Petko S. Kalev

La Trobe Business School

Professor of Finance

Department of Economics and Finance

Donald Whitehead Building: Level 3, DWB313

Bundoora, Victoria 3086

Australia

http://www.latrobe.edu.au/business/about/staff/profile?uname=PKalev

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 17,678

SSRN RANKINGS

Top 17,678

in Total Papers Downloads

2,638

CITATIONS
Rank 19,278

SSRN RANKINGS

Top 19,278

in Total Papers Citations

16

Scholarly Papers (29)

1.

Underpricing, Stock Allocation, Ownership Structure and Post-Listing Liquidity of Newly Listed Firms

Journal of Banking and Finance, Vol. 27, 2003
Number of pages: 35 Posted: 06 Jun 2001 Last Revised: 31 Mar 2011
Peter K. Pham, Petko S. Kalev and Adam B. Steen
Australian School of Business - University of New South Wales, La Trobe Business School and Swinburne University of Technology
Downloads 587 (44,059)
Citation 15

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Allocation process, Initial public offerings, Ownership structures, Post-listing liquidity, Underpricing

2.

Estimating and Interpreting Zero Coupon and Forward Rates: Australia, 1992-2001

Number of pages: 59 Posted: 01 Feb 2004
Petko S. Kalev
La Trobe Business School
Downloads 554 (47,424)

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Curve fitting, forward rate, parsimonious model, term structure, yield, zero coupon bond

3.

Short Selling and Over‐Optimism: Do Short Sellers Profit on the Australian Stock Exchange?

25th Australasian Finance and Banking Conference 2012, Behavioral Finance and Capital Markets Conference, University of South Australia, 2013 , The Alpha Interface, Book One, Jeffrey Mishlove, PhD
Number of pages: 41 Posted: 28 Aug 2012 Last Revised: 20 Sep 2014
David R. Gallagher, Petko S. Kalev and Eben van Wyk
Capital Markets CRC Limited, La Trobe Business School and CIMB Securities (Australia) Ltd
Downloads 183 (160,928)

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analysts over‐optimism, analysts skew, short selling, short interest

4.

The Evolution of Price Discovery in US Equity and Derivatives Markets

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 41 Posted: 22 Aug 2014 Last Revised: 19 Nov 2014
Damien G. Wallace, Petko S. Kalev and Guanghua Lian
University of South Australia - UniSA Business School, La Trobe Business School and University of South Australia - School of Commerce
Downloads 143 (199,823)

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price discovery, exchange traded funds, futures

5.

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 142 (199,823)

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herding, limit order book, commonality in liquidity

6.

Time–Varying Dynamics and Asymmetric Effects of the Fama–French Factor Betas

25th Australasian Finance and Banking Conference 2012
Number of pages: 38 Posted: 28 Aug 2012
Petko S. Kalev and Leon Zolotoy
La Trobe Business School and University of Melbourne - Melbourne Business School
Downloads 141 (200,910)

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asymmetry, economic value, Fama–French model, information shocks, systematic risk

7.

How Are Investor Trading Activity and Performance Affected by Major Lifecycle Events? The Case of Divorce

FIRN Research Paper
Number of pages: 47 Posted: 04 Jun 2014 Last Revised: 03 Feb 2017
University of Sydney - Discipline of Finance, Faculty of Economics and Business, La Trobe Business School, University of California, Los Angeles (UCLA) - Finance Area and University of Sydney Business School
Downloads 131 (213,198)

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divorce, stressors, individual investor performance

8.

Trading Volume, Realized Volatility and Jumps on the Australian Stock Market

Journal of International Financial Markets Institutions and Money, Forthcoming
Number of pages: 33 Posted: 10 May 2014
Monash University, Monash University - Department of Banking and Finance, La Trobe Business School and Deakin University - School of Accounting, Economics and Finance
Downloads 105 (250,852)

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Volatility, Information flow, Jump

Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements

Number of pages: 43 Posted: 23 Jun 2016
Curtin University- School of Economics, Finance and property, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 40 (423,539)

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Institutional and Individual Investors; Competing and Announcing Firms; Returns; Net Order Flow; Earnings Announcements; Informed Trading

Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements

8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 44 Posted: 19 Jan 2017
Curtin University- School of Economics, Finance and property, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 31 (463,544)

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Institutional and Individual Investors; Competing and Announcing Firms; Returns; Net Order Flow; Earnings Announcements; Informed Trading

Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements

Number of pages: 43 Posted: 22 Jan 2016 Last Revised: 01 May 2016
Curtin University- School of Economics, Finance and property, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 24 (502,313)

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Institutional and Individual Investors; Competing and Announcing Firms; Returns; Net Order Flow; Earnings Announcements; Informed Trading

10.

