Paul Docherty

The Brattle Group

44 Brattle Street

3rd Floor

Cambridge, MA 02138-3736

United States

  • The Brattle Group

SCHOLARLY PAPERS

30

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15

CROSSREF CITATIONS

2

Scholarly Papers (30)

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1.

Stock Price Overreaction to ESG Controversies

Number of pages: 21 Posted: 08 Apr 2020
Bei Cui and Paul Docherty
Monash Centre for Financial Studies, Monash Business School, Monash University and The Brattle Group
Downloads 2,484 (9,989)
Citation 3

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ESG, Investment Management, Over-Reaction, News, Institutional Investors

2.

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 The Brattle Group
Downloads 901 (46,076)

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Momentum, trend salience, extrapolation, market states

3.

How Smart is Smart Beta Investing? Evidence from Australia

Number of pages: 22 Posted: 22 Dec 2015
Paul Docherty
The Brattle Group
Downloads 445 (113,361)

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

4.

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, The Brattle Group and University of Newcastle (Australia) - Newcastle Business School
Downloads 251 (210,111)

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Anomalies, Stock market seasonality, Emerging markets

5.

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
The Brattle Group and University of Melbourne - Department of Finance
Downloads 243 (216,877)

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

6.

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
The Brattle Group, University of Melbourne - Department of Finance and University of Newcastle
Downloads 237 (222,257)

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

7.

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, The Brattle Group, University of Newcastle - Faculty of Business and Law and University of Newcastle - Newcastle Business School
Downloads 207 (252,468)
Citation 1

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Corporate governance, agency theory, asset pricing

8.

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) - Newcastle Business School, The Brattle Group and University of Newcastle (Australia)
Downloads 203 (257,059)

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

9.

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

Downloads 158 (320,000)
Citation 1

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
The Brattle Group, University of Melbourne - Department of Finance and University of Newcastle
Downloads 158 (320,153)
Citation 1

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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
The Brattle Group and University of Melbourne - Department of Finance

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

10.

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
The Brattle Group, University of Melbourne - Department of Finance and University of Newcastle
Downloads 156 (323,455)
Citation 1

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

11.

Cumulative Prospect Theory and Momentum Crashes: Evidence from Asia

Number of pages: 21 Posted: 15 Feb 2014
Paul Docherty and Gareth Hurst
The Brattle Group and University of Newcastle (Australia)
Downloads 137 (359,029)

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Momentum crash; skewness; cumulative prospect theory.

12.

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
Paul Docherty, Yizhe Dong, Xiaojing Song and Mark J. Tippett
The Brattle Group, University of Edinburgh Business School, Lecturer of Accounting & Finance and Loughborough University - Business School
Downloads 100 (452,445)

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

13.

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
The Brattle Group and University of Newcastle
Downloads 83 (509,035)
Citation 2

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14.

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
Bronwyn McCredie, Paul Docherty, Stephen Andrew Easton and Katherine Uylangco
Queensland University of Technology, The Brattle Group, University of Newcastle and Queensland University of Technology - School of Economics and Finance
Downloads 70 (561,163)

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

15.

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 The Brattle Group
Downloads 65 (583,474)
Citation 1

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International momentum, return dispersion

16.

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
The Brattle Group, University of Melbourne - Department of Finance and University of Newcastle
Downloads 63 (592,640)

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

17.

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 The Brattle Group
Downloads 60 (607,257)

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

18.

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
Bronwyn McCredie, Paul Docherty, Stephen Andrew Easton and Katherine Uylangco
Queensland University of Technology, The Brattle Group, University of Newcastle and Queensland University of Technology - School of Economics and Finance
Downloads 52 (649,711)

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

19.

Profitability and Investment-Based Factor Pricing Models

Number of pages: 38 Posted: 16 Feb 2015
Brendan Elliot, Paul Docherty, Stephen Andrew Easton and Doowon Lee
University of Newcastle (Australia), The Brattle Group, University of Newcastle and Newcastle Business School
Downloads 39 (730,553)
Citation 1

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Investment, profitability, asset pricing

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, The Brattle Group and University of Newcastle (Australia) - Newcastle Business School
Downloads 37 (744,639)
Citation 1

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MAX effect; limits of arbitrage; mispricing; emerging markets

21.

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), The Brattle Group and University of Newcastle
Downloads 36 (751,718)

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

22.

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, The Brattle Group and University of Newcastle (Australia) - Newcastle Business School
Downloads 31 (789,610)

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

23.

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, The Brattle Group and University of Newcastle (Australia) - Newcastle Business School
Downloads 30 (797,574)

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

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
The Brattle Group and University of Newcastle (Australia)
Downloads 27 (821,969)

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Momentum crash, skewness, cumulative prospect theory, regime switching

25.

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), The Brattle Group and University of Newcastle (Australia) - Newcastle Business School
Downloads 23 (856,699)

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SEO, Regulation, Rights issue, Private placement

26.

The Impact of Monetary Policy on the Australian Equity Market

Number of pages: 27 Posted: 01 Feb 2014
Bronwyn McCredie, Paul Docherty, Stephen Andrew Easton and Katherine Uylangco
Queensland University of Technology, The Brattle Group, University of Newcastle and Queensland University of Technology - School of Economics and Finance
Downloads 21 (875,234)

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

27.

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 The Brattle Group
Downloads 14 (943,296)

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28.

A Note on the Pricing of Australian Government Asset Sales

Australian Journal of Management, Vol. 39, No. 3, 2013
Posted: 02 Jun 2020
Paul Docherty
The Brattle Group

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Asset sales, Australian governments, privatisation

29.

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
The Brattle Group and University of Newcastle (Australia) - Newcastle Business School

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illiquidity risk, yield spreads, sovereign debt, volatility

30.

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
The Brattle Group and University of Newcastle

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asset sales, Australian governments, privatisation

Other Papers (1)

Total Downloads: 16
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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), The Brattle Group and University of Newcastle
Downloads 16

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