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

23

DOWNLOADS
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6,131

CITATIONS
Rank 17,424

SSRN RANKINGS

Top 17,424

in Total Papers Citations

19

Scholarly Papers (23)

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 992 (16,162)
Citation 1

Abstract:

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
KAIST Business School, Monash University - Department of Accounting and Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 752 (22,126)
Citation 2

Abstract:

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 Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 667 (28,981)
Citation 1

Abstract:

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 488 (40,053)
Citation 1

Abstract:

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 385 (48,820)

Abstract:

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

6.

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 Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 365 (61,998)
Citation 3

Abstract:

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

7.

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 351 (56,922)
Citation 4

Abstract:

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

8.

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 328 (69,051)
Citation 3

Abstract:

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

9.

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 283 (74,472)
Citation 1

Abstract:

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

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 220 (108,172)

Abstract:

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

11.

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 182 (131,469)
Citation 1

Abstract:

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

12.

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 133 (168,390)

Abstract:

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

13.

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 132 (165,514)

Abstract:

Optimistic bias, firm characteristics, investor reaction

14.

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 Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 125 (152,120)

Abstract:

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

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 99 (188,832)

Abstract:

Sovereign wealth fund, Informed investors, Causality tests

16.

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 55 (295,768)

Abstract:

Beige Book, Tone

17.

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 Monash University - Department of Accounting
Downloads 46 (293,301)

Abstract:

Mutual funds, Competition, Socially responsible investing

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 (367,844)
Citation 1
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Abstract:

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
Monash University, Monash University - Department of Accounting and University of Technology, Sydney - School of Finance and Economics
Downloads 25 (409,753)
Citation 1
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Abstract:

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 (523,907)
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Abstract:

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 KAIST Business School
Downloads 0 (532,290)
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Abstract:

22.

Do Sovereign Wealth Funds Stabilize Stock Markets?

Posted: 09 Jun 2013 Last Revised: 24 Mar 2015
Francis Haeuck In, Raphael Jonghyeon Park and Bong‐Soo Lee
Monash University - Department of Accounting, Monash University - Department of Accounting and Florida State University

Abstract:

Sovereign wealth fund, Tail risk, Marginal expected shortfall, Liquidity effect

23.

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
Monash University, Monash University - Department of Accounting and Kyungpook National University - School of Business Administartion

Abstract:

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