Finance research

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.

Heads of Discipline

Sean Anthonisz

Professor Sandra van der Laan

Professors

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 Maurice Peat

Associate Professor Buhui Qiu

Associate Professor Joakim Westerholm

Capstone Team

Adjunct Professor Trent Hagland

Adjunct Professor Annette Mullen

Adjunct Professor Susan Roberts

Lecturers

Honorary staff

Honorary Professors

Jonathan A. Batten

David Johnstone

Brian Lucey

Honorary Associate Professor

Peter Buchen

Graham Partington

Paul Martin

Honorary Associates

Ian Pope

Igor Geninson

Peter Skalkos

Higher degree by research students

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

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

Joshua Della Vedova
Degree: PhD
Working title: Behavioural drivers of momentum
Supervisors: Joakim Westerholm, Andrew Grant

Anne Dyhrberg
Degree: PhD
Working title: Market microstructure and cryptocurrencies
Supervisors: Sean Foley, Jiri Svec

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

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

Yun Ling
Degree: PhD
Working title: Size effect of hedge funds
Supervisors: Juan Yao, Stephen Satchell

Shuang Liu
Degree: PhD
Working title: Analyst forecast dispersion and market return predictability: Does conditional equity premium pay a role?
Supervisors: Buhui Qiu, Juan Yao, Byoung-Kyu Min

Md. Ahasan Habib Sarkar
Degree: PhD
Working title: Mutual funds' trading activity, skills and fund behaviour
Supervisors: Joakim Westerholm, Buhui 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 Gan, Byoung-Kyu Min

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

Recently completed HDR theses

Hui Henry Zhang
Thesis title: Asset pricing anomalies, risk factors and their application
Completed: 2019
Supervisor: Stephen Satchell, Joakim Westerholm

Peilin Cai
Thesis title: The effect of sovereign credit rating on foreign direct investment
Completed: 2018
Supervisor: Suk-Joong Kim

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

Research_

Aerial view of 10 similar houses and green space

Real Estate Finance & Investment Group

Exploring the commercial property industry from a capital-markets perspective and preparing our students for a successful career in the commercial property industry.

Seminars

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

2018

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

2017

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