I. M. Premachandra

University of Otago - Department of Accountancy and Finance

PO Box 56

Dunedin, 9054

New Zealand

  • University of Otago - Department of Accountancy and Finance

SCHOLARLY PAPERS

7

DOWNLOADS

517

SSRN CITATIONS

5

CROSSREF CITATIONS

1

Scholarly Papers (7)

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1.

The Impact of Liberalization and Environmental Policy On Financial Risk-Return Profiles of European Energy Utilities

USAEE Working Paper No. 14-183
Number of pages: 49 Posted: 24 Nov 2014
Daniel J. Tulloch, Ivan Diaz-Rainey and I. M. Premachandra
University of Oxford - Smith School of Enterprise and the Environment, Department of Accounting, Finance and Economics, Griffith Business School, Griffith University and University of Otago - Department of Accountancy and Finance
Downloads 124 (373,926)
Citation 6

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Liberalization, Environmental Policy, Financial Risk, Financial Return

2.

Risk Factors in Energy Utility Returns: An Augmented-Four-Factor Model

Number of pages: 24 Posted: 01 Mar 2016
Daniel J. Tulloch, Ivan Diaz-Rainey and I. M. Premachandra
University of Oxford - Smith School of Enterprise and the Environment, Department of Accounting, Finance and Economics, Griffith Business School, Griffith University and University of Otago - Department of Accountancy and Finance
Downloads 112 (402,734)

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Asset pricing, Systematic risk, Energy utilities, Commodity risk, Stock-market

3.

Re-examining the Futures Market Efficiency using a New Approach in the Presence of a Time-Varying Risk Premium

Number of pages: 46 Posted: 14 Mar 2013 Last Revised: 30 Oct 2014
Duminda Kuruppuarachchi, Hai Lin and I. M. Premachandra
University of Otago - Department of Accountancy and Finance, Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance and University of Otago - Department of Accountancy and Finance
Downloads 105 (421,731)

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Commodity Futures; Market Efficiency; Futures Risk Premium; State Space Model; Kalman Filter.

4.

Information Spillover Dynamics of the Energy Futures Market Sector: A Novel Common Factor Approach

Number of pages: 49 Posted: 26 May 2015 Last Revised: 12 Jun 2016
Duminda Kuruppuarachchi and I. M. Premachandra
University of Sri Jayewardenepura and University of Otago - Department of Accountancy and Finance
Downloads 68 (549,575)
Citation 1

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Information spillover, energy futures, Granger causality, principle component factors, impulse response functions

5.

Price Discovery between Credit Default Swap and Foreign Exchange Markets: Unidirectional or Bidirectional Granger Causality?

Number of pages: 23 Posted: 20 Apr 2016
Helen Roberts, Luke Mills and I. M. Premachandra
University of Otago - Department of Accountancy and Finance, University of Otago - Department of Accountancy and Finance and University of Otago - Department of Accountancy and Finance
Downloads 67 (553,988)

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6.

Modelling Sector-Level Asset Prices

Number of pages: 32 Posted: 20 Sep 2017
Daniel J. Tulloch, Ivan Diaz-Rainey and I. M. Premachandra
University of Oxford - Smith School of Enterprise and the Environment, Department of Accounting, Finance and Economics, Griffith Business School, Griffith University and University of Otago - Department of Accountancy and Finance
Downloads 41 (690,287)

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Sector-Level, Asset Pricing, Stock Market, Structural Breaks

7.

The Impact of Regulatory Change on EU Energy Utility Returns: The Three Liberalization Packages

Applied Economics, DOI/10.1080/00036846.2017.1346366, Forthcoming
Posted: 17 Aug 2017
Daniel J. Tulloch, Ivan Diaz-Rainey and I. M. Premachandra
University of Oxford - Smith School of Enterprise and the Environment, Department of Accounting, Finance and Economics, Griffith Business School, Griffith University and University of Otago - Department of Accountancy and Finance

Abstract:

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Asset Pricing, Systematic Risk, Energy Utilities, Commodity Risk, Liberalization