Robert D. Brooks

Monash University

Professor

Wellington Road

Clayton, Victoria 3168

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

  • Monash University

SCHOLARLY PAPERS

38

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6,093

SSRN CITATIONS
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Top 15,787

in Total Papers Citations

24

CROSSREF CITATIONS

48

Scholarly Papers (38)

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1.

The National Market Impact of Sovereign Rating Changes

University of Strathclyde, Department of Accounting & Finance Working Paper
Number of pages: 30 Posted: 05 Mar 2002
Robert W. Faff, Robert D. Brooks, Joe Hillier and David Hillier
Bond University, Monash University, Glasgow Caledonian University and University of Strathclyde - Department of Accounting and Finance
Downloads 870 (33,717)
Citation 7

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Sovereign Rating Changes, Event Study, Country Beta Risk

2.

The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics

Number of pages: 59 Posted: 19 Sep 2006
Kian-Ping Lim and Robert D. Brooks
Universiti Malaya and Monash University
Downloads 719 (43,776)
Citation 13

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Nonlinearity, Market Efficiency, Bicorrelations, Predictability, Stock Markets

3.

Cross-Country Determinants of Weak-Form Stock Market Efficiency: A Preliminary Exploratory Study

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 84 Posted: 21 Aug 2007
Kian-Ping Lim and Robert D. Brooks
Universiti Malaya and Monash University
Downloads 471 (75,070)
Citation 2

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Weak-form Efficiency, Nonlinear Predictability, Information Incorporation, Cross-country Determinants, Stock Markets

4.

R&D, Agency Costs and Capital Structure: International Evidence

Number of pages: 46 Posted: 09 Dec 2003
Robert D. Brooks and Sinclair Davidson
Monash University and RMIT University
Downloads 447 (79,885)

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R&D, Agency Costs, Capital Structure

5.

Testing the Assertion that Emerging Asian Stock Markets are Becoming More Efficient

Number of pages: 38 Posted: 06 Jun 2006
Kian-Ping Lim, Robert D. Brooks and Melvin Hinich
Universiti Malaya, Monash University and University of Texas at Austin - Applied Research Laboratories
Downloads 437 (82,046)
Citation 1

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Predictability, Nonlinearity, Market Efficiency, Bicorrelations, Emerging stock markets

6.

Is Systematic Downside Beta Risk Really Priced? Evidence in Emerging Market Data

Number of pages: 39 Posted: 30 Aug 2005
Don U. A. Galagedera and Robert D. Brooks
Monash University - Department of Econometrics and Business Statistics and Monash University
Downloads 397 (91,747)
Citation 2

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Beta, downside risk, emerging markets

7.

Events that Shook the Market: An Insight from Nonlinear Serial Dependencies in Intraday Returns

Number of pages: 37 Posted: 07 Jul 2006
Kian-Ping Lim, Melvin Hinich and Robert D. Brooks
Universiti Malaya, University of Texas at Austin - Applied Research Laboratories and Monash University
Downloads 376 (97,686)
Citation 10

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Nonlinearity, Bicorrelation, Event study, Stock Market, Malaysia

8.

Why Do Emerging Stock Markets Experience More Persistent Price Deviations from a Random Walk Over Time? A Country-Level Analysis

Number of pages: 64 Posted: 03 Aug 2008
Kian-Ping Lim and Robert D. Brooks
Universiti Malaya and Monash University
Downloads 253 (149,285)

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random walk, weak-form market efficiency, degree of market efficiency, determinants of market efficiency, private property rights

9.

Relationship between Downside Risk and Return: New Evidence Through a Multiscaling Approach

Number of pages: 27 Posted: 19 Apr 2006
Don U. A. Galagedera, Elizabeth Ann Maharaj and Robert D. Brooks
Monash University - Department of Econometrics and Business Statistics, Monash University and Monash University
Downloads 239 (157,740)

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wavelet multiscales, CAPM, downside beta, downside co-skewness

10.

A Selectivity Corrected Time Varying Beta Estimator

Number of pages: 38 Posted: 23 Feb 2006
Robert D. Brooks, Jonathan Dark, Robert W. Faff and Tim Fry
Monash University, Monash University, Bond University and RMIT University - School of Economics, Finance and Marketing
Downloads 232 (162,363)

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Time varying betas, GARCH, Censoring, Thin trading, Sample selectivity model

11.

Are Stock Returns Time Reversible? International Evidence from Frequency Domain Tests

Number of pages: 14 Posted: 24 Dec 2008
Kian-Ping Lim, Robert D. Brooks and Melvin Hinich
Universiti Malaya, Monash University and University of Texas at Austin - Applied Research Laboratories
Downloads 180 (205,131)
Citation 1

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Time reversibility, Bispectrum, Trispectrum, Stock returns

12.

