Jamie Alcock

The University of Sydney Business School

Associate Professor of Finance

Cnr. of Codrington and Rose Streets

Sydney, NSW 2006

Australia

Centre for International Finance and Regulation (CIFR)

Level 7, UNSW CBD Campus

1 O'Connell Street

Sydney, NSW 2000

Australia

SCHOLARLY PAPERS

27

DOWNLOADS
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Top 9,656

in Total Papers Downloads

3,754

CITATIONS
Rank 21,901

SSRN RANKINGS

Top 21,901

in Total Papers Citations

13

Scholarly Papers (27)

1.

On the Capital Structure of Real Estate Firms

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 32 Posted: 23 Aug 2010 Last Revised: 05 Apr 2011
Jamie Alcock, Eva Steiner and Kelvin Jui Keng Tan
The University of Sydney Business School, School of Hotel Administration, Cornell University and University of Queensland - Business School
Downloads 812 (19,525)

Abstract:

Capital Structure, Leverage, Maturity, Real Estate Firms

2.

Nonparametric American Option Pricing

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 34 Posted: 18 Sep 2007
Jamie Alcock and Trent A. Carmichael
The University of Sydney Business School and University of Queensland
Downloads 333 (66,437)
Citation 3

Abstract:

Option pricing, American options, nonparametric methods, entropy

3.

The Price of Earnings for Firms with Volatile Earnings Growth

Number of pages: 15 Posted: 15 May 2008
Jamie Alcock, Thomas Mollee and James Wood
The University of Sydney Business School, Meiji Institute for Advanced Study of Mathematical Sciences and University of New South Wales (UNSW)
Downloads 254 (92,446)

Abstract:

PE ratio, volatile earnings growth, equity valuation, SEVM

The Determinants of Debt Maturity in Australian Firms

Accounting & Finance, Forthcoming
Number of pages: 31 Posted: 19 Dec 2010
Jamie Alcock, Frank Finn and Kelvin Jui Keng Tan
The University of Sydney Business School, University of Queensland - Business School and University of Queensland - Business School
Downloads 223 (107,469)
Citation 1

Abstract:

Debt Maturity, Capital Structure

The Determinants of Debt Maturity in Australian Firms

Accounting & Finance, Vol. 52, Issue 2, pp. 313-341, 2012
Number of pages: 29 Posted: 21 Apr 2012
Jamie Alcock, Frank Finn and Kelvin Jui Keng Tan
The University of Sydney Business School, University of Queensland - Business School and University of Queensland - Business School
Downloads 1 (549,308)
Citation 1

Abstract:

Debt maturity, Capital structure, Leverage

Quantifying the Advantage of Secondary Mathematics Study for Accounting and Finance Undergraduates

Accounting and Finance, Forthcoming
Number of pages: 29 Posted: 15 May 2008 Last Revised: 27 Aug 2008
Jamie Alcock, Sophie Cockcroft and Frank Finn
The University of Sydney Business School, University of Queensland - Business School and University of Queensland - Business School
Downloads 196 (122,089)

Abstract:

Education, Finance, Accounting, Mathematics

Quantifying the Advantage of Secondary Mathematics Study for Accounting and Finance Undergraduates

Accounting & Finance, Vol. 48, No. 5, pp. 697-718, December 2008
Number of pages: 22 Posted: 03 Nov 2008
Jamie Alcock, Sophie Cockcroft and Frank Finn
The University of Sydney Business School, University of Queensland - Business School and University of Queensland - Business School
Downloads 2 (539,862)

Abstract:

6.

Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It?

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 03 May 2013
University of Queensland Business School, The University of Sydney Business School, University of Queensland and University of Queensland
Downloads 197 (84,014)

Abstract:

vine copula, clayton copula, asymmetric dependence, portfolio management, canonical vine, Conditional Value-At-Risk

7.

The Value of Managing Asymmetry Risk in a Portfolio of International Equity Indices

Number of pages: 36 Posted: 18 Sep 2007 Last Revised: 07 Apr 2008
Jamie Alcock and Anthony Hatherley
The University of Sydney Business School and Citigroup, Inc. - Citigroup - Sydney
Downloads 187 (124,054)

Abstract:

Portfolio selection, Asymmetric dependence, Lower Tail Dependence, Copula functions, Conditional Value-at-Risk

8.

