Francis Haeuck In

Monash University - Department of Accounting

Building 11E

Clayton, Victoria 3800

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

22

DOWNLOADS
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SSRN RANKINGS

Top 7,110

in Total Papers Downloads

6,710

SSRN CITATIONS
Rank 25,545

SSRN RANKINGS

Top 25,545

in Total Papers Citations

8

CROSSREF CITATIONS

23

Scholarly Papers (22)

1.

Hedge Ratio and Correlation between the Stock and the Futures Markets: Evidence from the Wavelet Analysis

EFMA 2003 Helsinki Meetings
Number of pages: 36 Posted: 30 May 2003
Sangbae Kim and Francis Haeuck In
Kyungpook National University - School of Business Administartion and Monash University - Department of Accounting
Downloads 1,048 (21,922)
Citation 1

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2.

Contagion Effects of the U.S. Subprime Crisis on International Stock Markets

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 49 Posted: 15 Jan 2010
Inchang Hwang, Francis Haeuck In and Tong Suk Kim
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Monash University - Department of Accounting and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 897 (27,515)
Citation 5

Abstract:

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Financial contagion, U.S. subprime crisis, Dynamic conditional correlation generalized autoregressive conditionally heteroskedastic (DCC-GARCH) model,Sovereign ratings, International stock markets

3.

Sovereign Credit Default Swaps, Sovereign Debt and Volatility Transmission Across Emerging Markets

Number of pages: 30 Posted: 11 Feb 2008
Byoung Uk Kang, Francis Haeuck In and Tong Suk Kim
The Hong Kong Polytechnic University - School of Accounting and Finance, Monash University - Department of Accounting and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 698 (38,911)

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Credit default swap, Credit Spread, Emerging market, International linkages, Price discovery

4.

The Relationship between Fama-French Three Risk Factors, Industry Portfolio Returns, and Industrial Production

Number of pages: 34 Posted: 17 Mar 2006
Sangbae Kim and Francis Haeuck In
Kyungpook National University - School of Business Administartion and Monash University - Department of Accounting
Downloads 586 (49,080)
Citation 1

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Asset pricing, Fama-French Three-factor model, Multiscaling approach

5.

What Drives the Libor-OIS Spread? Evidence from Five Major Currency Libor-OIS Spreads

Number of pages: 36 Posted: 11 Nov 2012
Jin Cui, Francis Haeuck In and Elizabeth Ann Maharaj
Monash University, Monash University - Department of Accounting and Monash University
Downloads 576 (50,229)
Citation 2

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subprime crisis, Libor-OIS spreads, Libor-OIS spreads determinants, credit risk, liquidity risk, banking system risk

6.

The Impact of Spin and Tone on Stock Returns and Volatility: Evidence from Firm-Issued Earnings Announcements and the Related Press Coverage

Number of pages: 56 Posted: 17 Apr 2008 Last Revised: 18 May 2008
Shibley Sadique, Francis Haeuck In and Madhu Veeraraghavan
Monash University - Department of Accounting, Monash University - Department of Accounting and T.A. PAI Management Institute, Finance Area
Downloads 500 (60,112)
Citation 15

Abstract:

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Earnings press release, Spin in earnings information, Tone, Stock market reaction

7.

A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market

Journal of Financial and Quantitative Analysis, Vol. 45, No. 3, June 2010, pp. 763-789
Number of pages: 43 Posted: 01 Feb 2008 Last Revised: 03 Nov 2012
Byoung Uk Kang, Francis Haeuck In, Gunky Kim and Tong Suk Kim
The Hong Kong Polytechnic University - School of Accounting and Finance, Monash University - Department of Accounting, Monash Business School and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 384 (82,368)
Citation 1

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Hedge Funds, Investment Horizon Effect, Nonlinear Dependence, Tail Dependence, Copulas, Filtered Historical Simulation

8.

Resisting the Manipulation of Performance Metrics: An Empirical Analysis of The Manipulation-Proof Performance Measure

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 59 Posted: 15 Jan 2010
Stephen J. Brown, MaengSoo Kang, Francis Haeuck In and Gunhee Lee
New York University - Stern School of Business, Sogang Business School, Monash University - Department of Accounting and Sogang Business School
Downloads 375 (84,697)
Citation 5

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Performance Measure, Performance Manipulation, Return Smoothing, Doubt Ratio, Madoff

9.

The Impact of a New Term Auction Facility on LIBOR-OIS Spreads and Volatility Transmission between Money and Mortgage Markets During the Subprime Crisis

Number of pages: 12 Posted: 24 Sep 2008 Last Revised: 13 Oct 2008
Francis Haeuck In, Jin Cui and Ann Mahraj
Monash University - Department of Accounting, Monash University - Department of Accounting and Monash University - Department of Econometrics & Business Statistics
Downloads 363 (87,959)

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Subprime crisis, Term Auction Facility, LIBOR-OIS spread, Commercial paper spread, Jumbo spread

10.

Investment Horizon Effect on Asset Allocation between Value and Growth Strategies

Number of pages: 31 Posted: 20 Apr 2010
Francis Haeuck In, Sangbae Kim and Ramazan Gencay
Monash University - Department of Accounting, Kyungpook National University - School of Business Administartion and Simon Fraser University
Downloads 245 (134,386)

Abstract:

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Asset allocation, value stocks, growth stocks, investment horizon, wavelet analysis

11.

