Robert W. Faff

University of Queensland

Professor of Finance

St Lucia

Brisbane, Queensland 4072

Australia

SCHOLARLY PAPERS

149

DOWNLOADS
Rank 387

SSRN RANKINGS

Top 387

in Total Papers Downloads

37,918

CITATIONS
Rank 3,351

SSRN RANKINGS

Top 3,351

in Total Papers Citations

163

Scholarly Papers (149)

1.

Pitching Research®

Number of pages: 35 Posted: 04 Jul 2014 Last Revised: 17 Aug 2017
Robert W. Faff
University of Queensland
Downloads 4,488 (277)

Abstract:

new research ideas; pitching; template; research proposal; novice researcher advice; supervisor advice; research mentor advice; PhD coordinator advice

2.

Forecasting Stock Market Volatility: Evidence From Fourteen Countries

U of Edinburgh, Center for Financial Markets Research Working Paper No. 02.04; EFMA 2003 Helsinki Meetings
Number of pages: 29 Posted: 03 Dec 2002
Ercan Balaban, Asli Bayar and Robert W. Faff
University of Aberdeen, Cankaya University - Department of Management and University of Queensland
Downloads 1,469 (8,552)
Citation 7

Abstract:

Does Board Structure in Banks Really Affect Their Performance?

Journal of Banking and Finance, Forthcoming
Number of pages: 39 Posted: 05 Jan 2012 Last Revised: 28 Dec 2012
Shams Pathan and Robert W. Faff
University of Queensland - Business School and University of Queensland
Downloads 962 (18,071)
Citation 3

Abstract:

Board Structure, Board Independence, Gender Diversity, Bank Holding Companies, Endogeneity, System GMM, Sarbanes-Oxley Act; Crisis; Market Power

Does Board Structure in Banks Really Affect Their Performance?

Journal of Banking and Finance, Forthcoming
Number of pages: 39 Posted: 27 Jul 2011 Last Revised: 26 Dec 2012
Shams Pathan and Robert W. Faff
University of Queensland - Business School and University of Queensland
Downloads 275 (91,698)
Citation 3

Abstract:

Board Structure, Board Size, Board Independence, Gender Diversity, Bank Holding Companies, Endogeneity, System GMM, Sarbanes-Oxley Act

Cointegration and Relative Value Arbitrage

29th Australasian Finance and Banking Conference 2016
Number of pages: 44 Posted: 22 Aug 2016 Last Revised: 21 Sep 2016
Binh Huu Do and Robert W. Faff
Monash University and University of Queensland
Downloads 635 (32,924)

Abstract:

Relative Value Arbitrage, Convergence Trading, Statistical Arbitrage, Pairs Trading, Cointegration, Law of One Price

Cointegration and Relative Value Arbitrage

Number of pages: 42 Posted: 29 May 2016 Last Revised: 19 Aug 2016
Binh Huu Do and Robert W. Faff
Monash University and University of Queensland
Downloads 409 (57,984)

Abstract:

Relative value arbitrage, convergence trading, statistical arbitrage, pairs trading, cointegration, Law of One Price

5.

Are Pairs Trading Profits Robust to Trading Costs?

Number of pages: 37 Posted: 11 Nov 2010 Last Revised: 02 Oct 2012
Binh Huu Do and Robert W. Faff
Monash University and University of Queensland
Downloads 720 (20,763)
Citation 2

Abstract:

pairs trading, law of one price, trading costs, short-term reversal, contrarian strategies

6.

The National Market Impact of Sovereign Rating Changes

University of Strathclyde, Department of Accounting & Finance Working Paper
Number of pages: 30 Posted: 05 Mar 2002
University of Queensland, Monash University, Glasgow Caledonian University and University of Strathclyde - Department of Accounting and Finance
Downloads 693 (24,972)
Citation 28

Abstract:

Sovereign Rating Changes, Event Study, Country Beta Risk

Financial Constraints and Dividend Policy

Number of pages: 33 Posted: 29 Jun 2013 Last Revised: 21 Aug 2014
University of Queensland - Business School, University of Queensland, Oviedo University - School of Economics and Business and Independent
Downloads 658 (31,275)

Abstract:

Dividends, Financial constraints, Seasoned equity issues

Financial Constraints and Dividend Policy

Australian Journal of Management, Vol. 41, No. 3, 2016
Posted: 30 Jul 2016
University of Queensland, Oviedo University - School of Economics and Business, Independent and University of Queensland - Business School

Abstract:

Dividends, financial constraints, seasoned equity issues

8.

The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods

Rad, Hossein, Low, Rand Kwong Yew and Faff, Robert W., The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods, Quantitative Finance, DOI: org/10.1080/14697688.2016.1164337
Number of pages: 35 Posted: 05 Jun 2015 Last Revised: 19 May 2016
Hossein Rad, Rand Kwong Yew Low and Robert W. Faff
University of Queensland, Business School, Students, University of Queensland Business School and University of Queensland
Downloads 640 (5,936)

Abstract:

pairs trading, copula, cointegration, quantitative strategies, statistical arbitrage

9.

Fund Size, Transaction Costs and Performance: Size Matters!

Number of pages: 32 Posted: 06 Apr 2005 Last Revised: 24 Nov 2008
H. Chan, Robert W. Faff, David R. Gallagher and Adrian Looi
University of Melbourne - Department of Finance, University of Queensland, Capital Markets CRC Limited and UNSW Australia Business School, School of Banking and Finance
Downloads 623 (31,479)
Citation 6

Abstract:

Fund size, transaction cost, market impact, fund performance

10.

A Comparative Analysis of the Investment Characteristics of Alternative Gold Assets

Number of pages: 21 Posted: 16 Sep 2011
Tim Pullen, Karen L. Benson and Robert W. Faff
University of Queensland, University of Queensland - Business School and University of Queensland
Downloads 505 (36,129)

Abstract:

Diversifier, Hedging, Safe Haven, Gold Assets, Bullion, Stocks, Funds

11.

Capital Market Integration and Industrial Structure: The Case of Australia, Canada and The United States

EFMA 2000 Athens
Number of pages: 60 Posted: 17 Nov 2000
Usha R. Mittoo and Robert W. Faff
University of Manitoba - Department of Accounting and Finance and University of Queensland
Downloads 498 (43,004)
Citation 4

Abstract:

Integration, segmentation, industrial structure, multi-country study

12.

Asymmetric Covariance, Volatility and the Impact of News

EFMA 2001 Lugano Meetings
Number of pages: 53 Posted: 21 Mar 2001
Warren G. Dean and Robert W. Faff
Monash University - Department of Accounting and University of Queensland
Downloads 484 (45,397)
Citation 2

Abstract:

An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions

EFMA 2004 Basel Meetings Paper
Number of pages: 31 Posted: 18 May 2004
Robert W. Faff, Michael Kremmer and Allan Hodgson
University of Queensland, La Trobe University and University of Queensland - Faculty of Business, Economics and Law
Downloads 450 (51,374)
Citation 2

Abstract:

Interest rate risk, Australian financial sector, Regulatory change, GARCH-M

An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions

Journal of Business Finance & Accounting, Vol. 32, No. 5-6, pp. 1001-1031, June 2005
Number of pages: 18 Posted: 21 Jun 2005
Robert W. Faff, Michael Kremmer and Allan Hodgson
University of Queensland, La Trobe University and University of Queensland - Faculty of Business, Economics and Law
Downloads 33 (397,259)
Citation 2
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Abstract:

Individual Financial Risk Tolerance and the Global Financial Crisis

25th Australasian Finance and Banking Conference 2012
Number of pages: 35 Posted: 25 Jan 2012 Last Revised: 10 Jul 2013
Paul Gerrans, Robert W. Faff and Neil Hartnett
University of Western Australia - UWA Business School, University of Queensland and University of Newcastle
Downloads 464 (49,430)
Citation 2

Abstract:

financial risk tolerance, global financial crisis, investment choice, risk aversion, FinaMetrica

Individual Financial Risk Tolerance and the Global Financial Crisis

Accounting & Finance, Vol. 55, Issue 1, pp. 165-185, 2015
Number of pages: 21 Posted: 11 Mar 2015
Paul Gerrans, Robert W. Faff and Neil Hartnett
University of Western Australia - UWA Business School, University of Queensland and University of Newcastle
Downloads 0
Citation 2
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Abstract:

Financial risk tolerance, Risk attitude, Global financial crisis, FinaMetrica

15.

Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond, Stock and Foreign Exchange Markets

Journal of Multinational Financial Management, Vol. 14, No. 4, pp. 217-232, 2004
Number of pages: 27 Posted: 21 Feb 2005
Suk-Joong Kim, Michael D. McKenzie and Robert W. Faff
The University of Sydney Business School, The University of Sydney - Discipline of Finance and University of Queensland
Downloads 440 (44,398)
Citation 11

Abstract:

Macroeconomic News, Expectations, Financial Markets, GARCH

16.

