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1

The profitability of pairs trading strategies: distance, cointegration and copula methods

Rad, Hossein, Low, Rand Kwong Yew, Faff, Robert

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 677 KB

english, 2016

2

Does Simple Pairs Trading Still Work?

Do, Binh, Faff, Robert

Journal:

Financial Analysts Journal

Year:

2010

Language:

english

File:

PDF, 466 KB

english, 2010

3

Trusting Clients’ Financial Risk Tolerance Survey Scores

Hartnett, Neil, Gerrans, Paul, Faff, Robert

Journal:

Financial Analysts Journal

Year:

2019

Language:

english

File:

PDF, 636 KB

english, 2019

4

Does board structure in banks really affect their performance?

Pathan, Shams, Faff, Robert

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 333 KB

english, 2013

5

ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS?

Binh Do, Robert Faff

Journal:

Journal of Financial Research

Year:

2012

Language:

english

File:

PDF, 604 KB

english, 2012

6

ON THE LINKAGE BETWEEN FINANCIAL RISK TOLERANCE AND RISK AVERSION

Robert Faff, Daniel Mulino, Daniel Chai

Journal:

Journal of Financial Research

Year:

2008

Language:

english

File:

PDF, 862 KB

english, 2008

7

The relationship between exchange rate exposure, currency risk management and performance of international equity funds

Karen L. Benson, Robert W. Faff

Journal:

Pacific-Basin Finance Journal

Year:

2004

Language:

english

File:

PDF, 203 KB

english, 2004

8

The influence of time, seasonality and market state on momentum: insights from the Australian stock market

Phua, Victor, Chan, Howard, Faff, Robert, Hudson, Robert

Journal:

Applied Financial Economics

Year:

2010

Language:

english

File:

PDF, 205 KB

english, 2010

9

An Empirical Test of the Arbitrage Pricing Theory on Australian Stock Returns 1974-85

Journal:

Accounting & Finance

Year:

1988

File:

PDF, 2.50 MB

1988

10

An evaluation of volatility forecasting techniques

Timothy J. Brailsford, Robert W. Faff

Journal:

Journal of Banking & Finance

Year:

1996

Language:

english

File:

PDF, 1.03 MB

english, 1996

11

A simple template for pitching research

Faff, Robert W., Smith, Tom

Journal:

Accounting & Finance

Year:

2015

Language:

english

File:

PDF, 468 KB

english, 2015

12

Corporate usage of financial derivatives, information asymmetry, and insider trading

Hoa Nguyen, Robert Faff, Allan Hodgson

Journal:

Journal of Futures Markets

Year:

2010

Language:

english

File:

PDF, 124 KB

english, 2010

13

Did connected hedge funds benefit from bank bailouts during the financial crisis?

Faff, Robert W., Parwada, Jerry T., Tan, Eric K.M.

Journal:

Journal of Banking & Finance

Year:

2019

Language:

english

File:

PDF, 1.08 MB

english, 2019

14

Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market

John A. Anderson, Robert W. Faff

Journal:

International Review of Financial Analysis

Year:

2008

Language:

english

File:

PDF, 261 KB

english, 2008

15

Does Simple Pairs Trading Still Work?

Binh Do and Robert Faff

Journal:

Financial Analysts Journal

Year:

2010

Language:

english

File:

PDF, 1.86 MB

english, 2010

16

The complementary role of cross-sectional and time-series information in forecasting stock returns

Zhou, Q., Faff, R.

Journal:

Australian Journal of Management

Year:

2015

Language:

english

File:

PDF, 2.15 MB

english, 2015

17

The Profitability of Pairs Trading Strategies: Distance, Cointegration, and Copula Methods

Rad, Hossein, Low, Rand Kwong Yew, Faff, Robert W.

