In this paper, driven by a manifest social objective, I pitch a case for a Centre for Responsible Science (C4RS). This pitch blends a wide range of my previous writings … most notably, Faff’s (2015; 2021a) “Pitching Research” framework (PRF); Faff and Kastelle’s (2016) PR4EI companion...

We contribute to the literature on the diversification benefits of commodity futures by integrating it with the literature on style integration. Our work augments the traditional asset mix of investors with a long-short portfolio that integrates the styles that matter to the pricing of commodity...

We investigate the role of retail traders on market informational efficiency. The literature is inconclusive about characterizing retail trades in terms of these trades’ informativeness. Also, their well-documented role in liquidity can mediate the effects on efficiency. Major Australian TV...

Using an extensive Australian sample, we explore two related issues in the context of a default risk asset-pricing factor (DEF) over the business cycle: whether a DEF can explain the size premium in the three-factor Fama–French (FF) model; and whether a DEF has a separate role itself in a...

This paper examines the equity market reaction to consumer sentiment in the context of the sentiment index issued by the Melbourne Institute of Applied Economics and Social Research. Unlike the Michigan index in the US, which is announced in phases, this index is announced once per month, which...

We document asymmetry in return and volatility spillover between equity and bond markets in Australia for daily returns during the period 1992-2006 using a bivariate GARCH modelling approach. Negative bond market returns spillover into lower stock market returns whereas good news originating in...

This paper investigates the performance of three different approaches to modelling time-variation in conditional asset betas: GARCH models, the extended market model of Schwert and Seguin (1990) and the Kalman Filter algorithm. Using daily UK industry returns, we find the simple market model...