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Extra-market sensitivity to a gold price factor : evidence from national market portfolios

Davidson, Sinclair; Faff, Robert W. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 23 (1999) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10001437502

Mean reversion and the forecasting of country betas : a note

Gangemi, Michael; Brooks, Robert; Faff, Robert W. - In: Global finance journal 10 (1999) 2, pp. 231-245

Persistent link: https://www.econbiz.de/10001493060

Gold factor exposures in international asset pricing

Davidson, Sinclair; Faff, Robert W.; Hillier, David - In: Journal of international financial markets, … 13 (2003) 3, pp. 271-289

Persistent link: https://www.econbiz.de/10001754285

Global industry betas

Lie, Frida; Faff, Robert W. - In: Applied economics letters 10 (2003) 1, pp. 21-26

Persistent link: https://www.econbiz.de/10001725682

The national market impact of sovereign rating changes

Brooks, Robert; Faff, Robert W.; Hillier, David; … - In: Journal of banking & finance 28 (2004) 1, pp. 233-250

Persistent link: https://www.econbiz.de/10001857303

The stock market impact of German reunification : international evidence

Brooks, Robert; Faff, Robert W.; Sokulsky, David L. - In: Applied financial economics 15 (2005) 1, pp. 31-42

Persistent link: https://www.econbiz.de/10002529583

An investigation of conditional autocorrelation and cross-autocorrelation in emerging markets

Faff, Robert W.; Hillier, David; McKenzie, Michael D. - In: Review of Pacific Basin financial markets and policies 8 (2005) 3, pp. 467-500

Persistent link: https://www.econbiz.de/10003140301

An international investigation of the factors that determine conditional gold betas

Faff, Robert W.; Hillier, David - In: The financial review : the official publication of the … 39 (2004) 3, pp. 473-488

Persistent link: https://www.econbiz.de/10002163325

Noise Momentum Around the World

Cai, Charlie X. - 2014

We argue that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such ‘noise momentum' is an important determinant of the overall arbitrage process. We design...

Persistent link: https://www.econbiz.de/10013051028

Are there any safe haven assets against oil price falls?

Cheema, Muhammad A.; Faff, Robert; Ryan, Michael - In: Applied economics 56 (2024) 57, pp. 7845-7860

Persistent link: https://www.econbiz.de/10015135153