Paul Docherty

Monash University

23 Innovation Walk

Wellington Road

Clayton, Victoria 3800

Australia

SCHOLARLY PAPERS

21

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Scholarly Papers (21)

1.

Trend Salience, Investor Behaviors and Momentum Profitability

Number of pages: 32 Posted: 14 Feb 2014
Paul Docherty and Gareth Hurst
Monash University and University of Newcastle (Australia)
Downloads 703 (34,761)

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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 376 (76,711)

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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 203 (147,059)

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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 195 (152,702)

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

5.

Internal Governance Characteristics, Time-Varying Agency Costs and Stock Prices

Number of pages: 44 Posted: 25 Oct 2014 Last Revised: 03 Dec 2014
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 174 (169,226)

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Corporate governance, agency theory, asset pricing

6.

Seasonality in Stock Returns: Evidence from Advanced Emerging Stock Markets

Number of pages: 39 Posted: 20 Aug 2015
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 166 (176,277)

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Anomalies, Stock market seasonality, Emerging markets

Tangibility and Investment Irreversibility in Asset Pricing

22nd Australasian Finance and Banking Conference 2009
Number of pages: 31 Posted: 22 Aug 2009 Last Revised: 01 Feb 2010
Paul Docherty, H. Chan and Stephen Andrew Easton
Monash University, University of Melbourne - Department of Finance and University of Newcastle
Downloads 129 (217,585)

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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 (644,606)
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Asset Tangibility, Industry Representation and the Cross Section of Equity Returns

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 25 Posted: 14 Aug 2010
Paul Docherty, H. Chan and Stephen Andrew Easton
Monash University, University of Melbourne - Department of Finance and University of Newcastle
Downloads 104 (255,215)

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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
Monash University and University of Melbourne - Department of Finance

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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 (288,998)

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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: 31 May 2017
Monash University, University of Edinburgh Business School, Lecturer of Accounting & Finance and Loughborough University - Business School
Downloads 68 (328,577)

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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
Paul Docherty and Stephen Andrew Easton
Monash University and University of Newcastle
Downloads 58 (356,190)

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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 50 (381,271)

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

13.

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 27 (473,469)

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

14.

State-Varying Illiquidity Risk in Sovereign Bond Spreads

2016 Financial Markets and Corporate Governance
Number of pages: 36 Posted: 12 Jan 2016
Paul Docherty and Steve Easton
Monash University and University of Newcastle (Australia) - Newcastle Business School
Downloads 25 (484,102)

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Illiquidity risk, yield spreads, sovereign debt, volatility

15.

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

Number of pages: 45 Posted: 07 Jun 2019
Nader Mahmoudi, Paul Docherty and Adrian Melia
University of Newcastle (Australia), Monash University and University of Newcastle (Australia)
Downloads 11 (570,589)

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Firm-Level Investor Sentiment; Market-Level Investor Sentiment, Stocktwits, Mergers and Acquisitions, Return Reversals, Limits to Arbitrage

16.

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 (625,656)
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Size, Value, Risk, Liquidity

17.

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 (638,107)
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Investment, Profitability, Asset pricing model, Factor model

18.

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 (638,107)
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19.

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 (656,222)
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Net share issuance, Dividend imputation, Anomalies, Fama–French model

20.

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 (656,222)
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Asset pricing, Momentum, Style investing, Fama–French model

21.

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

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asset sales, Australian governments, privatisation