and Finance, Massey University, Massey Business SchoolMonash University, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 458 (116,252)

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Insider trading, climate disaster, investor behavior

19.

Liquidity Commonality in Commodities

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 30 Posted: 12 May 2010 Last Revised: 27 Jul 2011
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 441 (121,522)
Citation 7

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Commodity, Liquidity, Commonality

20.

Enduring Momentum

Number of pages: 44 Posted: 27 Apr 2022
Massey University - Department of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 418 (129,345)

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Firm characteristics, enduring momentum probability, momentum

21.

A Note on Intraday Event Studies

Number of pages: 24 Posted: 09 Aug 2017 Last Revised: 17 Aug 2017
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 366 (150,376)
Citation 4

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Intraday, Event Study

22.

Financial Markets and Carbon Dioxide Emissions

Number of pages: 55 Posted: 13 Jul 2021
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 351 (157,378)

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Financial Markets, Carbon Dioxide Emissions

23.

Frontier Market Transaction Costs and Diversfication

Number of pages: 40 Posted: 13 Oct 2011 Last Revised: 20 Nov 2013
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 351 (157,378)
Citation 5

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Frontier market, liquidity, transaction cost, diversification

24.

Liquidity Measurement in Frontier Markets

Number of pages: 26 Posted: 30 Oct 2012
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 348 (158,914)
Citation 1

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frontier market, liquidity proxy, transaction cost

25.

Predicting ETF Liquidity

Number of pages: 43 Posted: 04 Aug 2020 Last Revised: 16 Sep 2021
Massey University -School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 336 (164,997)

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ETFs, Liquidity, Bid-Ask Spread, Forecasting

26.

Liquidity Spillover between ETFs and Their Constituents

Number of pages: 58 Posted: 18 Mar 2021
Massey University -School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 335 (165,539)

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ETFs; Portfolio Liquidity; Spillover; Arbitrage; Short Sale Constraints

27.

Do Liquidity Proxies Measure Liquidity Accurately in ETFs?

2016 Financial Markets and Corporate Governance
Number of pages: 48 Posted: 11 Dec 2015 Last Revised: 31 Jul 2017
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 331 (167,706)
Citation 9

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Liquidity Measurement, Liquidity Proxy, Transaction Costs, Exchange Traded Funds, ETF

28.

Peer Effects, Personal Characteristics and Asset Allocation

Number of pages: 40 Posted: 13 Jun 2014 Last Revised: 21 Jul 2015
Annie Zhang, Ben Jacobsen and Ben R. Marshall
Independent, Tilburg University - TIAS School for Business and Society and Massey University - School of Economics and Finance
Downloads 323 (172,192)
Citation 1

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Asset allocation, behavioral finance, financial advice, household finance, individual investors, mutual funds, personal characteristics, peer effects, social

29.

Climate Events and Return Comovement

Number of pages: 37 Posted: 09 Aug 2021
La Trobe University - La Trobe Business School, Massey University - School of Economics and Finance, Massey University, Massey Business SchoolMonash University, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 314 (177,310)
Citation 5

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Comovement, climate event, disaster

30.

Time Diversification in Developed and Emerging Markets

Number of pages: 33 Posted: 12 Feb 2008 Last Revised: 10 May 2009
Massey University - School of Economics and Finance, School of Economics and Finance, Massey University and Massey University - School of Economics and Finance
Downloads 311 (179,123)
Citation 1

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stocks, bonds, value at risk, VaR, investment horizon, time diversification, time in the market, emerging markets

31.

Takeover Motives in a Weak Regulatory Environment Surrounding a Market Shock

Number of pages: 31 Posted: 13 Jun 2006
Hamish D. Anderson and Ben R. Marshall
Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 285 (196,290)

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Mergers and Acquisitions Motives, Regulation, Stock Market Crash

32.

Active ETF Liquidity

Number of pages: 60 Posted: 08 May 2019 Last Revised: 27 Mar 2020
Massey University -School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 268 (208,955)

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ETFs; Portfolio Liquidity; Diversification

33.

Country Governance and International Equity Returns

2016 Financial Markets and Corporate Governance, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 1 Posted: 11 Dec 2015 Last Revised: 18 Jan 2022
Massey University - School of Economics and Finance, Auckland University of Technology, Massey University, Massey Business SchoolMonash University and Massey University - Department of Economics and Finance
Downloads 234 (238,857)
Citation 1

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Governance, Return Predictability, International Equity Markets, Information Diffusion, Slow Moving Capital

34.

Does a Change in the Information Environment Affect Labor Adjustment Costs?

International Review of Financial Analysis, Forthcoming
Number of pages: 45 Posted: 05 Oct 2018 Last Revised: 04 Feb 2021
Massey University - School of Economics and Finance, Massey University - Massey Business School, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 231 (241,756)
Citation 4

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Information Environment, Information Asymmetry, Labor Adjustment Costs

35.

