Petko S. Kalev

University of South Australia - Centre for Applied Financial Studies

Professor

37-44 North Terrace, City West Campus

GPO Box 2471

Adelaide, South Australia 5001

Australia

http://www.unisanet.unisa.edu.au/staff/homepage.asp?Name=Petko.Kalev

University of South Australia - School of Commerce

Professor

37-44 North Terrace, City West Campus

GPO Box 2471

Adelaide, South Australia 5073

Australia

http://www.unisanet.unisa.edu.au/staff/homepage.asp?Name=Petko.Kalev

SCHOLARLY PAPERS

25

DOWNLOADS
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SSRN RANKINGS

Top 15,426

in Total Papers Downloads

2,387

CITATIONS
Rank 19,328

SSRN RANKINGS

Top 19,328

in Total Papers Citations

16

Scholarly Papers (25)

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, University of South Australia - Centre for Applied Financial Studies and Swinburne University of Technology
Downloads 549 (36,299)
Citation 15

Abstract:

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
University of South Australia - Centre for Applied Financial Studies
Downloads 530 (38,631)

Abstract:

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

3.

Algorithmic Trading in Turbulent Markets

Number of pages: 52 Posted: 28 Aug 2013 Last Revised: 27 Oct 2016
Hao Zhou, Petko S. Kalev and Guanghua Lian
University of South Australia, University of South Australia - Centre for Applied Financial Studies and University of South Australia - School of Commerce
Downloads 138 (143,286)

Abstract:

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

4.

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
Macquarie Graduate School of Management, University of South Australia - Centre for Applied Financial Studies and CIMB Securities (Australia) Ltd
Downloads 125 (156,524)

Abstract:

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

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., University of South Australia - Centre for Applied Financial Studies, University of Queensland and ANZ (Australia and New Zealand) Banking Group, Ltd.
Downloads 111 (185,933)

Abstract:

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
University of South Australia - Centre for Applied Financial Studies and Melbourne Business School
Downloads 107 (189,477)

Abstract:

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

7.

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, University of South Australia - Centre for Applied Financial Studies and University of South Australia - School of Commerce
Downloads 72 (190,720)

Abstract:

price discovery, exchange traded funds, futures

8.

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, University of South Australia - Centre for Applied Financial Studies and University of South Australia - Business School, Centre for Applied Financial Studies
Downloads 68 (246,659)

Abstract:

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

9.

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, University of South Australia - Centre for Applied Financial Studies, University of California, Los Angeles (UCLA) - Finance Area and University of Sydney Business School
Downloads 62 (216,619)

Abstract:

divorce, stressors, individual investor performance

10.

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, University of South Australia - Centre for Applied Financial Studies and Deakin University - School of Accounting, Economics and Finance
Downloads 59 (239,294)

Abstract:

Volatility, Information flow, Jump

11.
Downloads 51 (309,983)

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, University of South Australia - Centre for Applied Financial Studies and RMIT University
Downloads 51 (314,890)

Abstract:

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, University of South Australia - Centre for Applied Financial Studies and RMIT University

Abstract:

Price Limits, Volatility Spillover, Probit Model

Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements

Number of pages: 43 Posted: 23 Jun 2016
University of South Australia - Business School, Centre for Applied Financial Studies, University of South Australia - Centre for Applied Financial Studies, University of South Australia and Monash University - Department of Banking and Finance
Downloads 30 (388,297)

Abstract:

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
University of South Australia - Business School, Centre for Applied Financial Studies, University of South Australia - Centre for Applied Financial Studies, University of South Australia and Monash University - Department of Banking and Finance
Downloads 17 (457,397)

Abstract:

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

13.

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 University of South Australia - Centre for Applied Financial Studies
Downloads 47 (284,596)

Abstract:

Variance swaps, Variance options, Stochastic volatility, Characteristic function

14.

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
University of South Australia - Business School, Centre for Applied Financial Studies, University of South Australia - Centre for Applied Financial Studies and Monash University - Department of Banking and Finance
Downloads 42 (289,287)

Abstract:

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

15.

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 University of South Australia - Centre for Applied Financial Studies
Downloads 22 (386,975)

Abstract:

16.

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
University of South Australia, Monash University, Monash University - Department of Banking and Finance and University of South Australia - Centre for Applied Financial Studies
Downloads 13 (405,536)

Abstract:

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

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, University of South Australia - Centre for Applied Financial Studies and University of South Australia
Downloads 6 (430,804)

Abstract:

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

18.

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, University of South Australia - Centre for Applied Financial Studies and Swinburne University of Technology
Downloads 5 (500,152)

Abstract:

initial public offerings; initial return; privatization

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 University of South Australia - Centre for Applied Financial Studies
Downloads 4 (456,169)
Citation 1

Abstract:

Anonymity; Institutional investors; Individual investors; Order submissions

20.

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
University of South Australia - Business School, Centre for Applied Financial Studies, University of South Australia - Centre for Applied Financial Studies and Monash University - Department of Banking and Finance
Downloads 0 (333,307)

Abstract:

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

21.

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, University of South Australia - Centre for Applied Financial Studies and Monash University

Abstract:

Limit order book, Institutional and individual investors, Order aggressiveness

22.

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 University of South Australia - Centre for Applied Financial Studies

Abstract:

23.

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
University of South Australia - Centre for Applied Financial Studies and Monash University - Department of Banking and Finance

Abstract:

24.

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, University of South Australia - Centre for Applied Financial Studies and University of Queensland - Business School

Abstract:

Short-term Contrarian Investing, Market Overreaction

25.

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
University of South Australia - Centre for Applied Financial Studies, School of Finance, Actuarial Studies & Statistics, Australian National University, Australian School of Business - University of New South Wales and The University of Sydney

Abstract:

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