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Research_

Finance research

Research leaders grounded in the finance sector
The Discipline of Finance actively engages with local and international industry to produce research into money management that informs global financial practice, policy and regulation.

Our research across all areas of finance informs business practice, policy and regulation both nationally and internationally. We aim to produce key insights that lead beneficial economic and social change within Australia and across geographical and cultural boundaries. Our areas of interest include:

  • asset pricing
  • behavioural finance
  • corporate finance
  • decision theory
  • financial intermediation
  • international finance
  • investment management
  • life cycle finance
  • market microstructure
  • quantitative finance
  • real estate finance
  • risk management

Applied Portfolio Management

The Applied Portfolio Management program, run by the Discipline of Finance, enables undergraduate students to apply their academic knowledge and acquire practical skills by managing a portfolio of Australian equity securities using real money in real time through the University of Sydney Student Managed Fund.

The Fund has a dual mandate, designed to provide undergraduate finance students with hands-on equity analysis and portfolio management experience and to fund scholarships for disadvantaged students. Students have the unique opportunity to acquire practical investment management experience by forming, executing and evaluating the performance of investment recommendations.

Our people

Meet our academics and research students.

Professor Douglas Foster

Professor Suk-Joong Kim

Professor Susan Thorp

Fractional Professor Henk Berkman

Fractional Professor Iftekhar Hasan

Fractional Professor Stephen Satchell

Fractional Professor Andriy Shkilko

Fractional Professor Eliza Wu

Associate Professor Shumi Akhtar

Associate Professor Jamie Alcock

Associate Professor Graham Partington

Associate Professor Maurice Peat

Associate Professor Buhui Qiu

Associate Professor Joakim Westerholm

Adjunct Associate Professor Paul Martin

Petra Andrlikova
Degree: PhD
Working title: Asymmetric dependence
Supervisor: Jamie Alcock

Peilin Cai
Degree: PhD
Working title: The effect of sovereign credit rating on foreign direct investment
Supervisor: Suk-Joong Kim

Bei Chen
Degree: PhD
Working title: Predictive analysis of peer-to-peer lending
Supervisors: Quan GanEliza Wu

Joshua Della Vedova
Degree: PhD
Working title: Behavioural drivers of momentum
Supervisors: Joakim WesterholmAndrew Grant

Anne Dyhrberg
Degree: PhD
Working title: Market microstructure and cryptocurrencies
Supervisors: Sean FoleyJiri Svec

Gerry Hiscock
Degree: PhD
Working title: On the relative efficiency of Smart Beta and factor models
Supervisors: Hamish MallochAndrew Ainsworth

Dirk Houben
Degree: PhD
Working title: Equity index jump risk in equilibrium
Supervisors: Hamish MallochStephen Satchell

Yun Ling
Degree: PhD
Working title: Size effect of hedge funds
Supervisors: Juan YaoStephen Satchell

Shuang Liu
Degree: PhD
Working title: Analyst forecast dispersion and market return predictability: Does conditional equity premium pay a role?
Supervisors: Buhui QiuJuan YaoByoung-Kyu Min

Md. Ahasan Habib Sarkar
Degree: PhD
Working title: Mutual funds' trading activity, skills and fund behaviour
Supervisors: Joakim WesterholmBuhui Qiu

Thomas To
Degree: PhD
Working title: Three essays in empirical corporate finance
Supervisors: Eliza Wu, Marco Navone

Liang Wen
Degree: MPhil
Working title: Asset pricing
Supervisors: Quan GanByoung-Kyu Min

Vycke Zheng Wu
Degree: PhD
Working title: Price discovery and trading by foreign institutional investors and domestic retail investors
Supervisors: Joakim WesterholmShumi Akhtar

Hui Henry Zhang
Degree: PhD
Working title: Risk factor, anomaly and its application
Supervisors: Stephen SatchellJoakim Westerholm

Sol Chung
Thesis title: Equity-based compensation for executives and firm performance: Evidence from Australia
Completed: 2017
Supervisor: Susan Thorp

Jo Zhang
Thesis title: An empirical investigation on the post-earnings announcement drift and agorithmic trading
Completed: 2017
Supervisors: Douglas Foster, Joakim Westerholm

Ye Ye
Thesis title: Strategic behaviour in corporations
Completed: 2017
Supervisors: Shumi Akhtar

He Huang
Thesis title: The welfare implications of CDS trading
Completed: 2017
Supervisors: Jiri Svec, Andrew Ainsworth

Bochen Wu
Thesis title: Intangible assets and financial analysts herding behaviour
Completed: 2017
Supervisors: Juan Yao, David Johnstone

Seminars

We run a regular seminar series, usually held on Fridays, 11am – 12pm. The seminar organiser is Lantian Liang.

