As a companion to Faff (2015a, b), the current paper reviews experiences and draws insights from a series of workshops, pitch days, competitions and other events based on the "pitching research" template tool. With, in excess of 80, unique events primarily conducted throughout the calendar year...

Faff (2015, 2016, 2017a, 2017b); Faff, Godfrey and Teng (2016); Maxwell (2017); Nguyen, et al. (2017); Salehudin (2017); Teng and Faff (2017) (amongst others) represents a rich landscape for the “pitching research” phenomenon. The current paper documents the pitches presented by 6 finalists...

In this paper, we investigate the spill-over of sovereign rating changes into the corporate sector across 34 countries, with a primary focus on the relative effects of positive and negative events. Positive or negative bias of such spill-overs could impact the relative speed and depth of...

This paper examines why non-financial publicly traded firms knowingly issue wealth destroying Rule 144A debt, which is associated with a negative announcement return and a higher yield. We provide a plausible “demand-side” explanation (i.e. last-resort debt financing) for the motivation for...

Why do mean-variance (MV) models perform so poorly? In searching for an answer to this question, we estimate expected returns by sampling from a multivariate probability model that explicitly incorporates distributional asymmetries. Specifically, our empirical analysis shows that an application...

We investigate the potential factors that influence the corporate decision to collectively use foreign currency; interest rate; and commodity derivatives and foreign debt. Our Australian results show that firm size (‘scale economies' hypothesis); leverage (‘financial distress cost'...

We argue that a higher sensitivity to aggregate market-wide liquidity shocks (i.e. a higher liquidity risk) implies a tendency for a stock's price to converge to fundamentals. We test this intuition within the framework of the earnings-returns relation. We find a positive liquidity risk effect...

Based on Faff's (2015 & 2016a) template tool, Faff (2016b) explains how meaningfully layered “pitching research” tasks can be designed to accommodate a wide range of student mastery, that enable a clear/easily implementable pedagogic strategy. The current paper describes a real example of...

We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme abnormal stock returns whose absolute values exceed 10%. The...

We study the role of firm ambiguity on stock price reaction to earnings announcements. By using the firm's variance risk premium (VRP) prior to earnings news arrivals as a proxy for firm-level information ambiguity, we provide evidence that this “micro” form of ambiguity has a significant...