Emeritus Professor Robert Faff
Emeritus Professor
School of Business
Room 305, Colin Clark Building, St. Lucia Campus
Publications
Books
Bishop, Steve, Faff, Robert, Oliver, Barry, and Twite, Garry (2004). Corporate finance. 5th ed. Australia: Pearson Education.
Brailsford, Timothy J., Faff, Robert W. and Oliver, Barry (1997). Research design issues in the estimation of Beta. Sydney, NSW, Australia: McGraw-Hill.
Book Chapters
Kim, Suk-Joong, McKenzie, Michael D. and Faff, Robert W. (2018). Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets. Information Spillovers and Market Integration in International Finance: Empirical Analyses. (pp. 151-174) Singapore: World Scientific Publishing. doi: 10.1142/9789813223585_0005
Low, Rand Kwong Yew, Alcock, Jamie, Faff, Robert and Brailsford, Timothy (2017). Canonical vine copulas in the context of modern portfolio management : are they worth it?. Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns. (pp. 263-289) edited by Jamie Alcock and Stephen Satchell. Chichester, West Sussex, United Kingdom: John Wiley and Sons. doi: 10.1002/9781119288992.ch11
Mendez-Rodriguez, Paz, Galguera, Laura, Bravo, Mila, Benson, Karen, Faff, Robert and Perez-Gladish, Blanca (2015). Profiling ethical investors. Socially responsible investment. (pp. 23-52) edited by Enrique Ballestero, Blanca Pérez-Gladish and Ana Garcia-Bernabeu. Dordrecht, Netherlands: Springer International Publishing. doi: 10.1007/978-3-319-11836-9_2
Cai, Charlie X., Clacher, Iain, Faff, Robert and Hillier, David (2011). A Practical Guide to Gold as an Investment Asset. The Handbook of Commodity Investing. (pp. 712-735) Hoboken, NJ, USA: John Wiley and Sons. doi: 10.1002/9781118267004.ch31
Cai, Charlie X., Faff, Robert, Hillier, David and Lhaopadchan, Suntharee (2009). Information transmission across stock and bond markets: International evidence. Stock Market Volatility. (pp. 293-310) CRC Press. doi: 10.1201/9781420099553
Journal Articles
Ijaz, Muhammad Shahzad, Faff, Robert, Khurram, Mahrukh and Munir, Irfan (2025). Mapping complex interdependencies through higher order moments: Cross-market spillovers and shocks in BRICS. Finance Research Letters, 79 107091, 107091. doi: 10.1016/j.frl.2025.107091
Im, Hyun Joong, Park, Heungju, Pathan, Shams and Faff, Robert (2025). Transient institutional ownership, costly external finance and corporate cash holdings. Journal of Business Finance and Accounting, 52 (2), 1212-1249. doi: 10.1111/jbfa.12840
Wardhani, Nurhastuty, Faff, Robert and Liu, Lewis (2025). Corporate governance and liquidity creation in a duality banking system. Journal of Financial Regulation and Compliance, 33 (2), 214-243. doi: 10.1108/JFRC-08-2024-0162
Ramesh, Shietal, Low, Rand Kwong Yew and Faff, Robert (2025). Modelling time-varying volatility spillovers across crises: Evidence from major commodity futures and the US stock market. Energy Economics, 143 108225, 108225-143. doi: 10.1016/j.eneco.2025.108225
Balachandran, Balasingham, Faff, Robert W., Mishra, Sagarika and Shams, Syed (2025). Target firm's integrity culture and M&A performance. Journal of Business Finance and Accounting, 52 (1), 433-471. doi: 10.1111/jbfa.12818
Haghighi, Afshin, Faff, Robert and Oliver, Barry (2024). Retail traders and co-movement: Evidence from Robinhood trading activity. International Review of Financial Analysis, 95 103431, 1-20. doi: 10.1016/j.irfa.2024.103431
Wardhani, Nurhastuti Kesumo, Faff, Robert, Liu, Lewis and Abdul Halim, Zairihan (2024). Examining the Indonesian dual banking system: an exploration of market discipline indicators. International Journal of Managerial Finance, 21 (2), 413-444. doi: 10.1108/ijmf-01-2024-0004
Faff, Robert, Huang, Jianning, Shao, Pei, Xiao, Yuchao and Zhou, Fuzhao (2024). Does social capital enhance stock liquidity? An investigation of the resilience of the trading environment during a crisis of trust. Abacus, 60 (3), 627-664. doi: 10.1111/abac.12318
Lee, Deok-Hyeon, Min, Byoung-Kyu, Faff, Robert and Kim, Young-Mee (2024). Asymmetry, earnings announcements, and the beta-return relation. Finance Research Letters, 67 (Part B) 105942. doi: 10.1016/j.frl.2024.105942
Baruník, Jozef, Bevilacqua, Mattia and Faff, Robert (2024). Dynamic industry uncertainty networks and the business cycle. Journal of Economic Dynamics and Control, 159 104793, 104793. doi: 10.1016/j.jedc.2023.104793
Cheema, Muhammad A., Faff, Robert and Ryan, Michael (2024). Are there any safe haven assets against oil price falls?. Applied Economics, 56 (57), 7845-7860. doi: 10.1080/00036846.2023.2288067
Rad, Hossein, Low, Rand Kwong Yew, Miffre, Joëlle and Faff, Robert (2023). The commodity risk premium and neural networks. Journal of Empirical Finance, 74 101433, 1-20. doi: 10.1016/j.jempfin.2023.101433
Riaz, Yasir, Faff, Robert, Shehzad, Choudhry Tanveer and Shahab, Yasir (2023). Behavioral implications of sovereign ceiling doctrine for the access to credit by firms. International Review of Financial Analysis, 90 102865, 1-12. doi: 10.1016/j.irfa.2023.102865
Faff, Robert, Mathuva, David, Brosnan, Mark, Hoffmann, Sebastian, Albu, Catalin, Ali, Searat, Axelsen, Micheal, Cornwell, Nikki, Gepp, Adrian, Gill, Chelsea, Honey, Karina, Malik, Ihtisham, Mehrotra, Vishal, Moses, Olayinka, Ratiu, Raluca Valeria, Tan, David and Tuszkiewicz, Maciej Andrzej (2023). Pitching business school researcher profiles. Journal of Accounting Literature, 46 (4), 539-564. doi: 10.1108/jal-10-2022-0105
Haghighi, Afshin, Zhang, Lei, Oliver, Barry and Faff, Robert (2023). Information acquisition and market liquidity: evidence from EDGAR search activity. Global Finance Journal, 57 100865, 100865. doi: 10.1016/j.gfj.2023.100865
Im, Hyun Joong, Faff, Robert and Ha, Chang Yong (2022). Uncertainty, investment spikes, and corporate leverage adjustments. Journal of Banking and Finance, 145 106649, 1-21. doi: 10.1016/j.jbankfin.2022.106649
Cao, Jerry, Faff, Robert, He, Jing and Li, Yong (2022). Who's greenwashing via the media and what are the consequences? Evidence from China. Abacus, 58 (4), 759-786. doi: 10.1111/abac.12273
Rad, Hossein, Low, Rand Kwong Yew, Miffre, Joëlle and Faff, Robert (2022). The strategic allocation to style-integrated portfolios of commodity futures. Journal of Commodity Markets, 28 100259, 1-21. doi: 10.1016/j.jcomm.2022.100259
Li, Yong, Han, Minghui, Faff, Robert and Zhang, Hao (2022). Foreign ownership and stock liquidity uncertainty. Journal of International Financial Markets Institutions & Money, 81 101673. doi: 10.1016/j.intfin.2022.101673
Cheema, Muhammad A., Faff, Robert and Szulczyk, Kenneth R. (2022). The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?. International Review of Financial Analysis, 83 102316, 1-13. doi: 10.1016/j.irfa.2022.102316
Guo, Shijun, Yu, Xin and Faff, Robert (2022). When investors can talk to firms, is it a meaningful conversation? Evidence from investor postings on interactive platforms. European Accounting Review, 33 (3), 771-795. doi: 10.1080/09638180.2022.2118147
Chen, Jingzhi, Cai, Charlie X., Faff, Robert and Shin, Yongcheol (2022). Nonlinear limits to arbitrage. Journal of Futures Markets, 42 (6), 1084-1113. doi: 10.1002/fut.22320
Wang, Qingxia, Faff, Robert and Zhu, Min (2022). Realized moments and the cross-sectional stock returns around earnings announcements. International Review of Economics and Finance, 79, 408-427. doi: 10.1016/j.iref.2022.02.036
Liu, Mengxi (Maggie), Chan, Kam Fong and Faff, Robert (2022). What can we learn from firm-level jump-induced tail risk around earnings announcements?. Journal of Banking and Finance, 138 106409, 106409. doi: 10.1016/j.jbankfin.2022.106409
Zelenyuk, Natalya and Faff, Robert (2022). Effects of incentive pay on systemic risk: evidence from CEO compensation and CoVar. Empirical Economics, 63 (6), 1-23. doi: 10.1007/s00181-022-02236-2
Malik, Ihtisham A. and Faff, Robert (2022). Industry market reaction to natural disasters: do firm characteristics and disaster magnitude matter?. Natural Hazards, 111 (3), 2963-2994. doi: 10.1007/s11069-021-05164-z
Faff, Robert (2022). PBFJ Editorial … Engaging with responsible science. “OPEN FOR BUSINESS” – Launching the PBFJ pre-registration publication initiative. Pacific Basin Finance Journal, 79 101837, 101837. doi: 10.1016/j.pacfin.2022.101837
Keng Tan, Kelvin Jui, Zhou, Qing, Pan, Zheyao and Faff, Robert (2021). Business shocks and corporate leverage. Journal of Banking and Finance, 131 106208, 1-21. doi: 10.1016/j.jbankfin.2021.106208
Nguyen, Trang, Alpert, Karen and Faff, Robert (2021). Relative bond-stock liquidity and capital structure choices. Journal of Corporate Finance, 69 102026, 102026. doi: 10.1016/j.jcorpfin.2021.102026
Chowdhury, Hasibul, Faff, Robert and Hoang, Khoa (2021). Using abnormal analyst coverage to unlock new evidence on stock price crash risk. Accounting and Finance, 61 (S1), 1557-1588. doi: 10.1111/acfi.12637
Guo, Shijun, Yu, Xin and Faff, Robert (2021). Political connections and media slant. International Review of Economics & Finance, 74, 58-80. doi: 10.1016/j.iref.2021.02.003
Faff, Robert W. and Kernbach, Sebastian (2021). A visualisation approach for pitching research. Accounting and Finance, 61 (4), 5177-5197. doi: 10.1111/acfi.12753
