Paul Docherty

Monash University

23 Innovation Walk

Wellington Road

Clayton, Victoria 3800

Australia

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 19,459

SSRN RANKINGS

Top 19,459

in Total Papers Downloads

2,539

SSRN CITATIONS

2

CROSSREF CITATIONS

4

Scholarly Papers (31)

1.

Trend Salience, Investor Behaviors and Momentum Profitability

Number of pages: 38 Posted: 14 Feb 2014 Last Revised: 29 Jul 2019
Gareth Hurst and Paul Docherty
University of Newcastle (Australia) and Monash University
Downloads 717 (35,769)

Abstract:

Loading...

Momentum, trend salience, extrapolation, market states

2.

How Smart is Smart Beta Investing? Evidence from Australia

Number of pages: 22 Posted: 22 Dec 2015
Paul Docherty
Monash University
Downloads 384 (78,763)

Abstract:

Loading...

Smart beta, funds management, value, momentum, volatility, quality

3.

Asset Pricing Anomalies and Macroeconomic Risk

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 45 Posted: 01 Sep 2011
Paul Docherty, H. Chan and Stephen Andrew Easton
Monash University, University of Melbourne - Department of Finance and University of Newcastle
Downloads 206 (152,240)

Abstract:

Loading...

asset pricing, Fama-French model, macroeconomic risk, ICAPM

4.

Momentum in Style Portfolios: Risk or Inefficiency?

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 38 Posted: 29 Aug 2012
Paul Docherty and H. Chan
Monash University and University of Melbourne - Department of Finance
Downloads 196 (159,529)

Abstract:

Loading...

asset pricing, autocorrelation, momentum, style investing, Fama-French model

5.

Internal Governance Does Matter to Equity Returns but Much More So During ‘Flights to Quality’

Number of pages: 43 Posted: 25 Oct 2014 Last Revised: 29 Jul 2019
Peter Brooke, Paul Docherty, Jim Psaros and Michael Seamer
Platypus Asset Management, Monash University, University of Newcastle - Faculty of Business and Law and University of Newcastle - Newcastle Business School
Downloads 178 (173,998)

Abstract:

Loading...

Corporate governance, agency theory, asset pricing

6.

Seasonality in Stock Returns: Evidence from Advanced Emerging Stock Markets

Number of pages: 34 Posted: 20 Aug 2015 Last Revised: 29 Jul 2019
Mostafa Seif, Paul Docherty and Abul Shamsuddin
University of Newcastle (Australia) - Newcastle Business School, Monash University and University of Newcastle (Australia) - Newcastle Business School
Downloads 172 (179,326)

Abstract:

Loading...

Anomalies, Stock market seasonality, Emerging markets

Tangibility and Investment Irreversibility in Asset Pricing

22nd Australasian Finance and Banking Conference 2009
Number of pages: 30 Posted: 22 Aug 2009 Last Revised: 29 Jul 2019
Paul Docherty, H. Chan and Stephen Andrew Easton
Monash University, University of Melbourne - Department of Finance and University of Newcastle
Downloads 131 (225,435)
Citation 1

Abstract:

Loading...

Asset pricing, tangibility of assets, investment irreversibility, Fama-French model

Tangibility and Investment Irreversibility in Asset Pricing

Accounting & Finance, Vol. 50, No. 4, pp. 809-827, December 2010
Number of pages: 19 Posted: 08 Nov 2010
Paul Docherty, H. Chan and Stephen Andrew Easton
Monash University, University of Melbourne - Department of Finance and University of Newcastle
Downloads 3 (678,222)
  • Add to Cart

Abstract:

Loading...

Asset Tangibility, Industry Representation and the Cross Section of Equity Returns

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 27 Posted: 14 Aug 2010 Last Revised: 29 Jul 2019
Paul Docherty, H. Chan and Stephen Andrew Easton
Monash University, University of Melbourne - Department of Finance and University of Newcastle
Downloads 119 (242,613)
Citation 1

Abstract:

Loading...

