Research output

Research output per year 1988 2000 2003 2004 2005 2006 2007 2008 2009 2010 2012 2013 2014 2016 2019 2021 2022 2022

• 280 Article
• 8 Review article
• 6 Chapter
• 6 Editorial
• 5 More
  • 2 Comment/debate/opinion
  • 1 Conference contribution
  • 1 Letter
  • 1 Working paper

Research output per year

Research output per year

Search results

• 2008

  On the linkage between financial risk tolerance and risk aversion

  Faff, R., Mulino, D. & Chai, D., Mar 2008, In: Journal of Financial Research. 31, 1, p. 1-23 23 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  File

  • Risk Tolerance 100%
  • Linkage 81%
  • Financial Risk 80%
  • Risk Aversion 75%
  • Order Effects 53%
  55 Citations (Scopus)

  14 Downloads (Pure)

• Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market

  Anderson, J. A. & Faff, R. W., 2008, In: International Review of Financial Analysis. 17, 1, p. 198-217 20 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Trading Rules 100%
  • Futures Markets 82%
  • Methodology 41%
  • Performance 31%
  • Robustness 25%
  8 Citations (Scopus)

• Rights offerings, takeup, renounceability, and underwriting status

  Balachandran, B., Faff, R. & Theobald, M., Aug 2008, In: Journal of Financial Economics. 89, 2, p. 328-346 19 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Rights Offerings 100%
  • Underwriting 74%
  • Quality Signal 28%
  • Price Discount 24%
  • Subscription 24%
  38 Citations (Scopus)

• Style analysis, customized benchmarks, and managed funds: New evidence

  Holmes, K. A. & Faff, R. W., Jul 2008, In: Applied Financial Economics Letters. 4, 4, p. 253-258 6 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Style Analysis 100%
  • Managed Funds 91%
  • Benchmark 49%
  • Volatility Timing 35%
  • Market Timing 26%
  2 Citations (Scopus)

• Style drift and fund performance in up and down markets: Australian evidence

  Holmes, K. & Faff, R., Nov 2008, In: Applied Financial Economics Letters. 4, 6, p. 395-398 4 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Fund Performance 100%
  • Market Timing 97%
  • Selectivity 96%
  • Stock Selection 53%
  • Market Conditions 35%
  3 Citations (Scopus)

• Systematic liquidity in the long run

  Sujoto, C., Kalev, P. & Faff, R., May 2008, In: Applied Financial Economics Letters. 4, 3, p. 187-191 5 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Liquidity 100%
  • Stock Market 43%
  • Noise Traders 42%
  • Informed Traders 39%
  • Mean Reversion 35%
  3 Citations (Scopus)

• The ex-date impact of special dividend announcements: A note

  Balachandran, B., Faff, R. & Nguyen, T. A., Jun 2008, In: International Review of Financial Analysis. 17, 3, p. 635-643 9 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Dividend Announcements 100%
  • Dividends 62%
  • Price Reaction 29%
  • Cross-sectional Regression 29%
  • Firm Resources 27%
  3 Citations (Scopus)

• The relationship between director independence, reputation and management earnings forecasts

  Chan, H., Faff, R., Mather, P. & Ramsay, A., 2008, In: Corporate Ownership and Control. 6, 2-3, p. 404-419 16 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  File

  • Director Independence 100%
  • Management Earnings Forecasts 93%
  • Independent Directors 50%
  • Corporate Governance 33%
  • Management Forecasts 30%
  5 Citations (Scopus)

  11 Downloads (Pure)
• 2007

  An examination of conditional asset pricing models in the Australian equities market

  Nguyen, A., Faff, R. & Gharghori, P., Sep 2007, In: Applied Financial Economics Letters. 3, 5, p. 307-312 6 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Conditional Asset Pricing 100%
  • Asset Pricing Models 68%
  • Macroeconomic Variables 61%
  • Equity Markets 59%
  • Equity Returns 35%
  2 Citations (Scopus)

• Are the Fama-French Factors Proxying Default Risk?

