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Professor David E. Allen |
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Professor of Finance
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last updated 15/10/2008
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Professor David E. Allen |
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Professor of Finance
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last updated 15/10/2008
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Joined the former School of Finance and Business Economics now the School of Accounting Finance and economics, Edith Cowan University in February 1996. I have been involved in teaching the Honours and Postgraduate students corporate finance and investments courses at both Edith Cowan University and Curtin University of Technology. Empirical finance research is being built up largely on the platform provided by the Datastream financial databases which the School of Economics and Finance subscribe to.
Set up the Finance and Capital Markets Research Group in 1997 at Edith Cowan University to promote research into finance and capital markets in Australia and the Asia-Pacific region, the Research Centre name has now been changed to Finance, Economics, Accounting and Markets Research Centre FEMARC , FEMARC.
Awarded the Faculty of Business and Public Management 'Research Excellence' award by the Postgraduate Students Association in 1999.
Awarded the Dean's Award for Research Excellence in 2005 by Professor Robert Harvey, Dean of the Faculty of Business and Law in 2005.
Organised a Conference featuring the Modelling and Managing of Ultra High Frequency Data held at the Joondalup Resort on February 13th and 14th 2008. MMUHFDIC. The Conference is sponsored by Edith Cowan University Faculty of Business and Law. FBL. Edith Cowan University Research Office. ECU Research Office. The ARC Funded Financial Integrity Research Network: FIRN. FIRN. The International Association For Mathematics and Computers in Simulation: IMACS. IMACS. A special edition of the Elsevier Journal Mathematics and Computers in Simulation will feature selected papers from the conference. MATHCOM.Was Co-Chair, with Professor Mike McAleer and Professor Jiti Gao of UWA, of the International Organising Committee for the Time Series, Econometrics and Risk TSEFAR Conference held at UWA 29th June to 1st July 2006. Currently co-editing two special issues of Elsevier journals: The Journal of EConometrics, and Mathematics and Computer Modelling in Simulation: featuring selected papers from the TSEFAR conference TSEFAR Conference 2006
Has recently been ranked in the top 600 Authors world-wide on the Social
Science Research Network on the basis of downloads of papers lodged on the network. A total of 77,609 authors are featured on the SSRN. For
further information see details at the SSRN.Social Sciences Research Network. They feature work in finance, accounting, economics and law.
There are currently 46,380 downloadable papers on the SSRN. View
From the beginning of 2005 has been a Program Director for
the Financial Integrity Research Network (FIRN) with responsibility for Seminar programs. The Financial Integrity Research Network (FIRN) has been successful in securing funding through the Australian Research Council (ARC) under its Research Networks program.
The ARC Research Networks funding totals $1,750,000 and covers the period from 2004 to 2009. The funding is designed to encourage collaborative approaches to research in inter-disciplinary settings. The funds will be administered by the University of Technology, Sydney, and managed by the network convenor, Professor Carl Chiarella.
ARC Research Networks are platforms for generating new knowledge in areas that span traditional disciplinary boundaries. These networks link researchers, research groups and others involved in innovation; nationally and internationally.
FIRN is directed towards innovation in the integrity and efficiency of Australia’s financial system, and addresses pressing problems and threats associated with this key component of Australia’s infrastructure.
FIRN brings together a multi-disciplinary network involving 12 Australian universities, featuring internationally renowned academics in a unique collaborative research effort which spans an array of financial disciplinary areas.
FIRN is supported by SIRCA’s world-class financial research infrastructure and industry network, and delivers a range of innovative research and applied outcomes.
For further information about FIRN, please visit their website at FIRN From the beginning of 2000 was the Director of the Funds Management Research Centre with SIRCA
(The Securities Research Centre of the Asia Pacific)SIRCA.For a description of the activities of the
Funds Management Centre see either the description here Funds Management Centre
or the Sirca site Sirca, Funds Management Centre. For a description of Sirca's structure see
Sirca structure.
From November 1999 to October 2001 I was the Associate Dean for Research and Higher Degrees in the Faculty of Business and Public Management.
My research interests cover
both finance and investments, for details see research. Details of my education are
provided separately in education and previous positions and related work in experience.
Some details of a selection of recent publications plus working papers are provided in
publications. Other Interests: Reading, travel, and various sports: Surfing,
karate, weight-training, jogging, and sailing. Education New initiatives. Research association with Professor Michael McAleer,
Professor of Econometrics in the Faculty of Economics and Commerce at the University of Western Australia, with Dr Felix
Chan and Dr. Peiris, of the University of Sydney, in an application and generalisation of ACD models, as applied to market microstructure issues in the
context of Australia and the Asia pacific region using SIRCA's high frequency data sets.
This work is funded by an ARC 2004 Linkage Grant LP0455281 Chief Investigators: Prof DE Allen; Prof Dr M McAleer; Dr S Peiris; APDI: Dr. F Chan;
Title: Modelling stock market liquidity in Australia and the Asia Pacific Region. Dr Chan resigned to take up a Senior Lectureship at CUrtin UNiversity of Technology.
Our research has been ably assisted by Dr. Zdravetz Lazarov, who recently resigned to take up a position in the SCience Faculty at UNSW, and Mr Marcel Scharth who joined us for in early 2007
prior to moving on to his PhD studies at the Tinbergen Research Institute in Holland. Marcel
2005 ARC Linkage grant LP0562305 Prof M McAleer; Prof DE Allen; Dr S Hoti
Title: Forecasting Risk Thresholds for Portfolio Management and Regulation. Funding 2005 : $54,000 2006 : $104,500, 2007 : $101,000 2008 : $50,500. The industry partner is SIRCA. The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset classes, and Value at Risk (VaR) thresholds. The innovative methods and models will permit both financial institutions and regulatory authorities to model VaR thresholds more accurately, and enable investment managers to regulate and benchmark their portfolios more effectively against international best practice.
Analysis of Value at Risk
This work undertaken with Robert Powell and Seyed-Ali Hosseini involves work on several fronts.
The first involves an analysis of Conditional Value at Risk (CVaR) at an industry level in an Australian context from the point of view of the implications for bank lending portfolios. D.E. Allen and R. Powell, " Industry Market Value at Risk in Australia " , Working Paper, School of
Finance and Business Economics, (May 2007). Download
D.E. Allen and Robert Powell "STRUCTURAL CREDIT MODELLING AND ITS RELATIONSHIP TO MARKET VALUE AT RISK: AN AUSTRALIAN SECTORAL PERSPECTIVE (July 2007). "Download
1970
St. Andrews University, MA Hons., Economics
(2:1).
1977
Leicester University, M.Phil., Economics.
Thesis titled "The Scottish Historicists, the Stadial Theory and the Development of
Economic Liberalism: 1750-1800". Supervised by the late Professor R.L. Meek.
1996
University of Western Australia, Ph.D
Finance.