Sakawa, Hideaki, Watanabel, Naoki, Duppati, Geeta and Faff, Robert (2021). Institutional ownership and corporate risk-taking in Japanese listed firms. Applied Economics, 53 (16), 1-17. doi: 10.1080/00036846.2020.1854450
Faff, Robert W. and Lodhia, Sumit (2021). … More on the use of research templates. Accounting and Finance, 61 (4), 5003-5023. doi: 10.1111/acfi.12747
Malik, Ihtisham A., Faff, Robert W. and Chan, Kam F. (2020). Market response of US equities to domestic natural disasters: industry-based evidence. Accounting and Finance, 60 (4) acfi.12484, 3875-3904. doi: 10.1111/acfi.12484
Pathan, Shams, Haq, Mamiza, Faff, Robert and Seymour, Trent (2020). Institutional investor horizon and bank risk-taking. Journal of Corporate Finance, 66 101794, 101794. doi: 10.1016/j.jcorpfin.2020.101794
Zelenyuk, Natalya, Faff, Robert and Pathan, Shams (2020). The impact of voluntary capital adequacy disclosure on bank lending and liquidity creation. Accounting and Finance, 61 (3) acfi.12720, 3915-3935. doi: 10.1111/acfi.12720
Faff, Robert, Kastelle, Tim, Axelsen, Micheal, Brosnan, Mark, Michalak, Rebecca and Walsh, Kathy (2020). Pitching research for engagement and impact: a simple tool and illustrative examples. Accounting and Finance, 61 (2) acfi.12704, 3329-3383. doi: 10.1111/acfi.12704
Do, Binh and Faff, Robert (2020). Pairs trading and idiosyncratic cash flow risk. Accounting and Finance, 61 (2) 12697, 3171-3206. doi: 10.1111/acfi.12697
Huang, Peng, Lu, Yue and Faff, Robert (2020). Social trust and the speed of corporate leverage adjustment: evidence from around the globe. Accounting and Finance, 61 (2) 12701, 3261-3303. doi: 10.1111/acfi.12701
Rahman, Dewan, Faff, Robert and Oliver, Barry (2020). Does board independence constrain insider opportunism?. Australian Journal of Management, 46 (3), 031289622094638-522. doi: 10.1177/0312896220946384
Rad, Hossein, Low, Rand Kwong Yew, Miffre, Joëlle and Faff, Robert (2020). Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. Journal of Empirical Finance, 58, 164-180. doi: 10.1016/j.jempfin.2020.05.006
Balachandran, Balasingham, Faff, Robert, Nguyen, Lily H. G. and Puwanenthiren, Premkanth (2020). The impact of audit quality in rights offerings. Accounting and Finance, 60 (3), 2007-2037. doi: 10.1111/acfi.12429
Rahman, Dewan, Oliver, Barry and Faff, Robert (2020). Evidence of strategic information uncertainty around opportunistic insider purchases. Journal of Banking & Finance, 117 105821, 105821. doi: 10.1016/j.jbankfin.2020.105821
Faff, Robert (2020). Pitching research: 'qualitative cousins' and the 'extended family'. Accounting and Finance, 60 (1), 227-269. doi: 10.1111/acfi.12348
Białek-Jaworska, Anna, Faff, Robert and Zięba, Damian (2020). A liquidity redistribution effect in intercorporate lending: evidence from private firms in Poland. European Research Studies Journal, 23 (1), 151-175. doi: 10.35808/ERSJ/1543
Faff, Robert, Prasadh, Shyaam and Shams, Syed (2019). Merger and acquisition research in the Asia-Pacific region: a review of the evidence and future directions. Research in International Business and Finance, 50, 267-278. doi: 10.1016/j.ribaf.2019.06.002
Hoang, Khoa and Faff, Robert (2019). Is the ex-ante equity premium always positive? Evidence from a new conditional expectations model. Accounting and Finance, 61 (1) 10.1111/acfi.12557, 95-124. doi: 10.1111/acfi.12557
Faff, Robert W., Parwada, Jerry T. and Tan, Eric K.M. (2019). Did connected hedge funds benefit from bank bailouts during the financial crisis?. Journal of Banking and Finance, 107 105605, 105605. doi: 10.1016/j.jbankfin.2019.08.003
Zelenyuk, Natalya, Faff, Robert and Pathan, Shams (2019). Size‐conditioned mandatory capital adequacy disclosure and bank intermediation. Accounting & Finance, 60 (4) acfi.12536, 4387-4417. doi: 10.1111/acfi.12536
Aman, Hiroyuki, Beekes, Wendy, Berkman, Henk, Bohmann, Marc, Bradbury, Mike, Chapple, Ellie, Chang, Millicent, Clout, Victoria, Faff, Robert, Han, Jianlei, Hillier, David, Hodgson, Allan, Howieson, Bryan, Jona, Jonathan, Linnenluecke, Martina, Loncan, Tiago, McCredie, Bronwyn, Michayluk, David, Mroczkowski, Nick, Pan, Zheyao, Patel, Vinay, Podolski, Edward, Soderstrom, Naomi, Smith, Tom, Tanewski, George, Walsh, Kathleen, Wee, Marvin and Wright, Sue (2019). Responsible science: celebrating the 50-year legacy of using a registration-based framework. Pacific-Basin Finance Journal, 56, 129-150. doi: 10.1016/j.pacfin.2019.05.002
Faff, Robert W., Gunasekarage, Abeyratna and Shams, Syed M. M. (2019). Does takeover competition affect acquisition choices and bidding firm performance? Australian evidence. Accounting and Finance, 60 (4) acfi.12527, 3581-3619. doi: 10.1111/acfi.12527
Li, Leon and Faff, Robert (2019). Predicting corporate bankruptcy: what matters?. International Review of Economics and Finance, 62, 1-19. doi: 10.1016/j.iref.2019.02.016
Dang, Tung Lam, Faff, Robert, Luong, Hoang and Nguyen, Lily (2019). Individualistic cultures and crash risk. European Financial Management, 25 (3), 622-654. doi: 10.1111/eufm.12180
Rajput, Suresh Kumar Oad, Wongchoti, Udomsak, Chen, Jianguo and Faff, Robert (2019). Is financial flexibility a priced factor in the stock market?. Financial Review, 54 (2), 345-375. doi: 10.1111/fire.12170
Hartnett, Neil, Gerrans, Paul and Faff, Robert (2019). Trusting clients’ financial risk tolerance survey scores. Financial Analysts Journal, 75 (2), 91-104. doi: 10.1080/0015198x.2019.1575160
Andriosopoulos, Dimitris, Faff, Robert and Paudyal, Krishna (2019). Financial markets, innovation and regulation. The European Journal of Finance, 25 (7), 595-598. doi: 10.1080/1351847x.2019.1571727
Brown, Rob, Chan, Howard W. H., Faff, Robert W. and Ho, Yew Kee (2019). Do brokers' recommendation changes generate brokerage?: evidence from a central limit order market. Accounting and Finance, 59 (1), 115-142. doi: 10.1111/acfi.12255
Woods, Keegan, Tan, Kelvin Jui Keng and Faff, Robert (2019). Labor unions and corporate financial leverage: the bargaining device versus crowding-out hypotheses. Journal of Financial Intermediation, 37, 28-44. doi: 10.1016/j.jfi.2017.05.005
Machado, Márcio André Veras and Faff, Robert William (2018). Asset growth and stock return: evidence in the Brazilian market. Revista Contabilidade e Financas, 29 (78), 418-434. doi: 10.1590/1808-057x201805080
Hill, Paula, Bissoondoyal-Bheenick, Emawtee and Faff, Robert (2018). New evidence on sovereign to corporate credit rating spill-overs. International Review of Financial Analysis, 55, 209-225. doi: 10.1016/j.irfa.2017.09.004
Chang, Yanhao, Benson, Karen and Faff, Robert (2017). Are excess cash holdings more valuable to firms in times of crisis? Financial constraints and governance matters. Pacific Basin Finance Journal, 45, 157-173. doi: 10.1016/j.pacfin.2016.05.007
Haq, Mamiza, Hu, Daniel, Pathan, Shams and Faff, Robert (2017). New evidence on national culture and bank capital structure. Pacific-Basin Finance Journal, 50, 41-64. doi: 10.1016/j.pacfin.2017.09.005
Mi, Lin, Benson, Karen and Faff, Robert (2017). A specialised volatility index for the new GICS sector - real estate. Economic Modelling, 70, 438-446. doi: 10.1016/j.econmod.2017.08.025
Liu, Zhangxin (Frank) and Faff, Robert (2017). Hitting SKEW for SIX. Economic Modelling, 64, 449-464. doi: 10.1016/j.econmod.2017.02.026
Cai, Charlie X., Faff, Robert and Shin, Yongcheol (2017). Noise momentum around the world. Abacus, 54 (1), 79-104. doi: 10.1111/abac.12101
Faff, Robert W., Baladi, Joseph, Buce, Daniela, Du Plessis, Graham, Du Plessis, Carol, Dwyer, Bruce, Honey, Karina, Melton, Dirk, Oktaviani, Fitri, Shen, Suqin, Steele, Laura, Suhodo, Diah, Tanner, Mark, Unger, Corinne, Wong, Sabrina, Xu, Jessica Jia and Zou, Sarine (2017). Fantasy Pitching IV: Batman, Donald Duck, Fast Food, Superpowers, Self-Determination. SSRN Electronic Journal. doi: 10.2139/ssrn.2939489
Faff, Robert, Ali, Searat, Atif, Muhammad, Brenner, Matt, Chowdhury, Hasibul, Cruddas, Leelyn, Joubert, Alison, Malik, Ihtisham, Mi, Lin, Nagar, Vinu, Pullen, Tim, Siegrist, Manuel, Smythe, Steve, Stephenson, Jeff, Zhang, Beile and Kun Zhang (2017). Fantasy pitching. Journal of Accounting and Management Information Systems, 16 (2), 360-379. doi: 10.24818/jamis.2017.02007
Faff, Robert W., Babakhani, Nazila, Carrick, Robin, Chen, Angel, Dallest, Kathy, Daunt, Lisa, Escobar, Marisol, Foley, Gabe, Gill, Chelsea, Khong, Bo Xuan, Liu, Mengxi (Maggie), Mahmud, Siti, McCullough, Jon, Ndugwa, Zina, Nguyen, Bao, O'Brien, Shari, Orole, Felix, Qureshi, Asma, Rad, Hossein, Rekker, Saphira, Shahzad, Syed, Smith, Marita, Tran, Tran Le, Tunny, William and Wallin, Ann (2017). Motivating postgrad research students to pitch their ideas: what have we learned from 'pitching research' competitions at UQ?. SSRN Electronic Journal. doi: 10.2139/ssrn.2899942
Isshaq, Zangina and Faff, Robert (2016). Stock liquidity risk and the cross-sectional earnings-returns relationship. Journal of Business Finance and Accounting, 43 (9-10), 1121-1141. doi: 10.1111/jbfa.12209
Li, Yong, Benson, Karen and Faff, Robert (2016). Political constraints and trading strategy in times of market stress: evidence from the Chinese national social security fund. Finance Research Letters, 19, 217-221. doi: 10.1016/j.frl.2016.08.002
Faff, Robert, Kwok, Wing Chun, Podolski, Edward J. and Wong, George (2016). Do corporate policies follow a life-cycle?. Journal of Banking and Finance, 69, 95-107. doi: 10.1016/j.jbankfin.2016.04.009
