Daniel Chai

Monash University

23 Innovation Walk

Wellington Road

Clayton, Victoria 3800

Australia

SCHOLARLY PAPERS

5

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1,041

SSRN CITATIONS
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Top 25,717

in Total Papers Citations

33

CROSSREF CITATIONS

4

Scholarly Papers (5)

A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia

2015 Financial Markets & Corporate Governance Conference
Number of pages: 33 Posted: 30 Jan 2015
Mardy Chiah, Daniel Chai and Angel Zhong
Swinburne University of Technology, Monash University and RMIT University - School of Economics, Finance and Marketing
Downloads 500 (70,857)
Citation 7

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Size; Book-to-market; Asset pricing; Fama-French model; Australian evidence

A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia

Number of pages: 34 Posted: 07 Jan 2015 Last Revised: 09 Mar 2015
Mardy Chiah, Daniel Chai and Angel Zhong
Swinburne University of Technology, Monash University and RMIT University - School of Economics, Finance and Marketing
Downloads 497 (71,308)
Citation 8

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Size; Book-to-market; Asset pricing; Fama-French model; Australian evidence

A Better Model? An Empirical Investigation of the Fama–French Five‐Factor Model in Australia

International Review of Finance, Vol. 16, Issue 4, pp. 595-638, 2016
Number of pages: 44 Posted: 07 Dec 2016
Mardy Chiah, Daniel Chai, Angel Zhong and Song LI
Swinburne University of Technology, Monash University, RMIT University - School of Economics, Finance and Marketing and Monash Business School
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2.

Down But Not Out: Plenty of Returns Available for Shorted Down Stocks

International Review of Financial Analysis, Vol. 63, Pages 296-306, 2019
Number of pages: 36 Posted: 21 May 2020
Emilios C. Galariotis, Bob Li and Daniel Chai
Audencia Business School, Deakin University - Faculty of Business and Law and Monash University
Downloads 41 (518,986)

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short selling, trading strategy, momentum, anomaly, behaviour

3.

Momentum in Weekly Returns: The Role of Intermediate‐Horizon Past Performance

Accounting & Finance, Vol. 57, pp. 45-68, 2017
Number of pages: 24 Posted: 05 Apr 2017
Monash University, Monash University and Independent
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Momentum, Past returns, Return reversals, Weekly formation

4.

The Australian Asset‐Pricing Debate

Accounting & Finance, Vol. 56, Issue 2, pp. 393-421, 2016
Number of pages: 29 Posted: 03 Jun 2016
Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking, Monash University and Monash University
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Asset‐pricing models, Fama–French–Carhart model, International integration, Momentum, Liquidity

5.

Value-Creation Through Spin-Offs: Australian Evidence

Australian Journal of Management, Vol. 43, No. 3, 2017
Posted: 02 Jun 2020
Daniel Chai, Ziyang Lin and Chris Veld
Monash University, affiliation not provided to SSRN and Monash University

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Bank debt, demergers, industrial focus, information asymmetry, spin-offs