  Gharghori, P., Chan, H. & Faff, R., Dec 2007, In: Australian Journal of Management. 32, 2, p. 223-249 27 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Default Risk 100%
  • Fama-French Model 57%
  • Equity Returns 42%
  • Factors 32%
  • Risk Analysis 30%
  54 Citations (Scopus)

• Do Derivatives Have a Role in the Risk-Shifting Behaviour of Fund Managers?

  Benson, K. L., Faff, R. W. & Nowland, J., Dec 2007, In: Australian Journal of Management. 32, 2, p. 271-292 22 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Risk-shifting 100%
  • Fund Managers 79%
  • Derivatives 67%
  • Gaming 30%
  • Equity 27%
  10 Citations (Scopus)

• Exchange rate exposure, foreign currency derivatives and the introduction of the euro: French evidence

  Nguyen, H., Faff, R. & Marshall, A., 2007, In: International Review of Economics and Finance. 16, 4, p. 563-577 15 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  File

  • Currency Derivative 100%
  • Exchange Rate Exposure 91%
  • Foreign Currency 71%
  • Hedge 15%
  20 Citations (Scopus)

  5 Downloads (Pure)

• Exploring the link between information quality and systematic risk

  Cai, C. X., Faff, R. W., Hillier, D. & Mohamed, S., 2007, In: Journal of Financial Research. 30, 3, p. 335-353 19 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Systematic Risk 100%
  • Information Quality 97%
  • Macroeconomic Announcements 33%
  • Security Returns 29%
  • Insider Trading 28%
  3 Citations (Scopus)

• Management earnings forecasts in a continuous disclosure environment

  Chan, H., Faff, R., Ho, Y. K. & Ramsay, A. L., 6 Feb 2007, In: Pacific Accounting Review. 19, 1, p. 5-30 26 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Management Earnings Forecasts 100%
  • Disclosure 76%
  • News 29%
  • Litigation Costs 12%
  • Logistic Regression 12%
  18 Citations (Scopus)

• Market conditions and the optimal IPO allocation mechanism in China

  Ma, S. & Faff, R., Apr 2007, In: Pacific Basin Finance Journal. 15, 2, p. 121-139 19 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Allocation Mechanisms 100%
  • Market Volatility 84%
  • Bookbuilding 78%
  • Market Conditions 67%
  • Secondary Market 62%
  29 Citations (Scopus)

• The information content of Australian managed fund ratings

  Faff, R. W., Parwada, J. T. & Poh, H. L., 2007, In: Journal of Business Finance and Accounting. 34, 9-10, p. 1528-1547 20 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Managed Funds 100%
  • Information Content 73%
  • Rating 68%
  • Investors 31%
  • Fund Flows 23%
  7 Citations (Scopus)

• The relation between R&D intensity and future market returns: Does expensing versus capitalization matter?

  Chan, H. W. H., Faff, R. W., Gharghori, P. & Ho, Y. K., Jul 2007, In: Review of Quantitative Finance and Accounting. 29, 1, p. 25-51 27 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  • Capitalization 100%
  • R&D Intensity 84%
  • Market Returns 74%
  • R and D 33%
  • Expenses 27%
  26 Citations (Scopus)

• The relationship between implied volatility and autocorrelation

  Faff, R. W. & McKenzie, M. D., 2007, In: International Journal of Managerial Finance. 3, 2, p. 191-196 6 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Implied Volatility 100%
  • Autocorrelation 94%
  • Return Volatility 40%
  • Return Autocorrelation 28%
  • Exchange Option 24%
  9 Citations (Scopus)
• 2006

  An integrated multi-model credit rating system for private firms

  Butera, G. & Faff, R., Nov 2006, In: Review of Quantitative Finance and Accounting. 27, 3, p. 311-340 30 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  • Rating System 100%
  • Probability of Default 96%
  • Credit Rating 87%
  • Private Firms 84%
  • Credit Risk Modeling 59%
  19 Citations (Scopus)

• Conditional performance evaluation and the relevance of money flows for Australian international equity funds

