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Jamie Alcock

Jamie Alcock


Associate Professor

Rm 506
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone +61 9036 6351
jamie.alcock@sydney.edu.au

Bio

Dr Jamie Alcock's research interests include financial derivative and contingent claim valuation, real options, real estate finance, portfolio construction, computational finance, corporate finance and empirical finance. Dr Alcock has published over twenty five research articles and reports. He has published in high quality international journals such as The Journal of Banking and Finance, The Journal of Futures Markets and Quantitative Finance. The quality of Dr Alcock's research has been recognised through multiple international research prizes.

Dr Alcock has held academic positions with The University of Cambridge, Downing College Cambridge, The University of Queensland and Renmin University in China. He is a respected research degree supervisor having supervised seven PhD students, with five completions and one nearing completion. He is particularly proud that six of his seven PhD students have won international prizes for the research conducted under his supervision.

Newsroom articles

  • Land Tax V. Stamp Duty 18 Apr 2016

    SBS Radio (Filipino)

    SBS Radio (Filipino) interviewed Associate Professor Jamie Alcock about his proposal to replace stamp duty on property transactions with a broad-based land tax.

  • Jamie Alcock on 891 ABC Adelaide 06 Apr 2016

    891 ABC Adelaide

    Dr Jamie Alcock was interviewed on 891 ABC Adelaide about the federal government allowing states to collect income taxes and how this might be spent on education funding.

  • Negative Gearing: Please Explain? 24 Feb 2016

    Huffington Post

    Associate Professor Jamie Alcock was quoted in the Huffington Post about the concept of negative gearing and how it is applied to property.

  • Jamie Alcock interviewed on 6PR Perth 19 Feb 2016

    6PR Perth

    6PR Perth interviewed Associate Professor Jamie Alcock about the federal government’s negative gearing policy.

  • Negative gearing policy 17 Feb 2016

    ABC

    Associate Professor Jamie Alcock was interviewed on ABC (NewsRadio, 720, Perth, Far North, and 105.7 Darwin), SBS World News and 2CC Canberra about the federal government’s policy on negative gearing.

See all Newsroom items for Jamie Alcock

Publications

2016

4
Journal Article/s

Alcock J and Smith G 2016 Forthcoming 'Non-parametric American option valuation using Cressie-Read divergences', Australian Journal of Management Link

Alcock J and Hatherley A 2016 Forthcoming 'Characterizing the Asymmetric Dependence Premium', Review of Finance

Alcock J and Steiner E 2016 Forthcoming 'Unexpected inflation, capital structure and real risk-adjusted firm performance', Abacus

Alcock J and Steiner E 2016 Forthcoming 'Fundamental drivers of dependence in REIT returns', Journal of Real Estate Finance and Economics Link

5
Conference Paper/s

Van Order R, Alcock J, Brown M and Saglam M 2016 'A Discussion of: Optimal Portfolio Choices and the Determination of Housing Rents in the Context of Price Uncertainty', Allied Social Sciences Association Annual Meeting, San Francisco, United States, 5th January 2016

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 2015 'The price of Asymmetric Dependence: Evidence from Australian equities', 28th Australasian Finance and Banking Conference 2015, Sydney, Austria, 18th December 2015

Alcock J and Steiner E 2015 'Fundamental Drivers of Dependence in Real Estate Securities Returns', NUS-MIT-Maastricht Real Estate & Finance Symposium 2015, Singapore, 13th September 2015

10
Report/s

Alcock J and Steiner E 2015 'Fundamental drivers of dependence in real estate securities returns', Real Estate Research Institute

2014

4
Journal Article/s

Alcock J and Smith G 2014 'Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options', Journal of Futures Markets, vol.34:4, pp. 320-45 Link

Alcock J, Steiner E and Tan KJ-K 2014 'Joint leverage and maturity choices in real estate firms: The role of the REIT status', Journal of Real Estate Finance and Economics, vol.48:1, pp. 57-78 Link

5
Conference Paper/s

Alcock J and Steiner E 2014 'Unexpected inflation, capital structure and real risk-adjusted firm performance', 2014 International Conference on Corporate Finance and Capital Market, Hangzhou, China, 9th November 2014

Alcock J and Steiner E 2014 'Unexpected inflation, real risk-adjusted returns and capital structure', American Real Estate and Urban Economics Association AREUEA International Conference, Reading, United Kingdom, 11th July 2014

Alcock J and Smith G 2014 'Non-parametric American option pricing using Cressie-Read divergences', 2014 China Meeting of the Econometric Society, Xiamen, China, 27th June 2014

2013

4
Journal Article/s

Alcock J, Baum A, Colley N and Steiner E 2013 'The Role of Financial Leverage in the Performance of Private Equity Real Estate Funds', The Journal of Private Equity, vol.17:1, pp. 80-91 Link

