Publications

Marx, J, Mpofu, R, Van de Venter, TW & Nortje, A 2006, Investment Management, 2nd, Van Schaik, Pretoria, South Africa.

Rösch, D & Scheule, H 2006, 'A Multi-Factor Approach for Systematic Default and Recovery Risk' in The Basel II Risk Parameters, Springer Berlin Heidelberg, pp. 105-125.
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Bird, R & Casavecchia, L 2006, 'Insights into the Momentum Life Cycle for European Stocks', The Journal of Investing, vol. 15, no. 3, pp. 105-118.
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Bruti-Liberati, N, Nikitopoulos-Sklibosios, C & Platen, E 2006, 'First Order Strong Approximations of Jump Diffusions', Monte Carlo Methods and Applications, vol. 12, no. 3.
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Bruti-Liberati, N, Nikitopoulos-Sklibosios, C & Platen, E 2006, 'First Order Strong Approximations of Jump Diffusions', Monte Carlo Methods and Applications, vol. 12, no. 3, pp. 191-209.
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This paper presents new results on strong numerical schemes, which are appropriate for scenario analysis, filtering and hedge simulation, for stochastic differential equations (SDEs) of jump-diffusion type. It provides first order strong approximations for jump-diffusion SDEs driven by Wiener processes and Poisson random measures. The paper covers first order derivative-free, drift-implicit and jump-adapted strong approximations. Moreover, it provides a commutativity condition under which the computational effort of first order strong schemes is independent of the total intensity of the jump measure. Finally, a numerical study on the accuracy of several strong schemes applied to the Merton model is presented. © VSP 2006.

Hamerle, A, Liebig, T & Scheule, H 2006, 'Forecasting credit event frequency – empirical evidence for West German firms', The Journal of Risk, vol. 9, no. 1, pp. 75-98.
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Henker, T & Wang, J-X 2006, 'On the Importance of Timing Specifications in Market Microstructure Research', journal of financial markets, vol. 9, no. 2, pp. 162-179.
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This paper highlights the importance of timing specifications in empirical market microstructure studies. Small changes in the data matching process and the timing specification of economic variables can significantly alter the outcomes of empirical research. Using the methodology developed by Lee and Ready [1991. Journal of Finance 46(2) 733746], we show that their 5-second rule is not appropriate for matching quotes with transactions for NYSE stocks in the TAQ data set, and the prevailing quotes are the ones immediately before the trades. We demonstrate the significance of the timing specifications of economic variables using the Huang and Stoll [1997. Review of Financial Studies 10, 9951034] spread decomposition model. Seemingly minor variations from the theoretical model result in severe biases in the estimated parameters. Correcting the timing errors provide much more realistic spread component estimates than those achieved in the literature.

Michayluk, D & Neuhauser, KL 2006, 'INVESTOR OVERREACTION DURING MARKET DECLINES: EVIDENCE FROM THE 1997 ASIAN FINANCIAL CRISIS', Journal of Financial Research, vol. 29, no. 2, pp. 217-234.
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AbstractUnlike the 1987 stock market crash, the 1997 stock market decline was clearly preceded by new information that affected fundamental values of U.S. firms. We provide a detailed description of U.S. stock returns surrounding the Asian financial crisis. Consistent with the overreaction hypothesis, we find strong evidence of a magnitude effect in short‐term return reversals. Additionally, we find evidence of short‐term return predictability in the aftermath. Our results are robust to controls for size, price, risk, and bid‐ask bounce effects. Overall, the results are indicative of investor overreaction in times of market crisis.

Michayluk, D & Sanger, GC 2006, 'DAY‐END EFFECT ON THE PARIS BOURSE', Journal of Financial Research, vol. 29, no. 1, pp. 131-146.
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AbstractWe study the day‐end effect on the Paris Bourse, a computerized order‐driven market with competing dealers. The day‐end return is approximately double the magnitude found in U.S. data and is nearly four times larger for stocks trading with a registered dealer. However, this is largely explained by the time between trades and the bid‐ask spread. Unlike the U.S. data, the effect does not decline as stock price increases, probably because of a variable tick size in the Paris market. Finally, a change to a closing call auction in May 1996 for a subset of stocks did not reduce the day‐end effect.