Foreign Exchange Exposure and Pricing in the Australian Equities Market: A Fama and French Framework

EFMA 2002 London Meetings
Number of pages: 34 Posted: 18 Jun 2002
Amalia Di Iorio and Robert W. Faff
La Trobe Business School and University of Queensland
Downloads 433 (50,507)
Citation 1

Abstract:

Exchange Rate Risk, Australian Stock Market, Fama and French Factors

17.

Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection

Number of pages: 34 Posted: 21 Sep 2004
Jerry T. Parwada and Robert W. Faff
UNSW Australia Business School, School of Banking and Finance and University of Queensland
Downloads 423 (53,535)
Citation 3

Abstract:

Pension plan mandates, fund managers, delegated portfolio management.

18.

The Relationship Between Directors' Independence, Reputation and Management Earnings Forecasts

Number of pages: 36 Posted: 20 Nov 2007 Last Revised: 17 Feb 2008
H. Chan, Robert W. Faff, Paul R. Mather and Alan L. Ramsay
University of Melbourne - Department of Finance, University of Queensland, La Trobe University and Monash University - Department of Accounting
Downloads 405 (54,884)
Citation 2

Abstract:

Management earnings forecasts, corporate governance, director reputation

19.

Modelling Return and Volatility Exposures in Global Stock Markets

University of Strathclyde Accounting & Finance Working Paper
Number of pages: 32 Posted: 05 Mar 2002
Robert W. Faff, Michael D. McKenzie and David Hillier
University of Queensland, The University of Sydney - Discipline of Finance and University of Strathclyde - Department of Accounting and Finance
Downloads 370 (64,136)
Citation 1

Abstract:

Volatility Exposures, Volatility Spillovers, Risk Management, Asymmetric GARCH

20.

Rights Offerings, Takeup, Renounceability, and Underwriting Status

Journal of Financial Economics (JFE), 2008
Number of pages: 40 Posted: 17 Dec 2007 Last Revised: 09 Apr 2008
La Trobe University -Department of Economics and Finance, University of Queensland and University of Birmingham - Department of Accounting and Finance
Downloads 361 (62,595)
Citation 10

Abstract:

Rights offerings, Takeup, Renounceability, Underwriting, Australia

21.

The Corporate Sustainability Discount Puzzle

Number of pages: 25 Posted: 01 Aug 2006
Darren D. Lee and Robert W. Faff
University of Queensland - Business School and University of Queensland
Downloads 356 (65,390)

Abstract:

Corporate Sustainability, Dow Jones Sustainability Index, Cost of Equity Capital, Large Firms, Corporate Sustainability Discount, Portfolio

22.

Financial Constraints, Mispricing and Corporate Investment

Number of pages: 43 Posted: 14 Mar 2008 Last Revised: 18 Mar 2009
The Hong Kong Polytechnic University, University of Queensland, Monash University - Department of Accounting and Finance and Cambridge Judge Business School
Downloads 346 (62,220)

Abstract:

Financial constraints, Mispricing, Corporate Investment, Investment-cash flow sensitivity, Financial Flexibility

23.

Do Bank-Related Hedge Funds Benefit from Bailouts?

Number of pages: 57 Posted: 16 Mar 2011 Last Revised: 16 Mar 2012
Robert W. Faff, Jerry T. Parwada and Eric K. M. Tan
University of Queensland, UNSW Australia Business School, School of Banking and Finance and University of Otago - Department of Accountancy and Finance
Downloads 335 (71,185)
Citation 1

Abstract:

Financial crisis, Hedge funds, Bank bailouts, Financial contagion, Capital adequacy

24.

The Choice of Seasoned Equity Offerings Methods and Long Term Returns

EFA 2009 Bergen Meetings Paper
Number of pages: 55 Posted: 09 Apr 2008 Last Revised: 29 Mar 2010
La Trobe University -Department of Economics and Finance, University of Queensland, University of Birmingham - Department of Accounting and Finance, University of Southern Queensland and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 317 (72,356)
Citation 3

Abstract:

Rights offerings, Private placements, Takeup, Renounceability, Private benefits of control, Book building, UK

25.

On the Linkage between Financial Risk Tolerance and Risk Aversion: Evidence from a Psychometrically-Validated Survey versus an Online Lottery Choice Experiment

Number of pages: 29 Posted: 24 Nov 2006
Robert W. Faff, Daniel Mulino and Daniel Chai
University of Queensland, Monash Business School and Monash University
Downloads 284 (83,948)

Abstract:

Financial Risk Tolerance, Risk Aversion, Psychometric Survey, Online Lottery Choice Experiment

26.

Management of Core Earnings Using Classification Shifting Around Seasoned Equity Offerings

Number of pages: 34 Posted: 16 Sep 2011 Last Revised: 11 Feb 2013
David T.L. Siu and Robert W. Faff
affiliation not provided to SSRN and University of Queensland
Downloads 271 (75,413)

Abstract:

Classification Shifting, Special Items, Seasoned equity offerings

Sentiment Contagion, Corporate Governance, Information and Legal Environments

Number of pages: 49 Posted: 14 Mar 2009
Candie (Yuk Ying), Robert W. Faff and Chuan-Yang Hwang
Massey University, University of Queensland and Nanyang Technological University (NTU)
Downloads 140 (174,666)

Abstract:

Investor Sentiment, Financial Contagion, Information Environment, Legal Environment, Corporate Governance

Sentiment Contagion, Corporate Governance, Information and Legal Environments

Number of pages: 49 Posted: 03 Mar 2009
Candie (Yuk Ying), Robert W. Faff and Chuan-Yang Hwang
Massey University, University of Queensland and Nanyang Technological University (NTU)
Downloads 130 (185,468)

Abstract:

Investor Sentiment, Financial Contagion, Information Environment, Legal Environment, Corporate Governance

28.

Limited Arbitrage and Noise Momentum

Number of pages: 69 Posted: 11 May 2011 Last Revised: 21 Jul 2012
Charlie X. Cai, Robert W. Faff and Yongcheol Shin
University of Liverpool Management School, University of Queensland and Independent
Downloads 269 (82,977)
Citation 1

Abstract:

Limited Arbitrage, Noise Momentum, Futures and Spot Prices, Markov Switching Model

Are Excess Cash Holdings More Valuable to Firms in Times of Crisis? Financial Constraints and Governance Matter

Asian Finance Association (AsianFA) 2014 Conference Paper
Number of pages: 49 Posted: 15 Feb 2014 Last Revised: 17 Mar 2014
Yanhao Chang, Karen L. Benson and Robert W. Faff
University of Queensland, University of Queensland - Business School and University of Queensland
Downloads 198 (128,327)

Abstract:

cash holdings; firm value; financial crisis; financial constraints; corporate governance.

Are Excess Cash Holdings More Valuable to Firms in Times of Crisis? Financial Constraints and Governance Matter

2014 Financial Markets & Corporate Governance Conference
Number of pages: 39 Posted: 01 Jan 2014
Yanhao Chang, Karen L. Benson and Robert W. Faff
University of Queensland, University of Queensland - Business School and University of Queensland
Downloads 47 (345,718)

Abstract:

cash holdings, firm value, financial crisis, financial constraints, corporate governance

30.

Exchange Rate Exposure, Foreign Currency Derivatives and the Introduction of the Euro: French Evidence

Number of pages: 31 Posted: 07 Feb 2004
Hoa Nguyen, Robert W. Faff and Andrew P. Marshall
University of South Australia - School of Commerce, University of Queensland and University of Strathclyde - Strathclyde Business School
Downloads 228 (107,804)
Citation 2

Abstract:

31.

Fund Managers' Institutional Background and the Birth of Investment Management Companies

Number of pages: 48 Posted: 29 Mar 2006
Robert W. Faff, Jerry T. Parwada and Joey Wenling Yang
University of Queensland, UNSW Australia Business School, School of Banking and Finance and University of Western Australia - UWA Business School
Downloads 225 (109,226)

Abstract:

Investment management firms, Fund manager background, Entrepreneurial activities

32.

A Selectivity Corrected Time Varying Beta Estimator

Number of pages: 38 Posted: 23 Feb 2006
Robert D. Brooks, Jonathan Dark, Robert W. Faff and Tim Fry
Monash University, Monash University, University of Queensland and RMIT University - School of Economics, Finance and Marketing
Downloads 216 (112,574)

Abstract:

Time varying betas, GARCH, Censoring, Thin trading, Sample selectivity model

A Contemporary View of Corporate Finance Theory, Empirical Evidence and Practice

Australian Journal of Management, Forthcoming
Number of pages: 34 Posted: 14 Aug 2015 Last Revised: 20 Jan 2016
Robert W. Faff, Stephen Gray and Kelvin Jui Keng Tan
University of Queensland, University of Queensland - Business School and University of Queensland - Business School
Downloads 198 (128,327)
Citation 1

Abstract:

Corporate Finance, Survey, Capital Structure

A Contemporary View of Corporate Finance Theory, Empirical Evidence and Practice

Australian Journal of Management, Vol. 41, No. 4, 2016
Posted: 04 Nov 2016
Robert W. Faff, Stephen Gray and Kelvin Jui Keng Tan
University of Queensland, University of Queensland - Business School and University of Queensland - Business School

Abstract:

Capital structure, corporate finance, survey

34.

Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It?

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 03 May 2013
University of Queensland Business School, The University of Sydney Business School, University of Queensland and University of Queensland
Downloads 197 (79,429)

Abstract:

vine copula, clayton copula, asymmetric dependence, portfolio management, canonical vine, Conditional Value-At-Risk

The Impact of the Announcement of Acquisition of Divested Assets on Buyers’ Wealth - Asset Fit and Disclosure of Funds Used: Evidence from the U.K.

EFMA 2004 Basel Meetings Paper and Multinational Finance Journal, 2008, vol. 12, no. 3/4, pp. 219–240,
Number of pages: 22 Posted: 12 Jun 2004 Last Revised: 10 Jun 2013
La Trobe University -Department of Economics and Finance, University of Queensland, Monash University - Department of Accounting and Monash Business School
Downloads 190 (133,357)

Abstract:

divested asset acquisition, buyers, price reaction, fit and non-fit, fund source

The Impact of the Announcement of Acquisition of Divested Assets on Buyers’ Wealth -- Asset Fit and Disclosure of Funds Used: Evidence from the U.K.

Multinational Finance Journal, Vol. 12, No. 3/4, p. 219-240, 2008
Number of pages: 22 Posted: 26 Jun 2015
La Trobe University -Department of Economics and Finance, University of Queensland, Monash University - Department of Accounting and Monash Business School
Downloads 3 (559,721)
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Abstract:

divested asset acquisition; buyers; price reaction; fit and non-fit; fund source

36.

Yes, One-Day International Cricket ‘In-Play’ Trading Strategies Can Be Profitable!

Number of pages: 39 Posted: 14 Jul 2014
Hugh Norton, Stephen Gray and Robert W. Faff
University of Queensland - Business School, University of Queensland - Business School and University of Queensland
Downloads 183 (81,154)

Abstract:

in-play betting markets, Trading strategies, ODI Cricket, web-scraping, Monte Carlo simulation

37.

Financial Constraints and Stock Returns - Evidence from Australia

Number of pages: 30 Posted: 31 Oct 2008 Last Revised: 20 Feb 2010
H. Chan, Xin (Simba) Chang, Robert W. Faff and George Wong
University of Melbourne - Department of Finance, Cambridge Judge Business School, University of Queensland and The Hong Kong Polytechnic University
Downloads 178 (125,532)

Abstract:

Financial Constraints, Stock Returns, Australian Firms

Liquidity Management around Seasoned Equity Offerings

Number of pages: 39 Posted: 22 Aug 2011 Last Revised: 06 May 2013
David T.L. Siu and Robert W. Faff
affiliation not provided to SSRN and University of Queensland
Downloads 102 (222,682)

Abstract:

liquidity management, seasoned equity offerings, long run performance

Liquidity Management Around Seasoned Equity Offerings

Number of pages: 40 Posted: 16 Mar 2011
David T.L. Siu and Robert W. Faff
affiliation not provided to SSRN and University of Queensland
Downloads 74 (273,854)

Abstract:

Liquidity management, seasoned equity offerings, long run performance, accounting choices

39.

Competitive Valuation Effects of Australian IPOs

International Review of Financial Analysis, Forthcoming
Number of pages: 32 Posted: 17 Aug 2012
Andrew McGilvery, Robert W. Faff and Shams Pathan
affiliation not provided to SSRN, University of Queensland and University of Queensland - Business School
Downloads 175 (141,771)

Abstract:

Initial public offerings, Corporate Governance, Board size, CEO ownership, Abnormal return, Information transfer

40.

Complete Markets, Informed Trading and Equity Option Introductions

EFA 2003 Annual Conference Paper No. 507
Number of pages: 35 Posted: 23 Jul 2003
Robert W. Faff and David Hillier
University of Queensland and University of Strathclyde - Department of Accounting and Finance
Downloads 174 (136,910)
Citation 4

Abstract:

options, complete markets, informed trading, short sales

41.

Business Cycles and Mutual Fund Timing Performance: An Application of Regime Switching and GARCH Modeling

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 29 Posted: 22 Aug 2011 Last Revised: 25 Aug 2011
Judy Qiu, Robert W. Faff and Karen L. Benson
University of Queensland - Business School, University of Queensland and University of Queensland - Business School
Downloads 167 (128,559)

Abstract:

Business cycle, GARCH, Regime-switching, Mutual Funds, Timing

42.

Default Risk, Size and the Business Cycle: Three Decades of Australian Asset Pricing Evidence

Number of pages: 31 Posted: 26 Feb 2008
H. Chan, Robert W. Faff and Paul Kofman
University of Melbourne - Department of Finance, University of Queensland and The University of Melbourne
Downloads 166 (142,493)
Citation 3

Abstract:

Default risk, Business cycle, Conditional Asset pricing, Microcaps

43.

What Drives the Commodity Price Beta of Oil Industry Stocks?

Number of pages: 42 Posted: 16 Sep 2011
Ed Talbot, Tracy Charmaine Artiach and Robert W. Faff
affiliation not provided to SSRN, Queensland University of Technology and University of Queensland
Downloads 164 (115,563)

Abstract:

commodity beta, oil price, oil industry

44.

Rating Alignment, Rating Shopping and Reputation of Credit Rating Agencies: Evidence from the Subprime Crisis

Number of pages: 28 Posted: 21 Apr 2011
Annalisa Croce, Stefano Lugo and Robert W. Faff
Polytechnic University of Milan - Dipartimento di Economia e Produzione, Utrecht University School of Economics and University of Queensland
Downloads 163 (132,183)

Abstract:

credit rating agencies, subprime, conflicts of interest, rating alignment, rating shopping

45.

CEO Overconfidence and Corporate Debt Maturity

Journal of Corporate Finance, Forthcoming
Number of pages: 47 Posted: 18 Aug 2013 Last Revised: 20 Nov 2015
Ronghong Huang, Kelvin Jui Keng Tan and Robert W. Faff
University of Queensland - Business School, University of Queensland - Business School and University of Queensland
Downloads 155 (70,926)

Abstract:

Overconfidence, Debt Maturity, Leverage, Cost of Debt

46.

Noise Momentum Around the World

Number of pages: 38 Posted: 13 Jul 2014
Charlie X. Cai, Robert W. Faff and Yongcheol Shin
University of Liverpool Management School, University of Queensland and University of York (UK) - Department of Economics and Related Studies
Downloads 153 (136,910)

Abstract:

limited arbitrage, noise momentum, initial mispricing correction, futures and spot prices

47.

Decomposing the Effect of Consumer Sentiment News - Evidence from US Stock and Stock Index Futures Markets

Number of pages: 40 Posted: 07 Feb 2011 Last Revised: 10 Feb 2011
The University of Sydney, University of Queensland, University of Queensland - Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 152 (144,654)

Abstract:

Consumer sentiment, behavioural finance, stock market

48.

Rights Offerings, Subscription Period, Shareholder Takeup and Liquidity

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Finance and Corporate Governance Conference 2010 Paper
Number of pages: 44 Posted: 13 Jan 2010 Last Revised: 15 Oct 2010
La Trobe University -Department of Economics and Finance, University of Queensland, University of Birmingham - Department of Accounting and Finance and Victoria University of Wellington - Faculty of Commerce and Administration
Downloads 150 (147,791)
Citation 2

Abstract:

Rights offerings, takeup, subscription period, underwriting, liquidity, Australia

49.

Enhancing Mean-Variance Portfolio Selection by Modeling Distributional Asymmetries

Number of pages: 34 Posted: 03 May 2013 Last Revised: 21 Oct 2015
Rand Kwong Yew Low, Robert W. Faff and Kjersti Aas
University of Queensland Business School, University of Queensland and Norwegian Computing Center
Downloads 145 (104,125)

Abstract:

elliptical copula, asymmetric marginals, mean-variance, portfolio management

50.

