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Petra Andrlikova

Petra Andrlikova

MSc
PhD Candidate

The University of Sydney
NSW 2006 Australia


Bio

Petra is a 3rd Year PhD student in Finance at the University of Sydney Business School. Petra’s focus of research is in asset pricing with a particular interest in asymmetric dependence of asset returns and its implications for financial markets. Prior to beginning the PhD programme, Petra worked as a credit risk specialist in the Czech Republic developing credit risk models for banks in several countries in Europe. Petra graduated cum laude from the Maastricht University in 2011 and received the Top 3% of Best Students Award and the Top Thesis Award.


Thesis working title

Asymmetric dependence

This thesis investigates the existence of asymmetric dependence of equity returns with market returns. During financial crisis, equity returns tend to be highly correlated with market returns. This correlation is higher during market downturns (crisis periods) than during market upturns. This is rather unfortunate for investors because their return on investment is abnormally low in times when they need the money most (in bad times). The existence of asymmetric dependence violates the assumption of multivariate normality of the joint-return distribution, which is one of main the assumptions of the models used in finance. This thesis aims to explore the consequences of the existence of asymmetric dependence for investors in listed equities.

Supervisor: Jamie Alcock

2018

2
Book Section/s

Alcock J and Andrlikova P 2018 Forthcoming 'Asymmetric Dependence, Persistence and Firm-Level Stock Return Predictability' in Asymmetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns, ed. Alcock J & Satchell S, Wiley, Milton, Australia, pp. 300 [Link]

2017

4
Journal Article/s

Alcock J and Andrlikova P 2017 Forthcoming 'Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis', Journal of Real Estate Finance and Economics [Link]

5
Conference Paper/s

Alcock J and Andrlikova P 2017 Forthcoming 'The Importance of Asymmetric Dependence for International Investors', FIRN-Uluru Annual Conference, Uluru, Australia, 18th November 2017

Alcock J and Andrlikova P 2017 Forthcoming 'The Importance of Asymmetric Dependence for International Investors', 2017 FMA Annual Meeting, Boston, United States, 14th October 2017

Alcock J and Andrlikova P 2017 'The Price of Asymmetric Dependence: International Evidence', The 10th The International Accounting & Finance Doctoral Symposium, Warsaw, Poland, 14th June 2017

Alcock J and Andrlikova P 2017 'The Price of Asymmetric Dependence: International Evidence', 2017 Fordham PhD Colloquium, New York, United States, 5th May 2017

2016

5
Conference Paper/s

Alcock J and Andrlikova P 2016 'The Price of Asymmetric Dependence: International Evidence', 29th Australasian Finance and Banking Conference 2016, Sydney, Australia, 16th December 2016

Andrlikova P 2016 'The Role of Asymmetric Dependence on Financial Markets', 2016 EFMA “Merton H. Miller” Doctoral Students Seminar, Basel, Switzerland, 29th June 2016

Alcock J and Andrlikova P 2016 'Do Real Estate Investment Trust Investors Value Asymmetric Dependence in returns?', European Real Estate Society 23rd Annual Conference, Regensburg, Germany, 11th June 2016

6
Conference Proceeding/s

Alcock J and Andrlikova P 2016 'The Rising Importance of Asymmetric Dependence in UK Equity Returns', Proceedings of the European Financial Management Association 2016 Annual Meetings, Basel, Switzerland, 2nd July 2016

10
Report/s

Alcock J, Andrlikova P, Aspris A, Foley S, Satchell S, Segara R, Wright D and Yao J 2016 'Asset-Price Bubbles in the Australian Market', Centre for International Finance and Regulation

2015

5
Conference Paper/s

Alcock J, Andrlikova P and Hatherley A 2015 'The price of Asymmetric Dependence: Evidence from Australian equities', 5th Auckland Finance Meeting, Auckland, New Zealand, 19th December 2015

Alcock J, Andrlikova P and Hatherley A 2015 'The price of Asymmetric Dependence: Evidence from Australian equities', 28th Australasian Finance and Banking Conference 2015, Sydney, Australia, 18th December 2015

Recent Units Taught

  • FINC3011 International Financial Management

    2016: S1,

  • FINC3021 Mathematical Finance

    2015: S1,

  • FINC5001 Capital Markets and Corporate Finance

    2017: S1,

  • FINC6010 Derivative Securities

    2016: S2,
    2015: S2,