Thomas Henker

Bond University

Professor

Gold Coast, QLD 4229

Australia

  • Bond University

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    • Tel: +61 7 5595-1561
SCHOLARLY PAPERS

24

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SSRN CITATIONS
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Top 21,894

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25

CROSSREF CITATIONS

20

Scholarly Papers (24)

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1.

Real Options Valuation of Australian Gold Mines and Mining Companies

Number of pages: 32 Posted: 19 Dec 2002
David B. Colwell, Thomas Henker and John Ho
UNSW Australia Business School, School of Banking and Finance, Bond University and UNSW Australia Business School, School of Banking and Finance
Downloads 2,596 (7,192)
Citation 2

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real options, mining companies, closure option, Brennan and Schwartz

2.

The Vanishing Abnormal Returns of Momentum Strategies and 'Front-Running' Momentum Strategies

Number of pages: 66 Posted: 18 Aug 2006 Last Revised: 12 May 2009
Thomas Henker, Martin Martens and Robert Huynh
Bond University, Robeco Asset Management and UNSW Australia Business School, School of Banking and Finance
Downloads 1,374 (19,685)

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Momentum portfolio, front-running, abnormal return, portfolio selection

3.

Do Investors Herd Intraday in the Australian Equities Market?

Number of pages: 38 Posted: 02 Jan 2004
Julia Henker, Thomas Henker and Anna Mitsios
Bond University, Bond University and affiliation not provided to SSRN
Downloads 579 (65,141)
Citation 10

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Herding, behavioral finance, excess volatility

4.

The Effect of the Ban on Short Selling on Market Efficiency and Volatility

Number of pages: 55 Posted: 15 Mar 2010 Last Revised: 01 Sep 2010
Uwe Helmes, Julia Henker and Thomas Henker
UNSW Business School, Bond University and Bond University
Downloads 564 (67,409)
Citation 3

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short selling ban, market quality

5.

The Effect of the Ban on Short Selling on Market Efficiency and Volatility

Number of pages: 55 Posted: 08 Oct 2010
Uwe Helmes, Julia Henker and Thomas Henker
UNSW Business School, Bond University and Bond University
Downloads 519 (74,913)
Citation 12

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Short-Selling, Short Selling Ban, Market Quality, Global Financial Crisis, GFC

6.

On the Importance of Timing Specifications in Market Microstructure Research

Downloads 470 ( 84,357)
Citation 6

On the Importance of Timing Specifications in Market Microstructure Research

Journal of Financial Markets, Forthcoming
Number of pages: 29 Posted: 09 May 2006
Thomas Henker and Jian-Xin Wang
Bond University and University of Technology Sydney
Downloads 249 (167,735)

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microstructure, timing specification, quotes, trades, spread components, asymmetric information

On the Importance of Timing Specifications in Market Microstructure Research

Number of pages: 25 Posted: 14 Apr 2005
Thomas Henker and Jian-Xin Wang
Bond University and University of Technology Sydney
Downloads 221 (188,191)
Citation 6

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Spread components, spread decomposition, adverse selection, timing specification

7.

Index-Futures Arbitrage Before and after the Introduction of Sixteenths on the NYSE

Number of pages: 36 Posted: 27 Jan 2001
Thomas Henker and Martin Martens
Bond University and Robeco Asset Management
Downloads 450 (88,752)
Citation 2

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Index-futures arbitrage, program trading

8.

Spread Decomposition and Commonality in Liquidity

U of New South Wales School of Banking and Finance Working Paper No. 12-2002
Number of pages: 40 Posted: 21 Jan 2003
Thomas Henker and Martin Martens
Bond University and Robeco Asset Management
Downloads 415 (97,530)
Citation 1

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spread component, spread decomposition, commonality, microstructure

9.

The Impact of Deviations from Random Walk in Security Prices on Option Prices

Number of pages: 20 Posted: 09 Apr 1998
Thomas Henker and Hossein B. Kazemi
Bond University and University of Massachusetts at Amherst - Isenberg School of Management
Downloads 390 (104,770)
Citation 1

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10.

The Fading Abnormal Returns of Momentum Strategies

UNSW Australian School of Business Research Paper No. 1401727
Number of pages: 31 Posted: 19 May 2009
Thomas Henker, Martin Martens and Robert Huynh
Bond University, Robeco Asset Management and UNSW Australia Business School, School of Banking and Finance
Downloads 338 (122,961)
Citation 1

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Momentum portfolio, front-running, abnormal return, portfolio selection

11.

Intraday Speed of Price Adjustment in the Jakarta Stock Exchange

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 35 Posted: 10 Sep 2007
Zaäfri A. Husodo and Thomas Henker
Universitas Indonesia, Graduate School of Management and Bond University
Downloads 277 (151,347)

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Speed of adjustment, price discovery, noise, intraday pattern, the jakarta stock exchange

12.

