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

  • Queensland University of Technology - School of Economics and Finance

    • Email
    • Tel: +61 7 3138 2947
    • Fax: +61 7 3138 2947

  • Simon Fraser University

    • Email
    • Tel: 778-782-4675
    • Fax: 778-782-4920
SCHOLARLY PAPERS

17

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9,707

SSRN CITATIONS
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Top 12,887

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88

CROSSREF CITATIONS

21

Scholarly Papers (17)

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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 1,734 (17,634)
Citation 39

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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 1,462 (22,836)
Citation 6

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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 1,005 (39,356)
Citation 14

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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 935 (43,558)
Citation 2

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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 684 (66,338)
Citation 1

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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 676 (67,354)
Citation 13

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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 517 (94,190)
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 507 (96,467)
Citation 4

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momentum, abnormal returns, underreaction, news sentiment, attention

9.

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 424 (119,263)

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

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 403 (126,497)

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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 385 (133,293)
Citation 16

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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 313 (166,719)
Citation 4

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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 257 (204,073)

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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 185 (277,510)
Citation 1

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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 114 (409,172)
Citation 1

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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 106 (431,176)

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momentum, component-level risk adjustment, sample selection bias

17.

A New Approach to Comparing VaR Estimation Methods

https://doi.org/10.3905/JOD.2008.16.2.054
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