David Michayluk

University of Technology Sydney (UTS) - School of Finance and Economics

Professor

Finance Discipline Group

UTS Business

Sydney, NSW 2007

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

Centre for International Finance and Regulation (CIFR)

Level 7, UNSW CBD Campus

1 O'Connell Street

Sydney, NSW 2000

Australia

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 9,918

SSRN RANKINGS

Top 9,918

in Total Papers Downloads

6,128

SSRN CITATIONS
Rank 22,341

SSRN RANKINGS

Top 22,341

in Total Papers Citations

9

CROSSREF CITATIONS

36

Scholarly Papers (27)

1.

The Active World of Passive Investing

Review of Finance (forthcoming)
Number of pages: 57 Posted: 27 Jul 2018 Last Revised: 15 Jul 2021
Cornell University - Department of Economics, University of Technology Sydney (UTS) - School of Finance and Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Technology Sydney (UTS)
Downloads 1,822 (11,458)
Citation 5

Abstract:

Loading...

exchange-traded fund, ETF, Activeness Index, passive investing, index investing

2.

Price Discovery in Stock and Options Markets

Journal of Financial Markets, Forthcoming
Number of pages: 55 Posted: 15 Aug 2014 Last Revised: 07 Sep 2021
University of Technology Sydney (UTS), University of Technology Sydney (UTS), University of Technology Sydney (UTS) - School of Finance and Economics and Macquarie University
Downloads 1,194 (22,022)
Citation 7

Abstract:

Loading...

price discovery, stock, option, information share, insider trading

The Riskiness of Reits Surrounding the October 1997 Stock Market Decline

Number of pages: 26 Posted: 05 Aug 2003
John L. Glascock, David Michayluk and Karyn Neuhauser
University of Connecticut - School of Business - Center for Real Estate and Urban Economic Studies, University of Technology Sydney (UTS) - School of Finance and Economics and George Washington University - Department of Finance
Downloads 782 (39,550)
Citation 4

Abstract:

Loading...

The Riskiness of Reits Surrounding the October 1997 Stock Market Decline

Posted: 29 Jul 2003
John L. Glascock, David Michayluk and Karyn Neuhauser
University of Connecticut - School of Business - Center for Real Estate and Urban Economic Studies, University of Technology Sydney (UTS) - School of Finance and Economics and George Washington University - Department of Finance

Abstract:

Loading...

4.

Automated Liquidity Provision

Number of pages: 42 Posted: 15 Jul 2010 Last Revised: 20 Jan 2015
Austin Gerig and David Michayluk
U.S. Securities and Exchange Commission and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 481 (75,064)
Citation 5

Abstract:

Loading...

Algorithmic Trading, Automated Trading, High Frequency Trading, Market Making, Specialist, Statistical Arbitrage

5.

How Does Financial Literacy Affect the Savings Decision?

CIFR Paper No. 078/2015
Number of pages: 28 Posted: 01 Oct 2015
Paul Brockman and David Michayluk
Lehigh University - College of Business and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 295 (130,622)

Abstract:

Loading...

Financial literacy; Savings rates

6.

What Triggers People to Save for Retirement?

CIFR Paper No. 092/2016
Number of pages: 53 Posted: 24 Feb 2016
Paul Brockman and David Michayluk
Lehigh University - College of Business and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 238 (162,232)

Abstract:

Loading...

Retirement, retirement drivers, retirement savings

7.

When do informed traders provide liquidity?

Number of pages: 41 Posted: 20 Aug 2013 Last Revised: 24 Jan 2019
Tālis J. Putniņš and David Michayluk
University of Technology Sydney (UTS) and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 215 (178,764)
Citation 1

Abstract:

Loading...

liquidity, price discovery, informed trading, limit order, market order

8.

Intraday REIT Liquidity

Journal of Real Estate Research, Vol. 27, No. 2, 2005
Number of pages: 22 Posted: 26 Dec 2006
Bond University - Faculty of Business, Technology and Sustainable Development, University of Technology Sydney (UTS) - School of Finance and Economics, Bond University - Faculty of Business, Technology and Sustainable Development and The University of Melbourne
Downloads 181 (208,908)

Abstract:

Loading...

REIT, real estate investment trust, transaction cost, liquidity

9.