Labor Unions and Corporate Financial Leverage: The Bargaining Device versus Crowding-out Hypotheses

Journal of Financial Intermediation, Forthcoming
Number of pages: 54 Posted: 18 Sep 2014 Last Revised: 18 May 2017
University of Queensland, Business School, Students, University of Queensland - Business School and University of Queensland
Downloads 143 (98,188)

Abstract:

Labor Unions, Capital Structure, Bargaining, Operating Leverage, Natural Experiment

Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach

Number of pages: 50 Posted: 04 Mar 2009
Heather M. Anderson, H. Chan, Robert W. Faff and Yew Kee Ho
Monash University - Department of Economics, University of Melbourne - Department of Finance, University of Queensland and National University of Singapore (NUS) - Department of Accounting
Downloads 136 (178,822)

Abstract:

Analyst's forecasts, Reported earnings, Granger causality, Information flows

Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach

Australian Journal of Management, Vol. 37, No. 3, 2012
Posted: 19 Dec 2012
Robert W. Faff, Heather M. Anderson, H. Chan and Yew Kee Ho
University of Queensland, Monash University - Department of Economics, University of Melbourne - Department of Finance and National University of Singapore (NUS) - Department of Accounting

Abstract:

analyst forecasts, granger causality, information flows, reported earnings

52.

Hitting SKEW for SIX

2013 Financial Markets & Corporate Governance Conference, 27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 49 Posted: 19 Dec 2012 Last Revised: 03 Jun 2016
Zhangxin Frank Liu and Robert W. Faff
The University of Western Australia Business School and University of Queensland
Downloads 124 (124,959)

Abstract:

Skewness Index; Risk-Neutral Moments; SKEW; VIX; State-Preference Pricing

53.

Local and Global Sentiment Effects, and the Role of Legal, Information and Trading Environments

Number of pages: 50 Posted: 15 Mar 2012
Candie (Yuk Ying), Robert W. Faff and Chuan-Yang Hwang
Massey University, University of Queensland and Nanyang Technological University (NTU)
Downloads 118 (151,703)

Abstract:

Local Sentiment, Global Sentiment, Contagion, Legal Environment, Trading Environment, Information Environment

54.

The Power of Bad: The Negativity Bias in Consumer Sentiment Announcements on Stock Returns

Number of pages: 35 Posted: 15 Jun 2010
The University of Sydney, University of Queensland, University of Queensland - Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 118 (165,687)
Citation 4

Abstract:

Investor Sentiment, Stock Market Returns, Market Efficiency

Financial Inflexibility and the Value Premium

Number of pages: 35 Posted: 28 Jul 2012
Michael Poulsen, Robert W. Faff and Stephen Gray
University of Queensland - Business School, University of Queensland and University of Queensland - Business School
Downloads 113 (206,668)

Abstract:

Financial flexibility, value premium, fixed assets, leverage, financial constraints

Financial Inflexibility and the Value Premium

International Review of Finance, Vol. 13, Issue 3, pp. 327-344, 2013
Number of pages: 18 Posted: 03 Sep 2013
Michael Poulsen, Robert W. Faff and Stephen Gray
University of Queensland - Business School, University of Queensland and University of Queensland - Business School
Downloads 1 (579,306)
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Abstract:

Return-Based Style Analysis in Australian Funds

Multinational Finance Journal, 2012, vol. 16, no. 3/4, pp. 155-188
Number of pages: 32 Posted: 02 Mar 2013 Last Revised: 13 Nov 2014
University of Queensland, Monash University, BPM Financial Modelling and Deakin University
Downloads 85 (251,596)

Abstract:

Style analysis, managed funds, superannuation funds, fund performance

Return-Based Style Analysis in Australian Funds

Multinational Finance Journal, Vol. 16, No. 3/4, p. 155-188, 2012
Number of pages: 34 Posted: 19 Jun 2015
University of Queensland, Monash University, BPM Financial Modelling and Deakin University
Downloads 27 (425,050)
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Abstract:

Style analysis; managed funds; superannuation funds; fund performance

57.

Daily Herding and Commonality in Liquidity on a Pure Limit Order Book Market

Number of pages: 27 Posted: 26 Aug 2011
ANZ (Australia and New Zealand) Banking Group, Ltd., La Trobe Business School, University of Queensland and ANZ (Australia and New Zealand) Banking Group, Ltd.
Downloads 111 (185,993)

Abstract:

herding, limit order book, commonality in liquidity

58.

Liquidity Risk and Cross-Sectional Earnings-Returns Relation

25th Australasian Finance and Banking Conference 2012
Number of pages: 38 Posted: 16 Aug 2012
Zangina Isshaq and Robert W. Faff
University of Queensland and University of Queensland
Downloads 107 (189,431)

Abstract:

Earnings-returns relation, liquidity risk, moderating effects

59.

Herding Behavior and Rating Convergence among Credit Rating Agencies: Evidence from the Subprime Crisis

Number of pages: 35 Posted: 07 Mar 2014
Stefano Lugo, Annalisa Croce and Robert W. Faff
Utrecht University School of Economics, Polytechnic University of Milan - Dipartimento di Economia e Produzione and University of Queensland
Downloads 102 (151,703)
Citation 1

Abstract:

credit rating agencies, reputation, subprime, herding, financial crisis

60.

Reconciling Estimates of the Speed of Adjustment of Leverage Ratio: Minimum Variance Combined Estimator

FIRN Research Paper
Number of pages: 35 Posted: 24 May 2013
Qing Zhou, Robert W. Faff and Karen Alpert
University of Queensland - Business School, University of Queensland and University of Queensland - Business School
Downloads 92 (212,559)

Abstract:

speed of adjustment, consensus estimator, bias correction

61.

Is There a Banking Risk Premium in the US Stock Market?

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 25 Posted: 18 Jul 2010
Monash University, Monash University - Department of Banking and Finance, University of Western Australia and University of Queensland
Downloads 84 (245,811)
Citation 1

Abstract:

Asset Pricing, Banking Risk Factor, Mimicking Portfolio, Bank Size

Do Sovereign Re-Ratings Destabilize Equity Markets During Financial Crises?: New Evidence From Higher Return Moments

Journal of Business Finance & Accounting, Forthcoming
Number of pages: 34 Posted: 07 Dec 2012 Last Revised: 21 May 2015
Monash University, University of Queensland, University of Western Australia and The University of Sydney - Business School
Downloads 83 (255,424)

Abstract:

sovereign ratings, realized volatility, realized skewness, realized kurtosis, stock market impact

Do Sovereign Re‐Ratings Destabilize Equity Markets During Financial Crises? New Evidence from Higher Return Moments

Journal of Business Finance & Accounting, Vol. 42, Issue 5-6, pp. 777-799, 2015
Number of pages: 23 Posted: 17 Jul 2015
Monash University, University of Queensland, University of Western Australia and The University of Sydney - Business School
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Abstract:

sovereign ratings, realized volatility, realized skewness, realized kurtosis, stock market impact

63.

Factors Affecting the Birth and Fund Flows of Commodity Trading Advisors

Number of pages: 31 Posted: 02 Apr 2010 Last Revised: 12 Sep 2011
Monash University - Department of Accounting, University of Queensland, Monash University - Department of Banking & Finance and T.A. PAI Management Institute, Finance Area
Downloads 82 (237,213)

Abstract:

64.

The Association between Firm Characteristics and the Use of a Comprehensive Corporate Hedging Strategy: An Ordered Probit Analysis

Frontiers in Finance and Economics, Vol. 8, No. 1, pp. 1-16, 2011
Number of pages: 16 Posted: 28 Feb 2012 Last Revised: 31 Jan 2015
Hue Hwa Au Yong, Robert W. Faff and Hoa Nguyen
Monash University - Department of Banking and Finance, University of Queensland and Deakin University - School of Accounting, Economics and Finance
Downloads 81 (235,596)

Abstract:

derivative use, coordinated corporate hedging strategy, ordered

65.

Performance Persistence in Hedge Funds: Australian Evidence

Number of pages: 32 Posted: 11 Mar 2010
Viet Minh Do, Robert W. Faff and Madhu Veeraraghavan
Monash University - Department of Accounting, University of Queensland and T.A. PAI Management Institute, Finance Area
Downloads 80 (247,680)
Citation 1

Abstract:

Persistence, hedge funds, stock selection, market timing

66.

Local and Global Sentiment Effects, and the Role of Legal, Trading and Information Environments

Number of pages: 50 Posted: 02 Apr 2011 Last Revised: 19 Mar 2012
Candie (Yuk Ying), Robert W. Faff and Chuan-Yang Hwang
Massey University, University of Queensland and Nanyang Technological University (NTU)
Downloads 75 (251,313)

Abstract:

Local Sentiment, Global Sentiment, Contagion, Legal Environment, Trading Environment, Information Environment

67.

New Evidence on the Timing, Investment and Liquidity Motivations for Public Equity Offers

Number of pages: 35 Posted: 26 Mar 2012 Last Revised: 11 Feb 2013
David T.L. Siu and Robert W. Faff
affiliation not provided to SSRN and University of Queensland
Downloads 64 (267,035)

Abstract:

Investment financing, Market timing, Corporate liquidity, Security valuation, Seasoned equity offerings, SEO

68.