Survivorship Bias and Alternative Explanations of Momentum Effect

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 38 Posted: 25 Aug 2010 Last Revised: 04 Dec 2014
Julia Henker and Thomas Henker
Bond University and Bond University
Downloads 256 (163,843)
Citation 2

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Momentum, abnormal returns, portfolio selection, momentum portfolio

13.

Bubbles and Buyers: Are Individual Investors the Culprits?

Number of pages: 40 Posted: 23 Aug 2007
Julia Henker and Thomas Henker
Bond University and Bond University
Downloads 242 (172,954)

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retail investor, institutional investor, bubble, anomaly, cognitive error

14.

Noise and Efficient Variance in the Indonesia Stock Exchange

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 45 Posted: 24 Aug 2008
Thomas Henker and Zaäfri A. Husodo
Bond University and Universitas Indonesia, Graduate School of Management
Downloads 226 (184,647)
Citation 3

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Realized variance, Optimal sampling, Noise, Efficient variance, Indonesia Stock Exchange

15.

Buying the Dividend: Dividend Drop Ratios and Tax Theory in the Presence of Tax Exempt and Tax Indifferent Investors

Number of pages: 27 Posted: 17 Aug 2006
Thomas Henker and Vyas Belasubramanyam
Bond University and UBS Sydney
Downloads 220 (189,373)

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Dividend drop ratio, dividend capture, tax arbitrage, ex-dividend

16.

How the Australian Ban on Short Selling During the GFC Affected Market Quality and Volatility

2012 Financial Markets & Corporate Governance Conference
Number of pages: 55 Posted: 11 Dec 2011
Thomas Henker, Julia Henker and Uwe Helmes
Bond University, Bond University and UNSW Business School
Downloads 215 (193,527)
Citation 1

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Short-selling, short selling ban, market quality

17.

Short-Run Behavior of Stock Returns: Speed of Adjustment and its Contributing Factors in the Jakarta Stock Exchange

Number of pages: 57 Posted: 01 Jul 2007
Zaäfri A. Husodo and Thomas Henker
Universitas Indonesia, Graduate School of Management and Bond University
Downloads 214 (194,382)
Citation 1

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speed of adjustment, bid-ask spread components, jakarta stock exchange

18.

Intraday Speed of Adjustment and the Realized Variance in the Indonesia Stock Exchange

Indonesian Capital Market Review, Vol. 1, pp. 13-26, 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 28 Posted: 24 Aug 2008 Last Revised: 13 Feb 2013
Zaäfri A. Husodo and Thomas Henker
Universitas Indonesia, Graduate School of Management and Bond University
Downloads 210 (197,883)
Citation 1

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Speed of Adjustment, Realized Variance, Noise, Indonesia Stock Exchange

19.

Migration of Trading and the Introduction of Single Stock Futures on the Underlying U.S. Stocks

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 34 Posted: 25 Aug 2008 Last Revised: 08 Sep 2009
André Gygax, Thomas Henker, Wai-Man Liu and Kok Wen Loong
University of Melbourne - Department of Finance, Bond University, Australian National University and affiliation not provided to SSRN
Downloads 190 (216,696)

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Migration of trading, Liquidity Trading, Informed Trading

20.

Price Discovery in Holdr Security Baskets and the Underlying Stocks

Number of pages: 29 Posted: 17 Aug 2006
Thomas Henker and Martin Martens
Bond University and Robeco Asset Management
Downloads 96 (364,397)

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Price discovery, basket securities, HOLDR, information share

21.

Fragmentation and Consolidation of Dark and Lit Order Books

7th Australasian Actuarial Education and Research Symposium
Number of pages: 39 Posted: 03 Dec 2015
Jay Majtyka, Thomas Henker and Julia Henker
Bond University, Bond University and Bond University
Downloads 74 (425,186)

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Dark pools, off-exchange, fragmentation

22.

Price Discovery and Liquidity in Basket Securities

Financial Review, Vol. 43, Issue 2, pp. 219-239, May 2008
Number of pages: 21 Posted: 02 Apr 2008
Thomas Henker and Martin Martens
Bond University and Robeco Asset Management
Downloads 9 (777,337)

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23.

Mutual Fund Characteristics, Managerial Attributes and Fund Performance

Review of Financial Economics, Vol. 13, 2004
Posted: 07 Sep 2008
William J. Bertin, Thomas Henker and Laurie Prather
Bond University - Faculty of Business, Technology and Sustainable Development, Bond University and Bond University - Faculty of Business, Technology and Sustainable Development

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mutual funds, fund characteristics, mutual fund performance

24.

The Bid-Ask Spread of the Ftse-100 Futures Contract

Posted: 21 Sep 1998
Thomas Henker
Bond University

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