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Do sovereign re-ratings destabilize equity markets during financial crises? : new evidence from higher return moments
Brooks, Robert; Faff, Robert W.; Sirimon Treepongkaruna; … - In: Journal of business finance & accounting : JBFA 42 (2015) 5/6, pp. 777-799
Persistent link: https://www.econbiz.de/10011442342
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Modelling return and conditional volatility exposures in global stock markets
Cai, Charlie X.; Faff, Robert W.; Hillier, David; … - In: Review of quantitative finance and accounting 27 (2006) 2, pp. 125-142
Persistent link: https://www.econbiz.de/10003349568
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Modelling the risk and return relation conditional on market volatility and market conditions
Galagedera, Don U. A.; Faff, Robert W. - 2004
Persistent link: https://www.econbiz.de/10002121816
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Modeling the risk and return relation conditional on markt volatility and market conditions
Galagedera, Don U. A.; Faff, Robert W. - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10002625219
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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
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Forecasting stock market volatility : further international evidence
Balaban, Ercan; Bayar, Asli; Faff, Robert W. - In: The European journal of finance 12 (2006) 2, pp. 171-188
Persistent link: https://www.econbiz.de/10003305479
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Stock salience and the asymmetric market effect of consumer sentiment news
Akhtar, Shumi; Faff, Robert W.; Oliver, Barry R.; … - In: Journal of banking & finance 36 (2012) 12, pp. 3289-3301
Persistent link: https://www.econbiz.de/10009660492
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Reprint of : stock salience and the asymmetric market effect of consumer sentiment news
Akhtar, Shumi; Faff, Robert W.; Oliver, Barry R.; … - In: Journal of banking & finance 37 (2013) 11, pp. 4488-4500
Persistent link: https://www.econbiz.de/10010246979
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Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market
Faff, Robert W.; Gharghori, Philip; Nguyen, Annette - In: International review of economics & finance : IREF 29 (2014), pp. 627-638
Persistent link: https://www.econbiz.de/10010432291
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Noise Momentum Around the World
Cai, Charlie X. - 2014
We argue that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such ‘noise momentum' is an important determinant of the overall arbitrage process. We design...
Persistent link: https://www.econbiz.de/10013051028