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 558 KB

english, 2015

18

Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news

Akhtar, Shumi, Faff, Robert, Oliver, Barry, Subrahmanyam, Avanidhar

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 407 KB

english, 2013

19

Individual financial risk tolerance and the global financial crisis

Gerrans, Paul, Faff, Robert, Hartnett, Neil, Berkman, Henk

Journal:

Accounting & Finance

Year:

2015

Language:

english

File:

PDF, 222 KB

english, 2015

20

A LIKELIHOOD RATIO TEST OF THE ZERO-BETA CAPM IN AUSTRALIAN EQUITY RETURNS

Journal:

Accounting & Finance

Year:

1991

File:

PDF, 1.02 MB

1991

21

Growth, governance and corporate payout policy

Bhabra, Gurmeet, Luu, Khanh Hien, Faff, Robert

Journal:

Accounting & Finance

Year:

2015

Language:

english

File:

PDF, 153 KB

english, 2015

22

Cointegration and Relative Value Arbitrage

Do, Binh Huu, Faff, Robert W.

Journal:

SSRN Electronic Journal

Year:

2016

File:

PDF, 455 KB

2016

23

Why do firms save cash from cash flows? Evidence from firm-level estimation of cash-cash flow sensitivities

D'Espallier, Bert, Huybrechts, Jolien, Schoubben, Frederiek, Faff, Robert

Journal:

Accounting & Finance

Year:

2014

Language:

english

File:

PDF, 234 KB

english, 2014

24

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?’

Faff, Robert, Cahan, Steven

Journal:

Accounting & Finance

Year:

2013

Language:

english

File:

PDF, 213 KB

english, 2013

25

The national market impact of sovereign rating changes

Robert Brooks, Robert W. Faff, David Hillier, Joseph Hillier

Journal:

Journal of Banking & Finance

Year:

2004

Language:

english

File:

PDF, 228 KB

english, 2004

26

Pricing innovations in consumption growth: A re-evaluation of the recursive utility model

Xiao, Yuchao, Faff, Robert, Gharghori, Philip, Min, Byoung-Kyu

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 477 KB

english, 2013

27

Variations in sovereign credit quality assessments across rating agencies

Paula Hill, Robert Brooks, Robert Faff

Journal:

Journal of Banking & Finance

Year:

2010

Language:

english

File:

PDF, 330 KB

english, 2010

28

Are Multiple Directorships Beneficial in East Asia?

Lee, Kin-Wai, Lee, Cheng-Few, Faff, Robert

Journal:

Accounting & Finance

Year:

2014

Language:

english

File:

PDF, 191 KB

english, 2014

29

A Comparative Analysis of the Investment Characteristics of Alternative Gold Assets

Pullen, Tim, Benson, Karen, Faff, Robert

Journal:

Year:

2014

Language:

english

File:

PDF, 292 KB

english, 2014

30

Style analysis, customized benchmarks, and managed funds: new evidence

Holmes, Kathryn A., Faff, Robert W.

Journal:

Applied Financial Economics Letters

Year:

2008

Language:

english

File:

PDF, 204 KB

english, 2008

31

Profitability of Trading Rules in Futures Markets

Anderson, John, Faff, Robert

Journal:

Accounting Research Journal

Year:

2005

Language:

english

File:

PDF, 287 KB

english, 2005

32

A further examination of the effect of diversification on the stability of portfolio betas

Brooks, R. D., Faff, R. W., Gangemi, M. A. M., Lee, J. H. H.

Journal:

Applied Financial Economics

Year:

1997

Language:

english

File:

PDF, 162 KB

english, 1997

33

Alternative beta risk estimators in cases of extreme thin trading: Canadian evidence

Brooks, Robert D., Faff, Robert W., Fry, Tim R. L., Bissoondoyal-Bheenick, E.

