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    Article

    Evidence of feedback trading with Markov switching regimes

    Previous research has concluded that the degree of return autocorrelation observed in index returns varies linearly with the volatility of the series, and that feedback traders are at least partly responsible ...

    Warren G. Dean, Robert W. Faff in Review of Quantitative Finance and Accounting (2008)

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    Article

    The relation between R&D intensity and future market returns: does expensing versus capitalization matter?

    The Australian accounting environment provides an ideal setting for examining the impact of different accounting treatments of firms’ R&D activities on their subsequent returns. Unlike US firms, which can only...

    Howard W. H. Chan, Robert W. Faff… in Review of Quantitative Finance and Account… (2007)

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    Article

    Modelling return and conditional volatility exposures in global stock markets

    This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility. It provides evidence that conditional stock market retur...

    Charlie X. Cai, Robert W. Faff… in Review of Quantitative Finance and Account… (2006)

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    Article

    U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach

    This paper assesses the impact of regulatory change on the risk and returns of the U.S. banking industry. The impact of five major regulatory changes on banking sector risk was assessed using daily data for ei...

    Robert D. Brooks, Robert W. Faff… in Review of Quantitative Finance and Account… (2000)