The Market Timing Ability of Australian Superannuation Funds: Nonlinearities and Smooth Transition Models

Number of pages: 24 Posted: 28 Feb 2006
George Woodward and Robert D. Brooks
University of Colorado, Colorado Springs and Monash University
Downloads 163 (223,357)
Citation 2

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market timing, beta, market phase, smooth transition

13.

Trading Activity and Realized Volatility: Evidence with Decomposed Trading Volume and Order Imbalance

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 37 Posted: 25 Aug 2010 Last Revised: 24 Nov 2010
Sze Shih Ting, Don U. A. Galagedera, Sirimon Treepongkaruna and Robert D. Brooks
Monash University, Monash University - Department of Econometrics and Business Statistics, The University of Western Australia and Monash University
Downloads 147 (243,429)
Citation 1

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Trading activity, realized volatility, order imbalance

14.

Stock and Currency Market Linkages: New Evidence from Realized Spillovers in Higher Moments

International Review of Economics & Finance, Vol. 42, 167-185, 2016
Number of pages: 40 Posted: 25 Aug 2011 Last Revised: 05 May 2016
Hung Xuan Do, Robert D. Brooks, Sirimon Treepongkaruna and Eliza Wu
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 134 (261,938)
Citation 4

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fractionally integrated VAR, bootstrap, generalized impulse response, spillovers, higher moments, intraday data

15.

Identifying Banking Crises Dates

Systemic Risk, Basel III, Financial Stability and Regulation, 2011
Number of pages: 31 Posted: 01 Mar 2011 Last Revised: 26 Oct 2011
Pearpilai Jutasompakorn, Sirimon Treepongkaruna and Robert D. Brooks
Monash University, The University of Western Australia and Monash University
Downloads 118 (287,874)

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Banking crisis, crisis dates, Markov switching, three regimes, Banking system stock return

16.

Foreign Shareholding and Stock Price Efficiency: Firm-Level Evidence from Malaysia

Number of pages: 55 Posted: 01 Jan 2014
Kian-Ping Lim, Chee Wooi Hooy, Kwok-Boon Chang and Robert D. Brooks
Universiti Malaya, Universiti Sains Malaysia, President College and Monash University
Downloads 113 (296,572)
Citation 1

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Foreign investors, informational efficiency, price delay, financial liberalisation, Malaysia

17.

The Impact of Sovereign Ratings Changes: A Comparison of the Market Model, Quadratic Market Model and Downside Model

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 21 Posted: 05 Aug 2008
Emawtee Bissoondoyal-Bheenick and Robert D. Brooks
Monash University and Monash University
Downloads 103 (316,196)

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Sovereign rating changes, Quadratic Model, Downside Model, Higher Order Downside Model.

18.

Do Realised Betas Exhibit Up/Down Market Tendencies?

Number of pages: 17 Posted: 27 Feb 2006
George Woodward and Robert D. Brooks
University of Colorado, Colorado Springs and Monash University
Downloads 100 (322,463)

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beta, market phase

19.

Do Sovereign Re-Ratings Destabilize Equity Markets During Financial Crises?: New Evidence From Higher Return Moments

Downloads 91 (342,363)
Citation 2

Do Sovereign Re-Ratings Destabilize Equity Markets During Financial Crises?: New Evidence From Higher Return Moments

Journal of Business Finance & Accounting, Forthcoming
Number of pages: 34 Posted: 07 Dec 2012 Last Revised: 21 May 2015
Robert D. Brooks, Robert W. Faff, Sirimon Treepongkaruna and Eliza Wu
Monash University, Bond University, The University of Western Australia and The University of Sydney - Business School
Downloads 91 (345,149)

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sovereign ratings, realized volatility, realized skewness, realized kurtosis, stock market impact

Do Sovereign Re‐Ratings Destabilize Equity Markets During Financial Crises? New Evidence from Higher Return Moments

Journal of Business Finance & Accounting, Vol. 42, Issue 5-6, pp. 777-799, 2015
Number of pages: 23 Posted: 17 Jul 2015
Robert D. Brooks, Robert W. Faff, Sirimon Treepongkaruna and Eliza Wu
Monash University, Bond University, The University of Western Australia and The University of Sydney - Business School
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sovereign ratings, realized volatility, realized skewness, realized kurtosis, stock market impact

20.

How does Trading Volume Affect Financial Return Distributions?