Are Excess Cash Holdings More Valuable to Firms in Times of Crisis? Financial Constraints and Governance Matters

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 52 Posted: 18 Aug 2014
Yanhao Chang, Karen L. Benson and Robert W. Faff
University of Queensland, University of Queensland - Business School and University of Queensland
Downloads 59 (219,890)

Abstract:

cash holdings; firm value; financial crisis; financial constraints; corporate governance

69.

α

Number of pages: 19 Posted: 13 Jul 2014
Robert W. Faff
University of Queensland
Downloads 58 (255,143)

Abstract:

Alpha; Beta; Empirical asset pricing; Mispricing information; Pricing information

70.

The Equity and Efficiency of the Australian Share Market with Respect to Director Trading

22nd Australasian Finance and Banking Conference 2009
Posted: 29 Jul 2009
Queensland University of Technology - School of Economics and Finance, University of Newcastle and University of Queensland
Downloads 57 (295,883)
Citation 1

Abstract:

Factors Affecting the Birth and Fund Flows of CTAS

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 28 Posted: 03 Oct 2011
Monash University - Department of Accounting, University of Queensland, Monash University - Department of Banking & Finance and T.A. PAI Management Institute, Finance Area
Downloads 52 (330,105)

Abstract:

Commodity trading advisors, fund flows, flow–performance relation, smart money effect

Factors Affecting the Birth and Fund Flows of CTAs

Australian Journal of Management, Vol. 41, No. 2, 2016
Posted: 04 May 2016
Monash University - Department of Accounting, University of Queensland, T.A. PAI Management Institute, Finance Area, Monash Business School and Monash University - Department of Banking & Finance

Abstract:

Commodity trading advisors, flow-performance relation, fund flows, smart money effect

72.

Short-Selling Pressure and Last-Resort Debt Financing: Evidence from 144A High-Yield Risk-Adjusted Debt

Forthcoming in Accounting and Finance
Number of pages: 39 Posted: 19 Aug 2013 Last Revised: 28 Apr 2015
Kelvin Jui Keng Tan, Jia Min Lee and Robert W. Faff
University of Queensland - Business School, University of Queensland - Business School and University of Queensland
Downloads 30 (342,833)

Abstract:

Rule 144A Debt; Convertible Bond Arbitrage; Last-resort Debt Financing; Operational Financing Needs; Market Reaction

73.

Do Corporate Policies Follow a Life-Cycle?

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 26 May 2015 Last Revised: 19 Apr 2016
University of Queensland, Hang Seng Management College, Deakin University and Hong Kong Polytechnic University
Downloads 29 (158,306)

Abstract:

Life-cycle theory; Investment decisions; Financing decisions; Cash policy; Payout policy

74.

Is the Ex-Ante Equity Risk Premium Always Positive? Evidence from a Statistical Learning Method

Number of pages: 43 Posted: 14 Feb 2015 Last Revised: 03 Nov 2016
Khoa T.A. Hoang and Robert W. Faff
University of Queensland - Business School and University of Queensland
Downloads 27 (339,845)

Abstract:

Ex-ante risk premium, conditional asset pricing, boosted regression tree, principal component analysis, multiple conditional inequality constraints

75.

A Further Examination of the Price and Volatility Impact of Stock Dividends at Ex-Dates

Australian Economic Papers, Vol. 44, No. 3, pp. 248-268, September 2005
Number of pages: 21 Posted: 06 Sep 2005
La Trobe University -Department of Economics and Finance, University of Queensland and Monash University - Department of Accounting
Downloads 27 (413,605)
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Abstract:

76.

Relative Bias in Sovereign Credit Risk Spill-over to Domestic Firms

Number of pages: 42 Posted: 02 Sep 2014 Last Revised: 08 Sep 2015
University of Bristol, Monash University and University of Queensland
Downloads 24 (358,963)

Abstract:

Credit risk, sovereign ratings, firm ratings, rating spill-over effects

77.

The Information Content of Australian Managed Fund Ratings

Journal of Business Finance & Accounting, Vol. 34, Issue 9-10, pp. 1528-1547, November/December 2007
Number of pages: 20 Posted: 11 Dec 2007
Robert W. Faff, Jerry T. Parwada and Hun-Lune Poh
University of Queensland, UNSW Australia Business School, School of Banking and Finance and affiliation not provided to SSRN
Downloads 24 (428,337)
Citation 5
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Abstract:

78.

Disciplinary Tools and Bank Risk Exposure

Pacific-Basin Finance Journal 26 (2014) 37–64, Forthcoming,
Number of pages: 28 Posted: 16 Dec 2013
Mamiza Haq, Robert W. Faff, Rama Seth and Sunil Mohanty
University of Queensland - Finance, University of Queensland, Indian Institute of Management (IIM), Kolkata and University of St. Thomas - Opus College of Business
Downloads 23 (376,655)

Abstract:

Bank risk, bank capital, charter value

79.

Firm Size and the Information Content of Annual Earnings Announcements: Australian Evidence

Journal of Business Finance & Accounting, Vol. 32, No. 1-2, pp. 211-253, January 2005
Number of pages: 24 Posted: 06 Feb 2005
H. Chan, Robert W. Faff and Alan L. Ramsay
University of Melbourne - Department of Finance, University of Queensland and Monash University - Department of Accounting
Downloads 19 (454,333)
Citation 5
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Abstract:

80.

Asymmetric Market Reactions of Growth and Value Firms with Management Earnings Forecasts

International Review of Finance, Vol. 6, No. 1-2, pp. 79-97, March/June 2006
Number of pages: 19 Posted: 02 May 2007
H. Chan, Robert W. Faff, Y. K. Ho and Alan L. Ramsay
University of Melbourne - Department of Finance, University of Queensland, National University of Singapore (NUS) - Department of Accounting and Monash University - Department of Accounting
Downloads 18 (454,333)
Citation 2
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Abstract:

81.

Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-Sector Managed Funds

Journal of Business Finance & Accounting, Vol. 31, No. 3-4, pp. 539-578, April 2004
Number of pages: 40 Posted: 04 Jul 2004
Kathryn A. Holmes and Robert W. Faff
Monash University and University of Queensland
Downloads 16 (469,856)
Citation 7
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Abstract:

82.

The Effect of Intervaling on the Foreign Exchange Exposure of Australian Stock Returns

Multinational Finance Journal, Vol. 5, No. 1, p. 1-33, 2001
Number of pages: 33 Posted: 08 Jul 2015
Amalia Di Iorio and Robert W. Faff
La Trobe Business School and University of Queensland
Downloads 8 (469,856)
Citation 7
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Abstract:

Australian stock market; exchange rate risk; intervaling

83.

The Market Impact of Relative Agency Activity in the Sovereign Ratings Market

Journal of Business Finance & Accounting, Vol. 37, No. 9-10, pp. 1309-1347, 2010
Number of pages: 39 Posted: 01 Jan 2011
Paula Hill and Robert W. Faff
affiliation not provided to SSRN and University of Queensland
Downloads 4 (528,920)
Citation 4
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Abstract:

credit rating, rating change, credit watch, information, sovereign

Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective

Financial Review, Vol. 44, Issue 2, pp. 213-237, May 2009
Number of pages: 25 Posted: 16 Jun 2009
Darren D. Lee and Robert W. Faff
University of Queensland - Business School and University of Queensland
Downloads 4 (553,988)
Citation 19
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Abstract:

Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective

The Financial Review, Vol. 44, No. 2, May 2009
Posted: 20 Feb 2009
Darren D. Lee and Robert W. Faff
University of Queensland - Business School and University of Queensland

Abstract:

Sustainability, corporate social performance, corporate financial performance, idiosyncratic risk, global evidence, best of sector

85.

International Evidence on the Determinants of Foreign Exchange Rate Exposure of Multinational Corporations

Journal of International Business Studies, Vol. 36, Issue 5, pp. 539-558, 2005
Number of pages: 20 Posted: 18 Apr 2011
Robert W. Faff
University of Queensland
Downloads 2 (540,850)
Citation 3
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Abstract:

86.

New Insights into Rights Offerings as Signals of Firm Quality: Evidence from Australia

Journal of Applied Corporate Finance, Vol. 21, Issue 3, pp. 80-85, Summer 2009
Number of pages: 6 Posted: 02 Nov 2009
La Trobe University -Department of Economics and Finance, University of Queensland and University of Birmingham - Department of Accounting and Finance
Downloads 2 (540,850)
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Abstract:

87.

Deal or No Deal, that is the Question: The Impact of Increasing Stakes and Framing Effects on Decision-Making Under Risk

International Review of Finance, Vol. 9, Nos. 1-2, pp. 27-50, March/June 2009
Number of pages: 24 Posted: 08 Jun 2009
Monash University, University of Queensland, Monash Business School and Victorian Bar
Downloads 2 (540,850)
Citation 1
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Abstract:

88.

