Patrick J. Kelly

University of Melbourne - Department of Finance

Senior Lecturer (Assistant Professor)

Faculty of Economics and Commerce

Parkville, Victoria 3010 3010

Australia

  • University of Melbourne - Department of Finance

SCHOLARLY PAPERS

9

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Top 6,553

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75

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Scholarly Papers (9)

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1.

Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form Efficiency

EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper
Number of pages: 71 Posted: 24 Jan 2007 Last Revised: 05 Mar 2015
John M. Griffin, Patrick J. Kelly and Federico Nardari
University of Texas at Austin - Department of Finance, University of Melbourne - Department of Finance and University of Melbourne - Department of Finance
Downloads 2,547 (4,675)

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market efficiency, information efficiency, synchronicity, international finance, earnings announcements, emerging markets

2.

Information Efficiency and Firm-Specific Return Variation

Downloads 1,382 ( 12,955)

Information Efficiency and Firm-Specific Return Variation

Forthcoming in the Quarterly Journal of Finance, EFA 2005 Moscow Meetings Paper
Number of pages: 53 Posted: 06 Mar 2005 Last Revised: 29 Sep 2014
Patrick J. Kelly
University of Melbourne - Department of Finance
Downloads 795 (28,948)

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Market efficiency, idiosyncratic volatility, information efficiency

Information Efficiency and Firm-Specific Return Variation

Forthcoming in the Quarterly Journal of Finance
Number of pages: 53 Posted: 23 Mar 2007 Last Revised: 29 Sep 2014
Patrick J. Kelly
University of Melbourne - Department of Finance
Downloads 587 (43,726)

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Market efficiency, idiosyncratic volatility, information efficiency, Synchronicity

3.

Sentiment and Stock Returns: The SAD Anomaly Revisited

Journal of Banking and Finance 34, no. 6 (2010): 1308-1326
Number of pages: 56 Posted: 02 Aug 2004 Last Revised: 17 Jul 2015
Felix Meschke and Patrick J. Kelly
University of Kansas - Finance Area and University of Melbourne - Department of Finance
Downloads 789 (29,741)

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Asset pricing, market efficiency, behavioral finance, depression, seasonality, predictability, investor behavior, Seasonal Affective Disorder, SAD

4.

Real and Inflationary Macroeconomic Risk in the Fama and French Size and Book-to-Market Portfolios

EFMA 2003 Helsinki Meetings
Number of pages: 48 Posted: 18 Jun 2003 Last Revised: 28 Feb 2015
Patrick J. Kelly
University of Melbourne - Department of Finance
Downloads 642 (39,303)

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Book-to-market; Size, Economic growth, Inflation

5.

How Important is the Financial Press in Global Markets?

AFA 2010 Atlanta Meetings Paper
Number of pages: 104 Posted: 31 Mar 2009 Last Revised: 19 Nov 2011
John M. Griffin, Nicholas Hirschey and Patrick J. Kelly
University of Texas at Austin - Department of Finance, London Business School and University of Melbourne - Department of Finance
Downloads 412 (68,963)

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News, information production, earnings announcements, takeovers

6.

Fooling the Savvy Investor: Secrecy and Hedge Fund Performance

Number of pages: 33 Posted: 21 Apr 2016
Sergiy Gorovyy, Patrick J. Kelly and Olga Kuzmina
Ellington Management Group, University of Melbourne - Department of Finance and New Economic School (NES)
Downloads 222 (135,206)

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Managerial Incentive Alignment, Hedge Funds, Transparency, Hedge Fund Performance Measurement

7.

Macroeconomic Expectations and the Size, Value and Momentum Factors

Number of pages: 53 Posted: 01 Mar 2015 Last Revised: 17 Mar 2016
Mikael C. Bergbrant and Patrick J. Kelly
St. Johns University and University of Melbourne - Department of Finance
Downloads 177 (166,739)

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Fama-French Factors, Book-to-market, Size, Momentum, Macroeconomic risk, expectations

8.

Rivals’ Competitive Activities, Capital Constraints, and Firm Growth

Number of pages: 49 Posted: 14 Apr 2015 Last Revised: 04 Oct 2018
Mikael C. Bergbrant, Delroy M. Hunter and Patrick J. Kelly
St. Johns University, University of South Florida and University of Melbourne - Department of Finance
Downloads 129 (216,952)

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capital constraints; financial constraints; credit constraints; access to finance; product market competition; bank competition; credit rationing

9.

Do Foreign Investors Insulate Firms from Local Shocks? Evidence from the Response of Investable Firms to Monetary Policy

Number of pages: 52 Posted: 20 Mar 2010 Last Revised: 22 Dec 2017
Bill B. Francis, Delroy M. Hunter and Patrick J. Kelly
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, University of South Florida and University of Melbourne - Department of Finance
Downloads 87 (284,984)

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investable stocks, non-investable stocks, local shocks, monetary policy, structural VAR, price efficiency, financial liberalization