Hamish Malloch

The University of Sydney

University of Sydney

Sydney, NSW 2006

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

  • The University of Sydney

SCHOLARLY PAPERS

7

DOWNLOADS

760

SSRN CITATIONS

2

CROSSREF CITATIONS

4

Scholarly Papers (7)

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1.

What is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices

Downloads 241 (203,644)

What is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices

Number of pages: 14 Posted: 09 Oct 2021 Last Revised: 04 Jan 2022
Sean Foley, Simeng Li, Hamish Malloch and Jiri Svec
Macquarie University, The University of Sydney, The University of Sydney and The University of Sydney - Discipline of Finance
Downloads 186 (258,882)

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Bitcoin, cryptocurrency, expected return, term structure, risk premium

What Is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices

Number of pages: 13 Posted: 05 Oct 2021
Sean Foley, Simeng Li, Hamish Malloch and Jiri Svec
Macquarie University, affiliation not provided to SSRN, The University of Sydney and The University of Sydney - Discipline of Finance
Downloads 55 (598,325)

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Bitcoin, cryptocurrency, expected return, term structure, risk premium

2.

Passport Options: Continuous and Binomial Models

Finance and Corporate Governance Conference 2011 Paper
Number of pages: 32 Posted: 09 Dec 2010 Last Revised: 17 Feb 2011
Hamish Malloch and Peter W. Buchen
The University of Sydney and The University of Sydney - School of Mathematics and Statistics
Downloads 234 (209,533)
Citation 4

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Passport Options, Binomial Models

3.

Expected Market Returns in the International Cross-Section

Number of pages: 36 Posted: 28 Sep 2020
Henk Berkman and Hamish Malloch
University of Auckland Business School and The University of Sydney
Downloads 111 (390,760)
Citation 1

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expected returns, options, asset pricing, international finance

4.

Quote-Based Manipulation of Illiquid Benchmarks

Number of pages: 15 Posted: 15 Apr 2020
Ching Chau, Angelo Aspris, Sean Foley and Hamish Malloch
affiliation not provided to SSRN, University of Sydney - Discipline of Finance, Macquarie University and The University of Sydney
Downloads 83 (472,986)
Citation 4

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Benchmarks, closing price manipulation, marking the close

5.

Estimation with Errors in Variables via the Characteristic Function

Number of pages: 55 Posted: 11 Jun 2020
Hamish Malloch, Richard Philip and Stephen E. Satchell
The University of Sydney, University of Sydney Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 64 (546,083)

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Error in Variables, Characteristic Function, CAPM, Beta

6.

Option Implied Dividends and the Market Risk Premium

Number of pages: 11 Posted: 27 Mar 2023
Hamish Malloch, Angelo Aspris and Jiri Svec
The University of Sydney, University of Sydney - Discipline of Finance and The University of Sydney - Discipline of Finance
Downloads 27 (758,867)

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Option implied dividends, dividend prediction, market risk premium

7.

Stock Valuation During the COVID-19 Pandemic: An Explanation Using Option-based Discount Rates

Journal of Banking & Finance, 106386. doi:10.1016/j.jbankfin.2021.106386, The University of Auckland Business School Research Paper Series
Posted: 21 Jan 2022
Henk Berkman and Hamish Malloch
University of Auckland Business School and The University of Sydney

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COVID-19, Option implied market risk premium, Stock return decomposition, Disaster asset pricing