Volume Reaction to Firm Specific News Announcements

Number of pages: 24 Posted: 29 Aug 2012 Last Revised: 02 Oct 2012
Huu Nhan Duong, Petko S. Kalev and Priyantha Mudalige
Monash University - Department of Banking and Finance, La Trobe Business School and Curtin University- School of Economics, Finance and property
Downloads 86 (285,577)

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Institutional investors, Individual investors, Abnormal volume, Standard volume, Firm specific news, Scheduled news, Unscheduled news

11.

Volatility Swaps and Volatility Options on Discretely Sampled Realized Variance

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 41 Posted: 09 Sep 2013 Last Revised: 23 Aug 2014
Guanghua Lian, Carl Chiarella and Petko S. Kalev
University of South Australia - School of Commerce, University of Technology, Sydney - UTS Business School, Finance Discipline Group and La Trobe Business School
Downloads 81 (296,229)

Abstract:

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Variance swaps, Variance options, Stochastic volatility, Characteristic function

12.

Trading Volume Around Firm-Specific Announcements

26th Australasian Finance and Banking Conference 2013
Number of pages: 41 Posted: 26 Aug 2013 Last Revised: 21 Oct 2013
Priyantha Mudalige, Petko S. Kalev and Huu Nhan Duong
Curtin University- School of Economics, Finance and property, La Trobe Business School and Monash University - Department of Banking and Finance
Downloads 65 (334,956)

Abstract:

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Institutional investors, Individual investors, Standard volume, Abnormal volume, Firm-specific announcements, Scheduled announcements, Unscheduled announcements

13.

Individual and Institutional Trading Volume Around Firm-Specific Announcements

Number of pages: 36 Posted: 22 Jan 2016
Priyantha Mudalige, Petko S. Kalev and Huu Nhan Duong
Curtin University- School of Economics, Finance and property, La Trobe Business School and Monash University - Department of Banking and Finance
Downloads 59 (351,637)

Abstract:

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Institutional investors, Individual investors, Trading volume, Abnormal volume, Firm-specific announcements, Scheduled announcements, Unscheduled announcements

14.

Short Selling, Trading Activity and Volatility in Corporate Bond Market

31st Australasian Finance and Banking Conference 2018
Number of pages: 52 Posted: 18 Aug 2018
Huu Nhan Duong, Petko S. Kalev and Xiao Tian
Monash University - Department of Banking and Finance, La Trobe Business School and La Trobe University
Downloads 52 (373,132)

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Short Selling; Corporate Bond Market; Difference of Opinion; Volatility

15.
Downloads 52 (373,132)

Toward a Flexible Price Limit System

Number of pages: 54 Posted: 24 Aug 2009 Last Revised: 26 Aug 2009
Saikat S. Deb, Petko S. Kalev and Vijaya B. Marisetty
Deakin University - School of Accounting, Economics and Finance, La Trobe Business School and RMIT University
Downloads 52 (379,229)

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Price Limits, Volatility Spill Over, Market Microstraucture

Toward a Flexible Price Limit System

Posted: 25 Mar 2008
Saikat S. Deb, Petko S. Kalev and Vijaya B. Marisetty
Deakin University - School of Accounting, Economics and Finance, La Trobe Business School and RMIT University

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Price Limits, Volatility Spillover, Probit Model

16.

Anonymity and the Information Content of the Limit Order Book

Journal of International Financial Markets, Institutions and Money, Vol. 30, 2014
Number of pages: 36 Posted: 29 May 2014
Huu Nhan Duong and Petko S. Kalev
Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 40 (414,919)

Abstract:

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17.

Pre-trade Transparency and the Information Content of the Limit Order Book

Market Microstructure and Nonlinear Dynamics - Keeping Financial Crisis in Context, edited by Gilles Dufrénot, Fredj Jawadi and Wael Louhichi (Eds), Springer-Verlag, 2014, 2012 Financial Markets & Corporate Governance Conference, 24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 31 Posted: 26 Aug 2011 Last Revised: 08 Feb 2015
Huu Nhan Duong, Petko S. Kalev and Yang Sun
Monash University - Department of Banking and Finance, La Trobe Business School and University of South Australia
Downloads 34 (438,979)

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Limit Order Book, Pre-trade Transparency, Information Content, Interest Rate Futures

18.

