scispace - formally typeset
Search or ask a question
Author

Robert W. Faff

Other affiliations: Monash University, University of Strathclyde, Bond University  ...read more
Bio: Robert W. Faff is an academic researcher from University of Queensland. The author has contributed to research in topics: Capital asset pricing model & Market liquidity. The author has an hindex of 58, co-authored 494 publications receiving 13827 citations. Previous affiliations of Robert W. Faff include Monash University & University of Strathclyde.


Papers
More filters
Journal ArticleDOI
TL;DR: In this article, the authors examined whether and to what extent the adverse effect of oil price shocks impacts stock market returns and recommended that international portfolio investors consider hedging oil price risk.

634 citations

Journal ArticleDOI
TL;DR: This paper employed daily Australian data to examine the relative quality of stock market volatility forecasts and found that the ARCH class of models and a simple regression model provided superior forecasts of volatility, however, the various model rankings are sensitive to the error statistic used to assess the accuracy of the forecasts.
Abstract: The existing literature contains conflicting evidence regarding the relative quality of stock market volatility forecasts. Evidence can be found supporting the superiority of relatively complex models (including ARCH class models), while there is also evidence supporting the superiority of more simple alternatives. These inconsistencies are of particular concern because of the use of, and reliance on, volatility forecasts in key economic decision-making and analysis, and in asset/option pricing. This paper employs daily Australian data to examine this issue. The results suggest that the ARCH class of models and a simple regression model provide superior forecasts of volatility. However, the various model rankings are shown to be sensitive to the error statistic used to assess the accuracy of the forecasts. Nevertheless, a clear message is that volatility forecasting is a notoriously difficult task.

488 citations

Journal ArticleDOI
TL;DR: The authors analyzed two mutually exclusive leading and lagging global corporate sustainability portfolios (Dow Jones) and found that leading sustainability firms do not underperform the market portfolio, and their lagging counterparts outperform both the market and the leading portfolio.
Abstract: Does investing in sustainability leaders affect portfolio performance? Analyzing two mutually exclusive leading and lagging global corporate sustainability portfolios (Dow Jones) finds that (1) leading sustainability firms do not underperform the market portfolio, and (2) their lagging counterparts outperform the market portfolio and the leading portfolio. Notably, we find leading (lagging) corporate social performance (CSP) firms exhibit significantly lower (higher) idiosyncratic risk and that idiosyncratic risk might be priced by the broader global equity market. We develop an idiosyncratic risk factor and find that its inclusion significantly reduces the apparent difference in performance between leading and lagging CSP portfolios.

459 citations

Journal ArticleDOI
TL;DR: In this article, the investment role of precious metals in financial markets was investigated by analysis of daily data for gold, platinum, and silver from 1976 to 2004, which suggests that these metals may provide diversification within broad investment portfolios.
Abstract: The investment role of precious metals in financial markets is investigated by analysis of daily data for gold, platinum, and silver from 1976 to 2004. All three precious metals have low correlations with stock index returns, which suggests that these metals may provide diversification within broad investment portfolios. Moreover, the data reveal that all three precious metals have some hedging capability, particularly during periods of "abnormal" stock market volatility. Financial portfolios that contain precious metals perform significantly better than standard equity portfolios.

439 citations

Journal ArticleDOI
TL;DR: In this article, the authors investigate the sensitivity of Australian industry equity returns to an oil price factor over the period 1983-1996 and find significant negative oil price sensitivity in the Paper and Packaging, and Transport industries.

399 citations


Cited by
More filters
Journal ArticleDOI
TL;DR: In this article, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using ARCH and stochastic volatility models and it has been shown that volatility models produce strikingly accurate inter-daily forecasts for the latent volatility factor that would be of interest in most financial applications.
Abstract: A voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using ARCH and stochastic volatility models. While most of these studies have documented highly significant in-sample parameter estimates and pronounced intertemporal volatility persistence, traditional ex-post forecast evaluation criteria suggest that the models provide seemingly poor volatility forecasts. Contrary to this contention, we show that volatility models produce strikingly accurate interdaily forecasts for the latent volatility factor that would be of interest in most financial applications. New methods for improved ex-post interdaily volatility measurements based on high-frequency intradaily data are also discussed.

3,174 citations

Posted Content
TL;DR: The third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time as discussed by the authors.
Abstract: This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.

2,797 citations

Book
01 Jan 1901

2,681 citations

Journal ArticleDOI
TL;DR: In this article, the authors investigate whether superior performance on corporate social responsibility (CSR) strategies leads to better access to finance and find that firms with better CSR performance face significantly lower capital constraints.
Abstract: We investigate whether superior performance on corporate social responsibility (CSR) strategies leads to better access to finance. We hypothesize that better access to finance can be attributed to (1) reduced agency costs due to enhanced stakeholder engagement and (2) reduced informational asymmetry due to increased transparency. Using a large cross-section of firms, we find that firms with better CSR performance face significantly lower capital constraints. We provide evidence that both better stakeholder engagement and transparency around CSR performance are important in reducing capital constraints. The results are further confirmed using several alternative measures of capital constraints, a paired analysis based on a ratings shock to CSR performance, an instrumental variables approach, and a simultaneous equations approach. Finally, we show that the relation is driven by both the social and environmental dimension of CSR. Copyright © 2013 John Wiley & Sons, Ltd.

2,071 citations

Journal ArticleDOI
TL;DR: In this article, applied linear regression models are used for linear regression in the context of quality control in quality control systems, and the results show that linear regression is effective in many applications.
Abstract: (1991). Applied Linear Regression Models. Journal of Quality Technology: Vol. 23, No. 1, pp. 76-77.

1,811 citations