Michayluk, D, Wilson, PJ & Zurbruegg, R 2006, 'Asymmetric Volatility, Correlation and Returns Dynamics between the U.S. and U.K. Securitized Real Estate Markets', Real Estate Economics, vol. 34, no. 1, pp. 109-131.
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We construct synchronously priced indices of securitized property listed on the New York Stock Exchange and London Stock Exchange. The indices are then utilized to examine dynamic information flows between the two markets. By analyzing returns behavior,

Wang, J-X & Yang, M 2006, 'Asymmetric Volatility in the Foreign Exchange Markets', Journal of International Financial Markets, Institutions & Money, vol. 19, no. 4, pp. 597-615.
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We examine the presence or absence of asymmetric volatility in the exchange rates of Australian dollar (AUD), Euro (EUR), British pound (GBP) and Japanese yen (JPY), all against US dollar. Our investigation is based on a variant of the heterogeneous autoregressive realized volatility model, using daily realized variance and return series from 1996 to 2004. We find that a depreciation against USD leads to significantly greater volatility than an appreciation for AUD and GBP, whereas the opposite is true for JPY. Relative to volatility on days following a positive one-standard-deviation return, volatility on days following a negative one-standard-deviation return is higher by 6.6% for AUD, 6.1% for GBP, and 21.2% for JPY. The realized volatility of EUR appears to be symmetric. These results are robust to the removal of jump component from realized volatility and the sub-samplings defined by structural-changes. The asymmetry in AUD, GBP and JPY appears to be embedded in the continuous component of realized volatility rather than the jump component.

Bruti Liberati, N, Nikitopoulos Sklibosios, C & Platen, E 1970, 'Heath Jarrow Morton equation for jump-diffusions under the benchmark approach', 2nd International Symposium on Economic Theory, Policy & Applications, 2nd International Symposium on Economic Theory, Policy & Applications, -, Athens, Greece.

Bruti Liberati, N, Nikitopoulos Sklibosios, C & Platen, E 1970, 'On the strong approximation of jump-diffusion processes', Stochastic Calculus and its Applications to Quantitative Finance and Electrical Engineering, Calgary, Canada.

Casavecchia, L 1970, 'Investment styles across European markets', 17th Annual Asian Finance Association/ FMA Conference, Auckland, New Zealand.

Graham, A, Lin, B, Michayluk, D & Stuerke, P 1970, 'Sarbanes-Oxley: Some unintended consequences', American Accounting Association Midwest Regional Conference, Chicago, Illinois, USA.

Hulley, H 1970, 'A survey and reassessment of the constant elasticity of variance model', 5th National Symposium on Financial Mathematics, 5th National Symposium on Financial Mathematics, Melbourne, Australia.

Hulley, H 1970, 'Hedging basis risk using quadratic criteria', Quantitative Methods in Finance 2006 Conference, Quantitative Methods in Finance 2006 Conference, Sydney, Australia.

Lin, B, Michayluk, D, Oppenheimer, H & Sabherwal, S 1970, 'French and US trading of cross-listed stocks around the period of US decimalization: Volume, spreads and depth effects', Proceedings of the Paris Finance International Meeting, Paris Finance International Meeting, AFFI, Paris, France, pp. 1-41.

Lin, B, Michayluk, D, Oppenheimer, H & Sabherwal, S 1970, 'French and US trading of cross-listed stocks around the period of US decimalization: Volume, spreads and depth effects', French Finance Association (AFFI), Paris, France.

Michayluk, D & Zhao, L 1970, 'Risk changes subsequent to stock splits', Southern Finance Association Annual Meeting, Destin, Florida, USA.

Michayluk, D, Prather, L, Woo, L & Yip, H 1970, 'Decomposing the bid-ask spread: A cross market model using options data', European Financial Management Association Conference, European Financial Management Association Conference, Madrid, Spain.