Information Flows and Systematic Risk

Society for Financial Studies Cavalcade
Number of pages: 39 Posted: 08 Jul 2021
Cornell University - Department of Economics, University of Technology Sydney (UTS) - School of Finance and Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Technology Sydney (UTS) and University of Technology Sydney (UTS)
Downloads 177 (212,995)

Abstract:

Loading...

information flows, asset pricing, return premium, systematic risk

Stock Splits and Bond Yields: Isolating the Signaling Hypothesis

Number of pages: 42 Posted: 24 Aug 2009
David Michayluk and Lucy Zhao
University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS)
Downloads 147 (249,580)

Abstract:

Loading...

stock splits, signaling hypothesis, corporate bonds

Stock Splits and Bond Yields: Isolating the Signaling Hypothesis

Financial Review, Vol. 45, Issue 2, pp. 375-386, May 2010
Number of pages: 12 Posted: 12 Apr 2010
David Michayluk and Ruoyun Zhao
University of Technology Sydney (UTS) - School of Finance and Economics and University of Toronto - Rotman School of Management
Downloads 3 (806,148)
Citation 1
  • Add to Cart

Abstract:

Loading...

11.

The Intraday Price Behavior of Australian Exchange Traded Options and Warrants

Number of pages: 43 Posted: 28 Feb 2007
William J. Bertin, David Michayluk and Laurie Prather
Bond University - Faculty of Business, Technology and Sustainable Development, University of Technology Sydney (UTS) - School of Finance and Economics and Bond University - Faculty of Business, Technology and Sustainable Development
Downloads 133 (269,319)

Abstract:

Loading...

Options and warrants, price discovery, error correction models

12.

Reversing the Lead, or a Series of Unfortunate Events? NYMEX, ICI and Amaranth

Number of pages: 35 Posted: 13 Feb 2009
Paul Kofman, David Michayluk and James T. Moser
The University of Melbourne, University of Technology Sydney (UTS) - School of Finance and Economics and American University - Kogod School of Business
Downloads 115 (299,554)
Citation 2

Abstract:

Loading...

price discovery, trading platforms, natural gas derivatives

13.

The Curious Case of Changes in Trading Dynamics: When Firms Switch from NYSE to NASDAQ

Journal of Financial Markets, Forthcoming
Number of pages: 55 Posted: 01 Aug 2018
Alliance Manchester Business School, University of Technology Sydney (UTS) - School of Finance and Economics and University of AdelaideIPAG Business School
Downloads 95 (340,579)

Abstract:

Loading...

Trading Costs, Volume, Exchange Listing, NYSE, NASDAQ

14.

Continuous Disclosure Requirements and the Investor Distraction Hypothesis

Number of pages: 37 Posted: 22 Feb 2013
Leonardo Fernandez and David Michayluk
University of Technology Sydney (UTS) and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 81 (375,748)

Abstract:

Loading...

distraction, continuous disclosure, underreaction

15.

Can Random Auction Ending Curb Market Manipulation?

Number of pages: 45 Posted: 20 Jun 2019
Yiping Lin, David Michayluk and Mi Zou
Capital Markets CRC Limited (CMCRC), University of Technology Sydney (UTS) - School of Finance and Economics and Nankai University - School of Economics
Downloads 70 (407,944)
Citation 1

Abstract:

Loading...

Market Manipulation, Random Auction Ending, Price Efficiency

A Liquidity Motivated Algorithm for Discerning Trade Direction

Multinational Finance Journal, Vol. 12, No. 1/2, p. 45-66, 2008
Number of pages: 22 Posted: 26 Jun 2015
David Michayluk and Laurie Prather
University of Technology Sydney (UTS) - School of Finance and Economics and Bond University - Faculty of Business, Technology and Sustainable Development
Downloads 62 (440,459)

Abstract:

Loading...

liquidity; trade direction algorithm; TORQ database; order placement

A Liquidity Motivated Algorithm for Discerning Trade Direction

Multinational Finance Journal, Vol. 12, No. 1/2, 2008
Posted: 07 Sep 2008 Last Revised: 09 Sep 2008
David Michayluk and Laurie Prather
University of Technology Sydney (UTS) - School of Finance and Economics and Bond University - Faculty of Business, Technology and Sustainable Development

Abstract:

Loading...

Liquidity, trade direction algorithm, TORQ database, order placement

17.

Asymmetric Volatility, Correlation and Returns Dynamics between the U.S. And U.K. Securitized Real Estate Markets

Real Estate Economics, Vol. 34, No. 1, pp. 109-131, Spring 2006
Number of pages: 23 Posted: 19 Nov 2006
David Michayluk, Patrick J. Wilson and Ralf Zurbruegg
University of Technology Sydney (UTS) - School of Finance and Economics, University of Technology Sydney (UTS) - School of Finance and Economics and University of Adelaide
Downloads 33 (559,972)
  • Add to Cart

Abstract:

Loading...

18.