By a series of publications, titled "The Determinants of Company Financial Policy
Decisions: Some Evidence from Australia, Britain and Japan". Supervisors Professor
Philip Brown and Professor H.Y. Izan.
Research Activities
Analysis of Portfolios using Value at Risk and conditional Value at Risk CVaR
This work undertaken with Seyed-Ali Hosseini of Shiraz University Iran, involves analysis of portfolios using VaR and Conditional Value at Risk (CVaR) for short investment horizons using high frequency data.
D.E. Allen and S.A. Hosseini, " Portfolio Investment Modelling Using High Frequency Data " , Working Paper, School of Finance and Business Economics, (March 2008). Download
An Analysis of the Speed of Australian Interest Rate Adjustment to Reserve Bank Base Rate Changes.
This project undertaken with Nigel Morkel-Kingsbury analyses the speed with which the Australian banks pass on base rate changes to commercial and retail rates using a time-series framework of analysis.
A Test of the Factors Influencing Managed Fund performance.
This research work was funded
by a SPIRT grant for the period 1999 to 2001 and was undertaken collaboratively with
Assirt, the Fund Rating Agency and Professor
Tim Brailsford , Head of the School of Business, the University of Queensland and Professor Robert Faff of
the Department of Accounting and Finance, Monash University.
Dr Victor Soucik completed a Ph.D featuring an analysis of
Assirt's Library funded by an APA Ph.D scholarship. Various analyses were developed
including an exploration of the consistency and effectiveness of various performance benchmarking measures.
See the paper "Benchmarking Australian fixed interest fund performance: finding the optimal factors" in Accounting and Finance Volume 46 Issue 5 , Pages 697 - 898 (December 2006)
Dr Soucik is now the CEO of a software and IT company in Singapore. Erideon
Dr Jerry Parwada completed a Ph.D
examining the linkage between investor discipline and fund performance. Jerry is now an Associate Professor at the University of New South Wales.
Dr Jerry Parwada
Publications include Allen, D.E. and Parwada, J.T., 2006. Investors' Response to Mutual Fund Company Mergers, International Journal of Managerial Finance 2, 121-135."
International Journal of Managerial Finance>
Allen, D.E. and Parwada, J.T., 2004. Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits, Journal of Business Finance and Accounting 31, 1151-1170.
J.B.F.A. Volume 31 Issue 7-8 , Pages 861 - 1222 (September 2004)
Dr Paul Gerrans completed a Ph.D featuring an analysis of the
relative contributions to performance prediction of Morningstar Australia's qualitative and quantitative performance rating measures
Tests of Purchasing Power Parity relationships
This research project is being undertaken with Heazry Salim, Stuart Cruickshank and Dr. G. MacDonald. It features a wide range of tests of purchasing power parity across a sample of 21 industrialised countries using panel based techniques in an attempt to achieve greater power in the statistical tests of the relationships.
Mean Reversion in company profitability
This research project is being undertaken with Heazry Salim and involves a cross-sectional study of the predictability of UK company profitability and earnings for a period from 1982-2000 using a sample of around 987 companies per year sourced from Datastream.
An examination of the the impact of trading on market prices
This project being undertaken with DR Shelton Peiris of the Department of mathematics and statistics at the University of Sydney and Joey Wenling Yang featured an application of ACD modelling to high frequency transactions data sets. It involves an analysis of the impact of trading on market prices and market liquidity.
A paper titled "An examination of the Role of Time and its Impact on Price Revision" was published in the Australian Journal of Management,
"An Examination of the Role of Time and its Impact on Price Revision", Australian Journal of Management, Vol 30, No 2, (December 2005)
Joey Wenling Yang is now a senior lecturer at the University of Western Australia.
Dr Joey Wenling Yang
Books D.E.Allen, Finance - A
Theoretical Introduction, Basil Blackwell, (Oxford, 1983) ISBN 0-5520-540-7 Pbk. D.E.Allen, J.N. Crook &
W.D.Reekie, The Economics of Modern Business 2nd Edition, Basil Blackwell, (Oxford, 1991).
Monograph: D.E. Allen and F. Gandiya,
Assessing Exchange Rate Hypotheses within Southern Africa, Ashgate Publishing Company, Aldershot, UK, 2004.
http://www.ashgate.com
A Selection of Publications
Download sample material download titlepages
download chapter4 research method download chapter5 resultsChapters in Books
D.E.Allen and G. MacDonald, "The Long-run Gains from International Diversification: Australian Evidence from Cointegration Tests", Managerial Finance in the Corporate Economy, Routledge and Kegan Paul, London (1995), pp.13-27.
D.E.Allen, "Further Australian Evidence on the Pecking Order Hypothesis", Studies in the Financial Markets of the Pacific Basin, Ed. T. Bos and T.A. Featherston, Greenwich, CT. (1994) , pp.165-182.
D.E.Allen, P.K.P. Lim and G. MacDonald, "The Relationship Between Accounting Returns and Stock Market Returns: Australian Evidence", reading in Volume 1, Advances in Pacific Basin Financial Markets, JAI Press, Greenwood, (1995), pp.167-192.
D.E.Allen, M. Patrick, "Some Further Australian Evidence on the long-Run Performance of Initial Public Offerings: 1974-1984", chapter in Advances in Pacific Basin Financial Markets 11, JAI Press, Greenwood, CT. (1996), pp.133-155.
D.E.Allen, G. Black and G. MacDonald, "Cointegration and Tests of Present Value Models: Australian Evidence", Research in Finance, Supplement 2(1996), ED., A.H. Chen and K.C.Chan, JAI Press, Greenwich , Connecticut, pp.245-260.
Two chapters in a workbook Ed. by D. Morrison, to accompany R. Bruce, B. McKern, I. Pollard, and M. Skully, Handbook of Australian Corporate Finance, 4th Ed. (1997) Butterworths, Sydney. ISBN 0 409 49219 1. The chapters are chapter 4 "The Australian Stock Exchange" pp.37-47, and Chapter 11 "Finance Company Finance"pp.121-129.
D.E.Allen, "Normal Backwardation on the Sydney Futures Exchange: How Normal is the SFE?", Business and Economics for the 21st Century, Vol 1. Ed. D. Kantarelis, Worcester, MA 01605, ISBN:0-9659831-0-2., (1997), pp. 106-116.
D.E.Allen and M. Clissold, "A Direct Test of the Pecking Order Hypothesis in an Australian Context", Advances in Pacific Basin Financial Markets IV, Ed. T. Bos and T. Featherston, JAI Press, Greenwood, CT. ISBN:0-7623-0319-0, (1998), pp.335-357.
D.E. Allen, G. MacDonald, H. Setiawan, "Long-Term and Short-Term Causal Relationships between Dividends and Stock Prices in Malaysia: A Time-Series Analysis in the Spirit of Lintner's Model", Advances in Pacific Basin Financial Markets V1, Ed. T. Fetherston, JAI Press, Greenwood, CT. ISBN: 0762306424, (2000),pp.83-99.