Zhou, Qing, Tan, Kelvin Jui Keng, Faff, Robert and Zhu, Yushu (2016). Deviation from target capital structure, cost of equity and speed of adjustment. Journal of Corporate Finance, 39, 99-120. doi: 10.1016/j.jcorpfin.2016.06.002
Isshaq, Zangina and Faff, Robert (2016). Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?. Journal of Banking and Finance, 68, 153-161. doi: 10.1016/j.jbankfin.2016.02.012
Kwabi, Frank, Faff, Robert, Marshall, Andrew and Thapa, Chandra (2016). Sub-optimal international portfolio allocations and the cost of capital. Journal of Multinational Financial Management, 35, 41-58. doi: 10.1016/j.mulfin.2016.04.001
Rad, Hossein, Low, Rand Kwong Yew and Faff, Robert (2016). The profitability of pairs training strategies: distance, cointegration and copula methods. Quantitative Finance, 16 (10), 1541-1558. doi: 10.1080/14697688.2016.1164337
Faff, Robert W., Gray, Stephen and Tan, Kelvin Jui Keng (2016). A contemporary view of corporate finance theory, empirical evidence and practice. Australian Journal of Management, 41 (4), 662-686. doi: 10.1177/0312896216632032
Huang, Ronghong, Tan, Kelvin Jui Keng and Faff, Robert W. (2016). CEO overconfidence and corporate debt maturity. Journal of Corporate Finance, 36, 93-110. doi: 10.1016/j.jcorpfin.2015.10.009
Low, Rand Kwong Yew, Faff, Robert and Aas, Kjersti (2016). Enhancing mean-variance portfolio selection by modeling distributional asymmetries. Journal of Economics and Business, 85, 49-72. doi: 10.1016/j.jeconbus.2016.01.003
Low, Rand Kwong Yew, Yao, Yiran and Faff, Robert (2016). Diamonds vs. precious metals: what shines brightest in your investment portfolio?. International Review of Financial Analysis, 43, 1-14. doi: 10.1016/j.irfa.2015.11.002
Mi, Lin, Benson, Karen and Faff, Robert (2016). Further evidence on idiosyncratic risk and REIT pricing: a cross-country analysis. Accounting Research Journal, 29 (1), 34-58. doi: 10.1108/ARJ-07-2013-0048
Faff, Robert W., Wallin, Ann, Brosnan, Mark, Carrillo, Naiara, Groen, Martin, Listiani, Nurlia, Maxwell, Victor, Orole, Felix, Pham, Ahn, Simons, Matt, Tsoi, Jemaine, Wong, Charlane, Nirma, Yossa and Zhaunerchyk, Kate (2016). Fantasy pitching II: Star Wars vs. Pokemon vs. R&D vs. Uber. SSRN Electronic Journal. doi: 10.2139/ssrn.2827425
Benson, Karen, Faff, Robert and Smith, Tom (2015). Injecting liquidity into liquidity research. Pacific Basin Finance Journal, 35 (Part B), 533-540. doi: 10.1016/j.pacfin.2015.10.001
Xiao, Yuchao, Faff, Robert, Gharghori, Philip and Min, Byoung-Kyu (2015). The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM. Journal of Business Ethics, 146 (2), 353-364. doi: 10.1007/s10551-015-2894-8
Balachandran, Balasingham and Faff, Robert (2015). Corporate governance, firm value and risk: Past, present, and future. Pacific Basin Finance Journal, 35, 1-12. doi: 10.1016/j.pacfin.2015.07.002
Lugo, Stefano, Croce, Annalisa and Faff, Robert (2015). Herding behavior and rating convergence among credit rating agencies: evidence from the subprime crisis. Review of Finance, 19 (4), 1703-1731. doi: 10.1093/rof/rfu028
Faff, Robert W (2015). A simple template for pitching research. Accounting and Finance, 55 (2), 311-336. doi: 10.1111/acfi.12116
Brooks, Robert, Faff, Robert, Treepongkaruna, Sirimon and Wu, Eliza (2015). Do Sovereign Re-Ratings Destabilize Equity Markets during Financial Crises? New Evidence from Higher Return Moments. Journal of Business Finance and Accounting, 42 (5-6), 777-799. doi: 10.1111/jbfa.12119
Gerrans, Paul, Faff, Robert and Hartnett, Neil (2015). Individual financial risk tolerance and the global financial crisis. Accounting and Finance, 55 (1), 165-185. doi: 10.1111/acfi.12053
Pathan, Shams, Faff, Robert, Mendez, Carlos Fernandez and Masters, Nicholas (2015). Financial constraints and dividend policy. Australian Journal of Management, 41 (3), 484-507. doi: 10.1177/0312896214557835
Do, Viet, Faff, Robert, Lajbcygier, Paul, Veeraraghavan, Madhu and Tupitsyn, Mikhail (2015). Factors affecting the birth and fund flows of CTAs. Australian Journal of Management, 41 (2), 324-352. doi: 10.1177/0312896214539816
Norton, Hugh, Gray, Steve and Faff, Robert (2015). Yes, one-day international cricket 'in-play' trading strategies can be profitable!. Journal of Banking and Finance, 61, S164-S176. doi: 10.1016/j.jbankfin.2015.08.031
Zhou, Qing and Faff, Robert (2015). The complementary role of cross-sectional and time-series information in forecasting stock returns. Australian Journal of Management, 42 (1), 113-139. doi: 10.1177/0312896215575888
Tan, Kelvin Jui Keng, Lee, Jia Min and Faff, Robert (2015). Short-selling pressure and last-resort debt financing: evidence from 144A high-yield risk-adjusted debt. Accounting and Finance, 56 (4), 1149-1185. doi: 10.1111/acfi.12125
Phan, Dinh, Nguyen, Hoa and Faff, Robert (2014). Uncovering the asymmetric linkage between financial derivatives and firm value - the case of oil and gas exploration and production companies. Energy Economics, 45, 340-352. doi: 10.1016/j.eneco.2014.07.018
Benson, Karen, Faff, Robert and Smith, Tom (2014). Fifty years of finance research in the Asia Pacific Basin. Accounting and Finance, 54 (2), 335-363. doi: 10.1111/acfi.12081
Zhou, Qing, Faff, Robert and Alpert, Karen (2014). Bias correction in the estimation of dynamic panel models in corporate finance. Journal of Corporate Finance, 25, 494-513. doi: 10.1016/j.jcorpfin.2014.01.009
Pullen, Tim, Benson, Karen and Faff, Robert (2014). A comparative analysis of the investment characteristics of alternative gold assets. Abacus, 50 (1), 76-92. doi: 10.1111/abac.12023
Rekker, Saphira A. C., Benson, Karen L. and Faff, Robert W. (2014). Corporate social responsibility and CEO compensation revisited, do disaggregation, market stress, sender matter?. Journal of Economics and Business, 72, 84-103. doi: 10.1016/j.jeconbus.2013.11.001
Zhong, Tian, Faff, Robert, Hodgson, Allan and Yao, Lee J. (2014). The role of board gender on the profitability of insider trading. International Journal of Accounting and Information Management, 22 (3), 180-193. doi: 10.1108/IJAIM-03-2013-0020
Agha, Mahmoud and Faff, Robert (2014). An investigation of the asymmetric link between credit re-ratings and corporate financial decisions: "Flicking the switch" with financial flexibility. Journal of Corporate Finance, 29, 37-57. doi: 10.1016/j.jcorpfin.2014.08.003
Siu, David T. L. and Faff, Robert W. (2014). Liquidity management around seasoned equity offerings. Journal of Finance and Financial Services, 1 (1), 1-30.
Haq, Mamiza, Faff, Robert, Seth, Rama and Mohanty, Sunil (2014). Disciplinary tools and bank risk exposure. Pacific-Basin Finance Journal, 26, 37-64. doi: 10.1016/j.pacfin.2013.10.005
Faff, Robert, Gharghori, Philip and Nguyen, Annette (2014). Non-nested tests of a GDP-augmented Fama-French model versus a conditional Fama-French model in the Australian stock market. International Review of Economics and Finance, 29, 627-638. doi: 10.1016/j.iref.2013.07.007
Faff, Robert (2013). Mickey Mouse and the IDioT principle for assessing research contribution: discussion of 'Is the relationship between investment and conditional cash flow volatility ambiguous, asymmetric or both?'. Accounting and Finance, 53 (4), 949-960. doi: 10.1111/acfi.12050
Akhtar, Shumi, Faff, Robert, Oliver, Barry and Subrahmanyam, Avanidhar (2013). Reprint of: stock salience and the asymmetric market effect of consumer sentiment news. Journal of Banking and Finance, 37 (11), 4488-4500. doi: 10.1016/j.jbankfin.2013.07.032
Low, Rand Kwong Yew, Alcock, Jamie, Faff, Robert and Brailsford, Timothy J. (2013). Canonical vine copulas in the context of modern portfolio management: are they worth it?. Journal of Banking and Finance, 37 (8), 3085-3099. doi: 10.1016/j.jbankfin.2013.02.036
Hoang, Khoa, Faff, Robert and Haq, Mamiza (2013). Market discipline and bank risk taking. Australian Journal of Management, 39 (3), 327-350. doi: 10.1177/0312896213496800
Chan, Howard, Faff, Robert, Khan, Arifur and Mather, Paul (2013). Exploring the moderating role of growth options on the relation between board characteristics and management earnings forecasts. Corporate Governance: An International Review, 21 (4), 314-333. doi: 10.1111/corg.12027
Talbot, Edward, Artiach, Tracy and Faff, Robert (2013). What drives the commodity price beta of oil industry stocks?. Energy Economics, 37, 1-15. doi: 10.1016/j.eneco.2013.01.004
Pathan, Shams and Faff, Robert (2013). Does board structure in banks really affect their performance?. Journal of Banking and Finance, 37 (5), 1573-1589. doi: 10.1016/j.jbankfin.2012.12.016
Xiao, Yuchao, Faff, Robert, Gharghori, Philip and Lee, Darren (2013). An empirical study of the world price of sustainability. Journal of Business Ethics, 114 (2), 297-310. doi: 10.1007/s10551-012-1342-2
Di Iorio, Amalia, Faff, Robert and Sander, Harald (2013). An investigation of the interest rate risk and exchange rate risk of the European financial sector: Euro zone versus non-Euro zone countries. Accounting and Management Information Systems, 12 (2), 319-344.
Nandha, Mohan, Brooks, Robert and Faff, Robert (2013). Oil, oil volatility and airline stocks: a global analysis. Contabilitate si Informatica de Gestiune, 12 (2), 302-318.
