Http Dx Doi Org 10 1080 09603101003636204, May 1, 2010
The focus of this article is an investigation of the relationship between the use of financial de... more The focus of this article is an investigation of the relationship between the use of financial derivatives and firm risk using a sample of Australian firms. Our results suggest that this relationship is nonlinear in nature. Specifically, the use of financial derivatives is associated with a risk reduction for moderate derivative users. Derivative usage among extensive derivative users, on the
Page 1. 1 ASAC 2004 Ercan Balaban Quebec, QUEBEC University of Edinburgh Asli Bayar Cankaya Unive... more Page 1. 1 ASAC 2004 Ercan Balaban Quebec, QUEBEC University of Edinburgh Asli Bayar Cankaya University Robert Faff Monash University ... EGARCH 0.4571 0.490 6 0.2661 0.809 6 0.2975 0.629 7 0.3917 0.809 7 0.2053 0.830 7 Philippines Singapore Thailand UK US ...
... 3See for example, Grant (1980), Morse (1981), Atiase (1985, 1987), Bamber (1987) and Potter (... more ... 3See for example, Grant (1980), Morse (1981), Atiase (1985, 1987), Bamber (1987) and Potter (1992). 3 Page 4. ... time t. Thus for any day t, Q j t = ∑qj s. To generate a daily signed trading volume series, we take the aggregate ...
Page 1. Electronic copy available at: http://ssrn.com/abstract=1914147 1 Liquidity Management aro... more Page 1. Electronic copy available at: http://ssrn.com/abstract=1914147 1 Liquidity Management around Seasoned Equity Offerings David TL Siu UQ Business School, University of Queensland t.siu@business.uq.edu.au Robert W. Faff ...
Using a matched sample design where companies are matched by size and industry from Australian, C... more Using a matched sample design where companies are matched by size and industry from Australian, Canadian and US capital markets, we investigate whether capital market integration varies across industries and by geographical proximity. The tests are conducted in the multi-factor pricing framework over the 1983-1997 period. Our evidence supports two main findings. First, the pricing of Australian stocks is different
... December 18, 2006 Abstract We fit a complete dynamic decision-making model to data from theAu... more ... December 18, 2006 Abstract We fit a complete dynamic decision-making model to data from theAustralian version of the high-stakes television game show Deal or No Deal. ... the game.4 While this added complication attenuates the utility of the Australian dataset ...
This article analyzes the impact of movements in the Australian dollar/Japanese yen (AUDJPY) and ... more This article analyzes the impact of movements in the Australian dollar/Japanese yen (AUDJPY) and the Australian dollar/US dollar (AUDUSD) exchange rates on the returns of the Australian equities market. Specifically, this paper investigates the nature of exchange ...
We explore the equity market impact of board announcements of corporate donations made in respons... more We explore the equity market impact of board announcements of corporate donations made in response to the May 12th 2008 Wenchuan earthquake in China. Our event study uses a sample of board announcements of corporate donations from Chinese A-share listed companies. We find that donor companies providing products and/or services directly to end-consumers tend to enjoy higher abnormal stock returns,
Traditional tests of asset pricing undertaken within the CAPM framework have provided mixed resul... more Traditional tests of asset pricing undertaken within the CAPM framework have provided mixed results. One explanation for the supposed failure of the model is its inability to account for temporal dependence in unconditional residuals which can be induced by time-variation in volatility. This paper provides a test of the conditional CAPM utilising the GARCH-M framework thereby allowing for non-constant variance.
Http Dx Doi Org 10 1080 09603101003636204, May 1, 2010
The focus of this article is an investigation of the relationship between the use of financial de... more The focus of this article is an investigation of the relationship between the use of financial derivatives and firm risk using a sample of Australian firms. Our results suggest that this relationship is nonlinear in nature. Specifically, the use of financial derivatives is associated with a risk reduction for moderate derivative users. Derivative usage among extensive derivative users, on the
Page 1. 1 ASAC 2004 Ercan Balaban Quebec, QUEBEC University of Edinburgh Asli Bayar Cankaya Unive... more Page 1. 1 ASAC 2004 Ercan Balaban Quebec, QUEBEC University of Edinburgh Asli Bayar Cankaya University Robert Faff Monash University ... EGARCH 0.4571 0.490 6 0.2661 0.809 6 0.2975 0.629 7 0.3917 0.809 7 0.2053 0.830 7 Philippines Singapore Thailand UK US ...
... 3See for example, Grant (1980), Morse (1981), Atiase (1985, 1987), Bamber (1987) and Potter (... more ... 3See for example, Grant (1980), Morse (1981), Atiase (1985, 1987), Bamber (1987) and Potter (1992). 3 Page 4. ... time t. Thus for any day t, Q j t = ∑qj s. To generate a daily signed trading volume series, we take the aggregate ...
Page 1. Electronic copy available at: http://ssrn.com/abstract=1914147 1 Liquidity Management aro... more Page 1. Electronic copy available at: http://ssrn.com/abstract=1914147 1 Liquidity Management around Seasoned Equity Offerings David TL Siu UQ Business School, University of Queensland t.siu@business.uq.edu.au Robert W. Faff ...
Using a matched sample design where companies are matched by size and industry from Australian, C... more Using a matched sample design where companies are matched by size and industry from Australian, Canadian and US capital markets, we investigate whether capital market integration varies across industries and by geographical proximity. The tests are conducted in the multi-factor pricing framework over the 1983-1997 period. Our evidence supports two main findings. First, the pricing of Australian stocks is different
... December 18, 2006 Abstract We fit a complete dynamic decision-making model to data from theAu... more ... December 18, 2006 Abstract We fit a complete dynamic decision-making model to data from theAustralian version of the high-stakes television game show Deal or No Deal. ... the game.4 While this added complication attenuates the utility of the Australian dataset ...
This article analyzes the impact of movements in the Australian dollar/Japanese yen (AUDJPY) and ... more This article analyzes the impact of movements in the Australian dollar/Japanese yen (AUDJPY) and the Australian dollar/US dollar (AUDUSD) exchange rates on the returns of the Australian equities market. Specifically, this paper investigates the nature of exchange ...
We explore the equity market impact of board announcements of corporate donations made in respons... more We explore the equity market impact of board announcements of corporate donations made in response to the May 12th 2008 Wenchuan earthquake in China. Our event study uses a sample of board announcements of corporate donations from Chinese A-share listed companies. We find that donor companies providing products and/or services directly to end-consumers tend to enjoy higher abnormal stock returns,
Traditional tests of asset pricing undertaken within the CAPM framework have provided mixed resul... more Traditional tests of asset pricing undertaken within the CAPM framework have provided mixed results. One explanation for the supposed failure of the model is its inability to account for temporal dependence in unconditional residuals which can be induced by time-variation in volatility. This paper provides a test of the conditional CAPM utilising the GARCH-M framework thereby allowing for non-constant variance.
Question: How can we help NOVICE RESEARCHERS overcome the despair of feeling totally clueless and... more Question: How can we help NOVICE RESEARCHERS overcome the despair of feeling totally clueless and utterly lost at the beginning of their research journey?
Or, alternatively …
How can we help time poor and heavily over-committed RESEARCH MENTORS overcome the despair of feeling totally confused and mentally swamped by excessive, random and disconnected ideas created by their junior research partners?
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Papers by Robert Faff
Or, alternatively …
How can we help time poor and heavily over-committed RESEARCH MENTORS overcome the despair of feeling totally confused and mentally swamped by excessive, random and disconnected ideas created by their junior research partners?