Michael D. McKenzie

The University of Sydney - Discipline of Finance

Professor, Chair of Discipline of Finance

Level 2 9 Castlereagh Street

Sydney, NSW 2000

Australia

University of Cambridge - Cambridge Endowment for Research in Finance (CERF)

Trumpington Street

Cambridge, CB2 1AG

United Kingdom

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

29

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3,774

CITATIONS
Rank 19,472

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Top 19,472

in Total Papers Citations

24

Scholarly Papers (29)

1.

Macroeconomic News Announcements and the Role of Expectations: Evidence for Us Bond, Stock and Foreign Exchange Markets

Journal of Multinational Financial Management, Vol. 14, No. 4, pp. 217-232, 2004
Number of pages: 27 Posted: 21 Feb 2005
Suk-Joong Kim, Michael D. McKenzie and Robert W. Faff
The University of Sydney Business School, The University of Sydney - Discipline of Finance and University of Queensland
Downloads 531 (50,641)
Citation 16

Abstract:

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Macroeconomic News, Expectations, Financial Markets, GARCH

2.

Hole in the Wall: Informed Short Selling Ahead of Private Placements

Number of pages: 56 Posted: 16 Mar 2013 Last Revised: 07 Aug 2014
Henk Berkman, Michael D. McKenzie and Patrick Verwijmeren
University of Auckland - Business School, The University of Sydney - Discipline of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 396 (72,686)
Citation 3

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Insider trading, Hedge funds, Private placements, Wall-crossing, Short-selling

3.

Modelling Return and Volatility Exposures in Global Stock Markets

University of Strathclyde Accounting & Finance Working Paper
Number of pages: 32 Posted: 05 Mar 2002
Robert W. Faff, Michael D. McKenzie and David Hillier
University of Queensland, The University of Sydney - Discipline of Finance and University of Strathclyde - Department of Accounting and Finance
Downloads 386 (74,915)

Abstract:

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Volatility Exposures, Volatility Spillovers, Risk Management, Asymmetric GARCH

4.

The Impact of Screen Trading on the Link between Stock Index and Stock Index Futures Prices: Evidence from UK Markets

EFMA 2002 London Meetings
Number of pages: 27 Posted: 19 Jun 2002
Alex Frino and Michael D. McKenzie
The University of Sydney - Discipline of Finance and The University of Sydney - Discipline of Finance
Downloads 355 (82,532)
Citation 3

Abstract:

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screen-trading, stock index futures, London International Financial Futures Exchange (LIFFE), FTSE100

A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF)

Pacific Basin Financial Markets and Policies
Posted: 20 Oct 2009 Last Revised: 01 Jan 2014
Patrick Kuok-Kun Chu and Michael D. McKenzie
University of Macau - Faculty of Business Administration and The University of Sydney - Discipline of Finance

Abstract:

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Pension funds, stock-selection performance evaluation, market-timing ability, conditional models

6.

The Problem of Pre-Tax Valuations: A Note

Journal of Applied Research in Accounting and Finance, Vol. 5, No. 2, pp. 10-13, 2010 , Monash U. Department of Business Law & Taxation Research Paper No. 1755324
Number of pages: 11 Posted: 05 Feb 2011
Michael J. Dempsey, Michael D. McKenzie and Graham Partington
TDT University, The University of Sydney - Discipline of Finance and University of Sydney - School of Business - Finance Discipline
Downloads 255 (118,286)
Citation 13

Abstract:

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Financial Reporting, Discount Rates

7.

Conditional Autocorrelation and Stock Market Integration in the Asia-Pacific

International Finance Review, Volume 7, 2007, Pages 63-94
Number of pages: 43 Posted: 12 Nov 2006 Last Revised: 03 Oct 2013
Suk-Joong Kim and Michael D. McKenzie
The University of Sydney Business School and The University of Sydney - Discipline of Finance
Downloads 254 (118,786)
Citation 1

Abstract:

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market integration, conditional autocorrelation, Markov models, stock markets

8.

The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong

Data Not Availalbe, HKIMR Working Paper No. 3/2004
Number of pages: 38 Posted: 25 Jul 2003
Michael D. McKenzie and Olan T. Henry
The University of Sydney - Discipline of Finance and University of Melbourne - Department of Economics
Downloads 245 (123,197)
Citation 5

Abstract:

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Earnings Announcements: Good News for Institutional Investors and Short Sellers

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 62 Posted: 11 Jan 2010
Henk Berkman and Michael D. McKenzie
University of Auckland - Business School and The University of Sydney - Discipline of Finance
Downloads 223 (134,853)
Citation 1

Abstract:

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Informed Traders, Institutional Ownership, Short Selling, Earnings Announcements, Post Earnings Announcement Drift, PEAD

Earnings Announcements: Good News for Institutional Investors and Short Sellers

Financial Review, Vol. 47, Issue 1, pp. 91-113, 2012
Posted: 05 Jan 2012
Henk Berkman and Michael D. McKenzie
University of Auckland - Business School and The University of Sydney - Discipline of Finance
Downloads 2 (661,029)
Citation 5
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G14, informed traders, institutional ownership, short selling, earnings announcements, post‐earnings announcement drift

10.