D.E. Allen, L.K. Lim, and T. Winduss, "AUSFTA and its implications for the Australian Stock Market", Regionalism, Trade and Economic Development in the Asia Pacific Region, Ed. A. Siddique, Edward Elgar, Cheltenham, UK, ISBN 978 1 84542 5036 (2007) pp.128-139.
D.E. Allen, A. Soongswang, "Takeovers and Shareholder Value Creation on the Stock Exchange of Thailand", Asia-Pacific Financial Markets: Integration, Innovation, and Challenges, International Finance Review, Vol 4, Ed. S-J Kim and M.D. Mckenzie, Elsevier, Amsterdam, (2008) ISBN 978-0-7623-1471-3, pp.347-370.
D.E. Allen, A.S.S. Cheng, C. Commerton-Forde, and J.W. Yang, "Returns, Volatility and Liquidity on the ASX",Chapter 12 in Stock Market Liquidity, Ed. F-S, Lhabitant and G.N. Gregoriou,Wiley Finance, New Jersey (2008) ISBN 978-0-470-18169-0, pp.227-245.
Forthcoming chapters in books
D.E. Allen and R. Powell, “STRUCTURAL CREDIT MODELLING AND ITS’ RELATIONSHIP TO MARKET VALUE AT RISK: AN AUSTRALIAN SECTORAL PERSPECTIVE” Chapter in Value at Risk, Edited G. Gregoriou, McGraw-Hill forthcoming (2009)
D.E. Allen and M. Scarth, "Modelling the Volatility of the FTSE100 index using High Frequency Data Sets," Chapter in Market Volatility, Edited G. Gregoriou, Chapman-Hall, forthcoming (2009)
D.E. Allen and J. Chimhini, “The World Price of Covariance Risk with Respect to Emerging Markets”, Emerging Markets, Edited G. Gregoriou, Chapman-Hall, forthcoming (2010).
Journal Articles
D.E.Allen and Dr. W.D. Reekie, "Hours of Work and Advertising, International Journal of Advertising (1983), 2, pp.99-107.
D.E.Allen and Dr. W.D. Reekie, "Generic Substitution in the U K Pharmaceutical Industry: A Markovian Analysis", Managerial and Decision Economics, Vol. 6, No. 2, (June 1985), pp.93-101.
D.E.Allen, W.E. Little Jr., and J.W. Kwiatkowski, "Some Evidence of the Efficiency of the Unlisted Securities Market", The Investment Analyst, No. 77, (July 1985), pp.29-35.
D.E.Allen, R.E. Day, J. Kwiatkowski and I.R.C. Hirst, "Equities, Gilts, Treasury Bills and Inflation: Historical Returns and Simulations of the Future", The Investment Analyst, No. 83, (January 1987), p p.11-18.
D.E.Allen, S. Carse and K.Fujio, "Trade Financing Procedures in Britain and Japan", Applied Economics, (June 1987), pp.711-728.
D.E.Allen and L.M. Som, "On the Efficiency of the UK Rubber Market", Empirical Economics, Vol. 12 (1987), pp.79-95.
D.E.Allen and H. Mizuno, "The Determinants of Corporate Capital Structure: Japanese Evidence", Applied Economics Vol 21 No 5 (May 1989), pp.569-585.
D.E.Allen, "The Determinants of the Capital Structure of Listed Australian Companies: The Financial Managers' Perspective", Australian Journal of Management, 16 , (December 1991), pp.103-128.
D.E.Allen, "The Pecking Order Hypothesis: Australian Evidence", Applied Financial Economics, (1993) 3, pp.101-112.
D.E. Allen, "Whats So Super About Super?", Economic Papers, (September 1993) Vol 12, No 3, pp.44-62.
D.E.Allen, and R. Sugianto, "Guesswork: Estimation Risk and Portfolio Performance", Journal of The Securities Institute of Australia, (March, 1994), pp.6-9.
D.E.Allen, and R. Sugianto, "Australian Domestic Portfolio Diversification and Estimation Risk: A Review of Investment Strategies", Pacific Basin Finance Journal, Vol 2, No 2, (1994) pp.29 3-318.
D.E.Allen, and G. MacDonald, "The Long Run Gains from International Equity Diversification: Australian Evidence from Co-integration", Applied Financial Economics, (1995), 5, pp.33-42.
D.E.Allen, and R. Prince, "Contrarian Investment Strategies: Australian Evidence on the Impact of Changing Risk", Applied Economic Letters (1995) Vol 2, pp.280-283.
D.E.Allen and V. Rachim, "Dividend Policy and Stock Price Volatility: Australian Evidence", Applied Financial Economics (1996) 6, pp.175-188. (This paper received an ANBAR Citation of excellence in 1997).
D.E.Allen,"Competitive Advantage and Approaches to Investment Appraisal: Procedures in Australia, Britain and Japan", International Journal of Business Studies, Vol 4, No 2, (1996).
D.E.Allen, and J. Chung, "Corporate Distress Prediction studies: A Review of Model and Statistical Techniques in Corporate Prediction Studies", Accounting Research Journal. (1998), Vol 11, No.1., pp.245-269.
D.E. Allen, M. Clissold and H. Lisnawati, "Higgledy Piggledy Growth Revisited: Australian evidence", The Australian Journal of Management, (1988), 23, pp. 115-130.
S. Ang, L. Alles and D.E. Allen, "Riding the Yield Curve: An Analysis of International evidence", The Journal of Fixed Income, (1998), 23, pp. 57-74.
D.E. Allen, and M.L.Tan, "A Test of the Persistence in the Performance of UK Managed Investment Funds" The Journal of Business Finance and Accounting, (1999) Vol 26, Nos 5&6, pp.559-593.
D.E. Allen, N. Morkel-Kingsbury and W. Piboonthankiat, "The Long-Run Performance of Initial Public Offerings in Thailand", Applied Financial Ecoconomics, (1999) No 9, pp.215-232..
D.E. Allen, Commonwealth of Australia, Official Committee Hansard, Senate Foreign Affairs, Defence and Trade References Committee, AGPS Publishing Service, Canberra, reference "Examination of developments in contemporary Japan and the implications for Australia", (1999) FAD&T pp.176-190. Also available on the WWW at http://www.aph.gov.au/hansard
J. Hill, L.C. Thomas, and D.E. Allen, "Expert's Estimates of Task Durations in Software Development Projects", International Journal of Project Management, (2000) Vol 18, No 1, pp.13-21. International Journal of Project Management, Elsevier Science
D.E. Allen, L.C. Thomas and H. Zheng, "Stripping Coupons with Linear Programming", The Journal of Fixed Income, (September, 2000)Vol 10, No 2, pp.80-87.download
D.E. Allen,"Spare Debt Capacity: Company Practices in Australia, Britain, and Japan", The Australian Journal of Management, (2000)Vol 25, No 3,pp.299-326.
