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

23

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CITATIONS
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Top 15,758

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22

Scholarly Papers (23)

1.

Price Discovery in Stock and Options Markets

Society for Financial Studies (SFS) Cavalcade, 2016
Number of pages: 54 Posted: 15 Aug 2014 Last Revised: 16 Jul 2018
University of Technology Sydney (UTS), University of Technology Sydney (UTS), University of Technology Sydney (UTS) - School of Finance and Economics and University of Sydney Business School
Downloads 995 (21,210)

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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 753 (31,046)
Citation 4

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The Riskiness of Reits Surrounding the October 1997 Stock Market Decline

Journal of Real Estate Finance & Economics, Vol. 28, No. 3
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

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3.

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 426 (65,845)

Abstract:

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

4.

The Active World of Passive Investing

31st Australasian Finance and Banking Conference 2018
Number of pages: 35 Posted: 27 Jul 2018 Last Revised: 04 Sep 2018
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 313 (94,047)

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exchange traded fund, ETF, active share, passive investing, index investing

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 & Economics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 237 (126,001)

Abstract:

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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 & Economics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 183 (160,928)

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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 156 (184,907)

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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 149 (192,172)
Citation 3

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REIT, real estate investment trust, transaction cost, liquidity

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 137 (206,253)
Citation 1

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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 (640,372)
Citation 1
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10.

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 126 (219,646)

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Options and warrants, price discovery, error correction models

11.

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 108 (245,934)
Citation 1

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price discovery, trading platforms, natural gas derivatives

12.

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 75 (309,800)

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distraction, continuous disclosure, underreaction

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 54 (372,685)

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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:

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Liquidity, trade direction algorithm, TORQ database, order placement

14.

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
Viet Anh Dang, David Michayluk and Thu Phuong Pham
Alliance Manchester Business School, University of Technology Sydney (UTS) - School of Finance and Economics and University of Adelaide
Downloads 37 (426,746)

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Trading Costs, Volume, Exchange Listing, NYSE, NASDAQ

15.

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 (443,195)
Citation 12
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16.

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 (633,216)
Citation 1
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17.

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 (650,650)
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18.

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:

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

19.

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:

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Bid-ask spread, decomposition, Huang and Stoll

20.

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:

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neglected firm, market microstructure, earnings announcements, analyst following

21.

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

Journal of Financial Research, Forthcoming
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

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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:

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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:

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ticker symbols, American big business, New York Stock Exchange

23.

The Day-End Effect on the Paris Bourse

Journal of Financial Research, Forthcoming
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:

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Securities markets, microstructure, Paris Bourse