David Johnstone

University of Sydney Business School

Instute of Transport and Logistics Studies (C37)

The University of Sydney

Sydney, NSW 2133

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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Top 22,935

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10

CROSSREF CITATIONS

28

Scholarly Papers (13)

1.

A Faster Estimation Method for the Probability of Informed Trading Using Hierarchical Agglomerative Clustering

Forthcoming in Quantitative Finance
Number of pages: 33 Posted: 05 Dec 2013 Last Revised: 17 Feb 2015
Quan Gan, Wang Chun Wei and David Johnstone
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
Downloads 321 (102,989)
Citation 1

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PIN, CPIN, Market microstructure, Cluster analysis, Mixture model, Skellam distribution

2.

The Effect of Information on Uncertainty and the Cost of Capital

Number of pages: 52 Posted: 02 Aug 2014 Last Revised: 29 Jul 2015
David Johnstone
University of Sydney Business School
Downloads 257 (130,480)
Citation 5

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Accounting information, cost of capital, CAPM, information uncertainty

3.

A Bayesian Understanding of Information Uncertainty and the Cost of Capital

Number of pages: 36 Posted: 12 Mar 2013
David Johnstone
University of Sydney Business School
Downloads 240 (139,719)

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Information uncertainty, information risk, cost of capital, accounting information, log CAPM

Does the Probability of Informed Trading Model Fit Empirical Data?

Number of pages: 43 Posted: 24 Oct 2014 Last Revised: 07 Aug 2015
Quan Gan, Wang Chun Wei and David Johnstone
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
Downloads 178 (184,572)

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PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness-of-fit test

Does the Probability of Informed Trading Model Fit Empirical Data?

Financial Review, Vol. 52, Issue 1, pp. 5-35, 2017
Number of pages: 31 Posted: 15 Jan 2017
Quan Gan, Wang Chun Wei and David Johnstone
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
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PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness‐of‐fit test

5.

Information, Uncertainty and the Cost of Capitalin a Mean-Variance Efficient Market

Journal of Business Finance and Accounting, Forthcoming
Number of pages: 19 Posted: 21 Feb 2013 Last Revised: 15 Jan 2015
David Johnstone
University of Sydney Business School
Downloads 122 (251,177)
Citation 2

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Information, uncertainty, efficient markets, risk premium, financial disclosure, accounting information, cost of capital

6.

Is Information Uncertainty Diversifiable? A Short Bayesian Answer

Number of pages: 50 Posted: 05 Jul 2015 Last Revised: 13 Jul 2015
David Johnstone
University of Sydney Business School
Downloads 97 (294,696)
Citation 2

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information uncertainty, cost of capital, Bayesian portfolio theory, CAPM

When Are Investment Projects in the Same Risk Class?

Accounting and Finance, Forthcoming
Number of pages: 11 Posted: 23 Jul 2015 Last Revised: 29 Jul 2015
David Johnstone
University of Sydney Business School
Downloads 94 (302,959)

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CAPM, cost of capital, cash flow beta

When are Investment Projects in the Same Risk Class?

Accounting & Finance, Vol. 57, Issue 2, pp. 499-510, 2017
Number of pages: 12 Posted: 03 Jun 2017
David Johnstone
University of Sydney Business School
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CAPM, Capital budgeting, Cost of capital, Beta, Cash flow beta, Twin security

8.

Priced Firm-Specific Risk and Accounting Information

Number of pages: 17 Posted: 01 Nov 2017
David Johnstone
University of Sydney Business School
Downloads 71 (355,623)

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accounting information, cost of capital, CAPM

9.

Mean-Variance and Expected Utility: The Borch Paradox

Statistical Science 2013, Forthcoming
Number of pages: 27 Posted: 25 Feb 2013 Last Revised: 11 Mar 2013
David Johnstone and Dennis Lindley
University of Sydney Business School and Independent
Downloads 65 (372,691)
Citation 1

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Mean-variance, expected utility, Borch's paradox, probability mixture, portfolio theory, CAPM

10.

Anonymity, Stealth Trading, and the Information Content of Broker Identity

Financial Review, Vol. 45, Issue 3, pp. 501-522, August 2010
Number of pages: 22 Posted: 13 Jul 2010
Alex Frino, David Johnstone and Hui Zheng
The University of Sydney - Discipline of Finance, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 4 (677,821)
Citation 3
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11.

Predicting Corporate Bankruptcy: An Evaluation of Alternative Statistical Frameworks

Journal of Business Finance & Accounting, Vol. 44, Issue 1-2, pp. 3-34, 2017
Number of pages: 32 Posted: 27 May 2020
Stewart Jones, David Johnstone and Roy Wilson
University of Sydney Business School, University of Sydney Business School and University of New South Wales (UNSW) - Australian Centre for Commercial Mathematics (ACCM)
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corporate bankruptcy prediction, binary classifiers, statistical learning

12.

Capacity Planning Under Uncertainty and the Cost of Capital

Journal of Management Accounting Research, Forthcoming
Posted: 17 Jul 2017
David Johnstone and Alfred Wagenhofer
University of Sydney Business School and University of Graz

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Capital Budgeting, Pricing, Cost of Capital, Capacity Planning

13.

Information and the Cost of Capital in a Mean‐Variance Efficient Market

Journal of Business Finance & Accounting, Vol. 42, Issue 1-2, pp. 79-100, 2015
Number of pages: 22 Posted: 26 Feb 2015
David Johnstone
University of Sydney Business School
Downloads 0 (726,457)
Citation 2
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information, uncertainty, cost of capital, efficient markets, value relevance