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

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

27

DOWNLOADS
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SSRN RANKINGS

Top 15,464

in Total Papers Downloads

2,563

CITATIONS
Rank 19,392

SSRN RANKINGS

Top 19,392

in Total Papers Citations

16

Scholarly Papers (27)

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 549 (38,531)
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
La Trobe Business School
Downloads 530 (41,107)

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, La Trobe Business School and University of South Australia - School of Commerce
Downloads 138 (144,223)

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
Capital Markets CRC Limited, La Trobe Business School and CIMB Securities (Australia) Ltd
Downloads 125 (159,395)

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., La Trobe Business School, University of Queensland and ANZ (Australia and New Zealand) Banking Group, Ltd.
Downloads 111 (186,145)

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
La Trobe Business School and Melbourne Business School
Downloads 107 (195,635)

Abstract:

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

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 Finance and Economics, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 34 (395,522)

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 Finance and Economics, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 22 (455,502)

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

8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 44 Posted: 19 Jan 2017
University of South Australia - Business School, Centre for Applied Finance and Economics, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 20 (472,956)

Abstract:

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

8.

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 72 (189,667)

Abstract:

price discovery, exchange traded funds, futures

9.

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 University of South Australia - Business School, Centre for Applied Finance and Economics
Downloads 68 (258,810)

Abstract:

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

10.

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 62 (214,030)

Abstract:

divorce, stressors, individual investor performance

11.

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 59 (240,580)

Abstract:

Volatility, Information flow, Jump

12.
Downloads 51 (330,114)

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 51 (335,399)

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, La Trobe Business School and RMIT University

Abstract:

Price Limits, Volatility Spillover, Probit Model

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 La Trobe Business School
Downloads 47 (300,266)

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 Finance and Economics, La Trobe Business School and Monash University - Department of Banking and Finance
Downloads 42 (302,801)

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 La Trobe Business School
Downloads 22 (390,462)

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
La Trobe University, Monash University, Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 13 (411,529)

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, La Trobe Business School and University of South Australia
Downloads 6 (430,912)

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, La Trobe Business School and Swinburne University of Technology
Downloads 5 (527,216)
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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 La Trobe Business School
Downloads 4 (462,088)
Citation 1

Abstract:

Anonymity; Institutional investors; Individual investors; Order submissions

20.

Coskewness Risk Decomposition, Covariation Risk, and Intertemporal Asset Pricing

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 57 Posted: 11 Sep 2017 Last Revised: 14 Sep 2017
Petko S. Kalev, Konark Saxena and Leon Zolotoy
La Trobe Business School, University of New South Wales and Melbourne Business School
Downloads 0 (364,674)

Abstract:

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

21.

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

Number of pages: 43 Posted: 18 Aug 2017
University of South Australia - Business School, Centre for Applied Finance and Economics, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 0 (527,216)

Abstract:

22.

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 Finance and Economics, La Trobe Business School and Monash University - Department of Banking and Finance
Downloads 0 (336,105)

Abstract:

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

23.

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

Abstract:

Limit order book, Institutional and individual investors, Order aggressiveness

24.

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

Abstract:

25.

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

Abstract:

26.

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

27.

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, 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