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David Johnstone

David Johnstone

BA BCom(Hons) PhD CA
Professor
david.johnstone@sydney.edu.au

Room 414
H69 - Economics and Business Building
The University of Sydney
NSW 2006 Australia

Phone: +61 2 9036 5286
Fax: +61 2 9351 6461

Publications

2015

4
Journal Article/s

Johnstone D 2015 'Information and the Cost of Capital in a Mean-Variance Efficient Market', Journal of Business Finance and Accounting, vol.42:1&2, pp. 79-100 Link

Jones S, Johnstone D and Wilson R 2015 'An Empirical Evaluation of the Performance of Binary Classifiers in the Prediction of Credit Ratings Changes', Journal of Banking and Finance, vol.56, pp. 72-85 Link

Gan Q, Johnstone D and Wei W 2015 Forthcoming 'A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering', Quantitative Finance

Johnstone D 2015 Forthcoming 'The Effect of Information on Uncertainty and the Cost of Capital', Contemporary Accounting Research

Johnstone D 2015 Forthcoming 'When are Investments in the Same Risk Class?', Accounting and Finance

5
Conference Paper/s

Gan Q, Wei W and Johnstone D 2015 'Does the Probability of Informed Trading Model Fit Empirical Data?', 2015 Asian Finance Association Annual Conference, Changsha, China, 2nd July 2015

Gan Q, Wei W and Johnstone D 2015 'Does the Probability of Informed Trading Model Fit Empirical Data?', 8th Nordic Econometric Meeting NEM2015, University of Helsinki, Finland, 30th May 2015

2014

5
Conference Paper/s

Christodoulou D, Johnstone D and Peng Z 2014 'A Bayesian framework for the Information Content of Earnings', World Finance & Banking Symposium, Singapore, 13th December 2014

Gan Q, Wei W and Johnstone D 2014 'Does the Probability of Informed Trading Model Fit Empirical Data?', 8th International Conference on Computational and Financial Econometrics CFE 2014, Pisa, Italy, 8th December 2014

Johnstone D 2014 'The Risk Premium Under Expected Utility and the Capital Asset Pricing Model', Advances in Decision Analysis Conference, Washington D.C., United States, 18th June 2014

6
Conference Proceeding/s

Gan Q, Johnstone D and Wei W 2014 'Cluster PIN: A New Estimation Method for the Probability of Informed Trading', World Finance Conference, Venice, Italy, 4th July 2014

2013

2
Book Section/s

Johnstone D 2013 'A Simple Automated Market Maker for Prediction Markets' in The Oxford Handbook of the Economics of Gambling, ed. L Vaughan Williams and D S Siegel , Oxford University Press, New York, United States, pp. 543-59

4
Journal Article/s

Johnstone D 2013 'The CAPM Debate and the Logic and Philosophy of Finance', Abacus, vol.49:S1, pp. 1-6 Link

Johnstone D, Jones S, Jose VR and Peat M 2013 'Measures of the Economic Value of Probabilities of Bankruptcy', Journal of the Royal Statistical Society: Series A (Statistics in Society), vol.176:3, pp. 635-53 Link

Johnstone D and Lindley D 2013 'Mean-Variance and Expected Utility: The Borch Paradox', Statistical Science, vol.28:2, pp. 223-37 Link

5
Conference Paper/s

Johnstone D 2013 'The Effect of Information on Certainty and the Cost of Capital', 28th Annual Contemporary Accounting Research Conference CAR 2013, Kingston, Canada, 26th October 2013

2012

4
Journal Article/s

Johnstone D 2012 'Log-optimal economic evaluation of probability forecasts', Journal of the Royal Statistical Society Series A, vol.175:3, pp. 661-89 Link

Jones S and Johnstone D 2012 'Analyst Recommendations, Earnings Forecasts and Corporate Bankruptcy: Recent Evidence', Journal of Behavioral Finance, vol.13:4, pp. 281–98 Link