  Benson, K. L. & Faff, R. W., Jun 2006, In: Pacific Basin Finance Journal. 14, 3, p. 231-249 19 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Performance Evaluation 100%
  • Money Flows 93%
  • Fund Flows 89%
  • Equity 75%
  • Flow of Funds 59%
  8 Citations (Scopus)

• Factors or characteristics? That is the question

  Gharghori, P., Chan, H. & Faff, R., 1 Mar 2006, In: Pacific Accounting Review. 18, 1, p. 21-46 26 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Risk Factors 100%
  • Factor Loadings 96%
  • Book-to-market 94%
  • Factors 79%
  • Fama-French Model 58%
  19 Citations (Scopus)

• Forecasting stock market volatility: Further international evidence

  Balaban, E., Bayar, A. & Faff, R. W., Feb 2006, In: European Journal of Finance. 12, 2, p. 171-188 18 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Stock Market Volatility 100%
  • ARCH Models 30%
  • Exponential Smoothing 23%
  • Loss Function 21%
  • Prediction 15%
  19 Citations (Scopus)

• Foreign debt and financial hedging: Evidence from Australia

  Nguyen, H. & Faff, R., 2006, In: International Review of Economics and Finance. 15, 2, p. 184-201 18 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Financial Hedging 100%
  • Foreign Debt 84%
  • Hedging 40%
  • Industrial Sector 40%
  • Foreign Currency Debt 33%
  17 Citations (Scopus)

• Impact of board size and board diversity on firm value: Australian evidence

  Nguyen, H. & Faff, R., 2006, In: Corporate Ownership and Control. 4, 2 , p. 24-32 9 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  • Board Size 100%
  • Company Value 80%
  • Gender Diversity 52%
  • Market Value 31%
  • Women Directors 31%
  78 Citations (Scopus)

• Investigating the Performance of Alternative Default-Risk Models: Option-Based Versus Accounting-Based Approaches

  Gharghori, P., Chan, H. & Faff, R., Dec 2006, In: Australian Journal of Management. 31, 2, p. 207-234 28 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Risk Model 100%
  • Default Risk 97%
  • Alternatives 43%
  • Performance 35%
  • Equity 31%
  33 Citations (Scopus)

• Modelling return and conditional volatility exposures in global stock markets

  Cai, C. X., Faff, R. W., Hillier, D. J. & McKenzie, M. D., Sep 2006, In: Review of Quantitative Finance and Accounting. 27, 2, p. 125-142 18 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  • Stock Market 100%
  • Conditional Volatility 86%
  • Return Volatility 80%
  • Stock Return Volatility 61%
  • Modeling 42%
  5 Citations (Scopus)

• On the choice of superannuation funds in Australia

  Langford, B. R., Faff, R. W. & Marisetty, V. B., Jun 2006, In: Journal of Financial Services Research. 29, 3, p. 255-279 25 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  • Superannuation 100%
  • Investors 67%
  • Fees 33%
  • Retail 32%
  • Deadweight Loss 18%
  10 Citations (Scopus)

• On the estimation and comparison of short-rate models using the generalised method of moments

  Faff, R. & Gray, P., Nov 2006, In: Journal of Banking and Finance. 30, 11, p. 3131-3146 16 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Short-rate Model 100%
  • Short Rate 65%
  • Generalized Method of Moments 65%
  • Short-term Interest Rates 29%
  • Mean Reversion 28%
  15 Citations (Scopus)
• 2005

  Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence

  Brooks, R. D., Faff, R. W., Fry, T. R. L. & Bissoondoyal-Bheenick, E., 1 Dec 2005, In: Applied Financial Economics. 15, 18, p. 1251-1258 8 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Beta Risk Estimator 100%
  • Thin Trading 72%
  • Selectivity 57%
  • Censoring 22%
  • Alternatives 22%
  7 Citations (Scopus)

• An empirical analysis of hedge fund performance: The case of Australian hedge funds industry