Poulsen, Michael, Faff, Robert and Gray, Stephen (2013). Financial inflexibility and the value peremium. International Review of Finance, 13 (3), 327-344. doi: 10.1111/irfi.12010
Xiao, Yuchao, Faff, Robert, Gharghori, Philip and Min, Byoung-Kyu (2013). Pricing innnovations in consumption growth: A re-evaluation of the recursive utility model. Journal of Banking and Finance, 37 (11), 4465-4475. doi: 10.1016/j.jbankfin.2012.08.015
Lee, Darren, Faff, Robert and Rekker, Saphira (2013). Do high and low-ranked sustainability stocks perform differently?. International Journal of Accounting and Information Management, 21 (2), 116-132. doi: 10.1108/18347641311312267
Chai, Daniel, Faff, Robert and Gharghori, Philip (2013). Liquidity in asset pricing: New Australian evidence using low-frequency data. Australian Journal of Management, 38 (2), 375-400. doi: 10.1177/0312896213489143
Benson, Karen and Faff, Robert (2013). β. Abacus, 49 (Supplement 1), 24-31. doi: 10.1111/j.1467-6281.2012.00380.x
Faff, Robert, Ho, Yew-Kee, Lin, Weiling and Yap, Chee-Meng (2013). Diminishing marginal returns from R&D investment: Evidence from manufacturing firms. Applied Economics, 45 (5), 611-622. doi: 10.1080/00036846.2011.608644
Akhtar, Shumi, Faff, Robert, Oliver, Barry and Subrahmanyam, Avanidhar (2012). Stock salience and the asymmetric market effect of consumer sentiment news. Journal of Banking and Finance, 36 (12), 3289-3301. doi: 10.1016/j.jbankfin.2012.07.019
Faff, Robert, Lodh, Tribeni and Pawada, Jerry (2012). Location decisions of domestic and foreign-affiliated financial advisors: Australian evidence. Journal of Financial Services Research, 42 (3), 207-228. doi: 10.1007/s10693-011-0123-x
Anderson, Heather, Chan, Howard, Faff, Robert and Ho, Yew Kee (2012). Reported earnings and analyst forecasts as competing sources of information: a new approach. Australian Journal of Management, 37 (3), 333-359. doi: 10.1177/0312896211434574
McGilvery, Andrew, Faff, Robert and Pathan, Shams (2012). Competitive valuation effects of Australian IPOs. International Review of Financial Analysis, 24, 74-83. doi: 10.1016/j.irfa.2012.08.002
Pérez-Gladish, Blanca, Benson, Karen and Faff, Robert (2012). Profiling socially responsible investors: Australian evidence. Australian Journal of Management, 37 (2), 189-209. doi: 10.1177/0312896211429158
Do, Binh and Faff, Robert (2012). Are pairs trading profits robust to trading costs?. Journal of Financial Research, 35 (2), 261-287. doi: 10.1111/j.1475-6803.2012.01317.x
Gao, Fox, Faff, Robert and Navissi, Farshid (2012). Corporate philanthropy: Insights from the 2008 Wenchuan earthquake in China. Pacific-Basin Finance Journal, 20 (3), 363-377. doi: 10.1016/j.pacfin.2011.11.002
Darwin, Tristan, Treepongkaruna, Sirimon and Faff, Robert (2012). Determinants of bond spreads: Evidence from credit derivatives of Australian firms. Australian Journal of Management, 37 (1), 29-46. doi: 10.1177/0312896211416137
Allen, David and Faff, Robert (2012). The Global Financial Crisis: Some attributes and responses. Accounting and Finance, 52 (1), 1-7. doi: 10.1111/j.1467-629X.2011.00416.x
Balachandran, Balasingham, Faff, Robert, Theobald, Michael and van Zijl, Tony (2012). Rights, offerings, subscription period, shareholder takeup and liquidity. Journal of Financial and Quantitative Analysis, 47 (1), 213-239. doi: 10.1017/S0022109011000573
Treepongkaruna, Sirimon and Faff, Robert (2012). A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data. Australian Journal of Management, 38 (2), 333-352. doi: 10.1177/0312896212443691
Faff, Robert W., Nguyen, Annette, Ip, Bonnie H. I. and Gharghori, Philip (2012). Return-based style analysis in Australian funds. Multinational Finance Journal, 16 (3/4), 155-188.
Ng, Yen Hou, Yong, Hue Hwa Au and Faff, Robert (2012). The long- and short-run financial impacts of cross listing on Australian firms. Australian Journal of Management, 38 (1), 81-98. doi: 10.1177/0312896212437622
Akhtar, Shumi, Faff, Robert and Oliver, Barry (2011). The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates. Australian Journal of Management, 36 (3), 387-403. doi: 10.1177/0312896211410723
Dean, Warren G. and Faff, Robert (2011). Feedback trading and the behavioural ICAPM: Multivariate evidence across international equity and bond markets. Applied Financial Economics, 21 (22), 1665-1678. doi: 10.1080/09603107.2011.591728
Chan, Howard, Faff, Robert and Kofman, Paul (2011). Is default risk priced in Australian equity? Exploring the role of the business cycle. Australian Journal of Management, 36 (2), 217-246. doi: 10.1177/0312896211407528
Akhtar, Shumi, Faff, Robert, Oliver, Barry and Subrahmanyam, Avanidhar (2011). The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns. Journal of Banking and Finance, 35 (5), 1239-1249. doi: 10.1016/j.jbankfin.2010.10.014
Yong, Hue Hwa Au, Faff, Robert and Nguyen, Hoa (2011). The association between firm characteristics and the use of a comprehensive corporate hedging strategy: An ordered probit analysis. Frontiers in Finance and Economics, 8 (1), 1-16.
Faff, Robert (2011). Introduction: 50th anniversary issue of accounting and finance. Accounting and Finance, 51 (1), 1-1. doi: 10.1111/j.1467-629X.2011.00405.x
Chan, Howard, Faff, Robert, Hill, Paula and Scheule, Harald (2011). Are watch procedures a critical informational event in the credit ratings process? An empirical investigation. Journal of Financial Research, 34 (4), 617-640. doi: 10.1111/j.1475-6803.2011.01304.x
Albu, Cătălin Nicolae, Albu, Nadia, Faff, Robert and Hodgson, Allan (2011). Accounting competencies and the changing role of accountants in emerging economies: The Case of Romania. Accounting in Europe, 8 (2), 155-184. doi: 10.1080/17449480.2011.621395
Faff, Robert, Hallahan, Terrence and McKenzie, Michael (2011). Women and risk tolerance in an aging world. International Journal of Accounting and Information Management, 19 (2), 100-117. doi: 10.1108/18347641111136427
Hill, Paula and Faff, Robert (2010). The market impact of relative agency activity in the sovereign ratings market. Journal of Business Finance and Accounting, 37 (9-10), 1309-1347. doi: 10.1111/j.1468-5957.2010.02220.x
Do, Viet, Faff, Robert and Veeraraghavan, Madhu (2010). Performance persistence in hedge funds : Australian evidence. Journal of International Financial markets, Institutions and Money, 20 (4), 346-462. doi: 10.1016/j.intfin.2010.03.004
Hill, Paula, Brooks, Robert and Faff, Robert (2010). Variations in sovereign credit quality assessments across rating agencies (vol 34, pg 1327-1343, 2010). Journal of Banking & Finance, 34 (9), 2306-2306. doi: 10.1016/j.jbankfin.2010.04.004
Do, Binh and Faff, Robert (2010). Does simple pairs trading still work?. Financial Analysts Journal, 66 (4), 83-95. doi: 10.2469/faj.v66.n4.1
Chang, Yuk Ying, Faff, Robert and Hwang, Chuan-Yang (2010). Testing seasonality in the liquidity-return relation: Japanese evidence. Applied Economics Letters, 17 (10), 951-954. doi: 10.1080/17446540802599705
Hill, P., Brooks, R. and Faff, R. (2010). Variations in sovereign credit quality assessments across rating agencies. Journal of Banking and Finance, 34 (6), 1327-1343. doi: 10.1016/j.jbankfin.2009.11.028
Chan, Howard, Chang, Xin, Faff, Robert and Wong, George (2010). Financial constraints and stock returns - Evidence from Australia. Pacific Basin Finance Journal, 18 (3), 306-318. doi: 10.1016/j.pacfin.2010.02.004
Chai, Daniel, Faff, Robert and Gharghori, Philip (2010). New evidence on the relation between stock liquidity and measures of trading activity. International Review of Financial Analysis, 19 (3), 181-192. doi: 10.1016/j.irfa.2010.02.005
Dean, Warren G., Faff, Robert W. and Loudon, Geoffrey F. (2010). Asymmetry in return and volatility spillover between equity and bond markets in Australia. Pacific-Basin Finance Journal, 18 (3), 272-289. doi: 10.1016/j.pacfin.2009.09.003
Nguyen, Hoa and Faff, Robert (2010). Are firms hedging or speculating? The relationship between financial derivatives and firm risk. Applied Financial Economics, 20 (10), 827-843. doi: 10.1080/09603101003636204
Nguyen, Hoa and Faff, Robert (2010). Does the type of derivative instrument used by companies impact firm value?. Applied Econmics Letters, 17 (7), 681-683. doi: 10.1080/13504850802297822
Benson, Karen L., Faff, Robert W. and Smith, Tom (2010). The simultaneous relation between fund flows and returns. Australian Journal of Management, 35 (1), 51-18. doi: 10.1177/0312896209354217
Ina, Francis, Kim, Sangbae and Faff, Robert (2010). Explaining mispricing with Fama-French factors: New evidence from the multiscaling approach. Applied Financial Economics, 20 (4), 323-330. doi: 10.1080/09603100903299667
Holmes, Kathryn, Faff, Robert and Clacher, Iain (2010). Style analysis and dominant index timing: An application to Australian multi-sector managed funds. Applied Financial Economics, 20 (4), 293-301. doi: 10.1080/09603100903459915
Brooks, Robert D., Di Lorio, Amalia, Faff, Robert W., Fry, Tim and Joymungul, Yovina (2010). Asymmetry and time variation in exchange rate exposure: An investigation of Australian stocks returns. International Journal of Commerce and Management, 20 (4), 276-295. doi: 10.1108/10569211011094613
Chang, Yuk Ying, Faff, Robert and Hwang, Chuan-Yang (2010). Liquidity and stock returns in Japan: New evidence. Pacific Basin Finance Journal, 18 (1), 90-115. doi: 10.1016/j.pacfin.2009.09.001
Nguyen, Hoa, Faff, Robert and Hodgson, Allan (2010). Corporate usage of financial derivatives, information asymmetry, and insider trading. Journal of Futures Markets, 30 (1), 25-47. doi: 10.1002/fut.20402
Hallahan, Terry and Faff, Robert W. (2010). Testing a non-linear effect in the risk shifting tournament model applied to Australian superannuation funds. Journal of Accounting and Management Information Systems, 9 (2), 210-217.
