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Maxwell Stevenson

Maxwell Stevenson

BA NE; MStats MCom(Hons) PhD UNSW
Senior Lecturer
maxwell.stevenson@sydney.edu.au

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


Research Expertise

  • Corporate finance
  • Derivative securities and risk management
  • Econometrics
  • Funds management
  • Risk management

Publications

2015

5
Conference Paper/s

Peat M and Stevenson M 2015 'Valuation Ratios and The Stock Market Outlook Revisited', 13th INFINITI Conference on International Finance, Ljubljana, Slovenia, 9th June 2015

2013

4
Journal Article/s

Yao J, Partington G and Stevenson M 2013 'Predicting the Directional Change in Consumer Sentiment', Australian Journal of Management, vol.38:1, pp. 67-80 Link

Rodrigues BD and Stevenson M 2013 'Takeover prediction using forecast combinations', International Journal of Forecasting, vol.29:4, pp. 628-41 Link

2012

4
Journal Article/s

Rodrigues BD, Souza RC and Stevenson M 2012 'An analysis of intraday market behaviour before takeover announcements', International Review of Financial Analysis, vol.21, pp. 23-32 Link

Zhu M, Philpotts D and Stevenson M 2012 'The benefits of tree-based models for stock selection', Journal of Asset Management, vol.13:6, pp. 437-48 Link

5
Conference Paper/s

Lee HS, Stevenson M and Yao J 2012 'Forecasting Failure Probabilities of Hedge Funds - A Survival Approach', World Finance & Banking Symposium, Shanghai, China, 18th December 2012

2011

4
Journal Article/s

Zhu M, Philpotts D, Sparks R and Stevenson M 2011 'A Hybrid Approach to Combining CART and Logistic Regression for Stock Ranking', The Journal of Portfolio Management, vol.38:1, pp. 100-9

2010

5
Conference Paper/s

Stevenson M and Peat M 2010 'Predicting Australian Takeover Targets: A Logit Analysis', 3rd Methodological and Empirical Advances in Financial Analysis MEAFA Workshop, University of Sydney, Australia, 22nd January 2010

6
Conference Proceeding/s

Rodrigues BD and Stevenson M 2010 'An Analysis of Intraday Market Behaviour', 18th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, Novara, Italy, 2nd April 2010

2009

4
Journal Article/s

McLeay S and Stevenson M 2009 'Modelling the longitudinal properties of financial ratios - (Invited paper: ‘50 Years Econometrics’ Conference, Econometrics Institute, Erasmus University, Rotterdam)', Applied Financial Economics, vol.19:4, pp. 305-18

5
Conference Paper/s

Stevenson M, Rodrigues BD and Castro Souza R 2009 'The analysis of intraday market behaviour before takeover announcements', The 29th Annual International Symposium on Forecasting - "Services Sector Forecasting", Hong Kong, (China), 24th June 2009

Svec J and Stevenson M 2009 'Pricing Pacific-Rim Temperature-Based Weather Indices', The 29th Annual International Symposium on Forecasting - "Services Sector Forecasting", Hong Kong, (China), 24th June 2009

6
Conference Proceeding/s

Stevenson M, Chiarella C and Shenhuai G 2009 'Resolving the Price-Earnings Puzzle at the Macro Level – Evidence from the S&P500 Index', 7th INFINITI Conference on International Finance 2009- Credit Markets, Credit Institutions and Macroeconomic Volatility, Dublin, Ireland, 9th June 2009

10
Report/s

Chiarella C, Svec J and Stevenson M 2009 'Diagnostic testing for earnings simulation engines in the Australian electricity market', Australian and New Zealand Mathematics in Industry Study Group Link

2008

4
Journal Article/s

Jun A, Alaganar VT, Partington G and Stevenson M 2008 'Price and Volume Behaviour around the Ex-dividend Day: Evidence on the Value of Dividends from American Depositary Receipts and their Underlying Australian Stocks', International Review of Finance, vol.8:1-2, pp. 21-55

5
Conference Paper/s

Svec J and Stevenson M 2008 'Diagnostic Testing for Earnings Forecasting Engines in Deregulated Electricity Markets', 28th International Symposium on Forecasting, Nice, France, 25th June 2008

