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

10

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SSRN CITATIONS
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Top 10,395

in Total Papers Citations

34

CROSSREF CITATIONS

77

Scholarly Papers (10)

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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 2,682 (5,138)
Citation 16

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

2.

Information Efficiency and Firm-Specific Return Variation

Downloads 1,421 ( 14,522)
Citation 29

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 805 (33,032)
Citation 24

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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 616 (47,423)
Citation 24

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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 798 (33,896)
Citation 1

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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 665 (43,435)
Citation 16

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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 424 (76,565)
Citation 19

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News, information production, earnings announcements, takeovers

6.

Does Secrecy Signal Skill? Characteristics and Performance of Secretive Hedge Funds

Number of pages: 48 Posted: 21 Apr 2016 Last Revised: 30 Mar 2020
Sergiy Gorovyy, Patrick J. Kelly and Olga Kuzmina
Ellington Management Group, University of Melbourne - Department of Finance and New Economic School (NES)
Downloads 270 (126,721)

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Hedge funds, Disclosure, Secrecy, Transparency, Risk premia

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 184 (183,043)
Citation 2

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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 136 (235,860)

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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 97 (300,627)

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

10.

Does Secrecy Signal Skill? Characteristics and Performance of Secretive Hedge Funds

CEPR Discussion Paper No. DP14873
Number of pages: 51 Posted: 16 Jun 2020
Sergiy Gorovyy, Patrick J. Kelly and Olga Kuzmina
Ellington Management Group, University of Melbourne - Department of Finance and New Economic School (NES)
Downloads 2 (708,957)
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Abstract:

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Disclosure, Hedge Funds, risk premia, Secrecy, transparency