International Review of Financial Analysis, Vol. 35, 2014
Number of pages: 41 Posted: 12 Jun 2012 Last Revised: 21 May 2015
Hung Xuan Do, Robert D. Brooks, Sirimon Treepongkaruna and Eliza Wu
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 90 (344,782)
Citation 1

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intraday data, higher moments, information theory, long memory, fractional integrated VAR, generalized impulse response

21.

Volatility Spillover between the Chinese and Australian Stock Markets

Number of pages: 23 Posted: 07 Dec 2015
Wei Chi, Robert D. Brooks and Emawtee Bissoondoyal-Bheenick
Monash University - Department of Accounting, Monash University and Monash University
Downloads 83 (362,301)

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volatility spillover; Granger causality test; realized volatility

22.

The Effects of Sovereign Rating Drifts on Financial Return Distributions: Evidence from the European Union

International Review of Financial Analysis, Vol. 34, 5-20, 2014, 25th Australasian Finance and Banking Conference 2012
Number of pages: 43 Posted: 28 Aug 2012 Last Revised: 05 May 2016
Hung Xuan Do, Robert D. Brooks, Sirimon Treepongkaruna and Eliza Wu
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 74 (387,027)
Citation 1

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Intraday data, higher moments, Markov regime switching, long memory, sovereign credit rating, credit rating agency

23.

Generalized Impulse Response Analysis in a Fractionally Integrated Vector Autoregressive Model

Economics Letters, Vol 118, Issue 3, March 2013, 462-465
Number of pages: 12 Posted: 23 Sep 2011 Last Revised: 04 May 2016
Hung Xuan Do, Robert D. Brooks and Sirimon Treepongkaruna
Massey University, Albany campus, Monash University and The University of Western Australia
Downloads 70 (399,013)
Citation 1

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generalized impulse response, fractionally integrated VAR model, long memory

24.

Risk Analysis of Pension Fund Investment Choices

31st Australasian Finance and Banking Conference 2018
Number of pages: 35 Posted: 26 Jul 2018 Last Revised: 23 May 2019
Emawtee Bissoondoyal-Bheenick, Robert D. Brooks and Hung Xuan Do
Monash University, Monash University and Massey University, Albany campus
Downloads 56 (446,456)
Citation 1

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Risk, Fama French Five factor model, Australian Superfunds, Investment options, varying coefficient panel data

25.

Volatility Spillover between the US, Chinese and Australian Stock Markets

Downloads 51 (465,350)

Volatility Spillover between the US, Chinese and Australian Stock Markets

Australian Journal of Management, Forthcoming
Number of pages: 36 Posted: 20 Jul 2017
Emawtee Bissoondoyal-Bheenick, Robert D. Brooks, Wei Chi and Hung Xuan Do
Monash University, Monash University, Monash University - Department of Accounting and Massey University, Albany campus
Downloads 51 (473,310)
Citation 1

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Volatility Spillover; Granger Causality Test; Realized Volatility, Bi-Power Variation

Volatility Spillover between the US, Chinese and Australian Stock Markets

Australian Journal of Management, Vol. 43, No. 2, 2018
Posted: 27 Apr 2018
Emawtee Bissoondoyal-Bheenick, Robert D. Brooks, Wei Chi and Hung Xuan Do
Monash University, Monash University, Tsinghua University and Massey University, Albany campus

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employee strategic alignment, financial performance, organizational capabilities, strategic planning process

26.

Dynamic Spillover between Commodities and Commodity Currencies During United States Q.E.

Energy Economics, Forthcoming
Number of pages: 45 Posted: 20 Jul 2017
Pick Schen Yip, Robert D. Brooks and Hung Xuan Do
Tunku Abdul Rahman University (UTAR), Monash University and Massey University, Albany campus
Downloads 35 (537,297)
Citation 1

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Quantitative Easing, Commodity Markets, Commodity Currencies, Static and Dynamic Spillovers, FIVAR

27.

Asymmetric Relationship Between Order Imbalance and Realized Volatility: Evidence from the Australian Market

International Review of Economics & Finance, Vol. 62, 2019
Number of pages: 29 Posted: 02 Jan 2019 Last Revised: 25 May 2019
Emawtee Bissoondoyal-Bheenick, Robert D. Brooks and Hung Xuan Do
Monash University, Monash University and Massey University, Albany campus
Downloads 21 (621,876)

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Order Imbalance, Realized Volatility, Realized Semivariances, Buyer- Versus Seller-Initiated Trades, ASX50

28.