Yao J, Partington G and Stevenson M 2008 'Predicting the Directional Change in Consumer Sentiment', 28th International Symposium on Forecasting, Nice, France, 25th June 2008

Stevenson M and Peat M 2008 'Predicting Australian Takeover Targets: A Logit Analysis', 6th INFINITI Conference on International Finance, Dublin, Ireland, 10th June 2008

6
Conference Proceeding/s

Stevenson M and Chapman LDaniel 2008 'Identifying and predicting financial distress', 28th International Symposium on Forecasting, Nice, France, 25th June 2008

2007

4
Journal Article/s

Svec J and Stevenson M 2007 'Modelling and forecasting temperature based weather derivatives', Global Finance Journal, vol.18:2, pp. 185-204

Wong B, Partington G, Stevenson M and Torbey V 2007 'Surviving Chapter 11 Bankruptcies: Duration and Payoff?', Abacus, vol.43:3, pp. 363-387

2006

4
Journal Article/s

Stevenson M 2006 'Book Review: Forecast verification: A practitioner's guide in atmospheric science by I T Jolliffe and D B Stephenson', International Journal of Forecasting, vol.22:2, pp. 403-405

Tan A, Stevenson M, Frino A and Jarnecic E 2006 'Sources of price discovery in the Australian dollar currency market', Review of Futures Markets, vol.15:1, pp. 45-83

Stevenson M, Amaral L and Peat M 2006 'Risk management and the role of spot price predictions in the Australian retail electricity market', Studies in Nonlinear Dynamics & Econometrics, vol.10:3 Link

Keller A, Stevenson M and Jarnecic E 2006 'The impact of market closure on option volumes at the ASX', JASSA, vol.Summer

6
Conference Proceeding/s

Stevenson M, Amaral L and Peat M 2006 'Forward prices and their risk management role in the Australian electricity market', Forecasting Challenges in a Changing World Environment - Proceedings of the 26th International Symposium on Forecasting (ISF), Santander, Spain, 1st January 2006-31st December 2006

Tan A, Frino A, Stevenson M and Jarnecic E 2006 'Sources of price discovery in the Australian dollar currency market', Proceedings of the 16th Annual Asia-Pacific Futures Research Symposium, Bangkok, Thailand, 1st January 2006-31st December 2006

Amaral L, Castro Souza R and Stevenson M 2006 'A smooth transition periodical autoregressive time series model for short term electricity load forecast', Forecasting Challenges in a Changing World Environment - Proceedings of the 26th International Symposium on Forecasting (ISF), Santander, Spain, 14th June 2006

Svec J and Stevenson M 2006 'Modeling and forecasting temperature based weather derivatives', 13th Global Finance Conference, Rio de Janeiro, Brazil, 28th April 2006 Link

Amaral L, Peat M and Stevenson M 2006 'Forward prices and their risk management role in the Australian electricity market', 13th Global Finance Conference, Rio de Janeiro, Brazil, 28th April 2006

Tan A, Stevenson M, Frino A and Jarnecic E 2006 'Sources of price discovery in the Australian dollar currency market', Proceedings of the 16th Annual Asia-Pacific Futures Research Symposium, Bangkok, Thailand, 24th March 2006

2005

4
Journal Article/s

Yao J, Partington G and Stevenson M 2005 'Run length and the predictability of stock price reversals', Accounting and Finance, vol.45:4, pp. 653-671

Oetomo T and Stevenson M 2005 'Hot or cold?: A comparison of different approaches to the pricing of weather derivatives', Journal of Emerging Market Finance, vol.4:2, pp. 101-133 Link

Peat M, Stevenson M and Maroney D 2005 'The relationship between technical indicators and the market index', JASSA:2 Link

5
Conference Paper/s

Stevenson M 2005 'The distributional characteristics of fund of hedge fund returns, and alternative tests of performance', Global Finance Conference, Dublin, Ireland, 29th June 2005

2004

4
Journal Article/s

Lennep D, Stevenson M and Stevenson M 2004 'Weather derivatives: An attractive additional asset class', Journal of Alternative Investments, vol.7:2

