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

38

DOWNLOADS
Rank 18,885

SSRN RANKINGS

Top 18,885

in Total Papers Downloads

4,159

SSRN CITATIONS
Rank 40,505

SSRN RANKINGS

Top 40,505

in Total Papers Citations

16

CROSSREF CITATIONS

2

Scholarly Papers (38)

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
University of Sydney Business School, La Trobe Business School and Swinburne University of Technology
Downloads 608 (67,775)
Citation 10

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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 603 (68,490)

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

Do Firms Benefit from Carbon Risk Management? Evidence from the Credit Default Swaps Market

Number of pages: 67 Posted: 10 Jan 2022 Last Revised: 06 Sep 2022
Monash University - Department of Banking and Finance, La Trobe Business School, Lazaridis School of Business and Economics, Wilfrid Laurier University and Macquarie University
Downloads 244 (189,917)

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Carbon risk management; Credit risk; Credit default swaps; The Paris climate agreement; US state climate adaptation plans.

Do Firms Benefit from Carbon Risk Management? Evidence from the Credit Default Swaps Market

Number of pages: 70 Posted: 03 May 2022
Monash University - Department of Banking and Finance, La Trobe Business School, Lazaridis School of Business and Economics, Wilfrid Laurier University and affiliation not provided to SSRN
Downloads 127 (336,666)

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Carbon risk management; Credit risk; Credit default swap spread; Environmental, social, and governance; The Paris climate agreement; US state climate adaptation plans.

4.

Retail Trading Activity and Major Lifecycle Events: The Case of Divorce

FIRN Research Paper Forthcoming, Journal of Banking and Finance, Forthcoming
Number of pages: 70 Posted: 04 Jun 2014 Last Revised: 21 Dec 2021
University of Sydney Business School - Discipline of Finance, La Trobe Business School, University of California, Los Angeles (UCLA) - Finance Area and University of Sydney Business School
Downloads 246 (188,285)

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Individual Investors, Divorce Performance, Trading Behavior

5.

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
RoZetta Institute, La Trobe Business School and Aware Superannuation
Downloads 236 (196,048)
Citation 1

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

6.

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
University of South AustraliaUniversity of South Australia - UniSA Business School, La Trobe Business School and UBS AG
Downloads 198 (230,909)
Citation 2

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price discovery, exchange traded funds, futures

7.

Short Selling, Divergence of Opinion and Volatility in the Corporate Bond Market

Journal of Economic Dynamics and Control, Forthcoming, 31st Australasian Finance and Banking Conference 2018
Number of pages: 42 Posted: 18 Aug 2018 Last Revised: 27 Dec 2022
Huu Nhan Duong, Petko S. Kalev and Xiao Tian
Monash University - Department of Banking and Finance, La Trobe Business School and Department of Treasury and Finance
Downloads 166 (269,437)

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

8.

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 162 (274,983)
Citation 1

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herding, limit order book, commonality in liquidity

9.

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 160 (277,800)

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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
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 66 (510,668)

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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 49 (590,238)

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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 43 (623,670)

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

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 144 (302,852)
Citation 1

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Volatility, Information flow, Jump

12.

Can Retail Traders Harm Market Efficiency? Evidence from Closing Price Auctions during COVID-19

Number of pages: 26 Posted: 16 Aug 2022
Sean Foley, Petko S. Kalev, Kinsoon Lim and Vinay Patel
Macquarie University, La Trobe Business School, Macquarie University and University of Technology Sydney (UTS)
Downloads 110 (369,731)

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COVID-19, closing, auction, price, dislocation, efficiency, high-frequency, retail, trading

13.

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 103 (386,901)

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

14.

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
UBS AG, University of Technology, Sydney - UTS Business School, Finance Discipline Group and La Trobe Business School
Downloads 101 (392,006)
Citation 2

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Variance swaps, Variance options, Stochastic volatility, Characteristic function

15.

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 92 (416,648)
Citation 1

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

16.

