Petko S. Kalev

RoZetta Institute

Sydney

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

34

DOWNLOADS
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5,033

SSRN CITATIONS
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SSRN RANKINGS

Top 27,802

in Total Papers Citations

36

CROSSREF CITATIONS

3

Scholarly Papers (34)

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, RoZetta Institute and Swinburne University of Technology
Downloads 656 (72,617)
Citation 13

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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
RoZetta Institute
Downloads 640 (74,855)

Abstract:

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

3.

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

Number of pages: 67 Posted: 10 Jan 2022 Last Revised: 25 Oct 2023
Monash University - Department of Banking and Finance, RoZetta Institute, Lazaridis School of Business and Economics, Wilfrid Laurier University and Macquarie University
Downloads 406 (130,182)
Citation 2

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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, RoZetta Institute, University of California, Los Angeles (UCLA) - Finance Area and University of Sydney Business School
Downloads 290 (187,459)

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Individual Investors, Divorce Performance, Trading Behavior

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, RoZetta Institute, University of South Australia and Monash University - Department of Banking and Finance
Downloads 103 (461,093)

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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: 23 Jun 2016
Curtin University- School of Economics, Finance and property, RoZetta Institute, University of South Australia and Monash University - Department of Banking and Finance
Downloads 103 (461,093)

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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, RoZetta Institute, University of South Australia and Monash University - Department of Banking and Finance
Downloads 79 (548,429)

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

6.

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
Bond University, RoZetta Institute and Aware Superannuation
Downloads 273 (199,434)
Citation 1

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

7.

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

Journal of Economic Dynamics & Control (2023) 147, 104592, 31st Australasian Finance and Banking Conference 2018
Number of pages: 42 Posted: 18 Aug 2018 Last Revised: 21 Feb 2023
Huu Nhan Duong, Petko S. Kalev and Xiao Tian
Monash University - Department of Banking and Finance, RoZetta Institute and Swinburne University of Technology - Department of Accounting, Economics, and Finance
Downloads 242 (224,725)

Abstract:

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

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
University of South AustraliaUniversity of South Australia - UniSA Business School, RoZetta Institute and UBS AG
Downloads 230 (236,044)
Citation 2

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price discovery, exchange traded funds, futures

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
RoZetta Institute and University of Melbourne - Melbourne Business School
Downloads 202 (266,346)

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

10.

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., RoZetta Institute, University of Queensland and ANZ (Australia and New Zealand) Banking Group, Ltd.
Downloads 200 (268,811)
Citation 1

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herding, limit order book, commonality in liquidity

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, RoZetta Institute and Deakin University - School of Accounting, Economics and Finance
Downloads 177 (299,691)
Citation 4

Abstract:

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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, RoZetta Institute, Macquarie University and University of Technology Sydney (UTS)
Downloads 175 (302,642)
Citation 1

Abstract:

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COVID-19, closing, auction, price, dislocation, efficiency, high-frequency, retail, 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
UBS AG, University of Technology, Sydney - UTS Business School, Finance Discipline Group and RoZetta Institute
Downloads 132 (383,554)
Citation 6

Abstract:

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Variance swaps, Variance options, Stochastic volatility, Characteristic function

14.

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, RoZetta Institute and Monash University - Department of Banking and Finance
Downloads 125 (397,675)
Citation 2

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

15.

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
Swinburne University of Technology - Department of Accounting, Economics, and Finance, Monash University - Department of Banking and Finance and RoZetta Institute
Downloads 121 (407,474)

Abstract:

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

16.

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, RoZetta Institute and Macquarie University
Downloads 100 (467,782)

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

17.
Downloads 95 (483,906)

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, RoZetta Institute and RMIT University
Downloads 95 (487,774)

Abstract:

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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, RoZetta Institute and RMIT University

Abstract:

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Price Limits, Volatility Spillover, Probit Model

18.

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, RoZetta Institute and University of South Australia
Downloads 83 (526,414)

Abstract:

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

19.

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 RoZetta Institute
Downloads 83 (526,414)

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20.

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, RoZetta Institute and University of South Australia
Downloads 81 (534,129)

Abstract:

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

21.

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 RoZetta Institute
Downloads 78 (546,194)

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Corporate Governance, Investors’ rights protection, liquidity

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
Swinburne University of Technology - Department of Accounting, Economics, and Finance, Monash University, Monash University - Department of Banking and Finance and RoZetta Institute
Downloads 75 (558,325)
Citation 1

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

23.

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 RoZetta Institute
Downloads 74 (562,672)

Abstract:

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Anonymity; Institutional investors; Individual investors; Order submissions

24.

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, RoZetta Institute and Swinburne University of Technology
Downloads 71 (575,566)

Abstract:

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initial public offerings; initial return; privatization

25.

Trading Activity and Price Discovery of the Chinese Crude Oil Futures Contract: Evidence from High-Frequency Data

Number of pages: 42 Posted: 03 Jun 2023
RoZetta Institute, Centre for Markets, Values and Inclusion (MVI), University of South Australia - UniSA Business, University of South Australia - UniSA Business School, North China Electric Power University and University of South Australia - UniSA Business School
Downloads 60 (627,652)

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C1, C5, D4, G13, G14

26.

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
Swinburne University of Technology - Department of Accounting, Economics, and Finance, Monash University - Department of Banking and Finance and RoZetta Institute
Downloads 58 (638,099)
Citation 2

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

27.
Downloads 21 (901,352)

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G11, G12, G14Continuous disclosure, Differential information, Information Asymmetry, Trade initiation

28.

Algorithmic Trading in Turbulent Markets

Posted: 20 May 2019
Hao Zhou, Petko S. Kalev and Guanghua Lian
University of South Australia, RoZetta Institute and UBS AG

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

29.

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
RoZetta Institute, 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

30.

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, RoZetta Institute and Monash University

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Limit order book, Institutional and individual investors, Order aggressiveness

31.

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
RoZetta Institute and Monash University - Department of Banking and Finance

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32.

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 RoZetta Institute

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33.

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, RoZetta Institute and Charles Sturt University - Faculty of Business, Justice and Behavioural Sciences

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Short-term Contrarian Investing, Market Overreaction

34.

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
RoZetta Institute, 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

Other Papers (2)

Total Downloads: 337
1.

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, RoZetta Institute, Lazaridis School of Business and Economics, Wilfrid Laurier University and affiliation not provided to SSRN
Downloads 253

Abstract:

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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.

2.

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: 18 Feb 2023
Huu Nhan Duong, Petko S. Kalev and Xiao Tian
Monash University - Department of Banking and Finance, RoZetta Institute and Swinburne University of Technology - Department of Accounting, Economics, and Finance
Downloads 84 (519,067)

Abstract:

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