Paul Kofman

The University of Melbourne

Professor of Finance

Faculty of Economics and Commerce

Department of Finance

Parkville, Victoria 3010

Australia

SCHOLARLY PAPERS

14

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Top 44,387

in Total Papers Downloads

910

SSRN RANKINGS

Top 13,812

in Total Papers Citations

27

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Scholarly Papers (14)

1.

Diversification Meltdown or Just Fat Tails?

EFA 2006 Zurich Meetings
Number of pages: 38 Posted: 14 Jun 2006
Tilburg University - Department of Finance, Monash University - Department of Econometrics & Business Statistics, Tilburg University - Department of Finance and The University of Melbourne
Downloads 240 (125,084)

Abstract:

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Exceedance correlation, Truncated correlation, Bivariate Student-t correlation

2.

Default Risk, Size and the Business Cycle: Three Decades of Australian Asset Pricing Evidence

Number of pages: 31 Posted: 26 Feb 2008
H. Chan, Robert W. Faff and Paul Kofman
University of Melbourne - Department of Finance, University of Queensland and The University of Melbourne
Downloads 189 (157,080)

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Default risk, Business cycle, Conditional Asset pricing, Microcaps

3.

Intraday REIT Liquidity

Journal of Real Estate Research, Vol. 27, No. 2, 2005
Number of pages: 22 Posted: 26 Dec 2006
Bond University - Faculty of Business, Technology and Sustainable Development, University of Technology Sydney (UTS) - School of Finance and Economics, Bond University - Faculty of Business, Technology and Sustainable Development and The University of Melbourne
Downloads 149 (193,131)

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REIT, real estate investment trust, transaction cost, liquidity

4.

Reversing the Lead, or a Series of Unfortunate Events? NYMEX, ICI and Amaranth

Number of pages: 35 Posted: 13 Feb 2009
Paul Kofman, David Michayluk and James T. Moser
The University of Melbourne, University of Technology Sydney (UTS) - School of Finance and Economics and American University - Kogod School of Business
Downloads 108 (247,052)

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price discovery, trading platforms, natural gas derivatives

5.

Stock Margins and the Conditional Probability of Price Reversals

Economic Perspectives, 3rd Quarter, 2001
Number of pages: 11 Posted: 21 Jun 2006
James T. Moser and Paul Kofman
American University - Kogod School of Business and The University of Melbourne
Downloads 98 (264,008)

Abstract:

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stock, margin

6.

Empirical Evidence on Relationships in Insurance Markets

Number of pages: 44 Posted: 27 May 2010
Paul Kofman and Greg Nini
The University of Melbourne and Drexel University - Department of Finance
Downloads 68 (328,577)

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7.

Increased Correlation in Bear Markets: A Downside Risk Perspective

CEPR Discussion Paper No. 3172
Number of pages: 26 Posted: 14 Feb 2002
Tilburg University - Department of Finance, Tilburg University - Department of Finance and The University of Melbourne
Downloads 58 (356,190)
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International equity markets, correlation, extreme returns, downside risk

8.

Do Insurance Companies Possess an Informational Monopoly? Empirical Evidence from Auto Insurance

Journal of Risk and Insurance, Vol. 80, Issue 4, pp. 1001-1026, 2013
Number of pages: 26 Posted: 18 Dec 2013
Paul Kofman and Greg Nini
The University of Melbourne and Drexel University - Department of Finance
Downloads 0 (656,222)
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9.

Is Default Risk Priced in Australian Equity? Exploring the Role of the Business Cycle

Australian Journal of Management, Vol. 36, No. 2, 2011
Posted: 05 Feb 2012
H. Chan, Robert W. Faff and Paul Kofman
University of Melbourne - Department of Finance, University of Queensland and The University of Melbourne

Abstract:

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asset pricing, business cycle, default risk

10.

Using Multiple Imputation in the Analysis of Incomplete Observations in Finance

Journal of Financial Econometrics, Vol. 1, No. 2, pp. 216-249, 2003
Posted: 29 Feb 2008
Ian G. Sharpe and Paul Kofman
Australian Prudential Regulation Authority and The University of Melbourne

Abstract:

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incomplete data, multiple imputation

11.

Increased Correlation in Bear Markets

Financial Analysts Journal, Vol. 58, No. 1
Posted: 22 Mar 2002
Tilburg University - Department of Finance, Tilburg University - Department of Finance and The University of Melbourne

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12.

Covariance and Correlation in International Equity Returns: A Value-at-Risk Approach

Erasmus University Rotterdam Working Paper No. 004
Posted: 16 Nov 2000
Tilburg University - Department of Finance, Tilburg University - Department of Finance and The University of Melbourne

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13.

Spreads, Information Flows and Transparency Across Trading Systems Federal Reserve Bank of Chicago, Issues in Financial Regulation

Posted: 15 Sep 1999
Paul Kofman and James T. Moser
The University of Melbourne and American University - Kogod School of Business

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14.

A Threshold Error Correction Model for Intraday Futures and Index Returns

Posted: 05 Jul 1998
Martin Martens, Paul Kofman and Ton Vorst
Erasmus University Rotterdam (EUR), The University of Melbourne and VU University Amsterdam - Department of Finance and Financial Sector Management

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