Tangibility of assets, cross-section, industry, asset pricing

Asset Tangibility, Industry Representation and the Cross Section of Equity Returns

Australian Journal of Management, Vol. 36, No. 1, 2011
Posted: 05 Feb 2012
Paul Docherty and H. Chan
Monash University and University of Melbourne - Department of Finance

Abstract:

Loading...

asset pricing, cross-section, industry, tangibility of assets

9.

Cumulative Prospect Theory and Momentum Crashes: Evidence from Asia

Number of pages: 21 Posted: 15 Feb 2014
Paul Docherty and Gareth Hurst
Monash University and University of Newcastle (Australia)
Downloads 85 (302,899)

Abstract:

Loading...

Momentum crash; skewness; cumulative prospect theory.

10.

The Feller Diffusion, Filter Rules and Abnormal Stock Returns

European Journal of Finance (Forthcoming)
Number of pages: 26 Posted: 17 Mar 2017 Last Revised: 29 Jul 2019
Monash University, University of Edinburgh Business School, Lecturer of Accounting & Finance and Loughborough University - Business School
Downloads 78 (318,882)

Abstract:

Loading...

Feller Diffusion, Fokker-Planck Equation, Geometric Brownian Motion, Logarithmic Return

11.

Market Efficiency and Continuous Information Arrival: Evidence from Prediction Markets

Finance and Corporate Governance Conference 2011 Paper
Number of pages: 30 Posted: 28 Feb 2011 Last Revised: 29 Jul 2019
Paul Docherty and Stephen Andrew Easton
Monash University and University of Newcastle
Downloads 59 (370,366)

Abstract:

Loading...

12.

An Analysis of the Australian Foreign Exchange Market Response to Monetary Policy Announcements and Explanatory Minute Releases

25th Australasian Finance and Banking Conference 2012
Number of pages: 28 Posted: 22 Aug 2012 Last Revised: 12 Sep 2013
Queensland University of Technology, Monash University, University of Newcastle and Queensland University of Technology - School of Economics and Finance
Downloads 52 (392,897)

Abstract:

Loading...

Monetary policy, Foreign Exchange Market, Global Financial Crisis, Sentiment

13.

Firm-Level Versus Aggregate Market Investor Sentiment: What Matters Most for Corporate Announcement Returns

Number of pages: 45 Posted: 07 Jun 2019 Last Revised: 02 Jan 2020
Nader Mahmoudi, Paul Docherty and Adrian Melia
University of Newcastle (Australia), Monash University and University of Newcastle (Australia)
Downloads 42 (428,985)

Abstract:

Loading...

Firm-Level Investor Sentiment; Market-Level Investor Sentiment, Stocktwits, Mergers and Acquisitions, Return Reversals, Heterogeneity, Uncertainty

14.

Asset Pricing Anomalies and Macroeconomic Risk: Evidence from Australia

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 47 Posted: 21 Sep 2011
Paul Docherty, H. Chan and Stephen Andrew Easton
Monash University, University of Melbourne - Department of Finance and University of Newcastle
Downloads 41 (432,851)

Abstract:

Loading...

Asset pricing, Fama-French model, investment-based anomalies, macroeconomic risk, ICAPM

15.

An Examination of the Differential Impact of Monetary Policy Announcements and Explanatory Minutes Releases on the Australian Interest Rate Futures Market

26th Australasian Finance and Banking Conference 2013
Number of pages: 33 Posted: 19 Aug 2013
Queensland University of Technology, Monash University, University of Newcastle and Queensland University of Technology - School of Economics and Finance
Downloads 30 (481,385)

Abstract:

Loading...

Monetary policy announcement, explanatory minutes, asymmetry, global financial crisis, sentiment

Net Share Issues and the Cross-Section of Equity Returns under a Dividend Imputation Tax System

Melia, A., Docherty, P., & Easton, S. (2016). Net share issues and the cross‐section of equity returns under a dividend imputation tax system. Accounting & Finance, 56(4), 1097-1117.
Number of pages: 35 Posted: 01 Aug 2019
Adrian Melia, Paul Docherty and Stephen Andrew Easton
University of Newcastle (Australia), Monash University and University of Newcastle
Downloads 9 (632,387)

Abstract:

Loading...