Phua, V., Chan, H., Faff, R. and Hudson, R. (2010). The influence of time, seasonality and market state on momentum: Insights from the Australian stock market. Applied Financial Economics, 20 (20), 1547-1563. doi: 10.1080/09603107.2010.510463
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, 23 (1), 5-19. doi: 10.1108/10309611011060506
Mahipala, Thusitha, Chan, Howard and Faff, Robert (2009). Trading volume and information asymmetry: Routine versus non-routine earnings announcements in Australia. Applied Financial Economics, 19 (21), 1737-1752. doi: 10.1080/09603100802599639
Gharghori, Philip, Chan, Howard and Faff, Robert (2009). Default risk and equity returns: Australian evidence. Pacific-Basin Finance Journal, 17 (5), 580-593. doi: 10.1016/j.pacfin.2009.03.001
Mulino, Daniel, Scheelings, Richard, Brooks, Robert and Faff, Robert (2009). Does risk aversion vary with decision-frame? An empirical test using recent game show data. Review of Behavioral Finance, 1 (1-2), 44-61. doi: 10.1002/rbf.3
Brooks, Robert, Di Iorio, Amalia, Faff, Robert and Wang, Yuenan (2009). Testing the integration of the US and Chinese stock markets in a Fama-Frenchy framework. Journal of Economic Integration, 24 (3), 435-454. doi: 10.11130/jei.2009.24.3.435
Nguyen, Annette, Faff, Robert and Gharghori, Philip (2009). Are the Fama-French factors proxying news related to GDP Growth? The Australian evidence. Review of Quantitative Finance and Accounting, 33 (2), 141-158. doi: 10.1007/s11156-009-0137-8
Chan, Howard W. H., Faff, Robert W., Gallagher, David R. and Looi, Adrian (2009). Fund size, transaction costs and performance: Size matters!. Australian Journal of Management, 34 (1), 73-96. doi: 10.1177/031289620903400105
Lee, Darren D., Faff, Robert W. and Langrield-Smith, Kim (2009). Revisiting the vexing question: Does superior corporate social performance lead to improved financial performance?. Australian Journal of Management, 34 (1), 21-49. doi: 10.1177/031289620903400103
Chan, Howard W. H., Faff, Robert W., Gallagher, David R. and Looi, Adrian (2009). Fund size, transaction costs and performance: size matters!. Australian Journal of Management, 34 (1), 73-96. doi: 10.1177/031289620903400105
Lee, Darren D. and Faff, Robert W. (2009). Corporate sustainability performance and idiosyncratic risk: A global perspective. The Financial Review, 44 (2), 213-237. doi: 10.1111/j.1540-6288.2009.00216.x
Brooks, Robert, Faff, Robert, Mulino, Daniel and Scheelings, Richard (2009). Deal or no deal, that is the question: The impact of increasing stakes and framing effects on decision-making under risk. International Review of Finance, 9 (1-2), 27-50. doi: 10.1111/j.1468-2443.2009.01084.x
Au Yong, Hue Hwa, Faff, Robert and Chalmers, Keryn (2009). Derivative activities and Asia-Pacific banks' interest rate and exchange rate exposures. Journal of International Financial Markets, Institutions and Money, 19 (1), 16-32. doi: 10.1016/j.intfin.2007.08.002
Do, Viet, Faff, Robert and Veeraraghavan, Madhu (2009). Do Australian hedge fund managers possess timing abilities?. Applied Financial Economics, 19 (1), 27-38. doi: 10.1080/09603100701735987
Hallahan, Terrence and Faff, Robert (2009). Tournament behavior in Australian superannuation funds: A non-parametric analysis. Global Finance Journal, 19 (3), 307-322. doi: 10.1016/j.gfj.2008.09.003
Faff, Robert, Hallahan, Terrence and McKenzie, Michael (2009). Nonlinear linkages between financial risk tolerance and demographic characteristics. Applied Economics Letters, 16 (13), 1329-1332. doi: 10.1080/13504850701381123
Chan, Howard, Faff, Robert, Ho, Yee Kee and Ramsay, Alan (2009). The effects of forecast specificity on the asymmetric short-window share market response to management earnings forecasts. Accounting Research Journal, 22 (3), 237-261. doi: 10.1108/10309610911005572
Balachandran, Balasingham, Faff, Robert and Theobald, Michael (2009). New insights into rights offerings, takeup, renounceability, and underwriting status. Journal of Applied Corporate Finance, 21 (3), 80-85. doi: 10.1111/j.1745-6622.2009.00241.x
Anderson, Kristen, Woodhouse, Kerrie, Ramsay, Alan and Faff, Robert (2009). Testing for asymmetric effects in the accrual anomaly using piecewise linear regressions: Australian evidence. Pacific Accounting Review, 21 (1), 5-25. doi: 10.1108/01140580910956830
Holmes, Kathryn A. and Faff, Robert (2008). Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework. International Review of Financial Analysis, 17 (5), 998-1011. doi: 10.1016/j.irfa.2008.05.001
Holmes, Kathryn and Faff, Robert (2008). Style drift and fund performance in up and down markets: Australian evidence. Applied Financial Economics Letters, 4 (6), 395-398. doi: 10.1080/17446540801964439
Balachandran, Balasingham, Faff, Robert and Theobald, Michael (2008). Rights offerings, takeup, renounceability, and underwriting status. Journal of Financial Economics, 89 (2), 328-346. doi: 10.1016/j.jfineco.2007.11.001
Holmes, Kathryn A. and Faff, Robert W. (2008). Style analysis, customized benchmarks, and managed funds: New evidence. Applied Financial Economics Letters, 4 (4), 253-258. doi: 10.1080/17446540701720519
In, Francis, Kim, Sangbae, Marisetty, Vijaya and Faff, Robert (2008). Analysing the performance of managed funds using the wavelet multiscaling method. Review of Quantitative Finance and Accounting, 31 (1), 55-70. doi: 10.1007/s11156-007-0061-8
Hallahan, T., Faff, R. W. and Benson, K. L. (2008). Fortune favours the bold? Exploring tournament behavior among Australian superannuation funds. Journal of Financial Services Research, 33 (3), 205-220. doi: 10.1007/s10693-008-0030-y
Balachandran, Balasingham, Faff, Robert and Nguyen, Tuan Anh (2008). The ex-date impact of special dividend announcements: A note. International Review of Financial Analysis, 17 (3), 635-643. doi: 10.1016/j.irfa.2006.08.002
Nandha, Mohan and Faff, Robert (2008). Does oil move equity prices? A global view. Energy Economics, 30 (3), 986-997. doi: 10.1016/j.eneco.2007.09.003
Sujoto, Charly, Kalev, Petko and Faff, Robert (2008). Systematic liquidity in the long run. Applied Financial Economics Letters, 4 (3), 187-191. doi: 10.1080/17446540701591357
Au Yong, Hue Hwa and Faff, Robert (2008). Asia-Pacific banks risk exposures: Pre and post the Asian financial crisis. Applied Financial Economics, 18 (6), 431-449. doi: 10.1080/09603100600970057
Faff, Robert, Mulino, Daniel and Chai, Daniel (2008). On the linkage between financial risk tolerance and risk aversion. Journal of Financial Research, 31 (1), 1-23. doi: 10.1111/j.1475-6803.2008.00229.x
Dean, Warren G. and Faff, Robert W. (2008). Evidence of feedback trading with Markov switching regimes. Review of Quantitative Finance and Accounting, 30 (2), 133-151. doi: 10.1007/s11156-007-0047-6
Balachandran, Balasingham, Faff, Robert, Love, Roger and Menon, Andrew (2008). The impact of the announcement of acquisition of divested assets on buyers' wealth - Asset fit and disclosure of funds used: Evidence from the UK. Multinational Finance Journal, 12 (3/4), 219-240.
Chan, Howard, Faff, Robert, Mather, Paul and Ramsay, Alan (2008). The relationship between director independence, reputation and management earnings forecasts. Corporate Ownership & Control, 6 (2), 404-419. doi: 10.22495/cocv6i2c3p7
Annaert, Jan, Faff, Robert and Van Osselaer, Sofieke (2008). On the relative merits of passive commodity investments. Tijdschrift voor Bank - en Financiewezen, 72, 384-394.
Anderson, Kristen, Woodhouse, Kerrie, Ramsay, Aalan and Faff, Robert (2008). The persistence and pricing of earnings, accruals and free cash flows in Australia. Journal of Accounting and Management Information Systems, 25, 6-24.
Sujoto, C., Kalev, P. S. and Faff, R. W. (2008). An examination of commonality in liquidity: new evidence from the Australian Stock Exchange. Journal for Studies in Economics and Econometrics, 32 (3), 55-79.
Anderson, John A. and Faff, Robert W. (2008). Point and figure charting: A computational methodology and trading rule performance in the S&P 500 futures market. International Review of Financial Analysis, 17 (1), 198-217. doi: 10.1016/j.irfa.2004.08.002
Benson, K. L., Faff, R. W. and Nowland, J. (2007). Do derivatives have a role in the risk shifting behaviour of fund managers?. Australian Journal of Management, 32 (2), 271-292.
Ghaghori, Philip, Chan, Howard and Faff, Robert (2007). Are the Fama-French factors proxying default risk?. Australian Journal of Management, 32 (2), 223-249. doi: 10.1177/031289620703200204
Faff, Robert W., Parwada, Jerry T. and Poh, Hun-Lune (2007). The information content of Australian managed fund ratings. Journal of Business Finance and Accounting, 34 (9-10), 1528-1547. doi: 10.1111/j.1468-5957.2007.02053.x
Cai, Charlie X., Faff, Robert W., Hillier, David and Mohamed, Suleiman (2007). Exploring the link between information quality and systematic risk. Journal of Financial Research, 30 (3), 335-353. doi: 10.1111/j.1475-6803.2007.00217.x
Chan, Howard W. H., Faff, Robert W., Gharghori, Philip and Ho, Yew Kee (2007). The relation between R&D intensity and future market returns: Does expensing versus capitalization matter?. Review of Quantitative Finance and Accounting, 29 (1), 25-51. doi: 10.1007/s11156-007-0023-1
Ma, Shiguang and Faff, Robert (2007). Market conditions and the optimal IPO allocation procedure in China. Pacific-Basin Finance Journal, 15 (2), 121-139. doi: 10.1016/j.pacfin.2006.06.001
Holmes, Kathryn A. and Faff, Robert W. (2007). Style drift, fund flow and fund performance: New cross-sectional evidence. Financial Services Review, 16 (1), 55-71.
