User profiles for R. W. Faff
Robert FaffProfessor of Finance, The University of Queensland Verified email at business.uq.edu.au Cited by 22890 |
An evaluation of volatility forecasting techniques
TJ Brailsford, RW Faff - Journal of Banking & Finance, 1996 - Elsevier
… In a general investigation of fitting conditional volatility models in the Australian stock
market, Brailsford and Faff (1993), using the same data as the current paper, considered higher …
market, Brailsford and Faff (1993), using the same data as the current paper, considered higher …
Corporate sustainability performance and idiosyncratic risk: A global perspective
DD Lee, RW Faff - Financial Review, 2009 - Wiley Online Library
Does investing in sustainability leaders affect portfolio performance? Analyzing two mutually
exclusive leading and lagging global corporate sustainability portfolios (Dow Jones) finds …
exclusive leading and lagging global corporate sustainability portfolios (Dow Jones) finds …
[PDF][PDF] An empirical investigation of personal financial risk tolerance
TA Hallahan, RW Faff, MD McKenzie - Financial Services Review …, 2004 - Citeseer
We analyze a large database of psychometrically derived financial risk tolerance scores (RTS)
and associated demographic information. We find that people’s self-assessed risk …
and associated demographic information. We find that people’s self-assessed risk …
Oil price risk and the Australian stock market
RW Faff, TJ Brailsford - Journal of Energy Finance & Development, 1999 - Elsevier
The primary aim of this paper is to investigate the sensitivity of Australian industry equity
returns to an oil price factor over the period 1983–1996. The paper employs an augmented …
returns to an oil price factor over the period 1983–1996. The paper employs an augmented …
The national market impact of sovereign rating changes
This study investigates the aggregate stock market impact of sovereign rating changes.
Consistent with evidence pertaining to company credit rating changes, we report that rating …
Consistent with evidence pertaining to company credit rating changes, we report that rating …
Time‐varying beta risk of Australian industry portfolios: A comparison of modelling techniques
This paper investigates three techniques for the estimation of conditional time‐dependent
betas: (a) a multivariate generalised ARCH approach; (b) a time‐varying beta market model …
betas: (a) a multivariate generalised ARCH approach; (b) a time‐varying beta market model …
Revisiting the vexing question: does superior corporate social performance lead to improved financial performance?
DD Lee, RW Faff… - Australian Journal of …, 2009 - journals.sagepub.com
The empirical evidence documenting the association between a firm's level of corporate
social performance (CSP) and corporate financial performance (CFP) remains divided. This …
social performance (CSP) and corporate financial performance (CFP) remains divided. This …
CEO overconfidence and corporate debt maturity
This paper extends our knowledge of corporate debt maturity structure by examining whether
and to what extent overconfident CEOs affect maturity decisions. Consistent with a demand …
and to what extent overconfident CEOs affect maturity decisions. Consistent with a demand …
Asset pricing and the illiquidity premium
HW Chan, RW Faff - Financial Review, 2005 - Wiley Online Library
In this paper, we examine the asset‐pricing role of liquidity (as proxied by share turnover) in
the context of the Fama and French (1993) three‐factor model. Our analysis employs …
the context of the Fama and French (1993) three‐factor model. Our analysis employs …
Time varying beta risk: An analysis of alternative modelling techniques
RW Faff, D Hillier, J Hillier - Journal of Business Finance & …, 2000 - Wiley Online Library
This paper investigates the performance of three different approaches to modelling time‐variation
in conditional asset betas: GARCH models, the extended market model of Schwert …
in conditional asset betas: GARCH models, the extended market model of Schwert …