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Further evidence on idiosyncratic risk and REIT pricing : a cross-country analysis

Mi, Lin; Benson, Karen; Faff, Robert W. - In: Accounting research journal 29 (2016) 1, pp. 34-58

Persistent link: https://www.econbiz.de/10011578767

Portfolio construction and performace measurement when returns are non-normal

Benson, Karen; Gray, Philip K.; Kalotay, Egon; Qiu, Judy - In: Australian journal of management 32 (2007/08) 3, pp. 445-461

Persistent link: https://www.econbiz.de/10003687021

Financial deregulation and relative risk of Australian industry

Brooks, Robert - In: Australian economic papers 36 (1997) 69, pp. 308-320

Persistent link: https://www.econbiz.de/10001239138

The form of time variation of systematic risk : some Australian evidence

Brooks, Robert; Faff, Robert W.; Lee, John H. H. - 1992

Persistent link: https://www.econbiz.de/10000849414

Time stationarity of systematic risk : some Australian evidence

Faff, Robert W.; Lee, John H. H.; Fry, Tim R. L. - 1990

Persistent link: https://www.econbiz.de/10000849458

Modeling the risk and return relation conditional on markt volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10002625219

Modelling the risk and return relation conditional on market volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - 2004

Persistent link: https://www.econbiz.de/10002121816

A simple test of the "risk class hypothesis"

Faff, Robert W.; Brooks, Robert; Kee, H. Y. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 29 (2005) 1, pp. 83-96

Persistent link: https://www.econbiz.de/10002743375

Dynamic Industry Uncertainty Networks and the Business Cycle

Baruník, Jozef; Bevilacqua, Mattia; Faff, Robert W. - 2021

We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribution to system-related uncertainty across business cycles, we uncover an uncertainty hub role for the communications,...

Persistent link: https://www.econbiz.de/10013237769

Foreign ownership and stock liquidity uncertainty

Li, Yong; Han, Minghui; Faff, Robert W.; Zhang, Hao - In: Journal of international financial markets, … 81 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013533392