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Do Sovereign Re-Ratings Destabilize Equity Markets During Financial Crises? : New Evidence From Higher Return Moments

Brooks, Robert D. - 2015

We investigate the effects of S&P's sovereign re-ratings on the higher moments of equity market returns over recent financial crises. Using a set of intraday stock market index prices and sovereign credit ratings for a sample of 36 countries which experienced sovereign rating changes over the...

Persistent link: https://www.econbiz.de/10013036190

Financial constraints and stock returns : evidence from Australia

Chan, Howard Wei-hong; Chang, Xin; Faff, Robert W.; … - In: Pacific-Basin finance journal 18 (2010) 3, pp. 306-318

Persistent link: https://www.econbiz.de/10008661192

Asymmetry in return and volatility spillover between equity and bond markets in Australia

Dean, Warren G.; Faff, Robert W.; Loudon, Geoffrey F. - In: Pacific-Basin finance journal 18 (2010) 3, pp. 272-289

Persistent link: https://www.econbiz.de/10008661194

Modelling Australian stock market volatility

Brailsford, Timothy J.; Faff, Robert W. - 1993

Persistent link: https://www.econbiz.de/10000878805

Short-run and long-run oil price sensitivity of equity returns : the South Asian markets

Nandha, Mohan; Faff, Robert W. - In: Review of applied economics 2 (2006) 2, pp. 229-244

Persistent link: https://www.econbiz.de/10003779596

Liquidity and stock returns in Japan : new evidence

Ying, Chang Yuk; Faff, Robert W.; Hwang, Chuan-yang - In: Pacific-Basin finance journal 18 (2010) 1, pp. 90-115

Persistent link: https://www.econbiz.de/10003934648

Competitive valuation effects of Australian IPOs

McGilvery, Andrew; Faff, Robert W.; Pathan, Shams - In: International review of financial analysis 24 (2012), pp. 74-83

Persistent link: https://www.econbiz.de/10009688168

A further examination of the price and volatility impact of stock dividends at ex-dates

Balachandran, Balasingham; Faff, Robert W.; Tanner, Sally - In: Australian economic papers 44 (2005) 3, pp. 248-268

Persistent link: https://www.econbiz.de/10003092334

GARCH modeling of individual stock data : the impact of censoring, firm size and trading volume

Brooks, Robert; Faff, Robert W.; Fry, Tim R. L. - In: Papers in efficiency, effectiveness and international …, (pp. 141-151). 2000

Persistent link: https://www.econbiz.de/10001586273

GARCH modelling of individual stock data : the impact of censoring, firm size and trading volume

Brooks, Robert; Faff, Robert W.; Fry, Tim R. L. - In: Journal of international financial markets, … 11 (2001) 2, pp. 215-222

Persistent link: https://www.econbiz.de/10001575257