Daniel R. Smith

Queensland University of Technology - School of Economics and Finance

Professor of Finance

GPO Box 2434

2 George Street

Brisbane, Queensland 4001

Australia

Simon Fraser University

Associate Professor of Finance

8888 University Drive

Burnaby, British Colombia V5A 1S6

Canada

http://www.sfu.ca/~drsmith

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 6,839

SSRN RANKINGS

Top 6,839

in Total Papers Downloads

9,235

SSRN CITATIONS
Rank 14,107

SSRN RANKINGS

Top 14,107

in Total Papers Citations

58

CROSSREF CITATIONS

24

Scholarly Papers (17)

1.

The Level and Quality of Value-at-Risk Disclosure by Commercial Banks

AFA 2008 New Orleans Meetings Paper, Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 49 Posted: 20 Dec 2006 Last Revised: 14 Mar 2013
Christophe Pérignon and Daniel R. Smith
HEC Paris - Finance Department and Queensland University of Technology - School of Economics and Finance
Downloads 1,691 (14,810)
Citation 39

Abstract:

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Value-at-Risk, Disclosure, Market Risk, Proprietary Risk Management

2.

Diversification and Value-at-Risk

Number of pages: 29 Posted: 20 Sep 2007 Last Revised: 14 Mar 2013
Christophe Pérignon and Daniel R. Smith
HEC Paris - Finance Department and Queensland University of Technology - School of Economics and Finance
Downloads 1,313 (21,658)
Citation 6

Abstract:

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Value-at-Risk, Diversification, Correlation, Sources of Risk

3.

Institutional Ownership, Volatility and Dividends

AFA 2008 New Orleans Meetings Paper
Number of pages: 37 Posted: 30 Aug 2006 Last Revised: 25 Jan 2008
Amir Rubin and Daniel R. Smith
Simon Fraser University (SFU) - Beedie School of Business and Queensland University of Technology - School of Economics and Finance
Downloads 986 (32,840)
Citation 9

Abstract:

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Dividend policy, Herding, Institutional Investors, Ownership Structure, Volatility

4.

Testing for Structural Breaks in GARCH Models

Number of pages: 40 Posted: 22 May 2006
Daniel R. Smith
Queensland University of Technology - School of Economics and Finance
Downloads 882 (38,464)
Citation 2

Abstract:

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GARCH, Diagnostic tests, Structural breaks

5.

A Stochastic Volatility Model with Fat Tails, Skewness and Leverage Effects

Number of pages: 24 Posted: 27 Dec 2007
Daniel R. Smith
Queensland University of Technology - School of Economics and Finance
Downloads 670 (55,535)
Citation 1

Abstract:

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Stochastic volatility, Leverage Effect, Copula, Skewness, Kurtosis

6.

Conditional Coskewness and Asset Pricing

Number of pages: 41 Posted: 10 Feb 2006 Last Revised: 10 Mar 2008
Daniel R. Smith
Queensland University of Technology - School of Economics and Finance
Downloads 644 (58,401)
Citation 4

Abstract:

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GMM, Asset Pricing, Conditional, Nonlinear, Coskewness, Pricing Kernel

7.

Risk and Return in Stochastic Volatility Models: Volatility Feedback Matters!

Number of pages: 41 Posted: 17 Mar 2006 Last Revised: 16 Dec 2007
Daniel R. Smith
Queensland University of Technology - School of Economics and Finance
Downloads 497 (80,910)
Citation 4

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Risk-Return, Volatility Feedback, Stochastic Volatility, Leverage Effect, Return Asymmetry

8.