L.Thomas, D.E. Allen, and N. Morkel-Kingsbury, "A Hidden Markov Chain Model for the Term Structure of Credit Risk Spreads", International Review of Financial Analysis,(2002),11, pp.311-329 link to journal
D.E. Allen, G. MacDonald, D. Walsh and K. Walsh, "Using regression techniques to estimate futures hedge ratios, some results from alternative
approaches applied to Australian 10 Year Treasury Bond Futures". Research in International Business and Finance, Vol 16, (2002),
pp.189-214.Elsevier Research Monograph Series, Research in International Business and Finance,
download
This paper can be downloaded from the SSRN
Download
D.E.Allen, S. Cruickshank and G. MacDonald,"Purchasing Power
Parity-Evidence from a new panel test"
Applied Economics, (2002), Vol 34, pp.1319-1324.link to journal
This paper can be downloaded from the SSRN
Download
H. Zheng,L.C. Thomas, and D.E. Allen, "The
Duration Derby: A comparison of duration-based strategies in Asset liability management", Journal of Bond Trading and Management,
(2003, Vol 1, No. 4, pp.371-380.link to Journal
This paper can be downloaded from the SSRNDownload
D.E. Allen and W. Yang,"Do UK Stock Prices deviate from fundamentals", Forthcoming
Mathematics and Computers in Simulation,(2004), Vol 64, No 3-4, pp.373-383. link to journal
Follow next link to download the paper.
download paper
D.E. Allen and J. Parwada, "Effects of Bank Funds Management Activities on the Disintermediation of Bank Deposits",
forthcoming Journal of Business Finance and Accounting,(2004), Vol 31, pp.1151-1170.link to journal
Follow next link to download the paper.
download paper
Peiris, S., Thavaneswaran, A., Allen, D., Mellor, R. (2004).
Applications of Recursive Estimation Methods in Statistical Process Control. Statistical Methods, Vol 5, No 2, (2003), pp.172-183.
(Statistical Methods - Guest editor : Bovas Abraham).
link to journal
Follow next link to download the paper.
download paper
S. Peiris, D.E. Allen and A. Thavaneswaran"Generalized MA Models and Applications"
Journal of Applied Statistical Science, (2004), Vol 13, pp.251-267.
W. Yang and D.E.Allen, “Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets”,
Accounting and Finance, Blackwell Publishing, 45 (2005) pp.301-321.
S. Peiris, D.E. Allen and W. Yang, “Some Statistical Models for durations and an application to News Corporation Prices”,
Mathematics and Computers in Simulation, (2005) 68, pp.549-556.
S. Peiris, D.E. Allen and W. Yang, “Some Statistical Models for durations and an application to News Corporation Prices”, Mathematics and Computers in Simulation, (2005) 68, pp.549-556.
D.E.Allen and H. Salim, “Forecasting Profitability and Earnings: A study of the UK Stock Market (1982-2000)”, Applied Economics, Routledge, (2005) Vol 37, No 17, pp.2009-2018.
D.E.Allen, S. Peiris and W. Yang, “An Examination of the Role of Time and its Impact on Price Revision”, Australian Journal of Management, (2005), Vol 30, N0 2, pp.283-302.
D.E.Allen, B. Veiga and M.McAleer, Modelling and Forecasting Dynamic VaR Thresholds for Risk Management and Regulation", Risk Letters, (2006)
D.E.Allen and V. Soucik, “Benchmarking Australian Fixed Interest Fund Performance: Finding the Optimal Factors”, Accounting and Finance, (2006), Vol 46, 5, pp. 865-898.
D.E. Allen and J. Parwada, “Investors Response to Mutual Fund Mergers”, International Journal of Managerial Finance, (2006) Vol 2, No 2, pp.121-135.
D.E.Allen and A. Soongswang, “Post-Takeover Effects on Thai Bidding Firms: are Takeovers in the Bidder’s Interests?” Review of Pacific Basin Financial Markets and Policies, Vol 9, No 4, (2006), pp.509-531.
D.E.Allen, Z. Lazarov and M. McAleer, “Modelling Intra-day Seasonality and Forecasting Densities in Financial Duration Data”, Journal of Financial Forecasting”, (2007), Vol 1, No 1, 45-69
Papers under Review and Forthcoming publications:
“Comparison of alternative ACD models via density and interval forecasts: evidence from the Australian stock market”, to appear in Mathematics and Computers in Simulation ( D. E Allen, Z. Lazarov, M. McAleer and S. Peiris).
“Asymptotic and finite sample properties of the QMLE for the log-ACD model: application to Australian stocks”, to appear in Journal of Econometrics (D.E. Allen, F. Chan, M. McAleer and S. Peiris
“Econometric Modelling in Finance and Risk Management: an Overview”, to appear in the Journal of Econometrics, (J.Gao, M. McAleer and D.E. Allen).
“Modelling and managing financial risk: an overview”, to appear in Mathematics and Computers in Simulation, (D.E. Allen and J. Gao and M. McAleer).
K.H. Ng, D.E. Allen and S. Peiris, “Applications of the Weibull ACD Model to High Frequency Transactions Data”, Journal of Applied Statistical Science, (2009)
D.E. Allen, G. Yap and R. Shareef, “Modelling interstate tourism demand in Australia: A cointegration approach”, to appear in Mathematics and Computers in Simulation (D.E. Allen and J. Gao and M. McAleer
Recent Working Papers
With M. Clissold, "A
Direct Test of the Pecking Order Hypothesis in an Australian Context", School of
Finance and Business Economics, Edith Cowan University (March 1996). With G. MacDonald, "The
Relationship Between Stock Prices and Dividends: Evidence From The Australian
Market", School of Finance and Business Economics, Edith Cowan University (March
1996). With M. Clissold and H.
Lisnawati, "Higgledy Piggledy Growth Revisited: Australian evidence", School of
Finance and Business Economics, Edith Cowan University, (March 1996). With W.Piboonthanakiat,
"The Long-run Performance of Initial Public Offerings in Thailand", School of
Finance and Business Economics, Edith Cowan University (June 1996). With G.D. MacDonald:
"Excess Volatility and the Short Run Modelling of Australian Stock Prices"
Working Paper, School of Finance and Business Economics, (September 1996). "Some Thoughts on a Set
of Questions Relating to Dividend Imputation in Australia", Working Paper, School of
Finance and Business Economics, Edith Cowan University, (August 1996). With G.D. MacDonald and N.