Pitching Research®: A Comprehensive Resource Center Supplement

Number of pages: 44 Posted: 16 Aug 2017
Robert W. Faff
University of Queensland
Downloads 0 (349,221)

Abstract:

pitching resource center; new research ideas; pitching; template; research proposal; novice researcher advice; supervisor advice; research mentor advice; PhD coordinator advice; innovations that inspire

89.

Book of Pitches: UQAPS 2016 Pitching Research Competition Final

Number of pages: 14 Posted: 13 Jul 2017
University of Queensland, Independent, University of Queensland, Students, University of Queensland, Faculty of Engineering, Physical Science and Architecture, School of Architecture, University of Queensland, Students, University of Queensland, Students and University of Queensland, Students
Downloads 0 (485,467)

Abstract:

Pitching Research; New Research Ideas; Pitching; Template; Research Proposal; Novice Researcher; Tourism; Architecture; Human Movement; Education; Telehealth; Bioinformatics

90.

Voluntary Disclosure of Capital Adequacy and Bank Lending

Number of pages: 42 Posted: 22 Jun 2017 Last Revised: 09 Aug 2017
Natalya Zelenyuk, Robert W. Faff and Shams Pathan
University of Queensland, University of Queensland and University of Queensland - Business School
Downloads 0 (418,400)

Abstract:

Asymmetric Information, Bank Lending, Capital Adequacy

91.

How Do Portfolio Weighting Schemes Affect Commodity Futures Risk Premia?

Number of pages: 30 Posted: 04 Jun 2017
University of Queensland, Business School, Students, University of Queensland Business School, Audencia School of Management and University of Queensland
Downloads 0 (69,264)

Abstract:

commodity futures, portfolio optimization, quantitative strategies, investment strategies

92.

Book of Pitches: UQAPS 2015 Pitching Research Competition Final

Book of Pitches: UQAPS 2015 Pitching Research Competition Final, UQ Busness School, 2017
Number of pages: 23 Posted: 18 Apr 2017
University of Queensland, University of Queensland, Business School, Students, University of Queensland, Students, University of Queensland, University of Queensland, Students, University of Queensland, School of Public Health, Independent and University of Queensland
Downloads 0 (480,318)

Abstract:

pitching research; new research ideas; pitching; template; research proposal; novice researcher; tourism; mining engineering; sociology; education; public health; virology; food science

93.

Increasing the Discoverability of Non-English Language Research Papers: A Reverse-Engineering Application of the Pitching Research Template

Number of pages: 57 Posted: 10 Apr 2017 Last Revised: 16 Aug 2017
University of Queensland, University of New South Wales (UNSW), University of Auckland, Griffith University, Griffith Business School, University of Warsaw, University of Queensland, Students, University of Waikato, University of Queensland, Students, Singapore Management University, ESSEC Business School, University of Queensland, Federal University of Paraiba (UFPB), Meiji University, University of Queensland, Students, University of Queensland, Hochschule Liechtenstein - Institute of Financial Services, Graduate School of Economics, Nagoya City University, Heriot-Watt University, University of Queensland, Business School, Students, Universitas Gadjah Mada (UGM), University of Queensland, University of Queensland and University of Queensland - Business School
Downloads 0 (136,223)

Abstract:

pitching research; template; discoverability; non-English language research; Arabic; Chinese; Dutch; French; Greek; Hindi; Indonesian; Japanese; Korean; Lao; Norwegian; Polish; Portuguese; Romanian; Russian; Sinhalese; Spanish; Tamil; Thai; Urdu; Vietnamese; Myanmar; German; Persian Bengali; Filipin

94.

Fantasy Pitching IV: Batman, Donald Duck, Fast Food, Superpowers, Self-Determination

Number of pages: 27 Posted: 25 Mar 2017
University of Queensland, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, University of Queensland, Bond University - Bond Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Student, University of Queensland, Business School, Students, University of Queensland, Business School, Student, University of Queensland, Business School, Students, University of Queensland, Business School, Student and University of Queensland, Business School, Students
Downloads 0 (413,605)

Abstract:

pitching research; fantasy pitching; template; peer-to-peer learning

95.

UQ Summer Research Scholar Program: Insights and Reflections from the Pitching Research 'I-TEMPLATES' Team

Number of pages: 48 Posted: 21 Feb 2017
University of Queensland, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students and University of Queensland, Business School, Students
Downloads 0 (342,833)

Abstract:

pitching research, reverse engineering, pitching, template, peer-to-peer learning, UQ Summer Scholar Program, i-TEMPLATES

96.

The Implied Cost of Capital: Placing Under the Microscope

Number of pages: 37 Posted: 11 Feb 2017
Khoa T.A. Hoang and Robert W. Faff
University of Queensland - Business School and University of Queensland
Downloads 0 (295,883)

Abstract:

Implied cost of capital, measurement error, analyst forecast, discount rate, simulation

97.

Asymmetric Modelling of the Adjustment Speed of Cash Holdings

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 37 Posted: 10 Feb 2017
Yanhao Chang, Karen L. Benson and Robert W. Faff
University of Queensland, University of Queensland - Business School and University of Queensland
Downloads 0 (346,043)

Abstract:

Cash holdings,Cash adjustment speed,Optimal range of cash holdings

98.

Pitching Research Lite: A Reverse-Engineering Strategy for Finding a New Research Direction

Number of pages: 24 Posted: 04 Feb 2017
Bao Hoang Nguyen, Robert W. Faff and Mamiza Haq
University of Queensland, Students, University of Queensland and University of Queensland - Finance
Downloads 0 (260,989)

Abstract:

pitching research; new research ideas; pitching; template; research proposal; novice researcher; reverse-engineering strategy; bank risk exposure

99.

Pitching Research: A Reverse-Engineer 'Sparring' Experiment with UQ Summer Research Scholars

Number of pages: 37 Posted: 29 Jan 2017
University of Queensland, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students and University of Queensland, Business School, Students
Downloads 0 (365,922)

Abstract:

pitching research; reverse engineering; pitching; template; peer-to-peer learning; three-cubed design

100.

Fantasy Pitching III: UQ Summer Research Scholars – The Role of 'Money' in the 21st Century

Number of pages: 29 Posted: 29 Jan 2017
University of Queensland, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students and University of Queensland, Business School, Students
Downloads 0 (212,559)

Abstract:

101.

A ‘Snowballing’ Pedagogic Strategy for Pitching Research: An Illustrative Example in Finance

Number of pages: 20 Posted: 26 Jan 2017
Jie Teng and Robert W. Faff
Fudan University - Department of Finance and University of Queensland
Downloads 0 (325,011)

Abstract:

Pitching Research; Evolving Pitch Series; Research Journey; Snowball Strategy; Innovation; Financial Independence; IPOs; Ownership; External Governance; Internal Governance

102.

Motivating Postgrad Research Students to Pitch Their Ideas: What Have We Learned from 'Pitching Research' Competitions at UQ?

Number of pages: 38 Posted: 21 Jan 2017 Last Revised: 21 Feb 2017
University of Queensland, Independent, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students, University of Queensland, Faculty of Engineering, Physical Science and Architecture, School of Architecture, University of Queensland, Students, University of Queensland, Students, University of Queensland, Business School, Students, University of Queensland, Students, University of Queensland, Business School, Students, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students, University of Queensland, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, The Australian National University, University of Queensland, Students, University of Queensland, Business School, Students and University of Queensland
Downloads 0 (242,293)

Abstract:

pitching research; new research ideas; pitching competition; template; research proposal; novice researcher; research mentor; Pitch Doctor

103.

PoW! Using Social Media to Leverage Research Visibility – ‘Pitch of the Week’ Posts in LinkedIn

Number of pages: 45 Posted: 06 Jan 2017
Robert W. Faff, Janine Lay and Marita Smith
University of Queensland, University of Queensland, Business School, Students and The Australian National University
Downloads 0 (201,747)

Abstract:

Pitching Research; New Research Ideas; Pitching; Template; Research Proposal; Novice Researcher; PitchDoctor; LinkedIn; Twitter; Research Visibility; Social Media; Pitch of the Week; PoW

104.

Learning from 'Pitching Research' Competition Winners: Insights and Reflections

Number of pages: 43 Posted: 30 Dec 2016
Robert W. Faff
University of Queensland
Downloads 0 (284,310)

Abstract:

pitching research; new research ideas; pitching; template; research proposal; novice researcher; research mentor; Pitch Doctor

105.

Short‐Selling Pressure and Last‐Resort Debt Finance: Evidence from 144A High‐Yield Risk‐Adjusted Debt

Accounting & Finance, Vol. 56, Issue 4, pp. 1149-1185, 2016
Number of pages: 37 Posted: 05 Dec 2016
Kelvin Jui Keng Tan, Jia Min Lee and Robert W. Faff
University of Queensland - Business School, University of Queensland - Business School and University of Queensland
Downloads 0 (565,074)
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Abstract:

Convertible bond arbitrage, Last‐resort debt financing, Market reaction, Operational financing needs, Rule 144A debt

106.