Timescale Betas and the Cross Section of Equity Returns: Framework, Application, and Implication for Interpreting the Fama-French Factors

Journal of Empirical Finance, Forthcoming
Number of pages: 60 Posted: 05 Apr 2012 Last Revised: 26 Jan 2017
Byoung Uk Kang, Francis Haeuck In and Tong Suk Kim
The Hong Kong Polytechnic University - School of Accounting and Finance, Monash University - Department of Accounting and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 196 (166,300)
Citation 1

Abstract:

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Asset Pricing, Timescale Betas, Cross Section of Stock Returns, Fama-French Factors, Wavelets

12.

Spin in Earnings Information and Stock Returns

Number of pages: 30 Posted: 26 Feb 2007
Francis Haeuck In, Shibley Sadique and Madhu Veeraraghavan
Monash University - Department of Accounting, Monash University - Department of Accounting and T.A. PAI Management Institute, Finance Area
Downloads 194 (167,880)
Citation 1

Abstract:

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Earnings press release, Media coverage of earnings information, Bias in earnings information, Stock market reaction

13.

The Impact of Subprime Mortgage Crisis on Cross-Currency Linkage of LIBOR-OIS Spreads

22nd Australasian Finance and Banking Conference 2009
Number of pages: 42 Posted: 27 Aug 2009 Last Revised: 25 Apr 2011
Philip Ji and Francis Haeuck In
Monash University - Department of Accounting and Monash University - Department of Accounting
Downloads 152 (207,570)

Abstract:

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Subprime mortgage crisis, LIBOR-OIS spreads, Vector autoregressive model, Cointegration, Vector error correction

14.

Analyst Bias, Firm Characteristics, and Stock Returns in the Australian Stock Market

Number of pages: 39 Posted: 02 Apr 2010
Shibely Sadique, Francis Haeuck In and Madhu Veeraraghavan
Monash University, Monash University - Department of Accounting and T.A. PAI Management Institute, Finance Area
Downloads 150 (209,800)
Citation 3

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Optimistic bias, firm characteristics, investor reaction

15.

Do Sovereign Wealth Funds Make Informed Investment Decisions?

FIRN Research Paper
Number of pages: 28 Posted: 09 Jun 2013
Bong‐Soo Lee and Francis Haeuck In
Florida State University and Monash University - Department of Accounting
Downloads 136 (227,037)

Abstract:

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Sovereign wealth fund, Informed investors, Causality tests

16.

Competition of Socially Responsible and Conventional Mutual Funds and its Impact on Fund Performance

Number of pages: 55 Posted: 09 Jun 2013
Francis Haeuck In, Martin Kim and Raphael Jonghyeon Park
Monash University - Department of Accounting, Monash University and University of New South Wales (UNSW)
Downloads 79 (329,004)
Citation 2

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Mutual funds, Competition, Socially responsible investing

17.

Soft Information and Economic Activity: Evidence from the Beige Book

Number of pages: 33 Posted: 02 Sep 2010
Monash University - Department of Accounting, Monash University - Department of Accounting, T.A. PAI Management Institute, Finance Area and New York University - Stern School of Business
Downloads 68 (357,960)
Citation 4

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Beige Book, Tone

18.

Australian and Us Interest Rate Swap Markets: Comparison and Linkages

Accounting and Finance, Vol. 44, pp. 45-56, March 2004
Number of pages: 12 Posted: 23 Mar 2004
Francis Haeuck In, Victor Fang and Rob L. Brown
Monash University - Department of Accounting, Monash University - Department of Accounting and University of Melbourne - Department of Finance
Downloads 35 (475,459)
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19.

Valuing Credit Spreads on Quality Australian Dollar Eurobonds in a Multivariate Egarch Framework

Australian Economic Papers, Vol. 41, No. 1, pp. 115-128, March 2002
Number of pages: 14 Posted: 01 Dec 2002
Jonathan A. Batten, Francis Haeuck In and Warren P. Hogan
The University of Sydney, Monash University - Department of Accounting and University of Technology, Sydney - School of Finance and Economics
Downloads 25 (527,230)
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20.

The High-Frequency Responses of Australian Financial Futures to Unexpected Cash Rate Announcements

Economic Record, Vol. 85, Issue s1, pp. S22-S28, September 2009
Number of pages: 7 Posted: 08 Oct 2009
Xinsheng Lu, Francis Haeuck In and MINGTING KOU
University of Jinan, Monash University - Department of Accounting and affiliation not provided to SSRN
Downloads 2 (681,967)
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21.

The Effect of Diversification on Tail Risk: Evidence from Us Equity Mutual Fund Portfolios

International Review of Finance, Vol. 16, Issue 3, pp. 483-495, 2016
Number of pages: 13 Posted: 02 Sep 2016
Simon Xu, Francis Haeuck In and Inchang Hwang
Monash University - Department of Banking and Finance, Monash University - Department of Accounting and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 1 (694,025)
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22.

What Drives the Japanese Yen Eurobond Term Structure of Japanese Bonds

Quarterly Review of Economics and Finance, Vol. 43, No. 3, pp. 518-541, 2003
Posted: 17 Jun 2003
Jonathan A. Batten, Francis Haeuck In and Sangbae Kim
The University of Sydney, Monash University - Department of Accounting and Kyungpook National University - School of Business Administartion

Abstract:

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Long-run relationship, Expectations Hypothesis, Japanese yen Eurobonds, Canonical Cointegrating Regression, GARCH