Souness, "Minimum Variance Hedge Ratios on the Sydney Futures Exchange: Estimates
Using Cointegration", Working Paper, School of Finance and Business Economics, Octo
ber 1996. With N. Souness, "Normal
Backwardation on the Sydney Futures Exchange: How Normal is the SFE?" Working Paper,
School of Finance and Business Economics, October 1996. With F. Cleary, "The
Determinants of the Cross-Section of Stock Returns in the Malaysian Stock Market",
Working Paper, School of Finance and Business Economics, December 1996. With J. Chung, School of
Accounting Edith Cowan, "A Critical Review of the Use of Statistical Techniques in
Accounting Classificatory Studies", Working Paper, March 1997. With N. Souness and K. Walsh,
"Panel Data Estimates of Minimum Variance Hedge Ratios on the Sydney Futures Exchange
for Interest Rate Contracts", Working Paper, School of Finance and Business
Economics, (May 1997). With M. L. Tan "A Test
of the Persistence in Performance of UK Mutual Funds", Working Paper, School of
Finance and Business Economics, (February 1998). With N. Morkel- Kingsbury,
"A Model of the Speed of Australian Interest Rate Adjustment using a Time-Series
Approach", Working Paper, School of Finance and Business Economics, (March 1998).
With J. Hill and L.C. Thomas,
"Expert's Estimates of Task Durations in Computer Systems Development Project",
Working Paper, School of Finance and Business Economics, (March 1998). With G. MacDonald and H.
Setiawan, "Long-Term and Short-Term Causal Relationships Between Dividends and Stock
Prices in Malaysia: a Time-Series Analysis in the Spirit of Lintner's Model", Working
Paper, School of Finance and Business Economics, (March 1998). With N. Morkel-Kingsbury and
L. Thomas, "A Hidden Markov Chain Model for the Term Structure of Credit Risk
Spreads", Working Paper, School of Finance and Business Economics, (May 1998).
D.E.Allen, N.Morkel-Kingsbury
"Beaver, McAnally and Stinson (1997)" A Comment", Working paper, School of
Finance and Business Economics, (September 1998) D.E.Allen, and I. Chau,
"A Test of Various Pricing Models on Options on Australian Bank Bill Futures",
Working paper, School of Finance and Business Economics, (September 1998)
D. E. Allen and W. Yang, "Variation of Australian Share Prices Due to Fundamental and Non-Fundamental Innovations"
Working Paper, School of Finance and Business Economics", (February 2000). D.E. Allen and L. De Mello, "
Forecasting the Equity Premium in the Australian Market" , Working Paper, School of Finance and Business Economics", (February 2000). D.E. Allen, S.Cruickshank and Wenling Yang, "
A Time-Series Analysis of Stock Prices and Accounting Earnings Dynamics ", Working Paper, School of
Finance and Business Economics, (March 2000).Download. D.E. Allen, L.C. Thomas and H. Zheng,
" Stripping Coupons with Linear Programming ", Working Paper, School of
Finance and Business Economics, (March 2000). Forthcoming Journal of Fixed Income 2000 D.E. Allen and V. Soucik, " In Search of True Performance: testing Benchmark-Model
Validity in Managed Funds Context " , Working Paper, School of
Finance and Business Economics, (March 2000). Download
D.E. Allen, S. Cruickshank, and W. Yang (June, 2000) "Time Series Analysis of Stock Prices and Accounting Earnings Dynamics", School
of Finance and Business Economics, Working Paper Series.
Download. D.E.Allen, S. Cruickshank and G. MacDonald,"Purchasing Power Parity-Evidence from a new panel test"
Second round re-submission Applied Economics (November, 2000). This paper can be downloaded from the SSRN
Download
David E. Allen and Wenling Yang, "What Moves Stock Prices? Evidence that UK Stock Prices Deviate from Fundamentals", Edith Cowan University,
School of Finance and Business Economics, Working Paper Series.Download
H. Zheng, L. Thomas and D.E. Allen, "The Duration Derby: a comparison of duration based strategies in asset liability management",
School of Finance and Business Economics, Working Paper Series. Download
D.E. Allen and J. Parwada,
"Investors Response to Mutual Fund Company Mergers" (June 2001) School of Finance and Business Economics,
Working Paper Series.Download
D.E. Allen, G. MacDonald, D. Walsh and K. Walsh,"Using regression techniques to estimate futures hedge ratios, some results from alternative
approaches applied to Australian 10 Year Treasury Bond Futures", (September 2001) School of Finance and Business Economics,
Working Paper Series.download
D.E. Allen and J. Chimhini (January 2002) “The World Price of Covariance Risk with Respect to Emerging Markets”,
School of Accounting, Finance and Economics, Working Paper Series.download
D.E. Allen and H. Salim, (March, 2002), Forecasting Profitability and Earnings: A study of the UK Stock Market (1982-2000)”.
School of Accounting, Finance and Economics, Working Paper Series.
download S. Peiris, D.E. Allen, and W. Yang, (March 2002) “Some Statistical Models for Durations and their Applications in Finance”,
School of Accounting, Finance and Economics, Working Paper Series.download
D.E. Allen, S. Peiris and W. Yang, (December 2003)"An Examination of the Role of Time in Ultra-High Frequency Data and its Impact
on Price Revisions in News Corporation Stock",School of Accounting, Finance and Economics, Working Paper Series. download
D.E. Allen, M. Chandra and J.L.P. Yong (March 2004) "How Bank Risk Profiles
affect their strength: An assessment of banks in the Asia-Pacific region", School of Accounting, Finance and Economics, Working Paper Series.
download D.E. Allen, Z. Lazarov, M. McAleer and S. Peiris (April 2007) "Comparison of Alternative ACD Models via Density and Interval Forecasts: Evidence from the
Australian Stock Market".Download
DE. Allen and P. Taco ,(June 2007) "Is the Australian Forex Market Efficient?
A Test of the Forward Rate Unbiasedness Hypothesis " , Working Paper, School of
Finance and Business Economics, Download
D.E. Allen and R. Powell,(May 2007) " Industry Market Value at Risk in Australia " , Working Paper, School of
Finance and Business Economics, Download
D.E. Allen and Robert Powell "STRUCTURAL CREDIT MODELLING AND ITS? RELATION-
SHIP TOMARKET VALUE AT RISK: AN AUSTRALIAN SECTORAL PERSPECTIVE (July 2007). "Download
D.E. Allen and Quinten Steyn (July 2007) "Hedging with interest rate caps compared with a policy of maintaining a balanced
portfolio of loans (PLA) and averaging the borrowing costs "Download
D.E. Allen and Joey Wenling Yang (March 2008) "Limit Order Trading and Information Asymmetry:
Empirical Evidence about the Evolution of Liquidity on an Order Driven Market, March 2008, Working Paper 0802 "Download
Pipat Wongsaart, Jiti Gao and D.E. Allen (March 2008) "The Third Generation ACD Model: A Semiparametric Approach
Working Paper "Download
D.E. Allen and S.A. Hosseini-Yekani, “Portfolio Investment Modelling Using High Frequency Data”, (May 2008) School of Accounting, Finance and Economics, Working Paper Series.
