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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 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.

Newsroom articles

  • 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

    News.com.au

    Associate Professor Jamie Alcock was interviewed by news.com.au about housing affordability and interest rates.

  • Negative Gearing fact and fiction + Affordability vs serviceability 19 Jun 2016

    Real Estate Talk

    Associate Professor Jamie Alcock was quoted on Kevin Turner's Real Estate Talk podcast about negative gearing myths.

See all Newsroom items for Jamie Alcock

Publications

2016

3
Edited Book/s

Alcock J and Satchell S 2016 Forthcoming 'Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns', Wiley, Milton, Australia, pp. 300

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 Link

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

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

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', Report prepared for the 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

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