Similar to Faff et al (2017a & 2017b), the current paper documents the pitches presented by finalists of a “pitching research” (Faff, 2015, 2018a, 2018b) competition held in November 2017, at the University of Queensland. The competition was co-sponsored by the UQ Association of Postgraduate...

In this paper, we propose a new two-stage method, including Principal Component Analysis and Boosted Regression Tree, to model conditional expected returns. With this technique, we address two potential criticisms on how to capture the true identity of the investors' information set, and how...

“Pitching Research” (Faff, 2015, 2018a, 2018b) is a framework (based on a small set of organizing principles – namely, to be structured, brief, simple, methodical, clear, & focused), that challenges a (novice) researcher to effectively communicate their research ideas to an academic field...

This paper is based on an “interview” I did for publons on how I approach refereeing for academic/scholarly journals. The paper covers a broad range of issues across topics including: managing invitations; writing the review; and open reviews. The views are my own, based on a career spanning...

We employ a characteristic-based model to decompose total analyst coverage into abnormal and expected components and show that abnormal coverage contains valuable information about individual firm ex-ante crash risk (proxied by implied volatility smirk from options data). Specifically, one...

The papers included in this issue are selected from the 7th International Conference of the Financial Engineering and Banking Society (FEBS) organized by Strathclyde Business School during 1-3 June 2017. With circa 200 academics, practitioners and regulators participating as delegates from...

We investigate postings on two unique online interactive platforms by investors around earnings announcements of publicly listed firms in China. We find posting volumes on the platforms increase around earnings announcement dates, suggesting that investors acquire firm-specific information via...

This paper investigates the birth of commodity trading advisers (CTAs) and their flow–performance relation. Specifically, we address three questions. First, we investigate the impact of existing CTAs' performance on the number of new CTAs entering the market. Second, we investigate the...

This paper examines the equity market reaction to consumer sentiment in the context of the sentiment index issued by the Melbourne Institute of Applied Economics and Social Research. Unlike the Michigan index in the US, which is announced in phases, this index is announced once per month, which...

Using domestic consumer confidence indicators to proxy investor sentiment and data from 23 different equity markets, we document a pervasive overall sentiment effect. We further document a significant effect of global sentiment across these markets. More accessible markets have stronger global...