Stock Liquidity Risk and the Cross‐Sectional Earnings‐Returns Relationship

Journal of Business Finance & Accounting, Vol. 43, Issue 9-10, pp. 1121-1141, 2016
Number of pages: 21 Posted: 10 Nov 2016
Zangina Isshaq and Robert W. Faff
University of Cape Coast and University of Queensland
Downloads 0 (565,074)
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Abstract:

stock liquidity risk, earnings‐returns relationship

107.

Stock Liquidity Risk and the Cross-Sectional Earnings-Returns Relation

Forthcoming, Journal of Business Finance & Accounting, Volume 43, Issue 9-10.
Number of pages: 34 Posted: 12 Oct 2016
Zangina Isshaq and Robert W. Faff
University of Cape Coast and University of Queensland
Downloads 0 (322,132)

Abstract:

Stock liquidity, Risk, Earnings-Returns relation

108.

Fantasy Pitching II: Star Wars vs. Pokemon vs. R&D vs. Uber

Number of pages: 28 Posted: 22 Aug 2016
University of Queensland, University of Queensland, Bond University, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, James Cook University, Bond University, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students and University of Queensland, Business School, Students
Downloads 0 (195,508)

Abstract:

Pitching Research; Fantasy Pitching; PhD Student Exercise; Research Group-work Exercise; Star Wars; Pokémon Go; R&D; Uber

109.

Pitching Research: A Pilot Experiment with UQ Winter Scholars

Number of pages: 28 Posted: 01 Aug 2016
Robert W. Faff, Ya Li, Bao Hoang Nguyen and Qiaozhi Ye
University of Queensland, University of Queensland, University of Queensland, Students and University of Queensland
Downloads 0 (259,027)

Abstract:

Pitching Research, Undergraduate Research, Research Journey, UQ Winter Scholars

110.

Pitching Research for Engagement and Impact

Number of pages: 32 Posted: 24 Jul 2016
Robert W. Faff and Tim Kastelle
University of Queensland and University of Queensland - Business School
Downloads 0 (113,067)

Abstract:

111.

Deviation from Target Capital Structure, Cost of Equity and Speed of Adjustment

Forthcoming in Journal of Corporate Finance, doi:10.1016/j.jcorpfin.2016.06.002
Posted: 22 Jun 2016
Qing Zhou, Kelvin Jui Keng Tan, Robert W. Faff and Yushu Zhu
University of Queensland - Business School, University of Queensland - Business School, University of Queensland and University of Queensland - Business School

Abstract:

Leverage deviation, sensitivity, cost of equity, speed of adjustment

112.

Bias Correction in the Estimation of Dynamic Panel Models In Corporate Finance

Published in Journal of Corporate Finance 25 (2014) 494–513 DOI:10.1016/j.jcorpfin.2014.01.009,
Posted: 22 Jun 2016
Qing Zhou, Robert W. Faff and Karen Alpert
University of Queensland - Business School, University of Queensland and University of Queensland - Business School

Abstract:

Dynamic panels, Corporate finance, Bias-correction

113.

Incorporating Forward-Looking Economic Information into Financial Downside Risk Prediction: A State-Dependent Approach

Posted: 21 Jun 2016
Lei Jiao, Qing Zhou, Yin Liao and Robert W. Faff
Xi'an Jiaotong University (XJTU) - Jinhe Center for Economic Research, University of Queensland - Business School, Queensland University of Technology and University of Queensland

Abstract:

state-dependent, forward-looking, economic state, risk

114.

Fantasy Pitching

Number of pages: 20 Posted: 02 Jun 2016 Last Revised: 20 Feb 2017
University of Queensland, Griffith University, Griffith Business School, Department of Accounting, Finance and Economics, Students, Griffith University, Griffith Business School, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Business School, Students, University of Queensland, Swinburne University of Technology, Swinburne Business School, University of Queensland, Bond University, Students, University of Queensland, Business School, Students, Bond University, Students, University of Queensland, Business School, Students and University of Queensland, Business School, Students
Downloads 0 (194,268)

Abstract:

115.

Pitching Research Evolution: An Illustrative Example on the Topic of 'Innovation and Financial Dependence'

Number of pages: 21 Posted: 09 May 2016
Robert W. Faff, Keith Godfrey and Jie Teng
University of Queensland, University of Western Australia - Department of Accounting and Finance and Fudan University - Department of Finance
Downloads 0 (271,164)

Abstract:

Pitching Research; Evolving Pitch; Research Journey; Financial Dependence

116.

Mapping 'Pitching Research' Tasks into the RSD7 Framework: A Pedagogic Perspective

Number of pages: 55 Posted: 01 Feb 2016
Robert W. Faff
University of Queensland
Downloads 0 (173,250)

Abstract:

pitching research; research skill development; pedagogy; teaching and learning; new research ideas; pitching; template; research proposal; novice researcher; research mentor

117.

New Evidence on National Culture and Bank Capital Structure

2016 Financial Markets and Corporate Governance
Number of pages: 42 Posted: 30 Jan 2016
Daniel Hu, Mamiza Haq, Shams Pathan and Robert W. Faff
University of Queensland, University of Queensland - Finance, University of Queensland - Business School and University of Queensland
Downloads 0 (112,574)

Abstract:

Bank, Bank leverage, National culture, Global financial crisis, Endogeneity

118.

The "Pitching Research" Concept: 2015, a Year in Review

Number of pages: 42 Posted: 25 Jan 2016
Robert W. Faff
University of Queensland
Downloads 0 (146,993)

Abstract:

pitching research; new research ideas; pitching; template; research proposal; novice researcher; research mentor; Pitch Doctor

119.

National Culture and Stock Price Crash Risk

FIRN Research Paper No. 2711204, 8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 35 Posted: 07 Jan 2016 Last Revised: 23 Jan 2017
Tung Lam Dang, Robert W. Faff, Hoang Luong and Lily Nguyen
The University of Danang, University of Queensland, University of New South Wales (UNSW) - School of Banking and Finance and La Trobe University - La Trobe Business School - Department of Finance
Downloads 0 (61,497)

Abstract:

National culture; Individualism; Overconfidence; Stock price crash risk

120.

Diamonds vs. Precious Metals: What Shines Brightest in Your Investment Portfolio?

Number of pages: 30 Posted: 22 Oct 2015
Rand Kwong Yew Low, Yiran Yao and Robert W. Faff
University of Queensland Business School, University of Queensland and University of Queensland
Downloads 0 (313,763)

Abstract:

gold, diamonds, safe haven, hedges, precious metals

121.

Too-Big-To-Lend? Size-Conditioned Mandatory Capital Adequacy Disclosure and Bank Intermediation

Number of pages: 42 Posted: 21 Aug 2015 Last Revised: 15 Jul 2017
Natalya Zelenyuk, Robert W. Faff and Shams Pathan
University of Queensland, University of Queensland and University of Queensland - Business School
Downloads 0 (428,337)

Abstract:

Asymmetric Information, Bank Lending, Capital Adequacy, Deposits

122.

A Simple Template for Pitching Research

Accounting & Finance, Vol. 55, Issue 2, pp. 311-336, 2015
Number of pages: 26 Posted: 10 Jun 2015
Robert W. Faff
University of Queensland
Downloads 0 (550,765)
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Abstract:

New research ideas, Novice researcher advice, Pitch template, Research mentor advice, Research proposal, Supervisor advice

123.

Market Discipline and Bank Risk Taking

Australian Journal of Management, Vol. 39, 2014
Posted: 20 Aug 2014
Robert W. Faff, Mamiza Haq and Khoa T.A. Hoang
University of Queensland, University of Queensland - Finance and University of Queensland - Business School

Abstract:

bank risk, global financial crisis, market discipline

124.

Fifty Years of Finance Research in the Asia Pacific Basin

Accounting & Finance, Vol. 54, Issue 2, pp. 335-363, 2014
Number of pages: 29 Posted: 05 Jun 2014
Karen L. Benson, Robert W. Faff and Tom Smith
University of Queensland - Business School, University of Queensland and University of Queensland
Downloads 0 (565,074)
Citation 1
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Abstract:

Finance, Research, Asia Pacific Basin

125.

A Comparative Analysis of the Investment Characteristics of Alternative Gold Assets

Abacus, Vol. 50, Issue 1, pp. 76-92, 2014
Number of pages: 17 Posted: 11 Mar 2014
Tim Pullen, Karen L. Benson and Robert W. Faff
University of Queensland - Business School, University of Queensland - Business School and University of Queensland
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Abstract:

Bullion, Diversifier, Funds, Gold assets, Hedging, Safe haven, Stocks

126.