  Do, V., Faff, R. & Wickramanayake, J., Oct 2005, In: Journal of Multinational Financial Management. 15, 4-5 , p. 377-393 17 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Hedge Fund Performance 100%
  • Hedge Funds 73%
  • Empirical Analysis 45%
  • Market Index 36%
  • Empirical Finance 24%
  21 Citations (Scopus)

• An investigation of conditional autocorrelation and cross-autocorrelation in emerging markets

  Faff, R. W., Hillier, D. J. & Mckenzie, M. D., Sep 2005, In: Review of Pacific Basin Financial Markets and Policies. 8, 3, p. 467-499 33 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Autocorrelation 100%
  • Emerging Markets 76%
  • Traders 66%
  • Negative Feedback 27%
  • Positive Feedback 22%
  3 Citations (Scopus)

• Announcements of bonus share options: Signalling of the quality of firms

  Balachandran, B., Faff, R. & Jong, L., Dec 2005, In: Global Finance Journal. 16, 2, p. 180-190 11 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Bonus 100%
  • Price Reaction 87%
  • Announcement 81%
  • Signaling Model 62%
  • Share Prices 23%
  2 Citations (Scopus)

• Asset pricing and the illiquidity premium

  Chan, H. W. & Faff, R. W., Nov 2005, In: Financial Review. 40, 4, p. 429-458 30 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Illiquidity 100%
  • Asset Pricing 89%
  • Liquidity 66%
  • Premium 66%
  • Fama-French Model 42%
  78 Citations (Scopus)

• Complete markets, informed trading and equity option introductions

  Faff, R. & Hillier, D., Jun 2005, In: Journal of Banking and Finance. 29, 6, p. 1359-1384 26 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Equity Options 100%
  • Informed Trading 92%
  • Complete Markets 89%
  • Price Impact 41%
  • Equity 39%
  25 Citations (Scopus)

• Firm size and the information content of annual earnings announcements: Australian evidence

  Chan, H., Faff, R. & Ramsay, A., Jan 2005, In: Journal of Business Finance and Accounting. 32, 1-2, p. 211-253 43 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Earnings Announcements 100%
  • Information Content 87%
  • Firm Size 73%
  • Nonlinearity 22%
  • Research Design 15%
  16 Citations (Scopus)

• Modeling conditional return autocorrelation

  McKenzie, M. D. & Faff, R. W., 2005, In: International Review of Financial Analysis. 14, 1, p. 23-42 20 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Return Autocorrelation 100%
  • Autocorrelation 67%
  • Modeling 37%
  • Trend Breaks 24%
  • Degree of Internationalization 21%
  10 Citations (Scopus)

• Modeling the risk and return relation conditional on market volatility and market conditions

  Galagedera, D. U. A. & Faff, R., 2005, In: International Journal of Theoretical and Applied Finance. 8, 1, p. 75-95 21 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Market Volatility 100%
  • Risk and Return 99%
  • Market Conditions 80%
  • Risk-Return Relation 72%
  • Beta Risk 67%
  7 Citations (Scopus)

• Profitability of Trading Rules in Futures Markets

  Anderson, J. & Faff, R., 1 Dec 2005, In: Accounting Research Journal. 18, 2, p. 83-92 10 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Profitability 100%
  • Trading Rules 96%
  • Futures Markets 79%
  • Profit 43%
  • British Pound 35%
  2 Citations (Scopus)

• Tactical Asset Allocation: Australian Evidence

  Faff, R., Gallagher, D. R. & wu, E., Dec 2005, In: Australian Journal of Management. 30, 2, p. 261-282 22 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Asset Allocation 100%
  • Equity 83%
  • Assets 53%
  • Managers 34%
  • Balanced Growth 24%
  17 Citations (Scopus)

• The stock market impact of German reunification: International evidence

  Brooks, R. D., Faff, R. W. & Sokulsky, D. L., 1 Jan 2005, In: Applied Financial Economics. 15, 1, p. 31-42 12 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • German Reunification 100%
  • Stock Market 91%
  • Multivariate GARCH 91%
  • Market Impact 80%
  • Market Model 66%
  1 Citation (Scopus)
• 2004

  An international investigation of the factors that determine conditional gold betas