Nguyen, Annette, Faff, Robert and Gharghori, Philip (2007). An examination of conditional asset pricing models in the Australian equities markets. Applied Financial Economics Letters, 3 (5), 307-312. doi: 10.1080/17446540701222409
Nguyen, Hoa, Faff, Robert and Marshall, Andrew (2007). Exchange rate exposure, foreign currency derivatives and the introduction of the euro: French evidence. International Review of Economics and Finance, 16 (4), 563-577. doi: 10.1016/j.iref.2006.01.002
Faff, Robert W. and McKenzie, Michael D. (2007). The relationship between implied volatility and autocorrelation. International Journal of Managerial Finance, 3 (2), 191-196. doi: 10.1108/17439130710738736
Chan, H., Faff, R., Ho, Y. K. and Ramsay, A. (2007). Management earnings forecasts in a continuous disclosure environment. Pacific Accounting Review, 19 (1), 5-30. doi: 10.1108/01140580710754629
Gharghori, Philip, Chan, Howard and Faff, Robert (2006). Investigating the performance of alternative default-risk models: Option-based versus accounting-based approaches. Australian Journal of Management, 31 (2), 207-234. doi: 10.1177/031289620603100203
Faff, R. and Gray, P. (2006). On the estimation and comparison of short-rate models using the generalised method of moments. Journal of Banking and Finance, 30 (11), 3131-3146. doi: 10.1016/j.jbankfin.2005.09.016
Butera, Giovanni and Faff, Robert (2006). An integrated multi-model credit rating system for private firms. Review of Quantitative Finance and Accounting, 27 (3), 311-340. doi: 10.1007/s11156-006-9434-7
Cai, Charlie X., Faff, Robert W., Hillier, David J. and McKenzie, Michael D. (2006). Modelling return and conditional volatility exposures in global stock markets. Review of Quantitative Finance and Accounting, 27 (2), 125-142. doi: 10.1007/s11156-006-8793-4
Benson, Karen L. and Faff, Robert W. (2006). Conditional performance evaluation and the relevance of money flows for Australian international equity funds. Pacific Basin Finance Journal, 14 (3), 231-249. doi: 10.1016/j.pacfin.2005.10.002
Langford, Benjamin R., Faff, Robert W. and Marisetty, Vijaya B. (2006). On the choice of superannuation funds in Australia. Journal of Financial Services Research, 29 (3), 255-279. doi: 10.1007/s10693-006-7628-8
Gharghori, Philip, Chan, Howard and Faff, Robert (2006). Factors or characteristics? That is the question. Pacific Accounting Review, 18 (1), 21-46. doi: 10.1108/01140580610732769
Hillier, D, Draper, P and Faff, R (2006). Do precious metals shine? An investment perspective. Financial Analysts Journal, 62 (2), 98-106. doi: 10.2469/faj.v62.n2.4085
Chan, H., Faff, R., Ho, Y. K. and Ramsay, A. (2006). Asymmetric market reactions of growth and value firms with management earnings forecasts. International Review of Finance, 6 (1-2), 79-97. doi: 10.1111/j.1468-2443.2007.00060.x
Balaban, Ercan, Bayar, Asli and Faff, Robert W. (2006). Forecasting stock market volatility: Further international evidence. European Journal of Finance, 12 (2), 171-188. doi: 10.1080/13518470500146082
Parwada, Jerry T. and Faff, Robert W. (2006). Fund flows, MERs and managed fund ratings initiations: Australian evidence. Journal of Investing, 15 (3), 69-78. doi: 10.3905/joi.2006.650146
Nandha, Mohan and Faff, Robert (2006). Short-run and long-run oil price sensitivity of equity returns: The South Asian markets. Review of Applied Economics, 2 (2), 229-244.
Nguyen, Hoa and Faff, Robert (2006). Foreign debt and financial hedging: Evidence from Australia. International Review of Economics and Finance, 15 (2), 184-201. doi: 10.1016/j.iref.2004.03.006
Nguyen, Hoa and Faff, Robert (2006). Impact of board size and board diversity on firm value: Australian evidence. Corporate Ownership and Control - Корпоративная собственность и контроль, 4 (2 Part 1), 24-32. doi: 10.22495/cocv4i2p2
Au Yong, H. H., Faff, R. and Nguyen, H. (2006). Investigating the determinants of the decision to engage in a corporate hedging strategy. Journal for Studies in Economics and Econometrics, 30, 147-160.
Brooks, Robert D., Faff, Robert W., Fry, Tim R. L. and Bisoondoyal-Bheenick, E. (2005). Alternative risk estimators in cases of extreme thin trading: Canadian evidence. Applied Financial Economics, 15 (18), 1251-1258. doi: 10.1080/09603100500396585
Balachandran, Balasingham, Faff, Robert and Jong, Len (2005). Announcements of bonus share options: Signalling of the quality of firms. Global Finance Journal, 16 (2), 180-190. doi: 10.1016/j.gfj.2005.05.009
Faff, Robert, Gallagher, David R. and Wu, Eliza (2005). Tactical asset allocation: Australian evidence. Australian Journal of Management, 30 (2), 261-282. doi: 10.1177/031289620503000205
Faff, Robert (2005). Accounting and Finance: Introduction. Accounting and Finance, 45 (4). doi: 10.1111/j.1467-629X.2005.0139a.x
Chan, Howard W. and Faff, Robert W. (2005). Asset pricing and the illiquidity premium. The Financial Review, 40 (4), 429-458. doi: 10.1111/j.1540-6288.2005.00118.x
Do, Viet, Faff, Robert and Wickramanayake, J. (2005). An empirical analysis of hedge fund performance: The case of Australian hedge funds industry. Journal of Multinational Financial Management, 15 (4-5), 377-393. doi: 10.1016/j.mulfin.2005.04.006
Nandha, M. and Faff, R. (2005). Impact of oil price on stock returns: Evidence from South Asian markets. ICFAI Journal of Applied Finance, 11 (8), 5-20.
Faff, Robert W. and Marshall, Andrew (2005). International evidence on the determinants of foreign exchange rate exposure of multinational companies. Journal of International Business Studies, 36 (5), 539-558. doi: 10.1057/palgrave.jibs.8400155
Faff, Robert W., Hillier, David and McKenzie, Michael D. (2005). An investigation of conditional autocorrelation and cross-autocorrelation in emerging markets. Review of Pacific Basin Financial Markets and Policies, 8 (3), 467-499. doi: 10.1142/S0219091505000440
Balachandran, Balasingham, Faff, Robert and Tanner, Sally (2005). A further examination of the price and volatility impact of stock dividends at ex-dates. Australian Economic Papers, 44 (3), 248-268. doi: 10.1111/j.1467-8454.2005.00263.x
Faff, Robert and Hillier, David (2005). Complete markets, informed trading and equity option introductions. Journal of Banking and Finance, 29 (6), 1359-1384. doi: 10.1016/j.jbankfin.2004.04.009
Faff, Robert W., Hodgson, Allan and Kremmer, Michael L. (2005). An investigation of the impact of interest rates and interest rate volatility on Australian financial sector stock return distributions. Journal of Business Finance and Accounting, 32 (5/6), 1001-1031. doi: 10.1111/j.0306-686X.2005.00620.x
Faff, Robert (2005). Accounting and Finance: Editorial note. Accounting and Finance, 45 (1)
Galagedera, Don U. A. and Faff, Robert (2005). Modeling the risk and return relation conditional on market volatility and market conditions. International Journal of Theoretical and Applied Finance, 8 (1), 75-95. doi: 10.1142/S0219024905002901
Parwada, Jerry T. and Faff, Robert W. (2005). Pension plan investment management mandates: An empirical analysis of manager selection. Journal of Financial Services Research, 27 (1), 77-98. doi: 10.1007/s10693-005-6413-4
Brooks, Robert D., Faff, Robert W., Fry, Tim R. L. and Gunn, Lucy (2005). Censoring and its impact on beta estimation. Advances in Investment Analysis and Portfolio Management. New Series, 1, 111-135.
McKenzie, Michael D. and Faff, Robert W. (2005). Modeling conditional return autocorrelation. International Review of Financial Analysis, 14 (1), 23-42. doi: 10.1016/j.irfa.2004.06.002
Chan, Howard, Faff, Robert and Ramsay, Alan (2005). Firm size and the information content of annual earnings announcements: Australian evidence. Journal of Business Finance and Accounting, 32 (1-2), 211-253. doi: 10.1111/j.0306-686X.2005.00593.x
Brooks, R., Faff, R. and Sokulsky, D. (2005). The stock market impact of German reunification: International evidence. Applied Financial Economics, 15 (1), 31-42. doi: 10.1080/0960310042000281158
Faff, R. W., Brooks, R. D. and Kee, H. Y. (2005). A simple test of the 'risk class hypothesis'. Journal for Studies in Economics and Econometrics, 29 (1), 83-96.
