Academic Research Grant Publications

ACFS Academic Research Grant recipients have been published in numerous journals. The list of publications known from 2005 to date is listed below. Due to copyright restrictions ACFS can only provide a discussion or working version of the paper that was submitted to the centre as part of the grant application. Click on the title to view an abstract of the publication and a PDF link.

Bollen, Bernie, Clayton, Louise, Dempsey, Michael and Veeraraghavan, Madhu (2008) Are Company Size and Stock Beta, Liquidity and Idiosyncratic Volatility related to Stock Returns? Australian Evidence Investment Management and Financial Innovation, Vol. 2008(4), pp. 143-156.

Brown, Stephen J., Lajbcygier, Paul and Li, Bob (2008) Going Negative: What to do with Negative Book Equity Stock Journal of Portfolio Management, Vol. 35(1), pp. 95-102.

Chang, Xin and Dasgupta, Sudipto (2009) Target Behavior and Financing: How Conclusive is the Evidence? Journal of Finance, Vol. 64(4), pp. 1767-1796.

Chng, Michael (2009) There is something about pairs-trading Corporate Finance Review, Vol. 13(5), pp. 27-35

Dempsey, Michael (2009) Rankings for Australian Managed Funds: Contrariness and Performance Index Failure Journal of Asset Management, Vol. 10, pp. 138-157.

Dempsey, Michael (2010) The Book-to-Market Equity Ratio as a Proxy for Risk: Evidence from Australian Markets Australian Journal of Management, Vol. 7(1), pp. 7-21.

Easton, Steve and Pinder, Sean (2007) A Refutation of the Existence of the Other January Effect International Review of Finance, Vol. 7(3-4), pp. 89-104.

Fang, Victor, Phoon, Kok Fai and Xiang, Vincent (2008) A Heuristic Approach to Asian Hedge Fund Allocation Journal of Wealth Management, Vol. 10(4), pp. 42-52.

Fry, Tim, Mihajilo, Sandra, Russell, Roslyn and Brooks, Robert (2008) The Factors Influencing Saving in a Matched Savings Program: Goals, Knowledge of Payment Instruments, and Other Behavior Journal of Family and Economic Issues, Vol. 29(2), pp. 234-250.

Gharghori, Philip, Hamzah, Yusuf and Veeraraghavan, Madhu (2010) Migration and its contribution to the size and value premiums: Australian evidence Journal of International Financial Markets, Institutions and Money, Vol. 20(2), pp. 177-196.

Gharghori, Philip, Mudumba, Shifali and Veeraraghavan, Madhu (2007) How smart is money? An investigation into investor behaviour in the Australian managed fund industry Pacific Basin Finance Journal, Vol. 15(5), pp. 494-513.

Gharghori, Philip, Sujoto, Charly and Veeraraghavan, Madhu (2008) Are Australian Investors Smart? Australian Journal of Management, Vol. 32(3), pp. 525-544.

Heaney, Richard (2009) The Size and Composition of Corporate Boards in Hong Kong, Malaysia and Singapore Applied Financial Economics, Vol. 19(13), pp. 1029-1041.

Heaney, Richard and Irlicht, Laurence (2007) The Impact of Occupational Health and Safety Policy on Firm Value Economic Papers – Economic Society of Australia, Vol. 26(4), pp. 308-320.

Heaney, Richard, Hallahan, Terry, Josev, Thomas and Mitchell, Heather (2007) Time-Changing Alpha? The Case of Australian International Mutual Funds Australian Journal of Management, Vol. 32(1), pp. 95-112.

Kang, Byoung Uk, In, Francis Haeuck, Kim, Gunky and Kim, Tong Suk (2010) A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market Journal of Financial and Quantitative Analysis, Vol. 45(3), pp. 763-789.

Kofman, Paul, Michayluk, David and Moser, James T. (2009) Reversing the Lead, or a Series of Unfortunate Events? NYMEX, ICI and Amaranth Journal of Futures Markets, Vol. 29(12), pp. 1130-1160.

Moosa, Imad (2008) Forecasting the Yuan/Dollar Exchange Rate under the New Chinese Exchange Rate Regime International Journal of Business and Economics, Vol. 7(2008) pp 23-35.

Moosa, Imad, Naughton, Tony and Li, Larry (2009) Exchange Rate Regime Verification: Has China Actually Moved from a Dollar Peg to a Basket Peg Economia Internazionale, Vol. 62, pp 41-67.

Rösch, Daniel and Scheule , Harald (2010) Credit Portfolio Loss Forecasts for Economic Downturns Financial Markets, Institutions & Instruments, Vol. 18(1), pp. 1-26, 2009.

Rösch, Daniel and Scheule, Harald (2010) Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives International Review of Finance, Vol. 10(2), pp. 185-207.

Scheule, Harald and Rösch, Daniel (2007) Multi-Year Dynamics for Forecasting Economic and Regulatory Capital of Financial Institutions Journal of Credit Risk, Vol. 3(4), pp. 113-134.

Scheule, Harald and Rösch, Daniel (2007) Stress-testing credit risk parameters: an application to retail loan portfolios Journal of Risk Model Validation, Vol. 1(1), pp. 55-76.

Scheule, Harald and Rösch, Daniel (2008) Downturn LGDs for Hong Kong Mortgage Loan Portfolios Journal of Risk Model Validation, Vol. 2(4), pp. 1-9.

Scheule, Harald and Rösch, Daniel (2008) Integrating Stress-testing Frameworks in Rösch, D./ Scheule, H. (eds.), Stress testing for financial institutions – Applications, Regulations and Techniques, London: Risk Books, pp. 3-16.

Scheule, Harald and Rösch, Daniel (2009) Credit Rating Impact on CDO Evaluation Global Finance Journal, Vol. 19(3), pp. 235-251.

Scheule, Harald and Rösch, Daniel (2010) Downturn Risk – Another View on the Global Financial Crisis in Rösch, D./ Scheule, H. (eds.), Model Risk – Identification, Measurement and Management, London: Risk Books, pp. 3-18,

Thomas, Stuart, Ramiah, Vikash, Mitchell, Heather and Heaney, Richard (2009) Seasonal Factors and Outlier Effects in Rate of Return on Electricity Spot Prices in Australia’s National Electricity Market Applied Economics, 1466-4283, First published on 12 March 2009.

Uylangco, Katherine, Easton, Steve and Faff, Robert (2010) The Equity and Efficiency of the Australian Share Market with Respect to Director Trading Accounting Research Journal, Vol. 23(1), pp.5-19.

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