Large Orders in Small Markets: On Optimal Execution with Endogenous Liquidity Supply
  • Date: 23 November 2018 at 11am
  • Venue: Room 5050, Abercrombie Building (H70)
  • Speaker: Albert Menkveld, VU University Amsterdam
Risk Price Variation: The Missing Half of the Cross-Section of Expected Returns
  • Date: 16 November 2018 at 11am
  • Venue: Room 5050, Abercrombie Building (H70)
  • Speaker: Andrew Patton, Duke University
Career Risk and Market Discipline in Asset Management
  • Date: 19 October 2018 at 11am
  • Venue: Room 5050, Abercrombie Building (H70)
  • Speaker: Andrew Ellul, Indiana University
Ambiguity, Volatility, and Credit Risk
  • Date: 12 October 2018 at 11am
  • Venue: Room 5050, Abercrombie Building (H70)
  • Speaker: Yud Izhakian, New York University
Making Money: Commercial Banks, Liquidity Transformation and the Payment System
  • Date: 14 September 2018 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Christine Parlour, University of California, Berkeley
Disclosure, Runs and Bank Capital Raising
  • Date: 10 August 2018 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Jean Helwege, University of California, Riverside/ANU
Child Care Provision and Women's Careers in Firms
  • Date: 8 June 2018 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Vidhi Chhaochharia, University of Miami
The Limits of Limited Liability: Evidence from Industrial Pollution
  • Date: 25 May 2018 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Pat Akey, University of Toronto
CEO approval in social media and turnover
  • Date: 18 May 2018 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Kwangwoo Park, KAIST
Does it Pay to Pay Attention?
  • Date: 11 May 2018 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Antonio Gargano, University of Melbourne
Globalisation and US Corporate Tax Policies: Evidence from Import Competition
  • Date: 6 April 2018 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Tao Chen, Nanyang Technological University
The Mean Streets of Sydney
  • Date: 23 March 2018 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Robert Durand, Curtin University
The Effect of Foreign Institutional Ownership on Corporate Tax Avoidance: International Evidence
  • Date: 16 March 2018 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Qiang Wu, Rensselaer Polytechnic Institute
Finance in a Time of Disruptive Growth
  • Date: 9 March 2018 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Nicolae Garleanu, University of California, Berkeley
Evidence from Equity Mutual Funds
  • Date: 10 November 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Clemens Sialm, University of Texas at Austin NBER
In Search of Preference Shock Risks: Evidence from Longevity Risks and Momentum Profits
  • Date: 13 October 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Chen Zhanhui, Nanyang Technological University
Marketing Mutual Funds
  • Date: 6 October 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Nikolai Roussanov, University of Pennsylvania
What drives Q and investment Fluctuations?
  • Date: 29 September 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Ilan Cooper, BI Norwegian Business School
Subnational Debt of China: The Politics-Finance Nexus
  • Date: 22 September 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Dragon Yongjun Tang, University of Hong Kong
Signed spillover effects building on historical decompositions
  • Date: 15 September 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Mardi Dungey, University of Tasmania
Macro News, Micro News, and Stock Prices
  • Date: 8 September 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Jinfei Sheng, University of British Columbia
Aggregate Expected Investment Growth and Stock Market Returns
  • Date: 1 September 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: JianFeng Yu, Carlson School of Management, University of Minnesota
Liquidity Provision and the Transmission of Systemic Risk
  • Date: 25 August 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Zhongyan Zhu, Monash University
Mechanism Selection and Trade Formation on Swap Execution Facilities: Evidence from Index CDS Trades
  • Date: 18 August 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Haoxiang Zhu
High Frequency Market Making: Implications for Liquidity
  • Date: 7 August 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Yacine Ait-Sahalia, Princeton University
(Why) do central banks care about their profits?
  • Date: 4 August 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Vasso Ioannidou, Lancaster University
Risk, Ambiguity, and Time-Varying Stochastic Volatility
  • Date: 28 July 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Hwagyun Kim, Texas A&M University
Momentum in Corporate Bonds
  • Date: 9 June 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Hai Lin, Victoria University of Wellington
Reevaluating the CCAPM
  • Date: 2 June 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Charlie Clarke, University of Kentucky
Commitment to change or greenwashing? How signing the Principles for Responsible Investment affects flow to mutual funds
  • Date: 26 May 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Jacquelyn Humphrey, University of Queensland
Managing the Risk of the 'Betting-Against-Beta' Anomaly: Does It Pay to Bet
  • Date: 19 May 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Paulo Maio, Hanken School of Economics
The Efficient Markets Hypothesis Does Not Hold When Securities Valuation
  • Date: 12 May 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Peter Bossaerts, University of Melbourne
Option-Implied Correlations, Factor Models, and Market Risk
  • Date: 21 April 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Grigory Vilkov, Frankfurt School of Finance & Management
Fee-only Advice
  • Date: 7 April 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Benjamin Loos, University of Mannheim
Sensation Seeking, Sports Cars, and Hedge Funds
  • Date: 24 March 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Stephen Brown, Monash University
Attention Effects in a High Frequency World
  • Date: 17 March 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Bidisha Chakrabarty, Saint Louis University
Show Us Your Shorts!
  • Date: 10 March 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Bige Kahraman, Said Business School, University of Oxford
Controversial Industries, Regional Differences, and Risk: Role of CSR
  • Date: 3 March 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: KwangWoo Park, KAIST College of Business
Funds of Hedge Funds: The Role of Prime Brokers
  • Date: 22 February 2017 at 11am
  • Venue: Rm 5050, Abercrombie Building (H70)
  • Speaker: Ji-Woong Chung, Korea University Business School

Head of Discipline

Douglas Foster
Academic profile

Contact us