The Impact of Audit Quality in Rights Offerings

Australian Journal of Management, Forthcoming
Number of pages: 41 Posted: 17 Feb 2014 Last Revised: 22 Jun 2017
La Trobe University -Department of Economics and Finance, University of Queensland, La Trobe University - La Trobe Business School - Department of Finance and La Trobe University - School of Economics and Finance
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Abstract:

rights offerings, transferability, standby status, audit quality, audit fee and Big 6 Auditors

127.

Mickey Mouse and the Idiot Principle for Assessing Research Contribution: Discussion of ‘Is the Relationship between Investment and Conditional Cash Flow Volatility Ambiguous, Asymmetric or Both?’

Accounting & Finance, Vol. 53, Issue 4, pp. 949-960, 2013
Number of pages: 12 Posted: 28 Nov 2013
Robert W. Faff
University of Queensland
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Abstract:

Cash flow volatility; Financial flexibility; Investment; Real options and financial constraints

128.

A Re-Examination of the Empirical Performance of the Longstaff and Schwartz Two-Factor Term Structure Model Using Real Yield Data

Australian Journal of Management, Vol. 38, No. 2, 2013
Posted: 30 Jul 2013
Robert W. Faff and Sirimon Treepongkaruna
University of Queensland and University of Western Australia

Abstract:

Longstaff-Schwartz two-factor model, multi-country test, real yield data, term structure

129.

Liquidity in Asset Pricing: New Australian Evidence Using Low-Frequency Data

Australian Journal of Management, Vol. 38, No. 2, 2013
Posted: 30 Jul 2013
Daniel Chai, Robert W. Faff and Philip Gharghori
Monash University, University of Queensland and Monash University

Abstract:

Asset pricing, Australian evidence, Fama-French model, liquidity

130.

Exploring the Moderating Role of Growth Options on the Relation between Board Characteristics and Management Earnings Forecasts

Corporate Governance: An International Review, Vol. 21, Issue 4, pp. 314-333, 2013
Number of pages: 20 Posted: 08 Jun 2013
H. Chan, Robert W. Faff, Arifur Khan and Paul R. Mather
University of Melbourne - Department of Finance, University of Queensland, Deakin University - School of Accounting, Economics and Finance and La Trobe University
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Abstract:

Corporate Governance, Management Earnings Forecasts, Growth Options

131.

The Long- and Short-Run Financial Impacts of Cross Listing on Australian Firms

Australian Journal of Management, Vol. 38, No. 1, 2013
Posted: 19 Apr 2013
Robert W. Faff and Hue Hwa Au Yong
University of Queensland and Monash University - Department of Banking and Finance

Abstract:

Australian firms, cross listing, financial performance, internalisation, rivals

132.

Accounting Competencies and the Changing Role of Accountants in Emerging Economies: The Case of Romania

Accounting in Europe, 8 (2): 155–84,
Posted: 19 Jan 2013
Bucharest Academy of Economic Studies, Bucharest Academy of Economic Studies, University of Queensland and University of Queensland - Faculty of Business, Economics and Law

Abstract:

133.

Market Discipline and Bank Risk

25th Australasian Finance and Banking Conference 2012
Posted: 10 Aug 2012 Last Revised: 01 Apr 2013
Mamiza Haq, Robert W. Faff and Khoa T.A. Hoang
University of Queensland - Finance, University of Queensland and University of Queensland - Business School

Abstract:

market discipline, bank risk, global financial crisis

134.

Profiling Socially Responsible Investors: Australian Evidence

Australian Journal of Management, Vol. 37, No. 2, 2012
Posted: 04 Aug 2012
Department of Quantitative Economics, Faculty of Economics and Business, University of Oviedo, University of Queensland - Business School and University of Queensland

Abstract:

ethical investment, socially responsible investment (SRI), socially responsible investor’s profile

135.

Determinants of Bond Spreads: Evidence from Credit Derivatives of Australian Firms

Australian Journal of Management, Vol. 37, No. 1, 2012
Posted: 05 May 2012
affiliation not provided to SSRN, University of Western Australia and University of Queensland

Abstract:

credit default swap, credit spread, default risk, liquidity, Merton model

136.

Is Default Risk Priced in Australian Equity? Exploring the Role of the Business Cycle

Australian Journal of Management, Vol. 36, No. 2, 2011
Posted: 05 Feb 2012
H. Chan, Robert W. Faff and Paul Kofman
University of Melbourne - Department of Finance, University of Queensland and The University of Melbourne

Abstract:

asset pricing, business cycle, default risk

137.

The Asymmetric Impact of Consumer Sentiment Announcements on Australian Foreign Exchange Rates

Australian Journal of Management, Vol. 36, No. 3, 2011
Posted: 21 Dec 2011
Shumi M. Akhtar, Robert W. Faff and Barry R. Oliver
The University of Sydney, University of Queensland and University of Queensland - Business School

Abstract:

asymmetry, foreign exchange markets, investor sentiment

138.

Does Simple Pairs Trading Still Work?

Financial Analysts Journal, Vol. 66, No. 4, pp. 83-95, 2010
Posted: 11 Aug 2010
Binh Huu Do and Robert W. Faff
Monash University and University of Queensland

Abstract:

Portfolio Management, Equity Portfolio Management Strategies, Behavioral Finance, Limits to Arbitrage, Noise-Trader Risk, Quantitative Methods, Correlation Analysis and Regression, Time-Series Analysis

139.

Variations in Sovereign Credit Quality Assessments across Rating Agencies

Posted: 02 Feb 2009
Paula Hill, Robert D. Brooks and Robert W. Faff
University of Bristol, Monash University and University of Queensland

Abstract:

Credit rating, rating transition, prediction, information content, sovereign

140.

Do Credit Watch Procedures Affect the Information Content of Sovereign Credit Rating Changes?

Posted: 13 Mar 2007
Paula Hill and Robert W. Faff
University of Bristol and University of Queensland

Abstract:

Credit rating, rating change, credit watch, information, sovereign

141.

Do Precious Metals Shine? An Investment Perspective

Financial Analysts Journal, Vol. 62, No. 2, pp. 98-106, April 2006
Posted: 23 May 2006
Paul Draper, Robert W. Faff and David Hillier
University of Exeter, University of Queensland and University of Strathclyde - Department of Accounting and Finance

Abstract:

Alternative Investments, Commodities, Portfolio Management, Asset Allocation

142.

Asset Pricing and the Illiquidity Premium

The Financial Review, Vol. 40, No. 4, November 2005
Posted: 16 Aug 2005
H. Chan and Robert W. Faff
University of Melbourne - Department of Finance and University of Queensland

Abstract:

asset pricing; liquidity; Fama-French model

143.

An International Investigation of the Factors that Determine Conditional Gold Betas

Financial Review, Vol. 39, No. 3, August 2004
Posted: 11 May 2004
Robert W. Faff and David Hillier
University of Queensland and University of Strathclyde - Department of Accounting and Finance

Abstract:

Stock Price Exposures, Gold Beta, International Evidence

144.

Asymmetric Covariance, Volatility, and the Effect of News

Journal of Financial Research, Forthcoming
Posted: 25 Jan 2004
Warren G. Dean and Robert W. Faff
Monash University - Department of Accounting and University of Queensland

Abstract:

Covariance, beta, volatility feedback

145.

Further Evidence on the Short-term Contrarian Investment Strategy

Finance Letters, Vol. 1, No. 2, 2003
Posted: 21 Jul 2003
H. Chan, Robert W. Faff, Petko S. Kalev and Darren D. Lee
University of Melbourne - Department of Finance, University of Queensland, La Trobe Business School and University of Queensland - Business School

Abstract:

Short-term Contrarian Investing, Market Overreaction

146.

Creating Fama and French Factors with Style

The Financial Review, Vol. 38, No. 2, May 2003
Posted: 23 Apr 2003
Robert W. Faff
University of Queensland

Abstract:

147.

The Determinants of Conditional Autocorrelation in Stock Returns

Journal of Financial Research, Forthcoming
Posted: 19 Aug 2002
Michael D. McKenzie and Robert W. Faff
The University of Sydney - Discipline of Finance and University of Queensland

Abstract:

148.

The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study

The Journal of Business, Vol. 75, No. 1, January 2002
Posted: 14 Jan 2002
Michael D. McKenzie and Robert W. Faff
The University of Sydney - Discipline of Finance and University of Queensland

Abstract:

149.

Taxation and Black's Zero-Beta Strategy Revisited

Financial Analysts Journal, Vol. 57, No. 5, September/October 2001
Posted: 06 Nov 2001
Justin Wood, Robert W. Faff and David Hillier
Sydney Office, University of Queensland and University of Strathclyde - Department of Accounting and Finance

Abstract: