Jonathan J. Reeves

UNSW Business School, University of New South Wales

Sydney, NSW 2052

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

SCHOLARLY PAPERS

23

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5,026

CITATIONS
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11

Scholarly Papers (23)

1.

Beta Forecasting: A Two-Decade Evaluation

Number of pages: 30 Posted: 08 Dec 2005
Vincent J. Hooper, Kevin Ng and Jonathan J. Reeves
Xiamen University, UNSW Australia Business School, School of Banking and Finance and UNSW Business School, University of New South Wales
Downloads 1,094 (18,657)
Citation 1

Abstract:

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Portfolio Management, Realized Beta, Autoregressive Model

2.

Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns

UNSW Australian School of Business Research Paper No. 2013 BFIN 07, FIRN Research Paper
Number of pages: 31 Posted: 06 Sep 2013 Last Revised: 27 Aug 2014
Tolga Cenesizoglu, Qianqiu Liu, Jonathan J. Reeves and Haifeng Wu
HEC Montreal - Department of Finance, University of Hawaii at Manoa - Shidler College of Business, UNSW Business School, University of New South Wales and UNSW Australia Business School, School of Banking and Finance
Downloads 673 (37,186)
Citation 7

Abstract:

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CAPM, portfolio optimization, systematic risk, time-series modeling

3.

Constant vs. Time-Varying Beta Models: Further Forecast Evaluation

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 30 Posted: 16 Aug 2010 Last Revised: 09 Apr 2011
Jonathan J. Reeves and Haifeng Wu
UNSW Business School, University of New South Wales and UNSW Australia Business School, School of Banking and Finance
Downloads 667 (37,592)
Citation 6

Abstract:

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Finance, Prediction, Realized beta, Systematic risk, Time series

4.

Quarterly Beta Forecasting

Number of pages: 17 Posted: 10 Nov 2005
Jonathan J. Reeves
UNSW Business School, University of New South Wales
Downloads 373 (77,877)

Abstract:

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Portfolio management, Realized covariation, Realized volatility

5.

CAPM, Components of Beta and the Cross Section of Expected Returns

Number of pages: 58 Posted: 19 Aug 2012 Last Revised: 13 Nov 2015
Tolga Cenesizoglu and Jonathan J. Reeves
HEC Montreal - Department of Finance and UNSW Business School, University of New South Wales
Downloads 323 (91,798)

Abstract:

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Asset Pricing, Systematic Risk, Mixed Frequency Data, Realized Beta, Component Models

6.

Equity Investing with Targeted Constant Volatility Exposure

FIRN Research Paper No. 2614828, UNSW Business School Research Paper
Number of pages: 45 Posted: 05 Jun 2015 Last Revised: 02 Feb 2017
Nicolas A. Papageorgiou, Jonathan J. Reeves and Michael Sherris
HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 321 (92,458)

Abstract:

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GARCH, Outliers, Portfolio management, Volatility forecasting, Volatility timing

7.

An Analysis on the Predictability of CAPM Beta for Momentum Returns

UNSW Business School Research Paper No. 2014 BFIN 18
Number of pages: 42 Posted: 04 Oct 2014 Last Revised: 09 Mar 2016
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and UNSW Australia Business School, School of Banking and Finance
Downloads 287 (104,441)

Abstract:

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Momentum Trading Strategies, Realized Beta, Systematic Risk

8.

Monthly Forecasts of Systematic Risk: An Evaluation

Number of pages: 33 Posted: 21 Nov 2007 Last Revised: 12 Sep 2010
Vincent J. Hooper, Kevin Ng and Jonathan J. Reeves
Xiamen University, UNSW Australia Business School, School of Banking and Finance and UNSW Business School, University of New South Wales
Downloads 238 (126,848)
Citation 1

Abstract:

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Beta, Forecasting, Systematic Risk

9.

Dynamic Asset Beta Measurement

Number of pages: 20 Posted: 21 Nov 2009 Last Revised: 29 Jan 2012
Brandon Chen and Jonathan J. Reeves
Victoria University of Wellington and UNSW Business School, University of New South Wales
Downloads 220 (137,022)
Citation 3

Abstract:

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beta measurement, high frequency, realized beta, Hodrick-Prescott filter

10.

Betas and the Myth of Market Neutrality

Number of pages: 27 Posted: 20 Dec 2011 Last Revised: 14 Dec 2012
Nicolas A. Papageorgiou, Jonathan J. Reeves and Xuan Xie
HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and Commonwealth Bank of Australia
Downloads 218 (138,228)
Citation 3

Abstract:

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realized beta, zero-beta portfolios, forecasting

11.

Forecasting Stock Return Volatility at the Quarterly Frequency: An Evaluation of Time Series Approaches

Number of pages: 25 Posted: 11 Nov 2010 Last Revised: 12 Feb 2011
Jonathan J. Reeves and Xuan Xie
UNSW Business School, University of New South Wales and Commonwealth Bank of Australia
Downloads 204 (147,138)

Abstract:

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high-frequency returns, financial risk management, realized volatility

12.

Beta Forecasting at Long Horizons

UNSW Business School Research Paper No. 2016 BFIN 01
Number of pages: 36 Posted: 15 Jul 2016 Last Revised: 18 Aug 2016
HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and UNSW Business School, University of New South Wales
Downloads 173 (171,006)

Abstract:

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NPV Analysis, Realized Beta, Systematic Risk

Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement

UNSW Australian School of Business Research Paper No. 2013 BFIN 06
Number of pages: 20 Posted: 29 Aug 2013 Last Revised: 20 Aug 2018
Andrew Phin, Todd Prono, Jonathan J. Reeves and Konark Saxena
University of New South Wales (UNSW), Federal Reserve Board, UNSW Business School, University of New South Wales and University of New South Wales
Downloads 104 (256,559)

Abstract:

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event studies, intraday returns, systematic risk

Level Shifts in Beta, Spurious Abnormal Returns and the Tarp Announcement

FEDS Working Paper No. 2018-081
Number of pages: 21 Posted: 03 Dec 2018 Last Revised: 21 Feb 2019
Andrew Phin, Todd Prono, Jonathan J. Reeves and Konark Saxena
University of New South Wales (UNSW), Federal Reserve Board, UNSW Business School, University of New South Wales and University of New South Wales
Downloads 18 (545,586)

Abstract:

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Event studies, Intraday returns, Systematic risk

14.

Targeting Market Neutrality

UNSW Business School Research Paper
Number of pages: 31 Posted: 20 Jan 2017 Last Revised: 15 Sep 2017
John B. Lee, Jonathan J. Reeves, Alice Tjahja and Xuan Xie
University of Auckland, UNSW Business School, University of New South Wales, UNSW Australia Business School, School of Banking and Finance and Commonwealth Bank of Australia
Downloads 113 (240,541)

Abstract:

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Beta forecasting, portfolio optimization, short-horizon forecasting

15.

The Low Volatility Anomaly in Australian Stock Returns

30th Australasian Finance and Banking Conference 2017
Posted: 09 Oct 2017 Last Revised: 21 Sep 2018
Joshua Bay, Qianqiu Liu, Jonathan J. Reeves, S. Ghon Rhee and Haifeng Wu
University of New South Wales (UNSW), School of Banking and Finance, Students, University of Hawaii at Manoa - Shidler College of Business, UNSW Business School, University of New South Wales, University of Hawaii - Shidler College of Business and UNSW Australia Business School, School of Banking and Finance

Abstract:

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Returns anomaly, realized volatility, CAPM, factor models

16.

Targeting Market Neutrality and Volatility

30th Australasian Finance and Banking Conference 2017
Posted: 18 Aug 2017 Last Revised: 04 May 2018
Bao Huy Doan and Jonathan J. Reeves
University of New South Wales and UNSW Business School, University of New South Wales

Abstract:

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beta forecasting, short-horizon forecasting, volatility forecasting, volatility timing, zero-beta portfolios

17.

Constant Versus Time-Varying Beta Models: Further Forecast Evaluation

Journal of Forecasting, vol. 32, issue 3, pages 256-266
Posted: 15 Jun 2013
Jonathan J. Reeves and Haifeng Wu
UNSW Business School, University of New South Wales and UNSW Australia Business School, School of Banking and Finance

Abstract:

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Finance, Prediction, Realized beta, Systematic risk, Time series

18.

Estimation and Inference in Arch Models in the Presence of Outliers

Journal of Financial Econometrics, Vol. 8, No. 4, pp. 547-569, 2010
Posted: 08 Sep 2010
Allan Gregory and Jonathan J. Reeves
Queen's University and UNSW Business School, University of New South Wales

Abstract:

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GARCH, Influential observations, volatility

19.

Bootstrap Prediction Intervals for ARCH Models

International Journal of Forecasting, Vol. 21, pp. 237-248, 2005
Posted: 08 Sep 2010
Jonathan J. Reeves
UNSW Business School, University of New South Wales

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Forecasting, GARCH, Non-Gaussian time series, Resampling

20.

Optimal Modelling Frequency for Foreign Exchange Volatility Forecasting

Applied Financial Economics, Vol. 19, No. 14, 2009
Posted: 25 Aug 2010
Jonathan J. Reeves, Vincent J. Hooper and Xuan Xie
UNSW Business School, University of New South Wales, Xiamen University and Commonwealth Bank of Australia

Abstract:

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High-frequency data, Realized volatility

21.

Forecasting Volatility in the Presence of Model Instability

Australian & New Zealand Journal of Statistics, Vol. 52, No. 2, pp. 221–237, 2010
Posted: 25 Aug 2010
Jonathan J. Reeves, John M. Maheu and Xuan Xie
UNSW Business School, University of New South Wales, McMaster University - Michael G. DeGroote School of Business and Commonwealth Bank of Australia

Abstract:

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high-frequency data, integrated volatility, realised volatility

22.

Quarterly Beta Forecasting: An Evaluation

International Journal of Forecasting, Vol. 24, No. 3, 2008
Posted: 29 Mar 2009
Vincent J. Hooper, Kevin Ng and Jonathan J. Reeves
Xiamen University, UNSW Australia Business School, School of Banking and Finance and UNSW Business School, University of New South Wales

Abstract:

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Portfolio management, Realized beta, Systematic risk

23.

Interpreting Value at Risk (VaR) Forecasts

Economic Systems, Vol. 32, No. 2, 2008
Posted: 31 Aug 2008
Allan Gregory and Jonathan J. Reeves
Queen's University and UNSW Business School, University of New South Wales

Abstract:

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Financial risk management