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

34

DOWNLOADS
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5,255

CITATIONS
Rank 8,807

SSRN RANKINGS

Top 8,807

in Total Papers Citations

51

Scholarly Papers (34)

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 693 (24,769)
Citation 28

Abstract:

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 520 (36,445)
Citation 2

Abstract:

Nonlinearity, Market Efficiency, Bicorrelations, Predictability, Stock Markets

3.

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 403 (55,423)

Abstract:

R&D, Agency Costs, Capital Structure

4.

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 401 (52,916)
Citation 1

Abstract:

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

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 384 (58,847)
Citation 3

Abstract:

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 (Tissa) U. A. Galagedera and Robert D. Brooks
Monash University - Department of Econometrics and Business Statistics and Monash University
Downloads 345 (64,390)
Citation 3

Abstract:

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 304 (73,129)
Citation 4

Abstract:

Nonlinearity, Bicorrelation, Event study, Stock Market, Malaysia

8.

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 228 (107,738)

Abstract:

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

9.

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 216 (111,046)

Abstract:

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

10.

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 205 (112,506)
Citation 2

Abstract:

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

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 150 (147,708)
Citation 1

Abstract:

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 132 (167,905)
Citation 3

Abstract:

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, University of Western Australia and Monash University
Downloads 124 (172,773)

Abstract:

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
University of Technology, Sydney, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 92 (196,599)

Abstract:

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

15.

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 89 (229,688)

Abstract:

beta, market phase

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 88 (220,260)

Abstract:

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

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, University of Western Australia and The University of Sydney - Business School
Downloads 83 (248,963)

Abstract:

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

Do Sovereign Reā€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, University of Western Australia and The University of Sydney - Business School
Downloads 0

Abstract:

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

18.

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, University of Western Australia and Monash University
Downloads 82 (217,236)

Abstract:

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

19.

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
University of Technology, Sydney, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 56 (293,291)

Abstract:

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

20.

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 55 (252,433)

Abstract:

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

21.

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
University of Technology, Sydney, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 55 (277,132)

Abstract:

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

22.

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
University of Technology, Sydney, Monash University and University of Western Australia
Downloads 48 (305,850)

Abstract:

generalized impulse response, fractionally integrated VAR model, long memory

23.
Downloads 14 (469,448)

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 10 (510,848)

Abstract:

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 4 (541,652)

Abstract:

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

24.

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 4 (517,055)
Citation 3

Abstract:

Adaptive markets hypothesis (AMH), Efficient markets hypothesis (EMH), Evolving return predictability, Stock markets, Weak-form EMH

25.

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 (527,910)
Citation 1

Abstract:

26.

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:

high involvement work practices, political skill, strategic HRM

27.

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:

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

28.

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 (549,101)

Abstract:

29.

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 0 (290,937)

Abstract:

volatility spillover; Granger causality test; realized volatility

30.

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

Abstract:

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

31.

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

Journal of Banking and Finance, Forthcoming
Posted: 06 Jan 2011
University of Queensland - Faculty of Business, Economics and Law, University of Western Australia, Monash University and University of Queensland - Business School

Abstract:

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

32.

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:

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

33.

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:

CAPM, Thin trading, Emerging markets, Pakistan

34.

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:

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