D.E. Allen and S.A. Hosseini-Yekani, “A Comparison of Parametric and Sampling Approaches to Portfolio Investment Selection using FTSE100 Stocks”, (May 2008) School of Accounting, Finance and Economics, Working Paper Series.
P. Wongsaart, J. Gao and D. E. Allen, “The Third Generation ACD Model: A Semiparametric Approach”, (June 2008) School of Accounting, Finance and Economics, Working Paper Series.
D. E. Allen, M. McAleer and M. Scharth, “Realised Volatility Uncertainty”, (August 2008) School of Accounting, Finance and Economics, Working Paper Series.
Working papers produced are available from a number of sources on the world wide web, such as
the working paper series
D.E. Allen, S. Cruickshank, N. Morkel-Kingsbury and N. Souness (1999)
"Backward to the Future: a test of three futures markets" Edith Cowan University, School of Finance and Business Economics,
Download
D. Allen, S. Cruickshank and N. Morkel-Kingsbury (1999) "A Comment on ‘The Information Content of
Earnings and Prices: A Simultaneous Equations Approach’ by W.H. Beaver, M.L. McAnally and C.H. Stinson
(1997)", Edith Cowan University, School of Finance and Business Economics, Working Paper Series,
Download
D. Allen and V. Soucik (1999) "Long Run Underperformance of Seasoned Equity Offerings: Fact or an
Illusion?", Edith Cowan University, School of Finance and Business Economics, Working Paper Series,
. Download
D. Allen and V. Soucik (1999) "Performance of Seasoned Equity Offerings in a Risk Adjusted Environment",
Edith Cowan University, School of Finance and Business Economics, Working Paper Series, forthcoming.
Download
Lyn C. Thomas, D.E. Allen, Nigel Morkel-Kingsbury (1998)
"A Hidden Markov Chain Model for the Term Structure of Bond
Credit Risk Spreads" Edith Cowan University, School of Finance and Business Economics, Working Paper Series,
Download
D.E. Allen and V. Soucik, " In Search of True Performance: testing Benchmark-Model
Validity in Managed Funds Context " , Working Paper, School of Finance and Business
Economics, (March 2000).Download
D.E.Allen, S. Cruickshank and G. MacDonald,"Purchasing Power Parity-Evidence from a new panel test"
forthcoming Applied Economics (November, 2000). This paper can be downloaded from the SSRN
Download
David E. Allen and Wenling Yang, "What Moves Stock Prices? Evidence that UK Stock Prices Deviate from Fundamentals", Edith Cowan University,
School of Finance and Business Economics, Working Paper Series.Download
Recent Conference
Presentations British Accounting
Association Na tional Conference 1996, Cardiff University Business School, South Wales,
"A Direct Test of the Pecking Order Hypothesis in an Australian Context", (28
March 1996). Global Finance Conference,
Hilton Hawaiian Village, Honolulu, Hawaii, "A Direct Test of the Pecking Order
Hypothesis in an Australian Context", (April 6, 1996). Econometric Society
Australasian Meeting (1996), The University of Western Australia, Proceedings, Vol 3,
M.McAleer, P.W. Miller, and K. Leong, (Eds), D.E.Allen and G. MacDonald, "The
Relationship between Stock Prices and Dividends: Evidence from the Australian Stock
Market", The University of Western Australia Press, (July,1996), ISBN (Book)
0-86422-485-0, pp.43-69. Accounting Association of
Australia and New Zealand Annual Conference, Christchurch Town Hall, Christchurch, New
Zealand, "A Direct Test of the Pecking Order Hypothesis in an Australian
Context", (8 July, 1996). Inaugural Lecture:
"Finance, Misconceptions and Reality" Inaugural Professorial Lecture, Edith
Cowan University, Joondalup Campus, (3 September, 1996). Financial Management
Association Annual Conference, Sheraton Hotel, New Orleans, "A Direct Test of the
Pecking Order Hypothesis in an Australian Context", (10 October, 1996). British Accounting
Association National Conference, 1997, Birmingham Conference Centre, UK "The
Determinants of the Cross-Section of returns in the Malaysian Stock Market", (25
March,1997) . Econometric Society
Australasian Meeting, 1997 University of Melbourne, "Panel Data Estimates of Minimum
Variance Hedge Ratios on the Sydney Futures Exchange for Interest Rate Contracts", (2
July 1997). Business & Economics
Society International 1997 Conference, Athens, Greece "Normal Backwardation on the
Sydney Futures Exchange: How "Normal" is the SFE?", (19 July, 1997).
Quantitative Methods in
Finance Conference 1997, Cairns, Qld, Risk Assessment and Management, Dynamic Asset
Allocation Session, "Minimum Variance Hedge Ratios on the Sydney Futures
Exchange", (29 August, 1977). Financial Management
Association Conference 1997, Honolulu, Hawaii, "Minimum Variance Hedge Ratios on the
Sydney Futures Exchange", (16 October 1997). Financial Management
Association Conference 1997, Honolulu, Hawaii, "The Determinants of the Cross-Section
of returns in the Malaysian Stock Market", (17 October 1997). 1998 British Accounting
Association Conference, UMIST, Manchester, "A Test of the Persistence in Performance
of UK Mutual Funds", (April 2, 1998) 1998 British Accounting
Association Conference, UMIST, Manchester, "Long-Term and Short-Term Causal
Relationships Between Dividends and Stock Prices in Malaysia: a Time-Series Analysis in
the Spirit of Lintner’s Model", (April 2, 1998). Econometric Society
Australasian Meeting, 1998, Australian National University, Canberra, "A Test of the
Persistence in Performance of UK Mutual Funds", (July 10, 1998). Nippon Finance
Association/Asia Pacific Finance Association Annual Conference 1998, Uport Hotel, Gotanda,
Tokyo, "A Test of the Persistence in Performance of UK Mutual Funds", (22 July,
1998). Nippon Finance
Association/Asia Pacific Finance Association Annual Conference 1998, Uport Hotel, Gotanda,
Tokyo, (22 July, 1998), "Long-Term and Short-Term Causal Relationships Between
Dividends and Stock Prices in Malaysia: a Time-Series Analysis in the Spirit of Lintner's
Model". Financial Management Association Annual Conference
Meeting, the Marriott Hotel,Orlando, Florida (8 October 1999) "Interest Rate Term Premia and Purchasing Power
Parity: the Missing Link? ". 12th Annual Australasian Finance and Banking Conference, The University of New South Wales,
Sydney, "A Comment on 'The Information Content of Earnings and Prices: A Simultaneous Equations
Approach' by W.H. Beaver, M.L. McAnally, and C.H. Stinson (1997)", (16 December 1999)". 12th Annual Australasian Finance and Banking Conference, The University of New South Wales,
Sydney, "Long Run Underperformance of Seasoned Equity Offerings: Fact or an Illusion?", (16
December 1999)". 12th Annual Australasian Finance and Banking Conference, The University of New South Wales,
Sydney, "Backward to the Futures: A Test of Three Futures Markets", (16 December 1999)". 12th Annual Australasian Finance and Banking Conference, The University of New South Wales,
Sydney, "Performance of Seasoned Equity Offerings in a Risk Adjusted Environment", (17 December
1999) ". European Financial Management Association Conference,
"Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK." Edinburgh (25 May, 2000). Accounting Association of Australia and New Zealand Annual Conference (2000), Hamilton Island, Queensland,
"Variation of Australian Share Prices due to Fundamental and Non-Fundamental Innovations", (July 3, 2000). PACAP (Pacific Basin Capital Markets) 12 Annual Conference, Hilton on the Park, Melbourne,
"Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK." (July 7, 2000). PACAP (Pacific Basin Capital Markets) 12 Annual Conference, Hilton on the Park, Melbourne,
"In Search of True Performance: Testing Benchmark-Model Validity in a Managed Funds Context", (July 7,2000). Australasian Banking and Finance Conference, "Interest Rate Term Premia and Purchasing Power Parity Deviations:
The Missing Link?", ANA Hotel Sydney, (20 December 2000). Australasian Banking and Finance Conference, "In Search of True Performance: Testing Benchmark-Model Validity
in a Managed Funds Context", (December 20, 2000). Financial Management Association European Conference, Hotel Sofitel, Paris,
"The Variation of Share Prices due to Fundamental and Non-Fundamental Variations", (June 1, 2001). Asia Pacific Finance Association, Shangi-La Hotel, Bangkok, D.E. Allen, S.N. Cruickshank, and G. MacDonald, "Purchasing Power Parity - Evidence from a New
Panel Test", (26 July 2001). Economics Society of Australia, 30th Annual Conference,
The University of Western Australia,"In Search of True Performance: Testing Benchmark-Model Validity
in a Managed Funds Context", (September 25, 2001).