Journal:

Applied Financial Economics

Year:

2005

Language:

english

File:

PDF, 131 KB

english, 2005

34

The intertemporal relationship between market return and variance: an Australian perspective

Warren G. Dean, Robert W. Faff

Journal:

Accounting & Finance

Year:

2001

Language:

english

File:

PDF, 491 KB

english, 2001

35

New Insights into Rights Offerings as Signals of Firm Quality: Evidence from Australia

Balasingham Balachandran, Robert Faff, Michael Theobald

Journal:

Journal of Applied Corporate Finance

Year:

2009

Language:

english

File:

PDF, 142 KB

english, 2009

36

A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions

Robert D. Brooks, Robert W. Faff, Yew Kee Ho

Journal:

Journal of Banking & Finance

Year:

1997

Language:

english

File:

PDF, 1.23 MB

english, 1997

37

A note on board characteristics, ownership structure and default risk in Taiwan

Chiang, Shu-Mei, Chung, Huimin, Huang, Chien-Ming, Faff, Robert

Journal:

Accounting & Finance

Year:

2015

Language:

english

File:

PDF, 140 KB

english, 2015

38

A MULTIVARIATE TEST OF THE GENERALISED MEAN-LOWER PARTIAL MOMENT ASSET PRICING MODEL: AUSTRALIAN EVIDENCE

Journal:

Accounting & Finance

Year:

1992

File:

PDF, 1.69 MB

1992

39

Do futures-based strategies enhance dynamic portfolio insurance?

Binh Huu Do, Robert W. Faff

Journal:

Journal of Futures Markets

Year:

2004

Language:

english

File:

PDF, 113 KB

english, 2004

40

Does oil move equity prices? A global view

Mohan Nandha, Robert Faff

Journal:

Energy Economics

Year:

2008

Language:

english

File:

PDF, 234 KB

english, 2008

41

The sensitivity of Australian industry equity returns to a gold price factor

Howard Chan, Robert Faff

Journal:

Accounting & Finance

Year:

1998

Language:

english

File:

PDF, 211 KB

english, 1998

42

Short-term contrarian investing—is it profitable? … Yes and No

Darren D. Lee, Howard Chan, Robert W. Faff, Petko S. Kalev

Journal:

Journal of Multinational Financial Management

Year:

2003

Language:

english

File:

PDF, 253 KB

english, 2003

43

On the estimation and comparison of short-rate models using the generalised method of moments

Robert Faff, Philip Gray

Journal:

Journal of Banking & Finance

Year:

2006

Language:

english

File:

PDF, 183 KB

english, 2006

44

Erratum to “Variations in sovereign credit quality assessments across rating agencies” [J. Bank. Finance 34 (2010) 1327–1343]

Paula Hill, Robert Brooks, Robert Faff

Journal:

Journal of Banking & Finance

Year:

2010

Language:

english

File:

PDF, 100 KB

english, 2010

45

The Global Financial Crisis: some attributes and responses

David Allen, Robert Faff

Journal:

Accounting & Finance

Year:

2012

Language:

english

File:

PDF, 146 KB

english, 2012

46

Canonical vine copulas in the context of modern portfolio management: Are they worth it?

Low, Rand Kwong Yew, Alcock, Jamie, Faff, Robert, Brailsford, Timothy

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 1.70 MB

english, 2013

47

A DERIVATION OF THE CAPM FOR PEDAGOGICAL USE

Tim Brailsford, Robert Faff

Journal:

Accounting & Finance

Year:

1993

File:

PDF, 873 KB

1993

48

Pairs trading and idiosyncratic cash flow risk

Do, Binh, Faff, Robert

Journal:

Accounting & Finance

Year:

2020

File:

PDF, 372 KB

2020

49

An International Investigation of the Factors that Determine Conditional Gold Betas

Robert Faff, David Hillier

Journal:

Financial Review

Year:

2004

Language:

english

File:

PDF, 107 KB

english, 2004

50

Does insider trading explain price run-up ahead of takeover announcements?

Aspris, Angelo, Foley, Sean, Frino, Alex, Faff, Robert

Journal:

Accounting & Finance

Year:

2014

Language:

english

File:

PDF, 242 KB

english, 2014

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