The Announcement and Implementation Reaction to China’s Margin Trading and Short Selling Pilot Programme

Sharif, S., Anderson, H.D. & Marshall, B.R. (2014). The Announcement and Implementation Reaction to China’s Margin Trading and Short Selling Pilot Programme. International Journal of Managerial Finance, Volume 10, Issue 3, pages 368-384.
Number of pages: 39 Posted: 25 Jun 2012 Last Revised: 28 Jun 2019
Saqib Sharif, Hamish D. Anderson and Ben R. Marshall
Institute of Business Administration, Karachi, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 222 (251,067)
Citation 5

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Short selling, Margin trading, China, Information asymmetry, Overvaluation, Volume

36.

Forecasting Individual Stock Returns Using Macroeconomic and Technical Variables

Number of pages: 37 Posted: 13 Mar 2019 Last Revised: 24 May 2022
Massey University - Department of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 215 (258,793)

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Firm level predictability, macroeconomic and technical predictors, principal component analysis (PCA), limits to arbitrage, cross-sectional predictability, business cycle.

37.

Investment Returns Under Right- and Left-Wing Governments in Australasia

Number of pages: 31 Posted: 26 Apr 2007
Massey University - School of Economics and Finance, School of Economics and Finance, Massey University and Massey University - School of Economics and Finance
Downloads 178 (306,988)
Citation 4

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presidential puzzle, political cycle, investment returns, stock market, real estate market, property returns, bond market

38.

Politics and Liquidity

8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 28 Posted: 18 Nov 2016 Last Revised: 29 May 2018
Massey University - School of Economics and Finance, Massey University, Massey Business SchoolMonash University, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 161 (334,887)

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Liquidity, Politics, Information Asymmetry, Economic Policy Uncertainty

39.

Do Climate Risks Matter for Green Investment?

Number of pages: 24 Posted: 30 Dec 2021 Last Revised: 18 Jan 2022
Massey University - School of Economics and Finance, Massey University, Massey Business SchoolMonash University, Auckland University of Technology, Massey University - Department of Economics and Finance and Massey University - School of Economics and Finance
Downloads 141 (373,133)
Citation 5

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Climate Disasters, Socially Responsible Investing, Mutual Funds

40.

New Zealand Equity Returns 1867–2022

Number of pages: 29 Posted: 21 Nov 2023 Last Revised: 23 Dec 2023
La Trobe University - La Trobe Business School, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 132 (395,174)

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Long-Term Returns; Equity Returns; Bond Returns

41.

Do Stop-loss Rules Add Value in International Equity Market Allocation?

Number of pages: 31 Posted: 29 Sep 2020 Last Revised: 17 Dec 2020
Tsinghua University - Tsinghua University School of Economics and Management, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 109 (453,782)

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Asset Allocation, Stop-Loss Rule

42.

Asset Class Jumps

Number of pages: 29 Posted: 30 Aug 2017 Last Revised: 19 Apr 2018
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 106 (462,894)

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Asset Classes, Jump Risk

43.

Transaction Costs in an Illiquid Order-Driven Market

Number of pages: 27 Posted: 23 Oct 2014
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 97 (492,056)

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Liquidity, transaction cost, order splitting

44.

How Does Management Respond to Stock Price Crashes?

Number of pages: 54 Posted: 27 Jan 2023 Last Revised: 22 May 2023
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance, Massey University, Massey Business SchoolMonash University and Massey University - Department of Economics and Finance
Downloads 83 (542,442)

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Crash risk, Investor trust, Information asymmetry, Agency conflict

45.

Broker and Institutional Investor Short Selling

Number of pages: 38 Posted: 04 Mar 2023 Last Revised: 27 Apr 2023
Massey University - School of Economics and Finance, Auckland University of Technology, Massey University - Department of Economics and Finance and New Zealand Exchange
Downloads 75 (575,429)

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Short Selling, Institutional Investor, Brokers

46.

Beta Estimation in New Zealand

Number of pages: 31 Posted: 15 Sep 2021 Last Revised: 16 Sep 2021
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 54 (680,087)

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Beta, Cost of Capital

47.

Stock Price Crashes and Systematic Risk

Number of pages: 44 Posted: 26 Mar 2024
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance, Massey University, Massey Business SchoolMonash University and Massey University - Department of Economics and Finance
Downloads 20 (939,476)

Abstract:

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Crash risk, Systematic risk, Default risk, Information asymmetry

Other Papers (2)

Total Downloads: 0
1.

Financial Distress Prediction in China

Review of Pacific Basin Financial Markets and Policies, Forthcoming
Posted: 26 Sep 2005
Jianguo Chen, Ben R. Marshall, Jenny Zhang and Siva Ganesh
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and affiliation not provided to SSRN

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Financial insolvency, prediction, Chinese market, financial ratios

2.

Country and Sector Effects in Asia Pacific Markets

Posted: 29 May 2005
Jianguo Chen, Ben R. Marshall and Jenny Zhang
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance

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Country effects, Industry Effects, International Finance, Portfolio Risk, Asian Pacific Markets