Philip Brown Symposium (UWA),
Perth, "Variation of Share Prices Due to Fundamental and Non-Fundamental Innovations", (10 December, 2001) Hyatt Hotel, Adelaide Terrace, Perth. Philip Brown Symposium (UWA), Perth,
"Forecasting Profitability and Earnings: A study of the UK stock market (1982-2000)", (10 December, 2001) Hyatt Hotel, Adelaide Terrace Perth. 14th Annual Australasian Finance and Banking Conference,
The University of New South Wales, Sydney "Forecasting Profitability and Earnings: A study of the UK Stock market (1982-2000)", (17-19 December 2001). International Congress on Modelling and Simulation MODSIM 2001,
The Australian National University, Canberra "Mutual Fund Company Mergers and Their Impact on Investment Flows", (12 December, 2001). International Congress on Modelling and Simulation MODSIM 2001,
The Australian National University, Canberra "Do UK Stock Prices Deviate from Fundamentals?", (12 December,
2001). 14th Annual Australasian Finance and Banking Conference,
The University of New South Wales, Sydney "M-Garch Hedge Ratios and Hedging Effectiveness in Australian Futures Markets", (17-19 December 2001). 14th Annual Australasian Finance and Banking Conference,
The University of New South Wales, Sydney "The Duration Derby: A comparison of Duration based Strategies in Asset Liability Management", (17-19 December 2001).
This paper was awarded a joint first prize for the best paper on the topic of Hedging and Derivatives by the Sydney Futures Exchange. Modelling and Simulation Society of Australia and New Zealand
Inc, Modsim 2003, International Congress on Modelling and Simulation, Volume 3 Socioeconomic Systems, (14-17 July 2003)
ISBN - 174052 098X, Shelton Peiris, David Allen, and Wenling Yang,"Some Statistical Models for Durations and their
Applications in Finance" pp.1210-1214. Modelling and Simulation Society of Australia and
New Zealand Inc, Modsim 2003, International Congress on Modelling and Simulation, Volume 3 Socioeconomic Systems, (14-17 July 2003)
ISBN - 174052 098X, M. Aitken, D.E. Allen and W. Yang, "Some Evidence on the information content of undisclosed limit orders on the ASX", pp. 1215-1220. Modelling and Simulation Society of Australia and New Zealand Inc, Modsim 2003,
International Congress on Modelling and Simulation, Volume 3 Socioeconomic Systems, (14-17 July 2003) ISBN - 174052 098X,
D.E. Allen and V. Soucik, "Some Evidence on the performance benchmarking of Australian Fixed Interest Funds", pp. 1221-1226. Australasian Meeting of the Econometric Society, (July 9-11 2003)
School of Economics, UNSW, Sydney, Shelton Peiris, David Allen, and Wenling Yang,"Some Statistical Models for Durations and their Applications in Finance". D.E. Allen, and J. Chimini, Emerging Financial Markets and Services in Asia Pacific Conference,
Sydney, Marriot Hotel, (27-28th May 2004), Proceedings, paper 2, “The World price of covariance Risk with respect to Emerging Markets”, ISBN 1 74108047 9 D.E.Allen, Business and Economics Society International Conference, Rodos Palace Rhodes, Greece,
“The Present Value of Pacific Basin Stock Markets: Some Time-Series tests applying long-run structural modelling”, (July 19th 2004). D.E.Allen, Siamese International Conference on Modelling and Simulation, SIMMOD,
The Rose Garden, Bangkok, Thailand “The World Price of Covariance Risk with respect to Emerging Markets”, January 18th 2005. D.E.Allen, Siamese International Conference on Modelling and Simulation, SIMMOD,
The Rose Garden, Bangkok, Thailand “Modelling and Forecasting Dynamic VaR Thresholds for Risk Management and Regulation”,
January 18th 2005. D.E.Allen, “The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context”, Global Finance Conference, 27thJune 2005, Trinity College Dublin, Ireland. (Paper co-authored with L. Demello) D.E.Allen, “The Technological Progress of Malaysian Banks:
An Empirical Investigation” Global Finance Conference, 27thJune 2005, Trinity College Dublin, Ireland. (Paper co-authored with V. Batchelor and K. Kupussamy). D.E.Allen, “Modeling and Forecasting Dynamic VaR Thresholds for Risk Management and Regulation” European Financial Management Association Conference, Bocconi University, Milan, June 30th 2005. (Paper co-authored with M. McAleer and B. Veiga).
D.E. Allen, “Modeling and Forecasting Dynamic VaR Thresholds for Risk Management and Regulation” Australian Institute of Banking and Finance, 10th Banking and Finance Conference, RMIT, (29th September 2006). (Paper co-authored with M. McAleer and B. Veiga). D.E.Allen, “Real Interest Rates and Inflation in Norway”, Business Economics Society International Conference, Croce di-Malta Hotel, Florence, (16th July, 2006).