Au Yong, Hue Hwa, Chalmers, Keryn and Faff, Robert (2005). Asia-Pacific banks' derivative and risk management disclosures. Asian Review of Accounting, 13 (1), 15-44. doi: 10.1108/eb060781
Anderson, J. and Faff, R. (2005). Profitability of trading rules in futures markets. Accounting Research Journal, 18 (2), 83-92. doi: 10.1108/10309610580000677
Brooks, Robert D., Faff, Robert W., Fry, Tim and Maldonado-Rey, Diana (2004). ALTERNATIVE BETA RISK ESTIMATORS IN EMERGING MARKETS: THE LATIN AMERICAN CASE. International Finance Review, 5, 329-344. doi: 10.1016/S1569-3767(05)05015-6
Anderson, John A. and Faff, Robert W. (2004). Maximizing futures returns using fixed fraction asset allocation. Applied Financial Economics, 14 (15), 1067-1073. doi: 10.1080/0960310042000281167
Balachandran, Balasingham, Faff, Robert and Nguyen, Tuan Anh (2004). The intra-industry impact of special dividend announcements: Contagion versus competition. Journal of Multinational Financial Management, 14 (4-5), 369-385. doi: 10.1016/j.mulfin.2004.02.002
Dean, Warren G. and Faff, Robert W. (2004). Asymmetric covariance, volatility, and the effect of news. Journal of Financial Research, 27 (3), 393-413. doi: 10.1111/j.1475-6803.2004.00097.x
Balachandran, Balasingham, Faff, Robert and Tanner, Sally (2004). Further evidence on the announcement effect of bonus shares in an imputation tax setting. Global Finance Journal, 15 (2), 147-170. doi: 10.1016/j.gfj.2004.02.001
Kim, Suk-Joong, McKenzie, Michael D. and Faff, Robert W. (2004). Macroeconomic news announcements and the role of expectations: Evidence for US bond, stock and foreign exchange markets. Journal of Multinational Financial Management, 14 (3), 217-232. doi: 10.1016/j.mulfin.2003.02.001
Benson, Karen L. and Faff, Robert W. (2004). The relationship between exchange rate exposure, currency risk management and performance of international equity funds. Pacific Basin Finance Journal, 12 (3), 333-357. doi: 10.1016/j.pacfin.2003.10.001
Do, Binh Huu and Faff, Robert W. (2004). Do Futures-Based Strategies Enhance Dynamic Portfolio Insurance?. Journal of Futures Markets, 24 (6), 591-608. doi: 10.1002/fut.10125
Holmes, Kathryn A. and Faff, Robert W. (2004). Stability, asymmetry and seasonality of fund performance: An analysis of Australian Multisector managed funds. Journal of Business Finance and Accounting, 31 (3-4), 539-578. doi: 10.1111/j.0306-686X.2004.00549.x
Brooks, Robert D., Faff, Robert W., Fry, Tim R.L. and Newton, Emma (2004). Censoring and its impact on multivariate testing of the Capital Asset Pricing Model. Applied Financial Economics, 14 (6), 413-420. doi: 10.1080/09603100410001673649
Josev, Thomas, Chan, Howard and Faff, Robert (2004). What’s in a name? Evidence on corporate name changes from the Australian capital market. Pacific Accounting Review, 16 (1), 57-75. doi: 10.1108/01140580410818469
Faff, Robert (2004). A simple test of the Fama and French model using daily data: Australian evidence. Applied Financial Economics, 14 (2), 83-92. doi: 10.1080/0960310042000176353
Ragunathan, Vanitha, Faff, Robert W. and Brooks, Robert D. (2004). Correlations, integration and Hansen-Jagannathan Bounds. Applied Financial Economics, 14 (16), 1167-1180. doi: 10.1080/0960310042000281149
Benson, K. L. and Faff, R. W. (2004). Investigating performance benchmarks in the context of international trusts: Australian evidence. Applied Financial Economics, 14 (9), 631-644. doi: 10.1080/0960310032000
Faff, Robert and Hillier, David (2004). An international investigation of the factors that determine conditional gold betas. Financial Review, 39 (3), 473-488. doi: 10.1111/j.0732-8516.2004.00085.x
Brooks, Robert, Faff, Robert W., Hillier, David and Hillier, Joseph (2004). The national market impact of sovereign rating changes. Journal of Banking and Finance, 28 (1), 233-250. doi: 10.1016/S0378-4266(02)00406-5
Lee, Darren D., Chan, Howard, Faff, Robert W. and Kalev, Petko S. (2003). Short-term contrarian investing: is it profitable? … Yes and No. Journal of Multinational Financial Management, 13 (4-5), 385-404. doi: 10.1016/S1042-444X(03)00017-3
Hallahan, Terrence, Faff, Robert and McKenzie, Michael (2003). An exploratory investigation of the relation between risk tolerance scores and demographic characteristics. Journal of Multinational Financial Management, 13 (4-5), 483-502. doi: 10.1016/S1042-444X(03)00022-7
Brooks, Robert, Davidson, Sinclair and Faff, Robert (2003). Sudden changes in property rights: The case of Australian native title. Journal of Economic Behavior and Organization, 52 (4), 427-442. doi: 10.1016/S0167-2681(03)00025-8
Chan, Howard W. and Faff, Robert W. (2003). An investigation into the role of liquidity in asset pricing: Australian evidence. Pacific Basin Finance Journal, 11 (5), 555-572. doi: 10.1016/S0927-538X(03)00003-9
Nguyen, Hoa and Faff, Robert (2003). Can the use of foreign currency derivatives explain variations in foreign exchange exposure? Evidence from Australian companies. Journal of Multinational Financial Management, 13 (3), 193-215. doi: 10.1016/S1042-444X(02)00051-8
Davidson, Sinclair, Faff, Robert and Hillier, David (2003). Gold factor exposures in international asset pricing. Journal of International Financial Markets, Institutions and Money, 13 (3), 271-289. doi: 10.1016/S1042-4431(02)00048-3
Benson, Karen L. and Faff, Robert W. (2003). Exchange rate sensitivity of Australian international equity funds. Global Finance Journal, 14 (1), 95-120. doi: 10.1016/S1044-0283(03)00007-3
Lie, Frida and Faff, Robert (2003). Global industry betas. Applied Economics Letters, 10 (1), 21-26. doi: 10.1080/13504850210167197
Chan, Howard, Faff, Robert W., Kalev, Petko S. and Lee, Darren D. (2003). Further evidence on the short-term contrarian investment strategy. Finance Letters, 1 (2), 41-45.
Benson, K. L., Pope, P. and Faff, R. W. (2003). The relevance of investor risk classes in ranking fund performance: An application of the Extended Mean-Gini CAPM. Journal of Quantitative Economics, 1 (1), 20-35. doi: 10.1007/bf03404646
Benson, K. L., Pope, P. and Faff, R. W. (2003). An investigation of the relationship between stated fund management policy and market timing ability. Pacific Accounting Review, 15 (1), 1-16.
Benson, K. L. and Faff, R. W. (2003). A performance analysis of Australian international equity trusts. Journal of International Financial Markets, Institutions and Money, 13 (1), 69-84. doi: 10.1016/S1042-4431(02)00027-6
Benson, Karen, Pope, Peter and Faff, Robert (2003). An investigation of the relationship between stated fund management policy and market timing ability. Pacific Accounting Review, 15 (1), 1-15. doi: 10.1108/eb037969
Faff, Robert W. (2003). Creating fama and french factors with style. Financial Review, 38 (2), 311-322. doi: 10.1111/1540-6288.00048
Nguyen, Hoa and Faff, Robert (2003). Further Evidence on the Corporate Use of Derivatives in Australia: The Case of Foreign Currency and Interest Rate Instruments. Australian Journal of Management, 28 (3), 307-317. doi: 10.1177/031289620302800305
McKenzie, Michael D. and Faff, Robert W. (2003). The determinants of conditional autocorrelation in stock returns. Journal of Financial Research, 26 (2), 259-274. doi: 10.1111/1475-6803.00058
Brooks, Robert D., Faff, Robert W. and Sokulsky, David (2002). An ordered response model of test cricket performance. Applied Economics, 34 (18), 2353-2365. doi: 10.1080/00036840210148085
Faff, Robert W., Hodgson, Allan and Saudagaran, Shahrokh (2002). International cross-listings towards more liquid markets: the impact on domestic firms. Journal of Multinational Financial Management, 12 (4-5), 365-390. doi: 10.1016/S1042-444X(02)00016-6
Faff, R. W., Brooks, R. D. and Kee, Ho Yew (2002). New evidence on the impact of financial leverage on beta risk: A time-series approach. North American Journal of Economics and Finance, 13 (1), 1-20. doi: 10.1016/S1062-9408(02)00059-1
Nguyen, Hoa and Faff, Robert (2002). On The Determinants of Derivative Usage by Australian Companies. Australian Journal of Management, 27 (1), 1-24. doi: 10.1177/031289620202700101
Faff, Robert W. and McKenzie, Michael D. (2002). The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study. Journal of Business, 75 (1), 95-125. doi: 10.1086/323506
Di Iorio, Amalia and Faff, Robert (2002). The pricing of foreign exchange risk in the Australian equities market. Pacific Basin Finance Journal, 10 (1), 77-95. doi: 10.1016/S0927-538X(01)00032-4
Brooks, Robert D., Faff, Robert W. and Fry, Tim R.L. (2001). GARCH modelling of individual stock data: The impact of censoring, firm size and trading volume. Journal of International Financial Markets, Institutions and Money, 11 (2), 215-222. doi: 10.1016/S1042-4431(00)00051-2
Josev, T., Brooks, R. D. and Faff, R. W. (2001). Testing a two-factor APT model on Australian industry equity portfolios: The effect of intervaling. Applied Financial Economics, 11 (2), 157-163. doi: 10.1080/096031001750071541
McKenzie, Michael D., Brailsford, Timothy J. and Faff, Robert W. (2001). New insights into the impact of the introduction of futures trading on stock price volatility. Journal of Futures Markets, 21 (3), 237-255. doi: 10.1002/1096-9934(200103)21:3<237::AID-FUT3>3.0.CO;2-0
Brooks, Robert, Faff, Robert and Josev, Tom (2001). An empirical investigation of the cross- industry variation in mean reversion of Australian stock betas. Pacific Accounting Review, 13 (2), 1-16. doi: 10.1108/eb037958
Faff, Robert (2001). A multivariate test of a dual-beta CAPM: Australian evidence. Financial Review, 36 (4), 157-174. doi: 10.1111/j.1540-6288.2001.tb00034.x
Faff, Robert (2001). An Examination of the Fama and French Three-Factor Model Using Commercially Available Factors. Australian Journal of Management, 26 (1), 1-17. doi: 10.1177/031289620102600101
Faff, Robert, Hillier, David and Wood, Justin (2001). Taxation and Black's Zero-Beta Strategy Revisited. Financial Analysts Journal, 57 (5), 57-65. doi: 10.2469/faj.v57.n5.2481
Dean, Warren G. and Faff, Robert W. (2001). The intertemporal relationship between market return and variance: An Australian perspective. Accounting and Finance, 41 (3), 169-196. doi: 10.1111/1467-629X.00058
Gangemi, Michael A. M., Brooks, Robert D., Faff, Robert W. and Modeling, Risk (2000). Modeling Australia's country risk: A country beta approach. Journal of Economics and Business, 52 (3), 259-276.
Faff, Robert W., Hillier, David and Hillier, Joseph (2000). Time varying beta risk: An analysis of alternative modelling techniques. Journal of Business Finance and Accounting, 27 (5-6), 523-554. doi: 10.1111/1468-5957.00324
Faff, Robert, Hillier, David and Wood, Justin (2000). 1 Beta and Return: Implications of Australia's Dividend Imputation Tax System. Australian Journal of Management, 25 (3), 245-260. doi: 10.1177/031289620002500301
Brooks, Robert D., Faff, Robert W., McKenzie, Michael D. and Mitchell, Heather (2000). A multi-country study of power ARCH models and national stock market returns. Journal of International Money and Finance, 19 (3), 377-397. doi: 10.1016/S0261-5606(00)00011-5
Faff, Robert W. and Brailsford, Timothy J. (2000). A test of a two-factor ‘market and oil’ pricing model. Pacific Accounting Review, 12 (1), 61-77. doi: 10.1108/eb037949
Di Iorio, Amalia and Faff, Robert (2000). An analysis of asymmetry in foreign currency exposure of the Australian equities market. Journal of Multinational Financial Management, 10 (2), 133-159. doi: 10.1016/S1042-444X(99)00024-9
Ragunathan, Vanitha, Faff, Robert W. and Brooks, Robert D. (2000). Australian industry beta risk, the choice of market index and business cycles. Applied Financial Economics, 10 (1), 49-58. doi: 10.1080/096031000331923
McKenzie, Michael D., Brooks, Robert D., Faff, Robert W. and Ho, Yew Kee (2000). Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks. Quarterly Review of Economics and Finance, 40 (1), 85-106. doi: 10.1016/S1062-9769(99)00046-0
McKenzie, Michael D., Brooks, Robert D. and Faff, Robert W. (2000). The use of domestic and world market indexes in the estimation of time-varying betas. Journal of Multinational Financial Management, 10 (1), 91-106.