Low RK-Y, Alcock J, Faff R and Brailsford T 2013 'Canonical vine copulas in the context of modern portfolio management: Are they worth it?', Journal of Banking & Finance, vol.37:8, pp. 3085-99 Link

Alcock J, Glascock J and Steiner E 2013 'Manipulation in U.S. REIT investment performance evaluation: Empirical evidence', Journal of Real Estate Finance and Economics, vol.47:3, pp. 434-65 Link

Alcock J, Baum A, Colley N and Steiner E 2013 'The Role of Financial Leverage in the Performance of Private Equity Real Estate Funds', The Journal of Portfolio Management, vol.39:5, pp. 99-110 Link

10
Report/s

Alcock J and Steiner E 2013 'REIT capital structure, real risk-adjusted performance and the management of exposure to inflation', European Public Real Estate Association, January 2013

2012

4
Journal Article/s

Alcock J and Burrage K 2012 'Stable strong order 1.0 schemes for solving stochastic ordinary differential equations', BIT Numerical Mathematics, vol.52:3, pp. 539-57

10
Report/s

Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Private Commercial Real Estate Returns and the Valuation Process', Investment Property Forum Research Papers, February 2012

Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Real Estate Returns and Financial Assets in Extreme Markets', Investment Property Forum Research Papers, February 2012

Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Real Estate Returns and Other Asset Classes: A Review of Literature', Investment Property Forum Research Papers, February 2012

Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Real Estate’s Role in the Mixed Asset Portfolio: A Re-Examination', Investment Property Forum Research Papers, February 2012

Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Time-varying Influences on Real Estate Returns', Investment Property Forum Research Papers, February 2012

2011

4
Journal Article/s

Alcock J, Finn F and Tan KJ-K 2011 'The determinants of debt maturity in Australian firms', Accouting & Finance, vol.52:2, pp. 313-41

Alcock J, Mollee T and Wood J 2011 'Volatile earnings growth, the price of earnings and the Value premium', Quantitative Finance, vol.11:6, pp. 805-15

2010

4
Journal Article/s

Alcock J and Auerswald D 2010 'Empirical tests of canonical nonparametric American option-pricing methods', The Journal of Futures Markets, vol.30:6, pp. 509-32

10
Report/s

Alcock J, Baum A and Lizieri C 2010 'Property companies, financing decisions and risk', European Public Real Estate Association News, May 2010

2009

4
Journal Article/s

Alcock J and Hatherley A 2009 'Asymmetric Dependence Between Domestic Equity Indices and its Effect on Portfolio Construction', The Australian Actuarial Journal, vol.15:1, pp. 143-80

2008

4
Journal Article/s

Alcock J and Carmichael T 2008 'Nonparametric American option pricing', The Journal of Futures Markets, vol.28:8, pp. 717-48

Alcock J, Finn F and Cockcroft S 2008 'Quantifying the advantage of secondary mathematics study for accounting and finance undergraduates', Accounting & Finance, vol.48:5, pp. 697-718

2007

2
Book Section/s

Alcock J, Goard J and Vassallo T 2007 'Calibrating mean-reverting jump diffusion models: An application to the NSW electricity market' in Proceedings of the 2007 Mathematics and Statistics in Industry Study Group, MISG2007, Mathematics and Statistics in Industry Study Group, Wollongong, Australia, pp. 57-81

4
Journal Article/s

Alcock J and Hatherley T 2007 'Portfolio construction incorporating asymmetric dependence structures: A users guide', Accounting & Finance, vol.47:3, pp. 447-72

2006

4
Journal Article/s

Alcock J and Burrage K 2006 'A note on the Balanced method', BIT Numerical Mathematics, vol.46:4, pp. 689-710

2005

4
Journal Article/s

Alcock J and Docwra G 2005 'A simulation analysis of the market effect of the Australian Broadcasting Corporation', Information Economics and Policy, vol.17:4, pp. 407-27

Alcock J and Gray P 2005 'Dynamic, non-parametric hedging of European style contingent claims using Canonical valuation', Finance Research Letters, vol.2:1, pp. 41-50

Alcock J and Gray P 2005 'Forecasting stock returns using model selection criteria', The Economic Record, vol.81:253, pp. 135-51

Alcock J 2005 'Numerical methods for quantitative finance', Bulletin of the Australian Mathematics Society, vol.72:1, pp. 173-6

2004

4
Journal Article/s

Alcock J 2004 'A genetic estimation algorithm for parameters of stochastic ordinary differential equations', Computational Statistics and Data Analysis, vol.47:2, pp. 255-75

Recent Units Taught