Patricia Fraser

Curtin University of Technology - Curtin Business School - Bentley Campus

Professor

GPO Box U1987

Perth WA 6845

Australia

University of Aberdeen - Business School

Professor

Edward Wright Building

Dunbar Street

Aberdeen, Scotland AB24 3QY

United Kingdom

SCHOLARLY PAPERS

17

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CITATIONS
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41

Scholarly Papers (17)

1.

Us Stock Prices and Macroeconomic Fundamentals

Aberdeen Papers in Accountancy, Finance & Management Working Paper No. 01-3
Number of pages: 43 Posted: 26 Feb 2001
Angela J. Black, Patricia Fraser and Nicolaas Groenewold
University of Aberdeen - Business School, Curtin University of Technology - Curtin Business School - Bentley Campus and The University of Western Australia - Department of Economics
Downloads 743 (32,436)
Citation 5

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Stock valuation, underpricing, growth stocks, VAR, fundamental analysis

2.

Efficient Portfolio Diversification: Changing UK Stock Market Sector and Sub-Sector Volatilities, 1967-2000

Aberdeen Papers in Accountancy, Finance & Management, Working Paper No. 01-6
Number of pages: 45 Posted: 28 Jul 2001
Angela J. Black, Roger Buckland and Patricia Fraser
University of Aberdeen - Business School, University of Aberdeen - Business School and Curtin University of Technology - Curtin Business School - Bentley Campus
Downloads 514 (52,734)
Citation 6

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Efficient portfolio diversification, sector funds, market risk, sector and sub-sector risk

3.

Are Stock Prices Too Volatile and Returns Too High? A Reassessment of the Empirical Evidence Using a Dynamic Version of the CAPM

Aberdeen Papers in Accountancy, Finance and Management Working Paper No. 00-11
Number of pages: 33 Posted: 12 Feb 2001
Patricia Fraser and Angela J. Black
Curtin University of Technology - Curtin Business School - Bentley Campus and University of Aberdeen - Business School
Downloads 505 (53,926)
Citation 3

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Expectations, investor behaviour, rational expectations, efficient markets, dynamic CAPM

4.

Risk and Returns Sensitivity in UK Electricity Utilities, 1990-1999

Aberdeen Papers in Accountancy, Finance & Management No. 00-1
Number of pages: 32 Posted: 16 Nov 2000
Roger Buckland and Patricia Fraser
University of Aberdeen - Business School and Curtin University of Technology - Curtin Business School - Bentley Campus
Downloads 392 (73,483)
Citation 1

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5.

Abnormal Returns in the UK Water Industry Since Privatisation

Aberdeen Working Paper No. 00-10
Number of pages: 43 Posted: 28 Nov 2000
Roger Buckland and Patricia Fraser
University of Aberdeen - Business School and Curtin University of Technology - Curtin Business School - Bentley Campus
Downloads 368 (79,106)
Citation 5

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6.

Are International Value Premiums Driven by the Same Set of Fundamentals?

Univ. of Aberdeen Acct. & Fin. Working Paper No. 02-04
Number of pages: 22 Posted: 18 Mar 2002
Angela J. Black, Patricia Fraser and David G. McMillan
University of Aberdeen - Business School, Curtin University of Technology - Curtin Business School - Bentley Campus and University of Stirling
Downloads 349 (84,111)
Citation 1

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Long-Run Value Premium, Cointegration, Interest Rates, Variance Decomposition

7.
Downloads 347 ( 84,688)
Citation 4

House Prices and Bubbles in New Zealand

Swiss Finance Institute Research Paper No. 06-20
Number of pages: 41 Posted: 26 Oct 2006
Martin Hoesli, Patricia Fraser and Lynn McAlevey
University of Geneva - Geneva School of Economics and Management (GSEM), Curtin University of Technology - Curtin Business School - Bentley Campus and University of Otago - Department of Accountancy and Finance
Downloads 347 (84,080)
Citation 4

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Real house prices, real disposable income, fundamentals, present value

House Prices and Bubbles in New Zealand

Journal of Real Estate Finance and Economics, Vol. 37, No. 1, 2008
Posted: 04 Nov 2007
Patricia Fraser, Martin Hoesli and Lynn McAlevey
Curtin University of Technology - Curtin Business School - Bentley Campus, University of Geneva - Geneva School of Economics and Management (GSEM) and University of Otago - Department of Accountancy and Finance

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real house prices, real disposable income, fundamentals, present value, time-varying risk, bubbles

8.