  Faff, R. & Hillier, D., 1 Jan 2004, In: Financial Review. 39, 3, p. 473-488 16 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Factors 100%
  • Africa 69%
  • Gold Mining 50%
  • Gold Price 45%
  • Return Volatility 40%
  18 Citations (Scopus)

• A simple test of the Fama and French model using daily data: Australian evidence

  Faff, R., 15 Jan 2004, In: Applied Financial Economics. 14, 2, p. 83-92 10 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Fama-French Model 100%
  • Fama-French Three-factor Model 81%
  • Risk Premia 75%
  • Asset Pricing 69%
  • Testing 55%
  53 Citations (Scopus)

• Asymmetric covariance, volatility, and the effect of news

  Dean, W. G. & Faff, R. W., 2004, In: Journal of Financial Research. 27, 3, p. 393-413 21 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • News 100%
  • Asymmetry 58%
  • Stock Returns 49%
  • Volatility Feedback 46%
  • Market Returns 31%
  8 Citations (Scopus)

• Censoring and its impact on multivariate testing of the Capital Asset Pricing Model

  Brooks, R. D., Faff, R. W., Fry, T. R. L. & Newton, E., 15 Mar 2004, In: Applied Financial Economics. 14, 6, p. 413-420 8 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Censoring 100%
  • Bias Correction 87%
  • Capital Asset Pricing Model 72%
  • Selectivity Bias 65%
  • Testing 58%
  2 Citations (Scopus)

• Correlations, integration and Hansen-Jagannathan bounds

  Ragunathan, V., Faff, R. W. & Brooks, R. D., 1 Nov 2004, In: Applied Financial Economics. 14, 16, p. 1167-1180 14 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Bilateral 100%
  • Stock Market 75%
  • Financial Integration 63%
  • Economic Integration 56%
  • Integrated 31%
  2 Citations (Scopus)

• Do Futures-Based Strategies Enhance Dynamic Portfolio Insurance?

  Do, B. H. & Faff, R. W., Jun 2004, In: Journal of Futures Markets. 24, 6, p. 591-608 18 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Portfolio Insurance 100%
  • Market Conditions 32%
  • Program Trading 28%
  • Risk-return Tradeoff 27%
  • Implementability 27%
  20 Citations (Scopus)

• Further evidence on the announcement effect of bonus shares in an imputation tax setting

  Balachandran, B., Faff, R. & Tanner, S., Aug 2004, In: Global Finance Journal. 15, 2, p. 147-170 24 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Announcement Effect 100%
  • Imputation 99%
  • Price Reaction 97%
  • Bonus 84%
  • Tax 49%
  4 Citations (Scopus)

• Investigating performance benchmarks in the context of international trusts: Australian evidence

  Benson, K. L. & Faff, R. W., 1 Jun 2004, In: Applied Financial Economics. 14, 9, p. 631-644 14 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Selectivity 100%
  • Benchmark 95%
  • Market Timing 50%
  • Performance 48%
  • Equity 47%
  9 Citations (Scopus)

• Macroeconomic news announcements and the role of expectations: Evidence for US bond, stock and foreign exchange markets

  Kim, S. J., McKenzie, M. D. & Faff, R. W., Jul 2004, In: Journal of Multinational Financial Management. 14, 3, p. 217-232 16 p.

  Research output: Contribution to journal › Article › Research › peer-review

  Open Access

  File

  • Macroeconomic News Announcements 100%
  • Foreign Exchange Market 68%
  • Announcement 57%
  • News 53%
  • Stock Exchange 52%
  55 Citations (Scopus)

  4 Downloads (Pure)

• Maximizing futures returns using fixed fraction asset allocation

  Anderson, J. A. & Faff, R. W., 15 Oct 2004, In: Applied Financial Economics. 14, 15, p. 1067-1073 7 p.

  Research output: Contribution to journal › Article › Research › peer-review

  • Profitability 100%
  • Trading Rules 96%
  • Fixed Assets 89%
  • Asset Allocation 85%
  • Futures Contracts 57%
  1 Citation (Scopus)