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 81 (450,002)

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

17.
Downloads 69 (492,172)

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 Business School, Deakin University, La Trobe Business School and RMIT University
Downloads 69 (498,522)

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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 Business School, Deakin University, La Trobe Business School and RMIT University

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Price Limits, Volatility Spillover, Probit Model

18.

Does the bid–ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 47 Posted: 03 Nov 2020 Last Revised: 31 May 2022
Huu Nhan Duong, Petko S. Kalev and Xiao Tian
Monash University - Department of Banking and Finance, La Trobe Business School and Department of Treasury and Finance
Downloads 63 (515,724)

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Dark trading; exchange operated dark pool; tick size change; bid–ask spread; Japanese market

19.

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
Department of Treasury and Finance, Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 59 (532,409)

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

20.

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 55 (550,221)

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21.

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 54 (554,964)

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

22.

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
Department of Treasury and Finance, Monash University, Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 52 (564,265)
Citation 1

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

23.

Investors’ Rights Protection and Firm Liquidity: Evidences from Hong Kong

22nd Australasian Finance and Banking Conference 2009
Posted: 24 Aug 2009
Monash University - Department of Accounting, Ton Duc Thang University (TDTU), Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 51 (568,967)

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Corporate Governance, Investors’ rights protection, liquidity

24.

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 41 (621,442)

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Anonymity; Institutional investors; Individual investors; Order submissions

25.

Under the Microscope: Trade Initiation Activities Around Earnings and Takeover Announcements in a Market with Continuous Disclosure

Number of pages: 43 Posted: 18 Feb 2021
Priyantha Mudalige, Petko S. Kalev and Kartick Gupta
Curtin University- School of Economics, Finance and property, La Trobe Business School and University of South Australia
Downloads 34 (663,118)

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Overnight Announcements; Day Announcements; Trade Initiation; Information Asymmetry; Differential Information; Informed Trading, Continuous Disclosure

26.

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 33 (669,631)

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27.

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 32 (676,195)

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initial public offerings; initial return; privatization

28.

Identifying and Characterising Opening Auction Manipulation

Number of pages: 50 Posted: 14 Oct 2022
Huu Nhan Duong, Sean Foley, Petko S. Kalev and Kinsoon Lim
Monash University - Department of Banking and Finance, Macquarie University, La Trobe Business School and Macquarie University
Downloads 22 (751,448)

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Pre-opening phase, Futures expiry, Opening price, Market manipulation, Index, Market quality

29.

Does Release Time of Firm-Specific Announcements Influence Trade Initiation Motives?

Number of pages: 43 Posted: 20 Sep 2019
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 21 (759,807)

Abstract:

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30.

Does Bid-Ask Spread Affect Trading in Exchange Operated Dark Pool: Evidence from a Natural Experiment

Number of pages: 36 Posted: 28 Jun 2021 Last Revised: 02 Aug 2022
Xiao Tian, Huu Nhan Duong and Petko S. Kalev
Department of Treasury and Finance, Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 18 (785,211)

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Darking trading, Exchange operated dark pool, Tick size change, Bid-ask spread, Japanese market

31.

Approximate Pricing of American Exchange Options with Jumps

https://onlinelibrary.wiley.com/doi/abs/10.1002/fut.22316
Number of pages: 29 Posted: 28 Mar 2022
UBS AG, University of South Australia - School of Commerce, La Trobe Business School and Southern University of Science and Technology - Department of Finance
Downloads 16 (802,948)

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Exchange Options, American Options, Jump Diffusion, Option Pricing

32.

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 UBS AG

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

33.

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

34.

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

35.

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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36.

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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37.

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 Lee
University of Melbourne - Department of Finance, University of Queensland, La Trobe Business School and Charles Sturt University - Faculty of Business, Justice and Behavioural Sciences

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Short-term Contrarian Investing, Market Overreaction

38.

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, University of Sydney Business School and The University of Sydney

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