Net Share Issuance, Dividend Imputation, Anomalies, Fama-French model

Net Share Issues and the Cross‐Section of Equity Returns Under a Dividend Imputation Tax System

Accounting & Finance, Vol. 56, Issue 4, pp. 1097-1117, 2016
Number of pages: 21 Posted: 05 Dec 2016
Adrian Melia, Paul Docherty and Steve Easton
University of Newcastle (Australia), Monash University and University of Newcastle (Australia) - Newcastle Business School
Downloads 0
  • Add to Cart

Abstract:

Loading...

Net share issuance, Dividend imputation, Anomalies, Fama–French model

17.

Explanations of Cycles in Seasoned Equity Offerings: An Examination of the Choice between Rights Issues and Private Placements

Melia, A., Chan, H., Docherty, P., & Easton, S. (2018). Explanations of cycles in seasoned equity offerings: An examination of the choice between rights issues and private placements. Pacific-Basin Finance Journal, 50, 16-25.
Number of pages: 33 Posted: 01 Aug 2019
Adrian Melia, H. Chan, Paul Docherty and Steve Easton
University of Newcastle (Australia), University of Melbourne - Department of Finance, Monash University and University of Newcastle (Australia) - Newcastle Business School
Downloads 6 (626,588)

Abstract:

Loading...

SEO; Rights issue; Private placement; Information asymmetry; Demand for capital; Investor sentiment; Market timing

18.

Return Dispersion and Conditional Momentum Returns: International Evidence

2016 Financial Markets and Corporate Governance
Number of pages: 39 Posted: 23 Jan 2016
Gareth Hurst and Paul Docherty
University of Newcastle (Australia) and Monash University
Downloads 5 (633,443)
Citation 1

Abstract:

Loading...

International momentum, return dispersion

Profitability and Investment-Based Factor Pricing Models

Number of pages: 38 Posted: 16 Feb 2015
University of Newcastle (Australia), Monash University, University of Newcastle and Newcastle Business School
Downloads 4 (669,522)

Abstract:

Loading...

Investment, profitability, asset pricing

Profitability and Investment‐Based Factor Pricing Models

Accounting & Finance, Vol. 58, Issue 2, pp. 397-421, 2018
Number of pages: 25 Posted: 25 Jun 2018
University of Newcastle (Australia), Monash University, University of Newcastle (Australia) - Newcastle Business School and Newcastle Business School
Downloads 1 (702,892)
  • Add to Cart

Abstract:

Loading...

Investment, Profitability, Asset pricing model, Factor model

20.

Limits to Arbitrage and the MAX Effect in Advanced Emerging Markets

Number of pages: 31 Posted: 29 Jul 2019
Mostafa Seif, Paul Docherty and Abul Shamsuddin
University of Newcastle (Australia) - Newcastle Business School, Monash University and University of Newcastle (Australia) - Newcastle Business School
Downloads 4 (640,497)

Abstract:

Loading...

MAX effect; limits of arbitrage; mispricing; emerging markets

21.

Private Placement and Rights Issue Cycles

2016 Financial Markets and Corporate Governance
Number of pages: 32 Posted: 25 Jan 2016
Adrian Melia, H. Chan, Paul Docherty and Steve Easton
University of Newcastle (Australia), University of Melbourne - Department of Finance, Monash University and University of Newcastle (Australia) - Newcastle Business School
Downloads 4 (640,497)

Abstract:

Loading...

SEO, rights issue, private placement, information asymmetry, demand for capital, investor sentiment, market timing, cycles

22.

The Race That Stops the Equity Market

Docherty, P., & Melia, A. (2015). The race that stops the equity market. Applied Economics Letters, 22(14), 1179-1183.
Number of pages: 9 Posted: 01 Aug 2019
Adrian Melia and Paul Docherty
University of Newcastle (Australia) and Monash University
Downloads 3 (648,319)

Abstract:

Loading...

23.

Myopic Loss Aversion: An Alternative Explanation of the Momentum Premium

Number of pages: 42 Posted: 20 Aug 2015
Gareth Hurst and Paul Docherty
University of Newcastle (Australia) and Monash University
Downloads 2 (657,866)

Abstract:

Loading...