Inflated Ordered Outcomes

Downloads 16 (657,154)
Citation 2

Inflated Ordered Outcomes

CRAE Research Paper No. 06062012
Number of pages: 11 Posted: 12 Jan 2014
Robert D. Brooks, Mark N. Harris and Christopher Spencer
Monash University, Curtin University and Loughborough University
Downloads 11 (722,129)
Citation 2

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Panel Inflated Ordered Probit, random effects, inflated outcomes, voting, Monetary Policy Committee

Inflated Ordered Outcomes

Economics Letters, Forthcoming
Number of pages: 11 Posted: 01 Jun 2013
Robert D. Brooks, Mark N. Harris and Christopher Spencer
Monash University, Curtin University and University of Surrey
Downloads 5 (772,893)

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Panel Inflated Ordered Probit, random effects, inflated outcomes, voting, Monetary Policy Committee

29.

The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature

Journal of Economic Surveys, Vol. 25, Issue 1, pp. 69-108, 2011
Number of pages: 40 Posted: 24 Jan 2011
Kian-Ping Lim and Robert D. Brooks
Universiti Malaya and Monash University
Downloads 5 (741,685)
Citation 6
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Adaptive markets hypothesis (AMH), Efficient markets hypothesis (EMH), Evolving return predictability, Stock markets, Weak-form EMH

30.

Deal or No Deal, that is the Question: The Impact of Increasing Stakes and Framing Effects on Decision-Making Under Risk

International Review of Finance, Vol. 9, Nos. 1-2, pp. 27-50, March/June 2009
Number of pages: 24 Posted: 08 Jun 2009
Robert D. Brooks, Robert W. Faff, Daniel Mulino and Richard Scheelings
Monash University, Bond University, Monash Business School and Victorian Bar
Downloads 2 (766,982)
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31.

The Impact of HR Political Skill in the HRM and Organizational Performance Relationship

Australian Journal of Management, Vol. 41, No. 1, 2016
Posted: 29 Jan 2016
Cathy Sheehan, Helen De Cieri, Brian Cooper and Robert D. Brooks
Independent, Independent, Monash University - Department of Management and Monash University

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high involvement work practices, political skill, strategic HRM

32.

Concurrent Momentum and Contrarian Strategies in the Australian Stock Market

Australian Journal of Management, Vol. 41, No. 1, 2016
Posted: 29 Jan 2016
Minh Phuong Doan, Vitali Alexeev and Robert D. Brooks
Deakin University - School of Accounting, Economics and Finance, University of Tasmania and Monash University

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model-based bootstrap, momentum and contrarian strategies, technical analysis

33.

Do TV Viewers Value Uncertainty of Outcome? Evidence from the Australian Football League

Economic Record, Vol. 91, Issue 295, pp. 523-535, 2015
Number of pages: 13 Posted: 09 Dec 2015
Trung Minh Dang, Ross Booth, Robert D. Brooks and Adi Schnytzer
Monash University - Department of Economics, Monash University - Department of Economics, Monash University and Bar-Ilan University - Department of Economics
Downloads 0 (795,478)
Citation 1
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34.

Do Trading Hours Affect Volatility Links in the Foreign Exchange Market?

Australian Journal of Management, Vol. 37, No. 1, 2012
Posted: 05 May 2012
Sirimon Treepongkaruna, Robert D. Brooks and Stephen Gray
The University of Western Australia, Monash University and University of Queensland - Business School

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common information, foreign exchange market, stochastic volatility, trading hours, volatility spillover

35.

Asset Market Linkages: Evidence from Financial, Commodity and Real Estate Assets

Journal of Banking and Finance, Forthcoming
Posted: 06 Jan 2011
Kam Fong Chan, Sirimon Treepongkaruna, Robert D. Brooks and Stephen Gray
The University of Western Australia, The University of Western Australia, Monash University and University of Queensland - Business School

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Markov switching, Asset linkages, Flight to quality, Flight from quality, Contagion

36.

Variations in Sovereign Credit Quality Assessments across Rating Agencies

Posted: 02 Feb 2009
Paula Hill, Robert D. Brooks and Robert W. Faff
University of Bristol, Monash University and Bond University

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Credit rating, rating transition, prediction, information content, sovereign

37.

A Test of CAPM on the Karachi Stock Exchange

International Journal of Business, Vol. 12, No. 4, 2007
Posted: 07 Jun 2008
Javed Iqbal and Robert D. Brooks
Department of Statistics, Karachi University and Monash University

Abstract:

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CAPM, Thin trading, Emerging markets, Pakistan

38.

The Pricing of Property Trust Ipos in Australia

Journal of Real Estate Finance and Economics, Vol. 32, No. 2, 2006
Posted: 09 Sep 2005
William Dimovski and Robert D. Brooks
Deakin University - School of Accounting, Economics and Finance and Monash University

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initial public offerings (IPOs), Property trusts, REITs, REIT pricing