Reza Bradrania

University of South Australia - UniSA Business School

Dr.

Adelaide, South Australia 5001

Australia

SCHOLARLY PAPERS

12

DOWNLOADS

932

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (12)

1.

Characteristic Liquidity, Systematic Liquidity and Expected Returns

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 43 Posted: 20 Aug 2011 Last Revised: 17 Aug 2014
Reza Bradrania and Maurice Peat
University of South Australia - UniSA Business School and The University of Sydney
Downloads 212 (196,196)

Abstract:

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Liquidity systematic risk, Liquidity characteristic, Asset pricing, Transaction costs

2.

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
University of South Australia - UniSA Business School, University of Sydney Business School - Discipline of Finance, University of Sydney Business School and The University of Sydney
Downloads 182 (224,995)

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

3.

Insiders’ Profits in the Australian Equities Market

CIFR Paper No. 108/2016
Number of pages: 37 Posted: 03 May 2016
University of Auckland Business School, University of South Australia - UniSA Business School, The University of Wollongong and University of Sydney Business School
Downloads 162 (248,265)

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Insider Trading, CAAR

4.

State-dependent Asset Allocation Using Neural Networks

Reza Bradrania & Davood Pirayesh Neghab (2021) State-dependent asset allocation using neural networks, The European Journal of Finance, DOI: 10.1080/1351847X.2021.1960404
Number of pages: 42 Posted: 01 Oct 2021
Reza Bradrania and Davood Pirayesh Neghab
University of South Australia - UniSA Business School and Koc University
Downloads 150 (264,544)

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portfolio optimization; tactical asset allocation; conditional asset allocation; performance ratio; market state; machine learning; artificial neural network

5.

Do CEO Investors Engage in More Corporate Innovation?

2015 Financial Markets & Corporate Governance Conference
Number of pages: 40 Posted: 30 Jan 2015
Reza Bradrania, P. Joakim Westerholm and James Yeoh
University of South Australia - UniSA Business School, University of Sydney Business School and The University of Sydney
Downloads 63 (462,649)

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Compensation, Corporate innovation, CEO trades

6.

State-dependent stock selection in index tracking – a machine learning approach

Journal of Financial Markets and Portfolio Management
Number of pages: 32 Posted: 24 Sep 2021
University of South Australia - UniSA Business School, Koc University and University of Tehran
Downloads 38 (571,502)

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Tracking Portfolios, Stock Selection, Cointegration, Deep Neural Network, Machine Learning

7.

Estimating A Regime Switching Pairs Trading Model

Quantitative Finance, Volume 18, 2018 - Issue 5
Number of pages: 16 Posted: 24 Sep 2021
Robert J. Elliott and Reza Bradrania
University of Calgary - Haskayne School of Business and University of South Australia - UniSA Business School
Downloads 37 (576,712)

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Applied mathematical finance, quantitative trading strategies, arbitrage relationship, state-dependent trading strategies

8.

Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns

International Review of Financial Analysis, Vol. 42, 2015
Number of pages: 42 Posted: 07 Dec 2021
Reza Bradrania, Maurice Peat and Stephen Satchell
University of South Australia - UniSA Business School, The University of Sydney and The University of Sydney
Downloads 34 (593,180)

Abstract:

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liquidity, asset pricing, idiosyncratic volatility, expected returns

9.

Liquidity and Expected Returns – Evidence from 1926-2008

International Review of Financial Analysis, 2013
Number of pages: 46 Posted: 24 Sep 2021 Last Revised: 16 Oct 2021
Reza Bradrania and Maurice Peat
University of South Australia - UniSA Business School and The University of Sydney
Downloads 18 (701,377)

Abstract:

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Liquidity, Asset pricing, Transaction costs, Effective spread

10.

Outperforming Your Peers When It Matters Most, or Falling With Style?

Number of pages: 30 Posted: 06 May 2022
Sean Anthonisz and Reza Bradrania
University of Sydney Business School and University of South Australia - UniSA Business School
Downloads 12 (751,061)

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Mutual fund, fees, kernel, style

11.

Institutional ownership and liquidity commonality: evidence from Australia

Bradrania, R, Elliott, R & Wu, W (2021) Institutional ownership and liquidity commonality: evidence from Australia', Accounting and Finance, DOI: https://doi.org/10.1111/acfi.12822
Number of pages: 49 Posted: 04 Apr 2022
Reza Bradrania, Robert J. Elliott and Winston Wu
University of South Australia - UniSA Business School, University of Calgary - Haskayne School of Business and University of Sydney, Business School, Discipline of Finance, Students
Downloads 12 (751,061)

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Commonality in liquidity, Systematic liquidity risk, Transaction costs, Foreign ownership, Institutional ownership

12.

Do CEOs Who Trade Shares Adopt More Aggressive Corporate Investment Strategies?

Pacific-Basin Finance Journal, Vol. 40, 2016
Number of pages: 49 Posted: 18 Nov 2021
Reza Bradrania, P. Joakim Westerholm and James Yeoh
University of South Australia - UniSA Business School, University of Sydney Business School and The University of Sydney
Downloads 12 (751,061)

Abstract:

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CEO risk aversion, CEO compensation