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

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 7,777

SSRN RANKINGS

Top 7,777

in Total Papers Downloads

5,741

CITATIONS
Rank 13,011

SSRN RANKINGS

Top 13,011

in Total Papers Citations

57

Scholarly Papers (38)

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
University of Queensland, Monash University, Glasgow Caledonian University and University of Strathclyde - Department of Accounting and Finance
Downloads 836 (27,840)
Citation 1

Abstract:

Loading...

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 644 (39,698)
Citation 4

Abstract:

Loading...

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 453 (62,315)
Citation 1

Abstract:

Loading...

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 - School of Economics, Finance and Marketing
Downloads 434 (65,611)

Abstract:

Loading...

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 419 (68,404)
Citation 7

Abstract:

Loading...

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 390 (74,529)
Citation 2

Abstract:

Loading...

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 354 (83,386)
Citation 10

Abstract:

Loading...

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 237 (128,293)
Citation 1

Abstract:

Loading...

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
Monash University - Department of Econometrics and Business Statistics, Monash University and Monash University
Downloads 235 (129,390)

Abstract:

Loading...

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, University of Queensland and RMIT University - School of Economics, Finance and Marketing
Downloads 229 (132,704)

Abstract:

Loading...

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 174 (171,418)
Citation 1

Abstract:

Loading...

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 152 (192,380)
Citation 1

Abstract:

Loading...

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
Monash University, Monash University - Department of Econometrics and Business Statistics, The University of Western Australia and Monash University
Downloads 143 (202,175)

Abstract:

Loading...

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
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 126 (223,508)
Citation 1

Abstract:

Loading...

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
Monash University, The University of Western Australia and Monash University
Downloads 112 (243,748)

Abstract:

Loading...

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

16.

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 100 (263,762)

Abstract:

Loading...

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

17.

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

Number of pages: 55 Posted: 01 Jan 2014
Universiti Malaya, Universiti Sains Malaysia, President College and Monash University
Downloads 98 (267,300)
Citation 1

Abstract:

Loading...

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

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 96 (270,823)

Abstract:

Loading...

beta, market phase

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
Monash University, University of Queensland, The University of Western Australia and The University of Sydney - Business School
Downloads 87 (290,897)

Abstract:

Loading...

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
Monash University, University of Queensland, The University of Western Australia and The University of Sydney - Business School
Downloads 0
  • Add to Cart

Abstract:

Loading...

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
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 81 (301,366)

Abstract:

Loading...

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 75 (315,282)

Abstract:

Loading...

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
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 69 (330,233)
Citation 1

Abstract:

Loading...

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 64 (343,598)
Citation 1

Abstract:

Loading...

generalized impulse response, fractionally integrated VAR model, long memory

Volatility Spillover between the US, Chinese and Australian Stock Markets

Australian Journal of Management, Forthcoming
Number of pages: 36 Posted: 20 Jul 2017
Monash University, Monash University, Monash University - Department of Accounting and Massey University, Albany campus
Downloads 39 (435,452)

Abstract:

Loading...

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
Monash University, Monash University, Tsinghua University and Massey University, Albany campus

Abstract:

Loading...

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

25.

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
Monash University, Monash University and Massey University, Albany campus
Downloads 29 (469,893)

Abstract:

Loading...

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

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 27 (480,068)

Abstract:

Loading...

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

27.
Downloads 16 (542,640)

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 (596,865)

Abstract:

Loading...

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 (639,186)

Abstract:

Loading...

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

28.

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
Monash University, Monash University and Massey University, Albany campus
Downloads 15 (548,527)

Abstract:

Loading...

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

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 (611,681)
  • Add to Cart

Abstract:

Loading...

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
Monash University, University of Queensland, Monash Business School and Victorian Bar
Downloads 2 (636,577)
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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 (667,153)
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

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
The University of Western Australia, The University of Western Australia, Monash University and University of Queensland - Business School

Abstract:

Loading...

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 University of Queensland

Abstract:

Loading...

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:

Loading...

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

Abstract:

Loading...

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