The Trading Behaviour of Institutional Owners and Short Sellers Around Earnings Announcements

Number of pages: 57 Posted: 18 Jun 2009
Henk Berkman and Michael D. McKenzie
University of Auckland - Business School and The University of Sydney - Discipline of Finance
Downloads 222 (135,863)

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Informed Traders, Institutional Ownership, Short Selling, Earnings Announcements

11.

Evidence of an Asymmetry in the Relationship between Volatility and Autocorrelation

International Review of Financial Analysis, Vol. 16, No. 1, pp. 22-40, 2007
Number of pages: 31 Posted: 10 Feb 2005 Last Revised: 12 Oct 2009
Michael D. McKenzie and Suk-Joong Kim
The University of Sydney - Discipline of Finance and The University of Sydney Business School
Downloads 215 (140,084)
Citation 1

Abstract:

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Feedback trading, conditional autocorrelations, Markov models

12.

Naked Short Selling and the Market Impact of Failures-to-Deliver: Evidence from the Trading of Real Estate Investment Trusts

Number of pages: 41 Posted: 19 Apr 2010 Last Revised: 24 Apr 2010
Erik Devos, Thomas H. McInish, Michael D. McKenzie and James Upson
University of Texas at El Paso - College of Business Administration - Department of Economics and Finance, University of Memphis - Fogelman College of Business and Economics, The University of Sydney - Discipline of Finance and University of Texas at El Paso
Downloads 198 (151,323)
Citation 1

Abstract:

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Short Selling, Failures-to-deliver, Financial Crisis, Regulation, REITs, Naked Short Selling

13.

International Evidence on the Determinants of Initial Public Offerings

Number of pages: 32 Posted: 05 Feb 2004
Michael D. McKenzie
The University of Sydney - Discipline of Finance
Downloads 163 (180,048)

Abstract:

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14.

Modelling Trade Duration in U.S. Treasury Markets

Number of pages: 23 Posted: 02 Dec 2010
Michael D. McKenzie, Olan T. Henry and Mardi Dungey
The University of Sydney - Discipline of Finance, University of Melbourne - Department of Economics and University of Cambridge - Cambridge Endowment for Research in Finance (CERF)
Downloads 93 (274,577)

Abstract:

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US Treasuries, trade duration, workups, news

15.

Selectivity and Sample Bias in Dividend Drop-Off Studies

Finance and Corporate Governance Conference 2011 Paper
Number of pages: 26 Posted: 29 Nov 2010
Michael D. McKenzie and Graham Partington
The University of Sydney - Discipline of Finance and University of Sydney - School of Business - Finance Discipline
Downloads 86 (288,453)
Citation 1

Abstract:

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Dividend Drop Off, Ex-Dividend, Sample Selection

16.

The Role of Informational Arrival for the Australian Dollar Trading Volume and Volatility

Investment Management and Financial Innovations, Volume 11, Issue 4, pp. 4-24, 2014
Number of pages: 37 Posted: 04 Oct 2013 Last Revised: 05 May 2015
Suk-Joong Kim, Michael D. McKenzie and Amy Shi
The University of Sydney Business School, The University of Sydney - Discipline of Finance and Deutsche Bank, Australia
Downloads 58 (358,154)
Citation 1

Abstract:

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News, Australian Dollar, Foreign Exchange, Market Microstructure

17.

The Efficiency of the Information Processing in the Australian Dollar Market: Price Discovery Following Scheduled and Unscheduled News

International Review of Financial Analysis, 32 (2014), 159-178.
Number of pages: 45 Posted: 27 Jan 2014 Last Revised: 15 Sep 2014
Lawrence Daniel, Suk-Joong Kim and Michael D. McKenzie
UNSW Australia Business School, School of Banking and Finance, The University of Sydney Business School and The University of Sydney - Discipline of Finance
Downloads 44 (404,271)

Abstract:

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Information arrival; Macroeconomic news; Australian Dollar; Order flows; Realized volatility; Trade Volume, Foreign Exchange

18.

An Empirical Examination of the Relationship between Central Bank Intervention and Exchange Rate Volatility: Some Australian Evidence

Australian Economic Papers, Vol. 43, pp. 59-74, March 2004
Number of pages: 16 Posted: 11 Mar 2004
Michael D. McKenzie
The University of Sydney - Discipline of Finance
Downloads 24 (492,509)
Citation 6
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19.

