Exchange rate risk exposure and the value of European firms, European Journal of Finance (2015) (with Fabio Parlapiano and Mardi Dungey) AbstractDownload

Equity portfolio diversification with high frequency data, Quantitative Finance (2014) (with Mardi Dungey) AbstractArticleFree journal PDFWorking Paper

The number of stocks in your portfolio should be larger than you think: Diversification evidence from five developed markets, Journal of Investment Strategies (2014) (with Francis Tapon) AbstractWorking Paper version

Concurrent momentum and contrarian strategies in the Australian stock market, Australian Journal of Management (2014) (with Minh Phuong Doan and Robert Brooks) AbstractDownloadWorking Paper

Diversification, Canadian Style: How many stocks are enough for diversifying Canadian portfolios? Canadian Investment Review (2014) (with Francis Tapon) AbstractDownload

What Australian investors need to know to diversify their portfolios, JASSA The Finsia Journal of Applied Finance (2013) (with Francis Tapon) AbstractDownloadWorking Paper

Testing Weak Form Efficiency on the Toronto Stock Exchange, Journal of Empirical Finance (2011) (with Francis Tapon) AbstractDownload

Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks, Computational Statistics and Data Analysis (2012) (with Alex Maynard) AbstractDownload


Working Papers

Time-varying continuous and jump betas: The role of firm characteristics and periods of stress (with Wenying Yao and Mardi Dungey). Revise and Resubmit, Journal of Empirical Finance. Abstract | Download

Continuous and Jump Betas: Implications for Portfolio Diversification (with Wenying Yao and Mardi Dungey). Submitted to Econometrics.

Asymmetric jump beta estimation with implications for portfolio risk management (with Wenying Yao and Giovanni Urga).

Large scale robust portfolio optimisation with high-frequency data (with Lyudmyla Hvozdyk).

Bias in variance of fixed weight rebalanced portfolios (with  Katja Ignatieva). Abstract | Download

M&A announcements in Australia and their impact on competitors (with  Fabio Parlapiano). Abstract | Download

When We Mistake Economics for Ethics: Evidence that Larger Cap Firms are Not Punished for Commonly Occurring Negative Social or Environmental Behavior. Abstract | Download

Optimal Portfolio Allocation and Industry Bias in the Australian Equity Market (with  Kane Hannan). Abstract | Download

Conference Presentations
49th annual meeting of the Canadian Economics Association, Ryerson University, Canada, 2015

32nd meeting of the Canadian Econometrics Study Group, Ryerson University, Canada, 2015

International Conference on Finance and Economics, Rio de Janeiro, Brazil, 2015

1st Conference on Recent Developments in Financial Econometrics and Applications, Deakin University, Dec 2014

Joint conference of Economic Society Australasian Meeting and Australian Conference of Economists, Hobart, Tasmania, 2014

Auckland Finance Meeting 2013, Auckland Centre for Financial Research, Auckland University of Technology, New Zealand, 2013

SIRCA Young Researchers workshop, Sydney, 2013

47th annual meeting of the Canadian Economics Association, HEC Montreal, Canada, 2013

“The Art of Finance”, Financial Research Network (FIRN) Conference, Hobart, Australia, 2012

46th annual meeting of the Canadian Economics Association, University of Calgary, Canada, 2012

Financial, Energy and Environmental Econometrics workshop, University of Tasmania, Australia, 2011

The Econometrics Society Australasian Meeting, University of Adelaide, Australia, 2011

45th annual meeting of the Canadian Economics Association, University of Ottawa, Canada, 2011

4th International conference on Computational and Financial Econometrics, University of London, UK, 2010

Research Day in Finance, FIRN, Melbourne, Australia, 2010

44th annual meeting of the Canadian Economics Association, Laval University, Quebec, Canada, 2010

26th annual meeting of Canadian Econometric Study Group, Carleton University, Canada, 2009 (poster)

19th annual meeting of the Midwest Econometrics Group, Purdue University, U.S., 2009

15th International Conference in Computing in Economics and Finance, University of Technology, Sydney, Australia, 2009

43rd annual meeting of the Canadian Economics Association, University of Toronto, Canada, 2009