Michayluk, D, Prathier, L, Woo, L & Yip, H 1970, 'Decomposing the bid-ask spread of stock options: A trade and risk indicator model.', Proceeding if the 2006 FMA Annual Meeting, FMA Annual Meeting, FMA, Salt Lake City, USA, pp. 1-48.

Nikitopoulos Sklibosios, C 1970, 'Benchmark term structure of interest rates under jump-diffusions', Seminar Presentation, Department of Mathematics, University of Patras, Patras, Greece.

Nikitopoulos Sklibosios, C 1970, 'Markovian HJM term structure models under jump-diffusions', Seminar Presentation, Department of Mathematics, University of Patras, Patras, Greece.

Nikitopoulos Sklibosios, C 1970, 'Real-world pricing for the HJM framework with jumps', Quantitative Methods in Finance 2006 Conference, Quantitative Methods in Finance 2006 Conference, Sydney, Australia.

Pettway, R, Thosar, SB & Walker, S 1970, 'Auctions versus book-built IPOs: Further evidence', Proceedings of the 2006 FMA Annual Meeting, FMA Annual Meeting, FMA, Salt Lake City, USA, pp. 1-31.

Professor Ronald Geoffrey Bird, R & Casavecchia, L 1970, 'An analysis of causality in the relationship between analysts' forecast revisions and market prices', 17th Annual Asian Finance Association/FMA Conference, 17th Annual Asian Finance Association/FMA Conference, Asian Finance Association, Auckland, New Zealand, pp. 1-21.

Professor Ronald Geoffrey Bird, R & Casavecchia, L 1970, 'Sentiment and financial strength indicators for value and growth stocks: The European experience', The European Financial Management Association 2006 Annual Meetings, European Financial Management Association Conference, -, Madrid, Spain.

Van de Venter, G 1970, 'Financial planners' perceptions of risk tolerance', Proceeding of the 2006 FMA Annual Meeting, FMA Annual Meeting, FMA, Salt Lake City, USA, pp. 1-30.

Van de Venter, G 1970, 'Financial planners' perceptions of risk tolerance', 17th Annual Asian Finance Association/ FMA Conference, 17th Annual Asian Finance Association/ FMA Conference, Asian Finance Association, Auckland, New Zealand, pp. 1-17.

Van de Venter, G & Michayluk, D 1970, 'Financial planners' interpretations: A survey of asset allocation recommendations', The 19th Annual Australasian Finance and Banking Conference, Australasian Finance and Banking Conference, Sydney, Australia.

Zhao, L 1970, 'Does risk really change after stock splits', 2006 Annual Meeting of the Southern Finance Association, Annual Meeting of the Southern Finance Association, Destin, FL, USA.

Zhao, L 1970, 'New info in S&P 500 revision: Alternative perspective of corporate bonds and earnings', The 19th Australasian Finance and Banking Conference, Australasian Finance and Banking Conference, Sydney, Australia.

Zhao, L 1970, 'Split signaling and implication for corporate performance and bond', Proceedings of the Asian Finance Association/ FMA Conference, 17th Annual Asian Finance Association/FMA Conference, Asian Finance Association, Auckland, New Zealand, pp. 1-34.

Hutcheson, T & Tse, H 2006, 'Tutorial Attendance and Grade Achievement'.
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It is a concern amongst academics that students, unless required, attend tutorials on an irregular basis and when they do attend do very little preparation. Tutors often find that many students simply attend the tutorial to copy down answers written by the tutor on the board. This paper examines the problem of tutorial attendance using two approaches. The first approach evaluates quantitatively whether there is a link between tutorial attendance and the grades achieved by students for assessment tasks. The second approach involves the analysis of responses made by students to a survey completed in the Spring Semester 2005. In the survey students are asked questions on how regularly they attend tutorials, on their preparation of tutorial questions and for reasons why they do not attend tutorials.

Hutcheson, TJ & Tse, HP 2006, 'Tutorial attendance and grade achievement (F&E paper #145)'.