Future Earnings Growth Volatility and the Value Premium

24th Australasian Finance and Banking Conference 2011 Paper, Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 31 Posted: 22 Aug 2011 Last Revised: 16 Jan 2012
Jamie Alcock, Eva Steiner and Kelvin Jui Keng Tan
The University of Sydney Business School, School of Hotel Administration, Cornell University and University of Queensland - Business School
Downloads 174 (127,754)

Abstract:

Asset pricing, Fama-French factor model, market efficiency

9.

Extended Nonparametric American Option Pricing

Number of pages: 35 Posted: 29 Feb 2008
Jamie Alcock and Diana Auerswald
The University of Sydney Business School and Goethe University Frankfurt - Department of Finance
Downloads 160 (145,433)
Citation 3

Abstract:

Nonparametric Option Pricing, American Options, Canonical Pricing

10.

Asymmetric Dependence between Domestic Equity Indices and its Effect on Portfolio Construction

Australian Actuarial Journal, Forthcoming
Number of pages: 38 Posted: 02 Feb 2009 Last Revised: 18 May 2009
Jamie Alcock and Anthony Hatherley
The University of Sydney Business School and Citigroup, Inc. - Citigroup - Sydney
Downloads 123 (171,413)

Abstract:

Portfolio selection, Copula functions, Conditional Value-at-Risk, Asymmetric dependence

11.

Leverage, Volatile Future Earnings Growth and Expected Stock Returns

Number of pages: 47 Posted: 08 Aug 2014 Last Revised: 15 Aug 2014
Jamie Alcock, Eva Steiner and Kelvin Jui Keng Tan
The University of Sydney Business School, School of Hotel Administration, Cornell University and University of Queensland - Business School
Downloads 99 (190,473)

Abstract:

corporate leverage, default risk, earnings risk, earnings growth, value vs growth, stochastic earnings valuation model.

12.

Empirical Tests of Canonical Nonparametric American Option Pricing Methods

Number of pages: 28 Posted: 16 May 2009
Jamie Alcock and Diana Auerswald
The University of Sydney Business School and Goethe University Frankfurt - Department of Finance
Downloads 94 (216,343)
Citation 1

Abstract:

Nonparametric option pricing, American options, S&P100 Index, OEX options

13.

Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options

25th Australasian Finance and Banking Conference 2012
Number of pages: 30 Posted: 28 Aug 2012 Last Revised: 16 Feb 2013
Jamie Alcock and Godfrey Smith
The University of Sydney Business School and The University of Queensland
Downloads 84 (222,458)

Abstract:

Nonparametric option pricing, Delta hedging, Canonical option pricing, Empirical Likelihood, Euclidean, Pearson's Chi-Squared, Cressie-Read

14.

The Influence of Customer-Supplier Linkages on Stock Returns

Number of pages: 42 Posted: 05 Aug 2014 Last Revised: 08 Aug 2014
Jamie Alcock and Ramona Meyricke
The University of Sydney Business School and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 82 (200,695)

Abstract:

Customer-supplier linkages, economic linkages, diversification, stock returns

15.

Unexpected Inflation, Capital Structure and Real Risk-Adjusted Firm Performance

Number of pages: 35 Posted: 25 Aug 2014
Jamie Alcock and Eva Steiner
The University of Sydney Business School and School of Hotel Administration, Cornell University
Downloads 60 (206,214)

Abstract:

REITs, leverage, inflation hedging, real risk-adjusted performance

16.

Strategic Liquidation of a Limited Liability Firm

Number of pages: 43 Posted: 06 Feb 2015 Last Revised: 24 Feb 2015
The University of Sydney Business School, University of Queensland - Business School and University of Queensland - Business School
Downloads 59 (242,569)

Abstract:

Voluntary liquidation, stochastic earnings model, American-Asian option

17.