Brooks, Robert D., Faff, Robert W., McKenzie, Michael D. and Ho, Yew Kee (2000). U.S. banking sector risk in an era of regulatory change: A bivariate GARCH approach. Review of Quantitative Finance and Accounting, 14 (1), 17-43. doi: 10.1023/A:1008324023419
Gangemi, Michael, Brooks, Robert and Faff, Robert (1999). Mean reversion and the forecasting of country betas: A note. Global Finance Journal, 10 (2), 231-245.
Faff, R. W. and Howard, P. F. (1999). Interest rate risk of Australian financial sector companies in a period of regulatory change. Pacific Basin Finance Journal, 7 (1), 83-101.
Hallahan, Terrence A. and Faff, Robert W. (1999). An examination of Australian equity trusts for selectivity and market timing performance. Journal of Multinational Financial Management, 9 (3-4), 387-402. doi: 10.1016/S1042-444X(99)00008-0
Faff, Robert and Heaney, Richard (1999). An examination of the relationship between Australian industry equity returns and expected inflation. Applied Economics, 31 (8), 915-933. doi: 10.1080/000368499323643
Di Iorio, Amalia and Faff, Robert (1999). An international market model and exchange rate risk: Australian evidence. Applied Economics Letters, 6 (2), 77-80.
Ragunathan, Vanitha, Faff, Robert W. and Brooks, Robert D. (1999). Correlations, business cycles and integration. Journal of International Financial Markets, Institutions and Money, 9 (1), 75-95. doi: 10.1016/S1042-4431(98)00030-4
Davidson, Sinclair and Faff, Robert (1999). Some additional Australian evidence on the day-of-the-week effect. Applied Economics Letters, 6 (4), 247-249. doi: 10.1080/135048599353447
Brooks, Robert D., Faff, Robert W. and McKenzie, Michael D. (1998). Time-varying beta risk of australian industry portfolios: A comparison of modelling techniques. Australian Journal of Management, 23 (1), 1-22. doi: 10.1177/031289629802300101
Chan, Howard and Faff, Robert (1998). The sensitivity of Australian industry equity returns to a gold price factor. Accounting and Finance, 38 (2), 223-244. doi: 10.1111/1467-629X.00011
Faff, R. W. and Oliver, B. R. (1998). Consumption versus market betas of Australian industry portfolios. Applied Economics Letters, 5 (8), 513-517.
Faff, R. W. and Brooks, R. D. (1998). Time-varying beta risk for Australian industry portfolios: An exploratory analysis. Journal of Business Finance and Accounting, 25 (5-6), 721-745. doi: 10.1111/1468-5957.00209
Brooks, Robert D., Faff, Robert W. and Ariff, Mohamed (1998). An investigation into the extent of beta instability in the Singapore stock market. Pacific Basin Finance Journal, 6 (1-2), 87-101.
Faff, Robert and Chan, Howard (1998). A multifactor model of gold industry stock returns: Evidence from the Australian equity market. Applied Financial Economics, 8 (1), 21-28. doi: 10.1080/096031098333212
Faff, Robert and Chan, Howard (1998). A test of the intertemporal CAPM in the Australian equity market. Journal of International Financial Markets, Institutions and Money, 8 (2), 175-188. doi: 10.1016/S1042-4431(98)00026-2
Faff, Robert W. (1998). The empirical relationship between aggregate consumption and security prices in Australia. Pacific Basin Finance Journal, 6 (1-2), 213-224. doi: 10.1016/S0927-538X(98)00007-9
Brooks, R. D., Faff, R. W., Gangemi, M. A.M. and Lee, J. H.H. (1997). A further examination of the effect of diversification on the stability of portfolio betas. Applied Financial Economics, 7 (1), 9-14. doi: 10.1080/096031097333808
Faff, Robert. W. and Lau, Sylvanna. (1997). A generalised method of moments test of mean variance efficiency in the australian stock market. Pacific Accounting Review, 9 (1), 2-16. doi: 10.1108/eb037916
Brooks, Robert D., Faff, Robert W. and Ho, Yew Kee (1997). A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions. Journal of Banking and Finance, 21 (2), 197-219. doi: 10.1016/S0378-4266(96)00034-9
Brooks, Robert D. and Faff, Robert W. (1997). A note on beta forecasting. Applied Economics Letters, 4 (2), 77-78. doi: 10.1080/758526698
Brooks, Robert D., Davidson, Sinclair and Faff, Robert W. (1997). An examination of the effects of major political change on stock market volatility: The South African experience. Journal of International Financial Markets, Institutions and Money, 7 (3), 255-275. doi: 10.1016/S1042-4431(97)00020-6
Faff, R. W. and Howard, P. F. (1997). Bank exposures to interest-rate risk: The case of the Australian banking industry. Applied Economics Letters, 4 (12), 737-739. doi: 10.1080/758528718
Brooks, Robert D., Faff, Robert W. and Josev, Thomas (1997). Beta stability and monthly seasonal effects: Evidence from the Australian capital market. Applied Economics Letters, 4 (9), 563-566. doi: 10.1080/135048597355032
Brailsford, Timothy J. and Faff, Robert W. (1997). Testing the conditional CAPM and the effect of intervaling: A note. Pacific Basin Finance Journal, 5 (5), 527-537. doi: 10.1016/S0927-538X(97)00018-8
Brailsford, Timothy J. and Faff, Robert W. (1996). An evaluation of volatility forecasting techniques. Journal of Banking and Finance, 20 (3), 419-438. doi: 10.1016/0378-4266(95)00015-1
BROOKS, ROBERT D. and FAFF, ROBERT W. (1995). FINANCIAL MARKET DEREGULATION AND BANK RISK: TESTING FOR BETA INSTABILITY*. Australian Economic Papers, 34 (65), 180-199. doi: 10.1111/j.1467-8454.1995.tb00024.x
Easton, Stephen A. and Faff, Robert W. (1994). An investigation of the robustness of the day-of-the-week effect in Australia. Applied Financial Economics, 4 (2), 99-110. doi: 10.1080/758523954
Brooks, Robert D., Faff, Robert W. and Lee, John H.H. (1994). Beta stability and portfolio formation. Pacific-Basin Finance Journal, 2 (4), 463-479. doi: 10.1016/0927-538X(94)90006-X
Faff, Robert (1993). An empirical test of arbitrage equilibrium with skewed asset returns: Australian evidence. Asia Pacific Journal of Management, 10 (2), 195-211. doi: 10.1007/BF01734278
Brailsford, Tim and Faff, Robert (1993). A DERIVATION OF THE CAPM FOR PEDAGOGICAL USE. Accounting & Finance, 33 (1), 53-60. doi: 10.1111/j.1467-629X.1993.tb00194.x
Faff, Robert W. (1993). A Multivariate Test of an Equilibrium APT with Time Varying Risk Premia in the Australian Equity Market. Australian Journal of Management, 17 (2), 233-258. doi: 10.1177/031289629301700204
Brooks, Robert D., Faff, Robert W. and Lee, John H. H. (1992). The form of time variation of systematic risk: Some Australian evidence. Applied Financial Economics, 2 (4), 191-198. doi: 10.1080/758527100
Faff, Robert W. (1992). A MULTIVARIATE TEST OF THE GENERALISED MEAN‐LOWER PARTIAL MOMENT ASSET PRICING MODEL: AUSTRALIAN EVIDENCE. Accounting & Finance, 32 (2), 61-74. doi: 10.1111/j.1467-629X.1992.tb00186.x
Faff, Robert W., Lee, John H.H. and Fry, Tim R. L. (1992). TIME STATIONARITY OF SYSTEMATIC RISK: SOME AUSTRALIAN EVIDENCE. Journal of Business Finance & Accounting, 19 (2), 253-270. doi: 10.1111/j.1468-5957.1992.tb00623.x
Faff, Robert W. (1991). A LIKELIHOOD RATIO TEST OF THE ZERO‐BETA CAPM IN AUSTRALIAN EQUITY RETURNS. Accounting & Finance, 31 (2), 88-95. doi: 10.1111/j.1467-629X.1991.tb00166.x
Faff, Robert W. (1988). An Empirical Test of the Arbitrage Pricing Theory on Australian Stock Returns 1974‐85. Accounting & Finance, 28 (2), 23-43. doi: 10.1111/j.1467-629X.1988.tb00143.x
Wang, Qingxia, Faff, Robert and Zhu, Min (0202). Informational content of options around analyst recommendations. International Journal of Managerial Finance, 18 (3), 445-465. doi: 10.1108/ijmf-04-2021-0168
Conference Papers
Malik, Ihtisham, Hodgson, Allan, Faff, Robert and Xiong, Zhengling (2020). Does corporate insider trading predict natural disaster outcomes?: evidence from tropical storms in the US. 43rd Annual Congress European Accounting Association (EAA), Bucharest, Romania, 27-29 May 2020.
Bialek-Jaworska, Anna, Gadowska-dos Santos, Dominika and Faff, Robert (2019). Conceptual Framework for Lending Money Outside Business Groups: Evidence from Poland. 4th Wroclaw International Conference in Finance, Wroclaw, Poland, 26-27 September 2018. Cham, Switzerland: Springer. doi: 10.1007/978-3-030-15581-0_7
Malik, Ihtisham, Hodgson, Allan and Faff, Robert (2019). Natural disaster and the profitability of insider trading. 12th International Accounting and Finance Doctoral Symposium, Milan, Italy, 9-11 June 2019.
Malik, Ihtisham, Hodgson, Allan, Faff, Robert and Xiong, Zhengling (2019). Does corporate insider trading predict natural disaster outcomes?: evidence from tropical storms in the U.S.. 9th Annual Finance Research Network Conference (FIRN 2019), Byron Bay, NSW, Australia, 20-22 November 2019.
Malik, Ihtisham, Faff, Robert and Chan, Kam Fong (2019). Price reactions of U.S. equities to natural disasters: industry-based evidence. 2019 New Zealand Finance Meeting, Auckland, New Zealand, 18-20 December 2019.
Malik, Ihtisham, Faff, Robert and Chan, Kam Fong (2017). Natural disaster risk, and price returns and volatilities of financial assets. 10th International Accounting and Finance Doctoral Symposium, Warsaw, Poland, 12-14 June 2017.
Benson, K. L. and Faff, R. W. (2003). Conditional performance evaluation and the relevance of money flows for Australian international equity funds. AFAANZ 2003 Annual Conference, Brisbane, 6-8 July, 2003. Melbourne: AFAANZ.
Benson, Karen L. and Faff, Robert W. (2002). The relationship between exchange rate exposure, currency risk management and performance of international equity funds. AAANZ 2002 Annual Conference, Perth, Western Australia, 7-9 July, 2002. Melbourne, Vic: AAANZ.