Dividend Consistency: Rewards, Learning, and Expectations

Journal of Applied Corporate Finance, Vol. 31, Issue 4, pp. 118-128, 2019
Number of pages: 13 Posted: 27 May 2020
David Michayluk, Scott Walker and Karyn Neuhauser
University of Technology Sydney (UTS) - School of Finance and Economics, University of Technology Sydney (UTS) and Lamar University
Downloads 2 (782,175)
  • Add to Cart

Abstract:

Loading...

19.

Are All Dividends Created Equal? Australian Evidence Using Dividend‐Increase Track Records

Accounting & Finance, Vol. 59, Issue 4, pp. 2621-2643, 2019
Number of pages: 23 Posted: 19 Mar 2020
David Michayluk, Karyn Neuhauser and Scott Walker
University of Technology Sydney (UTS) - School of Finance and Economics, Lamar University and University of Technology Sydney (UTS)
Downloads 1 (793,524)
  • Add to Cart

Abstract:

Loading...

Dividend increase, Dividend track record, Abnormal returns, Australia

20.

Is Liquidity Symmetric? A Study of Newly Listed Internet and Technology Stocks

International Review of Finance, Vol. 8, Issue 3-4, pp. 159-178, September/December 2008
Number of pages: 20 Posted: 02 Dec 2008
David Michayluk and Karyn Neuhauser
University of Technology Sydney (UTS) - School of Finance and Economics and affiliation not provided to SSRN
Downloads 1 (793,524)
  • Add to Cart

Abstract:

Loading...

21.

Are Certain Dividend Increases Predictable? The Effect of Repeated Dividend Increases on Market Returns

Journal of Applied Corporate Finance, Vol. 26, Issue 4, pp. 118-126, 2014
Number of pages: 11 Posted: 25 Dec 2014
David Michayluk, Karyn Neuhauser and Scott Walker
University of Technology Sydney (UTS) - School of Finance and Economics, Lamar University and University of Technology Sydney (UTS)
Downloads 0 (810,442)
Citation 1
  • Add to Cart

Abstract:

Loading...

22.

Demand and Supply and Their Relationship to Liquidity: Evidence from the S&P 500 Change to Free Float

Financial Analysts Journal, Vol. 67, No. 1, 2011
Posted: 23 Jan 2011
Bing-Xuan Lin, David Lam and David Michayluk
University of Rhode Island, Perpetual Ltd. and University of Technology Sydney (UTS) - School of Finance and Economics

Abstract:

Loading...

Economics, Market Forces of Supply and Demand, Equity Investments, Portfolio Management, Portfolio Concepts from Capital Market Theory, Efficient Market Hypothesis

23.

What Do Options Have to Do with it? Including Information from the Options Market in the Bid-Ask Spread Decomposition

Asia Pacific Journal of Financial Studies, 2009
Posted: 04 Apr 2009
University of Technology Sydney (UTS) - School of Finance and Economics, Bond University - Faculty of Business, Technology and Sustainable Development, Bond University - Finance and University of New South Wales (UNSW)

Abstract:

Loading...

Bid-ask spread, decomposition, Huang and Stoll

24.

Liquidity Issues Surrounding Neglected Firms

Investment Management and Financial Innovations, Vol. 5, No. 1, pp. 57-65, 2008
Posted: 04 Apr 2009
William J. Bertin, David Michayluk and Laurie Prather
Bond University - Faculty of Business, Technology and Sustainable Development, University of Technology Sydney (UTS) - School of Finance and Economics and Bond University - Faculty of Business, Technology and Sustainable Development

Abstract:

Loading...

neglected firm, market microstructure, earnings announcements, analyst following

25.

Investor Overreation During Market Declines: Evidence from the 1997 Asian Financial Crisis

Posted: 22 Apr 2005
Karyn Neuhauser and David Michayluk
George Washington University - Department of Finance and University of Technology Sydney (UTS) - School of Finance and Economics

Abstract:

Loading...

Overreaction, market crisis

The Rise and Fall of Single-Letter Ticker Symbols

Posted: 24 Mar 2005
David Michayluk
University of Technology Sydney (UTS) - School of Finance and Economics

Abstract:

Loading...

ticker symbol, NYSE, Nasdaq

The Rise and Fall of Single-Letter Ticker Symbols

Business History, Vol. 50, No. 3, pp. 368-385, May 2008
Posted: 27 Sep 2009
David Michayluk
University of Technology Sydney (UTS) - School of Finance and Economics

Abstract:

Loading...

ticker symbols, American big business, New York Stock Exchange

27.

The Day-End Effect on the Paris Bourse

Posted: 11 Mar 2005
Gary C. Sanger and David Michayluk
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and University of Technology Sydney (UTS) - School of Finance and Economics

Abstract:

Loading...

Securities markets, microstructure, Paris Bourse