Stock Price Reaction to News: The Joint Effect of Tone and Attention on Momentum

Journal of Behavioral Finance, Forthcoming, FIRN Research Paper
Number of pages: 58 Posted: 13 Sep 2013 Last Revised: 06 Apr 2016
Thanh Huynh and Daniel R. Smith
Monash University - Department of Banking and Finance and Queensland University of Technology - School of Economics and Finance
Downloads 475 (85,361)
Citation 4

Abstract:

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momentum, abnormal returns, underreaction, news sentiment, attention

Evaluating Specification Tests for Markov-Switching Time Series Models

Number of pages: 33 Posted: 02 Apr 2007
Daniel R. Smith
Queensland University of Technology - School of Economics and Finance
Downloads 418 (98,240)

Abstract:

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Markov regime-switching, Lagrange multiplier, specification tests, autocorrelation, ARCH

Evaluating Specification Tests for Markov-Switching Time-Series Models

Journal of Time Series Analysis, Vol. 29, Issue 4, pp. 629-652, July 2008
Number of pages: 24 Posted: 19 Jun 2008
Daniel R. Smith
Queensland University of Technology - School of Economics and Finance
Downloads 2 (916,279)

Abstract:

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10.

Asymmetry in Stochastic Volatility Models: Threshold or Correlation?

Number of pages: 24 Posted: 28 Mar 2007 Last Revised: 28 Dec 2008
Daniel R. Smith
Queensland University of Technology - School of Economics and Finance
Downloads 387 (108,379)

Abstract:

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Stochastic Volatility, Leverage Effect, Threshold, Maximum Likelihood, Extended Kalman Filter

11.

The Distribution of the Sample Minimum-Variance Frontier

Number of pages: 60 Posted: 18 Mar 2006
Raymond Kan and Daniel R. Smith
University of Toronto - Rotman School of Management and Queensland University of Technology - School of Economics and Finance
Downloads 366 (115,379)
Citation 8

Abstract:

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Minimum-variance frontier, Efficiency set

12.

Yield-Factor Volatility Models

Number of pages: 31 Posted: 15 Nov 2006
Christophe Pérignon and Daniel R. Smith
HEC Paris - Finance Department and Queensland University of Technology - School of Economics and Finance
Downloads 298 (143,735)
Citation 2

Abstract:

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Yields, GARCH, Level Effect, Regime Shifts

13.

Alternative Explanations of the Volatility Trend: Are They Really That Different?

Number of pages: 57 Posted: 17 Oct 2007 Last Revised: 20 Mar 2009
Amir Rubin and Daniel R. Smith
Simon Fraser University (SFU) - Beedie School of Business and Queensland University of Technology - School of Economics and Finance
Downloads 244 (175,676)

Abstract:

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Volatility, Trend, Turnover

14.

Return Predictability Under the Alternative

Number of pages: 54 Posted: 26 Aug 2012 Last Revised: 03 Dec 2013
Marco Rossi, Timothy T. Simin and Daniel R. Smith
Texas A&M, Pennsylvania State University and Queensland University of Technology - School of Economics and Finance
Downloads 173 (240,259)
Citation 1

Abstract:

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Predictability, overlapping observations, analytical standard errors, size, power

15.

Delisted Stocks and Momentum: Evidence from a New Australian Dataset

Australian Journal of Management, Forthcoming
Number of pages: 36 Posted: 05 Dec 2014
Thanh Huynh and Daniel R. Smith
Monash University - Department of Banking and Finance and Queensland University of Technology - School of Economics and Finance
Downloads 98 (367,707)
Citation 1

Abstract:

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delisted stocks, delisting returns, momentum

16.

Conditional Asset Pricing and Momentum

Number of pages: 56 Posted: 28 Aug 2012 Last Revised: 04 Dec 2014
Thanh Huynh and Daniel R. Smith
Monash University - Department of Banking and Finance and Queensland University of Technology - School of Economics and Finance
Downloads 91 (385,121)

Abstract:

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momentum, component-level risk adjustment, sample selection bias

17.

A New Approach to Comparing VaR Estimation Methods

Posted: 20 Apr 2007 Last Revised: 21 May 2019
Christophe Pérignon and Daniel R. Smith
HEC Paris - Finance Department and Queensland University of Technology - School of Economics and Finance

Abstract:

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Value-at-Risk, Bank Trading Revenue, Backtesting, Coverage Test