Download Publications by Robert Faff

Publications by Robert Faff
Benson, Karen and Faff, Robert (2013) β. Abacus, 49 Supplement 1: 24-31. doi:10.1111/j.14676281.2012.00380.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
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
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
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
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
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
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
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/s10551012-1342-2
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.
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
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
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
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
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
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.
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: 116.
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
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
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
Chang, Yanhao, Benson, Karen and Faff, Robert (2016) Are excess cash holdings more valuable
to firms in times of crisis? Financial constraints and governance matters. Pacific Basin Finance
Journal, . doi:10.1016/j.pacfin.2016.05.007
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
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
Ghaghori, Philip, Chan, Howard and Faff, Robert (2007) Are the Fama-French factors proxying
default risk?. Australian Journal of Management, 32 2: 223-249.
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, 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
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
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 W (2015) A simple template for pitching research. Accounting and Finance, 55 2:
311-336. doi:10.1111/acfi.12116
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.
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
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: 7997. doi:10.1111/j.1468-2443.2007.00060.x
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
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
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
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
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.
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
McGilvery, Andrew, Faff, Robert and Pathan, Shams (2012) Competitive valuation effects of
Australian IPOs. International Review of Financial Analysis, .
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
Benson, K. L. and Faff, R. W. (2003). Conditional performance evaluation and the relevance of
money flows for Australian international equity funds. In: AFAANZ 2003 Annual Conference:
Program and Abstracts. AFAANZ 2003 Annual Conference, Brisbane, (38-38). 6-8 July, 2003.
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
Faff, R. W. and Oliver, B. R. (1998) Consumption versus market betas of Australian industry
portfolios. Applied Economics Letters, 5 8: 513-517.
Bishop, Steve, Faff, Robert, Oliver, Barry, and Twite, Garry Corporate finance 5th ed. Australia:
Pearson Education, 2004.
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
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
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
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
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
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
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.14682443.2009.01084.x
Meath, Cristyn (2013). Decline in natural capital – understanding the cost of business
dependence and what will be required to remain competitive. In: Robert Faff, Book of Abstracts:
15th Annual Research Students' Colloquium. 15th Annual Research Students' Colloquium,
Brisbane, Australia, (24-24). 19 July 2013.
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
Au Yong, Hue Hwa, Faff, Robert and Chalmers, Keryn (2009) Derivative activities and AsiaPacific 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
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
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 99120. doi:10.1016/j.jcorpfin.2016.06.002
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
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
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
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
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
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.
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
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
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
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
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
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
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
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
Brooks, Robert, Faff, Robert, Treepongkaruna, Sirimon and Wu, Eliza (2015) Do Sovereign ReRatings 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
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
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
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
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
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/S10440283(03)00007-3
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: 323330. doi:10.1080/09603100903299667
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: 335353. doi:10.1111/j.1475-6803.2007.00217.x
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
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
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
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
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
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
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
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
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
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
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
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
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
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: 7396. doi:10.1177/031289620903400105
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/ARJ07-2013-0048
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.
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
Nguyen, Hoa and Faff, Robert (2006) Impact of board size and board diversity on firm value:
Australian evidence. Corporate Ownership and Control - Корпоративнаѕ
собственноѕть и контроль, 4 2 Part 1: 24-32.
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.
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
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
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
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
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.
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
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
Woods, Keegan, Tan, Kelvin Jui Keng and Faff, Robert (2017) Labor unions and corporate
financial leverage: The bargaining device versus crowding-out hypotheses. Journal of Financial
Intermediation, .
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
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: 375400. doi:10.1177/0312896213489143
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.
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
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
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
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
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
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
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
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
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
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
Cai, Charlie X., Faff, Robert and Shin, Yongcheol (2017) Noise momentum around the world.
Abacus, . doi:10.1111/abac.12101
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
Faff, Robert, Gharghori, Philip and Nguyen, Annette (2014) Non-nested tests of a GDPaugmented 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
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.
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
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
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.14756803.2008.00229.x
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.
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
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
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
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
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
Mendez-Rodriguez, Paz, Galguera, Laura, Bravo, Mila, Benson, Karen, Faff, Robert and PerezGladish, Blanca (2015). Profiling ethical investors. In Enrique Ballestero, Blanca PérezGladish and Ana Garcia-Bernabeu (Ed.), Socially responsible investment (pp. 23-52) Dordrecht,
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Pérez-Gladish, Blanca, Benson, Karen and Faff, Robert (2012) Profiling socially responsible
investors: Australian evidence. Australian Journal of Management, 37 2: 189-209.
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Anderson, J. and Faff, R. (2005) Profitability of trading rules in futures markets. Accounting
Research Journal, 18 2: 83-92. doi:10.1108/10309610580000677
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
Brailsford, Timothy J., Faff, Robert W. and Oliver, Barry Research design issues in the
estimation of Beta. Sydney, NSW, Australia: McGraw-Hill, 1997.
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.
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.
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
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
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.
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
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
Isshaq, Zangina and Faff, Robert (2016) Stock liquidity risk and the cross-sectional earningsreturns relationship. Journal of Business Finance and Accounting, 43 9-10: 1121-1141.
doi:10.1111/jbfa.12209
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
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
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
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
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.
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
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
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
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.
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
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
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.
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.
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
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
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
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: 519. doi:10.1108/10309611011060506
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: 635643. doi:10.1016/j.irfa.2006.08.002
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, . doi:10.1007/s10551-015-2894-8
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, 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.
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
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: 15281547. doi:10.1111/j.1468-5957.2007.02053.x
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.
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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
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.
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
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
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
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.
Benson, Karen L. and Faff, Robert W. (2002). The relationship between exchange rate exposure,
currency risk management and performance of international equity funds. In: Accounting
Association of Australia and New Zealand (AAANZ) 2002 Annual Conference: Program and
Abstracts. AAANZ 2002 Annual Conference, Perth, Western Australia, (30-30). 7-9 July, 2002.
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
Faff, Robert W. and McKenzie, Michael D. (2007) The relationship between implied volatility
and autocorrelation. International Journal of Managerial Finance, 3 2: 191-196.
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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.
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
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.
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Brooks, R., Faff, R. and Sokulsky, D. (2005) The stock market impact of German reunification:
International evidence. Applied Financial Economics, 15 1: 31-42.
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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
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
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
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.
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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
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
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
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