H69 - Codrington Building
The University of Sydney
NSW 2006 Australia
|Telephone||+61 9036 6351|
Dr Jamie Alcock is Associate Professor of Finance at the University of Sydney Business School. He has previously held appointments at The University of Cambridge, Downing College Cambridge and the University of Queensland. He was awarded his PhD degree by the University of Queensland in 2005.
Dr Alcock's research interests include asset pricing, corporate finance, real estate finance and Australian finance. Dr Alcock has published over thirty five refereed research articles and reports in high quality international journals such as Review of Finance, The Journal of Banking and Finance, The Journal of Futures Markets, ABACUS, Journal of Real Estate Finance and Economics and Quantitative Finance. The quality of Dr Alcock's research has been recognised through multiple international research prizes, including most recently the EPRA Best Paper prize at the 2016 European Real Estate Society conference.
Dr Alcock is a respected research degree supervisor having supervised seven PhD students, with six completions (almost all awarded 'without corrections'), over 50 Masters dissertations and nine Australian honours dissertations - with all nine awarded 'first-class honours'. Dr Alcock's doctoral students have obtained academic positions at the University of Cambridge, Cornell University, The University of New South Wales and The University of Queensland. He is particularly proud that six of his seven PhD students have won international prizes for the research conducted under his supervision.
Dr Alcock teaches asset pricing honours, financial derivatives and real estate finance and investments and has twice been nominated for the Wayne Lonergan Outstanding Teaching Award. Dr Alcock has also led a number of significant initatives in teaching and learning. He has coached several case competition teams to international successes. In addition, he has developed the University of Sydney Real Estate Case Competition, as well as new units of study in real estate finance and investments, and new postgraduate degree offerings at previous institutions.
Dr Alcock serves as the postgraduate coursework coordinator, and graduate studies board member, for the finance discipline and is a frequent media commentator on finance, investments and real estate.
Thebank of mum and dad 29 Aug 2016
The Herald Sun
Associate Professor Jamie Alcock was quoted in the Herald Sun about the potential impact of low interest rates on housing affordability.
Jamie Alcock on 2GB Sydney and Curtin FM 25 Aug 2016
2GB Sydney, Curtin FM
Associate Professor Jamie Alcock was interviewed on 2GB Sydney and Curtin FM about the impact of interest rates on housing affordability.
Uni needs real-world links 23 Aug 2016
Australian Financial Review
Associate Professor Jamie Alcock was quoted in the Australian Financial Review about new units in Real Estate Finance at the University’s Business School, which will establish real world industry connections. The article also mentioned the Business School’s Real Estate Case Competition.
Do first home buyers still need a leg up? 22 Jun 2016
Associate Professor Jamie Alcock was interviewed by news.com.au about housing affordability and interest rates.
Real Estate Talk
Associate Professor Jamie Alcock was quoted on Kevin Turner's Real Estate Talk podcast about negative gearing myths.
Alcock J and Satchell S 2016 Forthcoming 'Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns', Wiley, Milton, Australia, pp. 300
Alcock J and Steiner E 2016 Forthcoming 'Unexpected inflation, capital structure and real risk-adjusted firm performance', Abacus
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
Alcock J 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
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
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', Report prepared for the Centre for International Finance and Regulation
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
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
Alcock J and Steiner E 2015 'Fundamental drivers of dependence in real estate securities returns', Real Estate Research Institute
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
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
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
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
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
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
Alcock J, Baum A and Lizieri C 2010 'Property companies, financing decisions and risk', European Public Real Estate Association News, May 2010
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
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
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
Alcock J and Hatherley T 2007 'Portfolio construction incorporating asymmetric dependence structures: A users guide', Accounting & Finance, vol.47:3, pp. 447-72
Alcock J and Burrage K 2006 'A note on the Balanced method', BIT Numerical Mathematics, vol.46:4, pp. 689-710
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
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
BUSS4000 Honours in Business
BUSS4402 Finance Honours A
FINC3021 Mathematical Finance
FINC5001 Capital Markets and Corporate Finance
FINC6000 Quantitative Finance
2016: S1, S2,
FINC6010 Derivative Securities
2016: S1, S2,
FINC6024 Real Estate Finance and Investment