The Tick/Volatility Ratio as a Determinant of the Compass Rose: Empirical Evidence from Decimalisation on the NYSE

Accounting and Finance, Vol. 43, pp. 331-344, November 2003
Number of pages: 14 Posted: 15 Dec 2003
Michael D. McKenzie and Alex Frino
The University of Sydney - Discipline of Finance and The University of Sydney - Discipline of Finance
Downloads 19 (520,989)
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20.

Venture Capital Funds and the Public Equity Market

Accounting & Finance, Vol. 51, Issue 3, pp. 764-786, 2011
Number of pages: 23 Posted: 03 Aug 2011
Michael D. McKenzie and William H. Janeway
The University of Sydney - Discipline of Finance and E.M. Warburg, Pincus & Co., Inc.
Downloads 4 (613,096)
Citation 1
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Venture capital, Initial public offering, Hot issue market, G24

21.

The Determinants of Short Selling: Evidence from the Hong Kong Equity Market

Accounting & Finance, Vol. 52, pp. 183-216, 2012
Number of pages: 34 Posted: 06 Oct 2012
Michael D. McKenzie and Olan T. Henry
The University of Sydney - Discipline of Finance and University of Melbourne - Department of Economics
Downloads 1 (643,651)
Citation 1
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Short selling, Equities, Market efficiency

22.

Short-Selling and Credit Default Swap Spreads — Where Do Informed Traders Trade?

Journal of Futures Markets, Vol. 38, 2018.
Posted: 09 Jun 2019
Zayed University, Macquarie University, Macquarie Business School, University of Sydney - Discipline of Accounting, The University of Sydney - Discipline of Finance and affiliation not provided to SSRN

Abstract:

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23.

Market Makers’ Optimal Price-Setting Policy for Exchange-Traded Certificates

Journal of Banking and Finance, Vol. 71, 2016, 206-226
Posted: 05 Dec 2014 Last Revised: 25 Jul 2016
Stefanie Baller, Oliver Entrop, Michael D. McKenzie and Marco Wilkens
University of Passau, University of Passau, The University of Sydney - Discipline of Finance and University of Augsburg

Abstract:

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Structured Products, Structured Notes, Leverage Certificates, Pricing Behavior, Monopoly Pricing Model

24.

Naked Short Selling and the Market Impact of Fails-to-Deliver: Evidence from the Trading of Real Estate Investment Trusts

Journal of Real Estate Finance and Economics, Vol. 49, No. 4, 2014
Posted: 17 Oct 2014
Erik Devos, Thomas H. McInish, Michael D. McKenzie and James Upson
University of Texas at El Paso - College of Business Administration - Department of Economics and Finance, University of Memphis - Fogelman College of Business and Economics, The University of Sydney - Discipline of Finance and University of Texas at El Paso

Abstract:

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Short selling; Fails-to-deliver; Financial crisis; Regulation; REITs

25.

How Does Pricing Affect Investors’ Product Choice? Evidence from the Market for Discount Certificates

Journal of Banking and Finance, Vol. 68, 195-215
Posted: 31 Mar 2014 Last Revised: 24 Apr 2016
University of Passau, University of Passau, The University of Sydney - Discipline of Finance, University of Augsburg and University of Augsburg

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Structured products, Derivatives, Investor behavior, Product pricing

26.

The Performance of Individual Investors in Structured Financial Products

Review of Quantitative Finance and Accounting, Vol. 46, No. 3, 2016, pp. 569-604
Posted: 16 Dec 2012 Last Revised: 16 Mar 2016
Oliver Entrop, Michael D. McKenzie, Marco Wilkens and Christoph Winkler
University of Passau, The University of Sydney - Discipline of Finance, University of Augsburg and University of Augsburg

Abstract:

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structured products, derivatives, complexity, financial innovation, investor behavior

27.

Nonlinearity and Smoothing in Venture Capital Performance Data

Journal of Empirical Finance, Forthcoming
Posted: 25 May 2012
Michael D. McKenzie, Stephen E. Satchell and Warapong Wongwachara
The University of Sydney - Discipline of Finance, University of Cambridge - Faculty of Economics and Politics and TMB Analytics

Abstract:

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Regime switching, Threshold autoregressive model, Venture capital returns

28.

The Determinants of Conditional Autocorrelation in Stock Returns

Journal of Financial Research, Forthcoming
Posted: 19 Aug 2002
Michael D. McKenzie and Robert W. Faff
The University of Sydney - Discipline of Finance and University of Queensland

Abstract:

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29.

The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study

The Journal of Business, Vol. 75, No. 1, January 2002
Posted: 14 Jan 2002
Michael D. McKenzie and Robert W. Faff
The University of Sydney - Discipline of Finance and University of Queensland

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