Johnstone D and Curtin B 2012 'Damages for Negligent Valuation of Mortgage Securities: A Finance Theory Perspective', Company and Securities Law Journal, vol.30:8, pp. 476-92 Link

5
Conference Paper/s

Johnstone D 2012 'A Note on Information and the Cost of Capital in a Mean-Variance Efficient Market', Financial Integrity Research Network FIRN 2012 Annual Conference - "The Art of Finance", Hobart, Australia, 11th November 2012

Johnstone D 2012 'Log Optimal Evaluation of Probability Forecasts', Royal Statistical Society Ordinary Meetings, London, United Kingdom, 18th January 2012

2011

4
Journal Article/s

Johnstone D and Lin YX 2011 'Fitting probability forecasting models by scoring rules and maximum likelihood', Journal of Statistical Planning and Inference, vol.141:5, pp. 1832-7

Johnstone D and Lindley DV 2011 'Elementary proof that mean-variance implies quadratic utility', Theory and Decision, vol.70:2, pp. 149-55

Johnstone D 2011 'Economic Interpretation of Probabilities Estimated by Maximum Likelihood or Score', Management Science, vol.57:2, pp. 308-14

Johnstone D, Jose VRR and Winkler RL 2011 'Tailored Scoring Rules for Probabilities', Decision Analysis, vol.8:4, pp. 256-68

5
Conference Paper/s

Jones S and Johnstone D 2011 'Analyst Recommendations, Earnings Forecasts and Corporate Bankruptcies: Recent Evidence', American Accounting Association Annual Meeting 2011 - "Engage to Make a Difference", Denver, United States, 10th August 2011

2010

4
Journal Article/s

Frino A, Johnstone D and Zheng H 2010 'Anonymity, Stealth Trading and the Information Content of Broker Identity', Financial Review, vol.45:3, pp. 501-22

Grant A and Johnstone D 2010 'Finding Profitable Forecast Combinations Using Probability Scoring Rules', International Journal of Forecasting, vol.26:3, pp. 498-510

5
Conference Paper/s

Johnstone D 2010 'Measures of the Economic Value of Bankruptcy Probabilities', Foundations and Applications of Utility, Risk and Decision Theory FUR XIV International Conference 2010, Newcastle, United Kingdom, 18th June 2010

Johnstone D, Jones S and Peat M 2010 'Measures of the Economic Value of Bankruptcy Probabilities', 3rd Methodological and Empirical Advances in Financial Analysis MEAFA Workshop, University of Sydney, Australia, 22nd January 2010

2009

4
Journal Article/s

Johnstone D 2009 'Discussion of Penman', Abacus, vol.45:3, pp. 372-8

2008

4
Journal Article/s

Johnstone D 2008 'What Does an IRR (or Two) Mean?', Journal of Economic Education, vol.39:1, Winter 2008, pp. 78-87

Johnstone D, Grant A and Kwon O 2008 'Optimal Betting Strategies for Simultaneous Games', Decision Analysis, vol.5:1, pp. 10-18

Frino A, Grant J and Johnstone D 2008 'The House Money Effect and Local Traders on the Sydney Futures Exchange', Pacific-Basin Finance Journal, vol.16:1-2, pp. 8-25

2007

2
Book Section/s

Johnstone D 2007 'Investments as bets in the binomial asset pricing model' in Forecasting Expected Returns in the Financial Markets, Academic Press, pp. 251-263

4
Journal Article/s

Johnstone D 2007 'The Value of a Probability Forecast from Portfolio Theory', Theory and Decision, vol.63:2, pp. 153-203

Johnstone D 2007 'Economic Darwinism: Who Has the Best Probabilities?', Theory and Decision, vol.62:1, pp. 47-96

Johnstone D 2007 'What’s the Difference Between the Stockmarket and the Racetrack?', Journal of Gambling Business and Economics, vol.1:2, pp. 121-127