Liquidity Provision and Informed Trading by Individual Investors

Pacific-Basin Finance Journal, Forthcoming, 2014 Financial Markets & Corporate Governance Conference
Number of pages: 45 Posted: 31 Jan 2014 Last Revised: 07 Feb 2015
Xiao Tian, Binh Huu Do, Huu Nhan Duong and Petko S. Kalev
La Trobe University, Monash University, Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 32 (447,454)

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Individual investors, Future stock returns, Algorithmic trading, Liquidity provision, Informed trading

19.

Anonymity and Order Submissions

Pacific-Basin Finance Journal, Vol. 25, 2013
Number of pages: 37 Posted: 07 Aug 2009 Last Revised: 07 Feb 2015
Huu Nhan Duong and Petko S. Kalev
Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 24 (487,398)
Citation 1

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Anonymity; Institutional investors; Individual investors; Order submissions

20.

The Impact of Timing of the Release of Firm-Specific Announcements on Trade Initiation

30th Australasian Finance and Banking Conference 2017
Number of pages: 43 Posted: 18 Aug 2017
Curtin University- School of Economics, Finance and property, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 14 (543,959)

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21.

The Short-Run Performance of IPOs of Privately Owned and Publicly Owned Firms: A Note from Australia

Multinational Finance Journal, Vol. 5, No. 2, p. 149-154, 2001
Number of pages: 6 Posted: 08 Jul 2015
Adam Steen, Petko S. Kalev and Keith Turpie
Monash University, La Trobe Business School and Swinburne University of Technology
Downloads 12 (555,793)

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initial public offerings; initial return; privatization

22.

Information Content of the Limit Order Book for Crude Oil Futures Price Volatility

Energy Economics, Forthcoming, 29th Australasian Finance and Banking Conference 2016
Number of pages: 49 Posted: 19 Aug 2016 Last Revised: 30 Apr 2019
Xiao Tian, Huu Nhan Duong and Petko S. Kalev
La Trobe University, Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 6 (591,688)

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Crude oil futures; Energy market information releases; Futures price volatility; Time-weighted limit order book slope

23.

Algorithmic Trading in Turbulent Markets

Posted: 20 May 2019
Hao Zhou, Petko S. Kalev and Guanghua Lian
University of South Australia, La Trobe Business School and University of South Australia - School of Commerce

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Algorithmic trading, Order imbalance, Turbulent markets, Volume-weighted average price, Price fluctuation

24.

Coskewness Risk Decomposition, Covariation Risk, and Intertemporal Asset Pricing

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 11 Sep 2017 Last Revised: 31 Jan 2019
Petko S. Kalev, Konark Saxena and Leon Zolotoy
La Trobe Business School, University of New South Wales and University of Melbourne - Melbourne Business School

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Asset pricing; coskewness risk; cash flow news; discount rate news; covariation risk

25.

Order Aggressiveness of Institutional and Individual Investors

Pacific-Basin Finance Journal, Vol. 17, No. 5, 2009
Posted: 07 Feb 2015
Monash University - Department of Banking and Finance, La Trobe Business School and Monash University

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Limit order book, Institutional and individual investors, Order aggressiveness

26.

A Test of the Samuelson Hypothesis Using Realized Range

Journal of Futures Markets, Vol 28, issue 7, 2008
Posted: 29 May 2014
Petko S. Kalev and Huu Nhan Duong
La Trobe Business School and Monash University - Department of Banking and Finance

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27.

The Samuelson Hypothesis in Futures Markets: An Analysis Using Intraday Data

Journal of Banking and Finance, Vol. 32, No. 4, 2008
Posted: 29 May 2014
Huu Nhan Duong and Petko S. Kalev
Monash University - Department of Banking and Finance and La Trobe Business School

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28.

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 ESG Research Services Australia

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Short-term Contrarian Investing, Market Overreaction

29.

Public Information Arrival and Volatility of Intraday Stock Returns

Journal of Banking and Finance, Vol. 28, 2004
Posted: 26 Jun 2003 Last Revised: 14 Feb 2014
La Trobe Business School, Australian National University (ANU) - School of Finance and Applied Statistics, Australian School of Business - University of New South Wales and The University of Sydney

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ARCH, Public Information Arrival, Mixture of Distribution Hypothesis, Trading Volume, Volatility Persistence