Federico Nardari

University of Melbourne - Department of Finance

Professor of Finance

Faculty of Economics and Commerce

Parkville, Victoria 3010 3010

Australia

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 3,963

SSRN RANKINGS

Top 3,963

in Total Papers Downloads

9,740

CITATIONS
Rank 4,630

SSRN RANKINGS

Top 4,630

in Total Papers Citations

118

Scholarly Papers (17)

1.

Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form Efficiency

EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper
Number of pages: 71 Posted: 24 Jan 2007 Last Revised: 05 Mar 2015
John M. Griffin, Patrick J. Kelly and Federico Nardari
University of Texas at Austin - Department of Finance, University of Melbourne - Department of Finance and University of Melbourne - Department of Finance
Downloads 2,554 (4,683)
Citation 14

Abstract:

Loading...

market efficiency, information efficiency, synchronicity, international finance, earnings announcements, emerging markets

2.

Investor Behavior in the Mutual Fund Industry: Evidence from Gross Flows

Number of pages: 57 Posted: 28 Feb 2007
Marquette University, Securities and Exchange Commission (SEC), University of Melbourne - Department of Finance and University of Texas at Arlington - Department of Finance and Real Estate
Downloads 1,437 (12,201)
Citation 15

Abstract:

Loading...

Mutual Funds, Performance-flow Relation, Mutual Fund Flows

3.

Time-Varying Short-Horizon Return Predictability

Journal of Financial Economics (JFE), Vol. 99, No. 3, 2011, AFA 2008 New Orleans Meetings Paper, EFA 2008 Athens Meetings Paper
Number of pages: 45 Posted: 06 Mar 2008 Last Revised: 31 Jan 2011
Sam James Henkel, J. Spencer Martin and Federico Nardari
affiliation not provided to SSRN, University of Melbourne - Faculty of Business and Economics and University of Melbourne - Department of Finance
Downloads 994 (21,479)
Citation 103

Abstract:

Loading...

Stock Return Predictability, Asset Pricing, Business Fluctuations, Financial Markets and the Macro economy

4.

Why Does Stock Market Volatility Change Over Time? A Time-Varying Variance Decomposition for Stock Returns

EFA 2005 Moscow Meetings
Number of pages: 56 Posted: 06 Mar 2005
John T. Scruggs and Federico Nardari
Allianz Global Investors and University of Melbourne - Department of Finance
Downloads 855 (26,744)
Citation 1

Abstract:

Loading...

Variance decomposition, return predictability, vector autoregression, multivariate stochastic volatility, Markov chain Monte Carlo, Gibbs sampling

Investors Do Respond to Poor Mutual Fund Performance: Evidence from Inflows and Outflows

Number of pages: 38 Posted: 16 Nov 2006
Marquette University, Securities and Exchange Commission (SEC), University of Melbourne - Department of Finance and University of Texas at Arlington - Department of Finance and Real Estate
Downloads 633 (39,681)
Citation 3

Abstract:

Loading...

Mutual Funds, Performance-Flow Relation, Mutual Fund Flows

Investors Do Respond to Poor Mutual Fund Performance: Evidence from Inflows and Outflows

Financial Review, Vol. 47, Issue 4, pp. 719-739, 2012
Number of pages: 21 Posted: 15 Sep 2012
Marquette University, Securities and Exchange Commission (SEC), University of Melbourne - Department of Finance and University of Texas at Arlington - Department of Finance and Real Estate
Downloads 1 (675,099)
Citation 3
  • Add to Cart

Abstract:

Loading...

mutual funds, performance flow relation, mutual fund flows

6.

Analysis of Linear Factor Models with Multivariate Stochastic Volatility for Stock and Bond Returns

EFA 2003 Annual Conference Paper No. 668
Number of pages: 46 Posted: 18 Jul 2003
John T. Scruggs and Federico Nardari
Allianz Global Investors and University of Melbourne - Department of Finance
Downloads 510 (53,290)

Abstract:

Loading...

Arbitrage Pricing Theory, Factor Model, Multivariate Stochastic Volatility, Markov chain Monte Carlo, Gibbs sampling

7.

Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries

EFA 2004 Maastricht Meetings Paper No. 5211; Dice Center Working Paper No. 2004-13
Number of pages: 49 Posted: 22 Jul 2004
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance
Downloads 476 (58,152)
Citation 72

Abstract:

Loading...

8.

Do Model and Benchmark Specification Error Affect Inference in Measuring Mutual Fund Performance?

Number of pages: 66 Posted: 08 Dec 2004
Naveen D. Daniel, Jeffrey L. Coles and Federico Nardari
Drexel University - Department of Finance, University of Utah - Department of Finance and University of Melbourne - Department of Finance
Downloads 465 (59,847)

Abstract:

Loading...

Mutual funds, performance evaluation, selectivity, market timing, specification errors

9.

Understanding the Non-Linear Relation between Mutual Fund Performance and Flows

Number of pages: 45 Posted: 20 Mar 2008
Marquette University, Securities and Exchange Commission (SEC), University of Melbourne - Department of Finance and University of Texas at Arlington - Department of Finance and Real Estate
Downloads 447 (62,792)
Citation 4

Abstract:

Loading...

Mutual Funds, Performance-Flow Relation, Mutual Fund Flows

10.

Does the Choice of Model or Benchmark Affect Inference in Measuring Mutual Fund Performance?

EFA 2006 Zurich Meetings
Number of pages: 57 Posted: 16 Mar 2006
Jeffrey L. Coles, Naveen D. Daniel and Federico Nardari
University of Utah - Department of Finance, Drexel University - Department of Finance and University of Melbourne - Department of Finance
Downloads 415 (68,670)
Citation 12

Abstract:

Loading...

Mutual Funds Performance, Market Timing, Model Misspecification, Bootstrap

11.

Bayesian Analysis of Linear Factor Models with Latent Factors, Multivariate Stochastic Volatility, and Apt Pricing Restrictions

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 55 Posted: 08 May 2006
John T. Scruggs and Federico Nardari
Allianz Global Investors and University of Melbourne - Department of Finance
Downloads 387 (74,625)
Citation 6

Abstract:

Loading...

Arbitrage Pricing Theory, Latent Factors, Multivariate Stochastic Volatility, Markov Chain Monte Carlo

12.
Downloads 314 ( 94,674)
Citation 25

Daily Cross-Border Equity Flows: Pushed or Pulled?

Dice Working Paper No. 2002-6; AFA 2003 Washington, DC Meetings
Number of pages: 59 Posted: 08 Mar 2002
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance
Downloads 286 (104,241)

Abstract:

Loading...

Daily Cross-Border Equity Flows: Pushed or Pulled?

NBER Working Paper No. w9000
Number of pages: 59 Posted: 13 Jun 2002 Last Revised: 27 Oct 2010
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance
Downloads 28 (483,888)
Citation 70

Abstract:

Loading...

Are Daily Cross-Border Equity Flows Pushed or Pulled?

EFA 2003 Annual Conference Paper No. 893
Number of pages: 60 Posted: 21 Jul 2003
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance
Downloads 152 (191,299)

Abstract:

Loading...

Are Daily Cross-Border Equity Flows Pushed or Pulled?

Review of Economics and Statistics, Forthcoming
Posted: 27 Dec 2011
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance

Abstract:

Loading...

14.

Stock Market Trading and Market Conditions

NBER Working Paper No. w10719
Number of pages: 50 Posted: 17 Sep 2004
John M. Griffin, René M. Stulz and Federico Nardari
University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Melbourne - Department of Finance
Downloads 82 (296,818)
Citation 2

Abstract:

Loading...

15.

Parcel Size and Land Value: A Comparison of Approaches

Journal of Real Estate Research, Vol. 37, No. 2, 2015
Number of pages: 41 Posted: 29 Mar 2017
Arizona State University (ASU), University of Miami - School of Business Administration - Department of Economics, University of Melbourne - Department of Finance and Arizona State University
Downloads 18 (526,478)

Abstract:

Loading...

16.

Markov Chain Monte Carlo Methods for Generalized Stochastic Volatility Models

Posted: 28 Dec 2000
Siddhartha Chib, Neil Shephard and Federico Nardari
Washington University in St. Louis - John M. Olin Business School, Harvard University and University of Melbourne - Department of Finance

Abstract:

Loading...

Bayes factor, Markov chain monte carlo, marginal likelihood, mixture models, particle filters, simulation based inference, stochastic volatility

17.

Analysis of High Dimensional Multivariate Stochastic Volatility Models

Washington University, Olin Working Paper No. 98-11
Posted: 18 Aug 1999
Siddhartha Chib, Federico Nardari and Neil Shephard
Washington University in St. Louis - John M. Olin Business School, University of Melbourne - Department of Finance and Harvard University

Abstract:

Loading...