Johnstone D 2007 'Discussion of Altman and Sabato', Abacus, vol.43:3, pp. 358-362

Johnstone D 2007 'The Parimutuel Kelly Probability Scoring Rule', Decision Analysis, vol.4:2, pp. 66-75

2006

4
Journal Article/s

Bortoli L, Frino A, Jarnecic E and Johnstone D 2006 'Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange', Journal of Futures Markets, vol.26:12, pp. 1147-1168

Johnstone D and Furche A 2006 'Evidence of the Endowment Effect on the Australian Stock Exchange', The Journal of Behavioral Finance, vol.7:3, pp. 145-154

Johnstone D and Lonergan W 2006 'The Valuation of Regulated Infrastructure Assets', JASSA, vol.7, pp. 10-14

6
Conference Proceeding/s

Bortoli L, Frino A, Jarnecic E and Johnstone D 2006 'Limit order book transparency, execution risk and market liquidity', European Financial Management Annual Meeting, Madrid, Spain, 1st July 2006 Link

2005

4
Journal Article/s

Frino A, Jarnecic E, Johnstone D and Lepone A 2005 'Bid-Ask Bounce and the Measurement of Price Behaviour Around Block Trades on the Australian Stock Exchange', Pacific Basin Finance Journal, vol.13:3, pp. 247-262 Link

5
Conference Paper/s

Bortoli L, Frino A, Jarnecic E and Johnstone D 2005 'Limit order book transparency, execution risk and market liquidity', 18th Australasian Finance and Banking Conference, Sydney, Australia, 16th December 2005

Johnstone D 2005 'Accounting graduate employment destinations and commitment to postgraduate students', Accounting and Finance Association of Australia and New Zealand (AFAANZ) Annual Conference, Melbourne, VIC, Australia, 5th July 2005

Frino A, Johnstone D and Zheng H 2005 'The Information Content of Trader Identification', Workshop on Microstructure of Financial Markets, Madrid, Spain, 19th March 2005

6
Conference Proceeding/s

Johnstone D 2005 'Choosing an analyst in a simulated betting market', Accounting and Finance Association of Australia and New Zealand (AFAANZ) Annual Conference, Melbourne, VIC, Australia, 5th July 2005

2004

4
Journal Article/s

Frino A, Johnstone D and Zheng H 2004 'The propensity for local traders to ride losses: Evidence of irrational or rational behaviour?', Journal of Banking & Finance, vol.28:2, pp. 353-372 Link

6
Conference Proceeding/s

Johnstone D 2004 'The value of probability forecast from portfolio theory', Accounting and Finance Association of Australia and New Zealand (AFAANZ) Conference, Alice Springs, NT, Australia, 6th July 2004

2003

4
Journal Article/s

Johnstone D 2003 'Prescriptive and Behavioral Explanations of a Reverse Sunk Cost Effect', Theory and Decision, vol.53, pp. 209-242

Johnstone D 2003 'Replacement Cost Asset Valuation and the Regulation of Energy Infrastructure Tariffs', Abacus, vol.39:1, pp. 1-41

2002

4
Journal Article/s

Johnstone D 2002 'More on the relative efficacy of probability scoring rules', Journal of Statistical Computation and Simulation, vol.72, pp. 11-14

Johnstone D 2002 'Public sector outsourcing as an exchange option', Abacus, vol.38, pp. 153-176

Johnstone D 2002 'Risk-neutral option pricing from EPV without CAPM', Journal of Financial Education, vol.28, pp. 65-71

Johnstone D 2002 'A prospect theory explanation of the disposition to trade losing investments for less than market price', Psychological Reports, vol.90:851-857

1999

4
Journal Article/s

Johnstone D 1999 'Public Sector Outsourcing and Charging In-House Bidders for their Use of Capital', Australian Accounting Review, vol.9:33-41