Myopic loss aversion; momentum drawdown; cumulative prospect theory; culture

24.

Cumulative Prospect Theory, Myopic Loss Aversion and Momentum Crashes

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 35 Posted: 22 Aug 2014
Paul Docherty and Gareth Hurst
Monash University and University of Newcastle (Australia)
Downloads 2 (657,866)

Abstract:

Loading...

Momentum crash, skewness, cumulative prospect theory, regime switching

25.

The Impact of Monetary Policy on the Australian Equity Market

Number of pages: 27 Posted: 01 Feb 2014
Queensland University of Technology, Monash University, University of Newcastle and Queensland University of Technology - School of Economics and Finance
Downloads 2 (657,866)

Abstract:

Loading...

monetary policy announcement, equity market, explanatory minutes, Global Financial Crisis, sentiment

26.

Australian Evidence on the Implementation of the Size and Value Premia

Accounting & Finance, Vol. 53, Issue 2, pp. 367-391, 2013
Number of pages: 25 Posted: 04 May 2013
Paul Docherty, H. Chan and Steve Easton
Monash University, University of Melbourne - Department of Finance and University of Newcastle (Australia) - Newcastle Business School
Downloads 2 (657,866)
  • Add to Cart

Abstract:

Loading...

Size, Value, Risk, Liquidity

27.

The Impact of Regulation on the Seasoned Equity Offering Decision

Australian Journal of Management, Forthcoming
Number of pages: 40 Posted: 06 Aug 2019
Adrian Melia, Paul Docherty and Steve Easton
University of Newcastle (Australia), Monash University and University of Newcastle (Australia) - Newcastle Business School
Downloads 1 (669,877)

Abstract:

Loading...

SEO, Regulation, Rights issue, Private placement

28.

Internal Governance Does Matter to Equity Returns But Much More so During 'Flights to Quality'

Journal of Applied Corporate Finance, Vol. 30, Issue 1, pp. 39-52, 2018
Number of pages: 16 Posted: 10 May 2018
Peter Brooke, Paul Docherty, Jim Psaros and Michael Seamer
Platypus Asset Management, Monash University, University of Newcastle - Faculty of Business and Law and University of Newcastle - Newcastle Business School
Downloads 1 (669,877)
  • Add to Cart

Abstract:

Loading...

29.

Momentum in Australian Style Portfolios: Risk or Inefficiency?

Accounting & Finance, Vol. 56, Issue 2, pp. 333-361, 2016
Number of pages: 29 Posted: 03 Jun 2016
H. Chan and Paul Docherty
University of Melbourne - Department of Finance and Monash University
Downloads 0 (686,947)
  • Add to Cart

Abstract:

Loading...

Asset pricing, Momentum, Style investing, Fama–French model

30.

State-Varying Illiquidity Risk in Sovereign Bond Spreads

Pacific-Basin Finance Journal, Vol. 50, 2018
Posted: 12 Jan 2016 Last Revised: 30 Jul 2019
Paul Docherty and Steve Easton
Monash University and University of Newcastle (Australia) - Newcastle Business School

Abstract:

Loading...

illiquidity risk, yield spreads, sovereign debt, volatility

31.

A Note on the Pricing of Australian Government Asset Sales

Australian Journal of Management, Vol. 39, No. 3, 2014
Posted: 20 Aug 2014
Paul Docherty and Stephen Andrew Easton
Monash University and University of Newcastle

Abstract:

Loading...

asset sales, Australian governments, privatisation

Other Papers (1)

Total Downloads: 4
1.

New Share Issues and the Cross-Section of Equity Returns Under a Dividend Imputation Tax System

2014 Financial Markets & Corporate Governance Conference
Number of pages: 35 Posted: 16 Dec 2013
Adrian Melia, Paul Docherty and Stephen Andrew Easton
University of Newcastle (Australia), Monash University and University of Newcastle
Downloads 4

Abstract:

Loading...

Asset Pricing, Share Issues, Share Issuance, Return Predictability, Dividend Imputation, Anomalies, Fama-French model