Characterizing the Asymmetric Dependence Premium

Review of Finance, Forthcoming
Number of pages: 59 Posted: 07 Aug 2014 Last Revised: 12 Mar 2016
Jamie Alcock and Anthony Hatherley
The University of Sydney Business School and Citigroup, Inc. - Citigroup - Sydney
Downloads 57 (232,097)

Abstract:

Asymmetric dependence, asset pricing, tail risk, downside risk, Beta, Adjusted-J statistic

18.

Forecasting Stock Returns Using Model-Selection Criteria

Economic Record, Vol. 81, pp. 135-151, June 2005
Number of pages: 17 Posted: 20 May 2005
Jamie Alcock and Philip Gray
The University of Sydney Business School and Monash University - Department of Banking and Finance
Downloads 18 (435,384)
Citation 1

Abstract:

19.

Portfolio Construction Incorporating Asymmetric Dependence Structures: A User's Guide

Accounting and Finance, Vol. 47, No. 3, pp. 447-472, September 2007
Number of pages: 26 Posted: 18 Sep 2007
Jamie Alcock and Anthony Hatherley
The University of Sydney Business School and Citigroup, Inc. - Citigroup - Sydney
Downloads 16 (445,526)
Citation 4

Abstract:

20.

Asset Price Bubbles in the Australian Market

CIFR Paper No. 119/2016
Number of pages: 154 Posted: 30 Aug 2016
The University of Sydney Business School, The University of Sydney, University of Sydney - Discipline of Finance, University of Sydney, University of Cambridge - Faculty of Economics and Politics, University of Sydney Business School, The University of Sydney Business School and University of Sydney - Business School - Finance Discipline
Downloads 0 (291,354)

Abstract:

Asset Price bubbles, Markets

21.

Progressive Income Tax and Risky Personal Income: A Real Options Perspective

Number of pages: 19 Posted: 13 Jan 2016
Jamie Alcock
The University of Sydney Business School
Downloads 0 (378,126)

Abstract:

Progressive Income Taxation, Call Options

22.

Non-Parametric American Option Valuation Using Cressie-Read Divergences

Number of pages: 31 Posted: 13 Jan 2016 Last Revised: 14 Mar 2016
Jamie Alcock and Godfrey Smith
The University of Sydney Business School and The University of Queensland
Downloads 0 (490,610)

Abstract:

23.

Fundamental Drivers of Dependence in REIT Returns

Number of pages: 46 Posted: 04 Oct 2015
Jamie Alcock and Eva Steiner
The University of Sydney Business School and School of Hotel Administration, Cornell University
Downloads 0 (272,727)

Abstract:

Portfolio Diversification, REITs, Real estate as an asset class

24.

Joint Leverage and Maturity Choices in Real Estate Firms: The Role of the REIT Status

Journal of Real Estate Finance and Economics, 2014, 48(1), 57-78
Posted: 03 Dec 2013 Last Revised: 10 Oct 2014
Jamie Alcock, Eva Steiner and Kelvin Jui Keng Tan
The University of Sydney Business School, School of Hotel Administration, Cornell University and University of Queensland - Business School

Abstract:

Leverage; Debt maturity; Capital structure

25.

Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence

Journal of Real Estate Finance and Economics, Vol. 47, No. 3, 2013
Posted: 04 Sep 2013
Jamie Alcock, John L. Glascock and Eva Steiner
The University of Sydney Business School, University of Connecticut and School of Hotel Administration, Cornell University

Abstract:

real estate, performance valuation, manipulation

26.

The Role of Financial Leverage in the Performance of Private Equity Real Estate Funds

Journal of Portfolio Management, 2013, 39(5), 99-110
Posted: 08 Feb 2013 Last Revised: 20 Feb 2014
The University of Sydney Business School, University of Oxford, Said Business School, Property Funds Research and School of Hotel Administration, Cornell University

Abstract:

Private equity real estate funds, performance analysis, financial leverage

27.

Mismatched! An Empirical Examination of Traditional Debt Maturity Theories in Australian Firms

Second Singapore International Conference on Finance 2008
Posted: 25 Jan 2008 Last Revised: 19 Dec 2010
Jamie Alcock, Frank Finn and Kelvin Jui Keng Tan
The University of Sydney Business School, University of Queensland - Business School and University of Queensland - Business School

Abstract:

Debt Maturity, Capital Structure, Imperfect Markets