1998

4
Journal Article/s

Johnstone D 1998 'Comparing Scoring Rules by Simulation: Which Rule Ranks Forecasters of Known Abilities in Correct Order Most Often?', Journal of Statistical Computation and Simulation, vol.61, pp. 287-292

1997

4
Journal Article/s

Johnstone D 1997 'Comparative Classical and Bayesian Interpretations of Statistical Compliance Tests in Auditing', Accounting and Business Research, vol.28, pp. 53-82

Johnstone D 1997 'A Paradox of Diminishing Expectations and Increasing Value for Money', Psychological Reports, vol.81, pp. 1124-1126

1996

4
Journal Article/s

Johnstone D and Gaffikin M 1996 'Review of the Asset Valuation Guidelines of the Steering Committee on National Performance Monitoring of GTEs', Australian Accounting Review, vol.6, pp. 50-65

1995

4
Journal Article/s

Johnstone D and Lindley D 1995 'Bayesian Inference Given Data 'Significant at Level ': Tests of Point Hypotheses', Theory and Decision, vol.38, pp. 51-60

Johnstone D 1995 'Audit Risk in Terms of Probabilities', Australian Accounting Review, vol.5, pp. 51-60

Johnstone D 1995 'Statistically Incoherent Hypothesis Tests in Auditing (with discussion)', Auditing : A Journal of Theory and Practice, vol.14, pp. 155-199

1994

4
Journal Article/s

Johnstone D 1994 'A Statistical Paradox in Auditing', Abacus, vol.30, pp. 44-49

Johnstone D 1994 'The Evidence Required by Auditors', Journal of Statistical Computation and Simulation, vol.38:301-303

1992

4
Journal Article/s

Johnstone D, Dean G and Maniatis H 1992 'Sensitivity Analysis and Schemes of Arrangement', Australian Accounting Review, vol.2, pp. 34-42

1990

4
Journal Article/s

Johnstone D 1990 'Likelihood Logic in Orthodox Significance Tests', Journal of Statistical Computation and Simulation, vol.34, pp. 158-160

Johnstone D 1990 'Consistency and Relative Plausibility', Journal of Statistical Computation and Simulation, vol.34, pp. 160-162

Johnstone D 1990 'Interpreting Statistical Insignificance: A Bayesian Perspective', Psychological Reports, vol.66, pp. 115-121

Johnstone D 1990 'Sample Size and the Strength of Evidence: A Bayesian Interpretation of Binomial Tests of the Information Content of Qualified Audit Reports (with discussion)', Abacus, vol.26, pp. 17-35

Johnstone D 1990 'Bayesian Interpretation of the Expression ‘Significant at .05’: A Discrete Example', Perceptual and Motor Skills, vol.71, pp. 307-320

1989

4
Journal Article/s

Johnstone D 1989 'On the Necessity for Random Sampling', The British Journal for the Philosophy of Science, vol.40, pp. 443-457

1988

4
Journal Article/s

Johnstone D 1988 'Hypothesis Tests and Confidence Intervals in the Single Case', The British Journal for the Philosophy of Science, vol.39, pp. 353-360

Johnstone D 1988 'Comments on Oakes on Foundations of Statistical Inference in the Social and Behavioral Sciences: The Market for Statistical Significance', Psychological Reports, vol.63, pp. 353-360

1987

4
Journal Article/s

Johnstone D 1987 'Tests of Significance Following R.A. Fisher', The British Journal for the Philosophy of Science, vol.38, pp. 481-414

6
Conference Proceeding/s

Johnstone D 1987 'On the Interpretation of Hypothesis Tests following Neyman and Pearson', Probability and Bayesian Statistics: Invited Proceedings of the International Symposium on Probability and Bayesian Statistics, Innsbruck, Austria, 1st January 1987-31st December 1987

1986

4
Journal Article/s

Johnstone D 1986 'Tests of Significance in Theory and Practice (with discussion)', The Statistician, vol.35, pp. 401-414