5
Conference Paper/s

Stevenson M and Oetomo T 2004 'Forecasting the spot price for temperature related weather derivatives', 24th International Symposium of Forecasting, Sydney, NSW, Australia, 7th July 2004

Jun A, Alaganar V, Partington G and Stevenson M 2004 'Price and volume behaviour around the ex-dividend day: Evidence on the value of dividends from ADRs and their underlying Australian stocks', Accounting and Finance Association of Australia and New Zealand (AFAANZ) Annual Conference, Alice Springs, NT, Australia, 6th July 2004

6
Conference Proceeding/s

Peat M, Stevenson M and Maroney D 2004 'The predictive ability of simple technical indicators: Australian evidence', First International Workshop on Intelligent Finance, Melbourne, VIC, Australia, 14th December 2004

2003

2
Book Section/s

Chiarella C, Flaschel P and Stevenson M 2003 'Wage and price Phillips curves: Normal or adverse real wage adjustments?' in Advances in macroeconometric modeling, ed. G Hansen and C Dreger, Nomos Verlagsgesekkschaft, Baden-Baden, Germany

2002

5
Conference Paper/s

Peat M and Stevenson M 2002 'Using wavelet-based forecasts of spot electricity prices within a risk management context', 22nd International Symposium of Forecasting, Dublin, Ireland, 1st - 30th June 2002

2001

4
Journal Article/s

Partington G, Russell P, Stevenson M and Torbey V 2001 'Predicting return outcomes for the shareholders of companies entering chapter 11 bankruptcy', Managerial Finance, vol.27:5

Partington G and Stevenson M 2001 'The probability and timing of price reversals in the property market', Managerial and Decision Economics, vol.22, pp. 389-398

5
Conference Paper/s

Partington G, Russell P, Stevenson M and Torbey V 2001 'Predicting return outcomes for the shareholders of companies entering chapter 11 bankruptcy', Accounting Association of Australia and New Zealand Conference, Auckland, New Zealand, 1st January 2001-31st December 2001

2000

5
Conference Paper/s

Alaganar V, Partington G and Stevenson M 2000 'Do ex-dividend drop-offs differ across markets? Evidence from internationally traded (ADR) stocks', Accounting Association of Australia and New Zealand Conference, Hamilton Island, QLD, Australia, 1st January 2000-31st December 2000

1997

5
Conference Paper/s

Hobbes G, Partington G and Stevenson M 1997 'A general model of earnings dividends and returns', Australasian Finance and Banking Conference, Sydney, NSW, Australia, 1st January 1997-31st December 1997

1996

4
Journal Article/s

Hobbes G, Partington G and Stevenson M 1996 'Earnings dividends and returns: A theoretical model', Research in Finance, vol.Summer, pp. 221-244

1995

5
Conference Paper/s

Hobbes G, Partington G and Stevenson M 1995 'Earnings dividends and returns: A theoretical model, (version 4)', Asia-Pacific Finance Association Conference, Hong Kong, Hong Kong, (China), 1st January 1995-31st December 1995

1993

5
Conference Paper/s

Hobbes G, Partington G and Stevenson M 1993 'The relation between earnings dividends and returns: A theoretical model', Accounting Association of Australia and New Zealand Conference, Darwin, NT, Australia, 1st January 1993-31st December 1993

1992

5
Conference Paper/s

Partington G, Peat M and Stevenson M 1992 'The probability and timing of corporate financial distress: Preliminary results for Australia', Australasian Finance and Banking Conference, Sydney, NSW, Australia, 1st January 1992-31st December 1992

1991

5
Conference Paper/s

Partington G, Peat M and Stevenson M 1991 'Estimating the probability and timing of financial distress', Australian Institute of Bankers Conference, Melbourne, VIC, Australia, 1st January 1991-31st December 1991

1989

5
Conference Paper/s

Eddey P, Partington G and Stevenson M 1989 'Predicting the probability and timing of takeover success', Australasian Finance and Banking Conference, Sydney, NSW, Australia, 1st January 1989-31st December 1989