How Do U.S. And Japanese Investors Process Information and How Do They Form Their Expectations of the Future? Evidence from Quantitative Survey Based Data

Aberdeen Papers in Accountancy, Finance and Management Working Paper No. 00-14
Number of pages: 25 Posted: 11 Feb 2001
Patricia Fraser
Curtin University of Technology - Curtin Business School - Bentley Campus
Downloads 302 (98,763)
Citation 3

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Expectations, investor behaviour, rational expectations, efficient markets, Kalman Filter

9.

House Prices, Disposable Income and Permanent and Temporary Shocks: The N.Z., U.K. and U.S. Experience

Swiss Finance Institute Research Paper No. 09-42
Number of pages: 46 Posted: 24 Oct 2009 Last Revised: 22 Dec 2010
Patricia Fraser, Martin Hoesli and Lynn McAlevey
Curtin University of Technology - Curtin Business School - Bentley Campus, University of Geneva - Geneva School of Economics and Management (GSEM) and University of Otago - Department of Accountancy and Finance
Downloads 256 (117,701)

Abstract:

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House prices, disposable income, elasticity, permanent shocks, temporary shocks, SVAR approach.

10.

House Prices, Fundamentals and Inflation

Number of pages: 35 Posted: 20 Feb 2005
Angela J. Black, Patricia Fraser and Martin Hoesli
University of Aberdeen - Business School, Curtin University of Technology - Curtin Business School - Bentley Campus and University of Geneva - Geneva School of Economics and Management (GSEM)
Downloads 210 (143,155)

Abstract:

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House prices, fundamentals, inflation, monetary policy

11.

House Prices, Non-Fundamental Components and Interstate Spillovers: The Australian Experience

22nd Australasian Finance and Banking Conference 2009
Number of pages: 52 Posted: 24 Aug 2009 Last Revised: 15 Sep 2010
Greg Costello, Patricia Fraser and Nicolaas Groenewold
Curtin University - Centre for Research in Applied Economics, Curtin University of Technology - Curtin Business School - Bentley Campus and The University of Western Australia - Department of Economics
Downloads 92 (276,237)
Citation 10

Abstract:

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house prices, present value model, house price fundamentals, house price-income ratio, VAR/VEC modelling

12.

The Impact of Monetary Policy on Australian Capital City House Prices: The Case of Australia

26th Australasian Finance and Banking Conference 2013
Number of pages: 32 Posted: 15 Aug 2013
Greg Costello, Patricia Fraser and Garry MacDonald
Curtin University - Centre for Research in Applied Economics, Curtin University of Technology - Curtin Business School - Bentley Campus and Curtin University - School of Economics and Finance
Downloads 60 (351,994)
Citation 1

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housing, house prices, monetary policy, VAR modelling

13.

Commodity Prices: How Important are Real and Nominal Shocks?

CRAE Research Paper No. 200901
Number of pages: 24 Posted: 26 Nov 2010
Harry Bloch, Patricia Fraser and Garry MacDonald
Curtin University of Technology - Curtin Business School - School of Economics and Finance, Curtin University of Technology - Curtin Business School - Bentley Campus and Curtin University - School of Economics and Finance
Downloads 43 (407,657)

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commodity prices, shocks, industrial production, business cycle

14.

House Prices, Fundamentals and Bubbles

Journal of Business Finance & Accounting, Vol. 33, No. 9-10, pp. 1535-1555, November/December 2006
Number of pages: 21 Posted: 07 Dec 2006
Angela J. Black, Patricia Fraser and Martin Hoesli
University of Aberdeen - Business School, Curtin University of Technology - Curtin Business School - Bentley Campus and University of Geneva - Geneva School of Economics and Management (GSEM)
Downloads 20 (514,680)
Citation 14
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15.

Us, UK and European Stock Market Integration

Journal of Business Finance & Accounting, Vol. 32, No. 1-2, pp. 161-181, January 2005
Number of pages: 23 Posted: 06 Feb 2005
Patricia Fraser and Oluwatobi Oyefeso
Curtin University of Technology - Curtin Business School - Bentley Campus and University of the West of England (UWE) - School of Accounting and Finance
Downloads 14 (549,638)
Citation 10
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16.

International Comparisons on Stock Market Short-Termism: How Different is the UK Experience?

Manchester School, Vol. 68, No. 5
Posted: 30 Nov 2000
Angela J. Black and Patricia Fraser
University of Aberdeen - Business School and Curtin University of Technology - Curtin Business School - Bentley Campus

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17.

Time-Varying Betas and Cross-Sectional Return-Risk Relation: Evidence from the UK

Posted: 14 Jul 2000
Curtin University of Technology - Curtin Business School - Bentley Campus, Lombard Odier Asset Management (SA), University of Geneva - Geneva School of Economics and Management (GSEM) and University of Aberdeen - Centre for Property Research

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