D.E. Allen, “The Consumption Based Capital Asset Pricing Model (CCAPM), habit-based consumption and the equity premium in an Australian context”, Australasian Banking and Finance Conference, Shangri-la hotel, Sydney, (14th December 2006). D.E.Allen, “Evidence from Inter-Day Returns, on Volatility and liquidity on the ASX: the impact of Undisclosed vs. Disclosed Limit Orders”, Business Economics Society International Conference, Ambassadeur Hotel, Antibes France, (17th July, 2007). D.E. Allen, “Long Run Underperformance of Seasoned Equity Offerings: Fact or an Illusion?”,MODSIM 2007, International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, University of Canterbury, Christchurch, (12th December 2007) D. E. Allen, M. McAleer and M. Scharth, “Modelling Realized Volatility Shocks to Forecast Returns Densities”, Modelling and Managing Ultra High Frequency Data, the Joondalup Resort, Joondalup, WA 13th February 2008. D.E. Allen, N. Jeyasreedharan and S. Peiris, “Yet Another Autoregressive Conditional Duration Model: The ACDD Model”, Modelling and Managing Ultra High Frequency Data, the Joondalup Resort, Joondalup, WA 14th February 2008. D.E. Allen and S. Hosseini, “Portfolio investment modelling using high frequency data”, Modelling and Managing Ultra High Frequency Data, the Joondalup Resort, Joondalup, WA 14th February 2008. D.E. Allen and W. Yang, “Limit Order Trading and Information Asymmetry: empirical evidence of the Evolution of Liquidity on an Order-Driven Market”, Modelling and Managing Ultra High Frequency Data, the Joondalup Resort, Joondalup, WA 14th February 2008. D.E. Allen, “Realised Volatility Uncertainty”, Financial Integrity Research Network (FIRN) Research Day, Queensland University of Technology, Brisbane, 3rd October 2008. Seminar Papers: Some Thoughts on the Impact of Dividend Imputation", Workshop, Department of Accounting
and Finance, the University of Western Australia, (16 August 1995). "Some Questions re the
Impact of Dividend Imputation", Workshop, School of Finance and Business Economics,
Edith Cowan University, (19 August 1995). "The Determinants of the
Cross-Section of returns in the Malaysian Stock Market", Workshop, School of Finance
and Business Economics, Edith Cowan University, (17 March 1997) "Finance: Where is
Research in Finance Heading?" Faculty of Business Research Group Seminar, Edith Cowan
University, (June 30, 1997). "Panel Data Estimates of
Minimum Variance Hedge Ratios for Interest Rate Contracts on the Sydney Futures
Exchange", Workshop, School of Finance and Business Economics, Edith Cowan
University, (13 June 1997). "Normal Backwardation on
the Sydney Futures Exchange: How Normal is the SFE?", Workshop, School of Finance and
Business Economics, Edith Cowan University, (19 June 1997). "The Determinants of the
Cross-Section of Returns in the Malaysian Stock Market", Workshop, School of Finance,
Royal Melbourne Institute of Technology (RMIT) (1 July 1997). "The Determinants of the
Cross-Section of Returns in the Malaysian Stock Market", Workshop, Department of
Commerce, The Australian National University, (21 September 1997). "A Test of the
Persistence in the Performance of UK Mutual Funds", Workshop, School of Finance and
Business Economics, Edith Cowan University, (16 March 1998). "The Determinants of the
Cross-Section of Returns in the Malaysian Stock Market", Workshop, School of
Accounting and Finance, Griffith University, (17, September 1998). "
Hedging activities and the recent disaster with LTCM", Department of Economics, the University of Tasmania,
(8 October, 1998). "A Test of
the Persistence in the Performance of UK Mutual Funds", Workshop,
Departments of Economics and Finance, University of Tasmania, (9 October 1998). "A Test of the
Persistence in the Performance of UK Mutual Funds", Workshop,
Department of Accounting and Finance University of Dundee, Scotland, (28 October 1998). "A Test of
the Persistence in the Performance of UK Mutual Funds", Workshop, Department
of Accounting and Finance Heriot Watt University, Scotland, (30 October 1998). "With G.D.
MacDonald, "Panel data estimates of minimum variance hedge ratios using Australian
Bond Futures data", Workshop, Department of Economics, Murdoch University, (10 March, 1999). "With G.D.
MacDonald, "Panel data estimates of minimum variance hedge ratios using Australian
Bond Futures data", Workshop, School of Economics and Finance,
Curtin University, University, (11 March, 1999). "With G.D.
MacDonald, "Panel data estimates of minimum variance hedge ratios using
Australian Bond Futures data", Workshop, School of Finance and Business Economics, Edith Cowan University, (19 April, 1999). "Interest
Rate Term Premia and Purchasing Power Parity Deviations: The missing Link?"
Workshop, School of Finance and Business Economics, Edith Cowan University, (7 June, 1999).
"Permament and
Temporary Components of Australian Company Earnings and their Impact
on stock prices", Workshop, Department of Accounting and Finance,
Monash University, Caulfield Campus, (7 April 2000). "Some alternative ways of measuring bond portfolio
durations." Workshop, School of Finance and Business Economics, Edith Cowan University,Churchlands Campus,(30 March, 2001). "The purchasing power parity puzzle: some results from a new panel
based test", Workshop, Department of Finance and Statistics, Australian National University, Canberra, (4 May, 2001). "Forecasting Profitability and Earnings: A study of the UK Stock Market (1982-2000)
Workshop, Department of Accounting and Finance, Monash University, Caulfield Campus, Melbourne, (8 March, 2002).
"Some statistical models for Durations and their applications in finance”.
Workshop, School of Accounting, Finance and Economics, (15 March, 2002).
""Performance Benchmarking Fixed Interest Funds:
Australian Fixed Interest Funds", workshop, School of Accounting and Finance, the University of Western Australia
(4 April 2003). "School of Finance and Economics, University of Technology,
Sydney, "Evidence on the benchmarking of Australian Fixed Interest Fund Performance", (August 22nd 2003). "Workshop, Department of Finance, Faculty of Mathematics and Computing,
University of Ulm, Germany, " World Price of Covariance Risk with respect to Emerging Markets" (15th July, 2004). "D.E.Allen, Seminar, Department of Mathematics and Statistics , the University of Western Australia , “A Survey of Some Research Agendas developed in response to the availability of High Frequency Financial Data Sets”, (December 8th 2006). "D.E.Allen, seminar, Department of Finance, Monash University, Melbourne, “Industry Market Value at Risk in Australia”, (8th March, 2007). "D.E. Allen, Seminar, Department of Finance, the University of Melbourne, “Limit Order Trading and Information Asymmetry: Empirical Evidence about the Evolution of Liquidity on an Order Driven Market”, October 10th 2008.
Research Assistant, National
Institute of Economics and Social Research, to Professor S.J. Prais on a project
Investigating long-term trends in the industrial structure of UK Manufacturing Industry.
1974. Lecturer in Economics and
Finance, Department of Economics and Accounting, Leicester Polytechnic. 1975-1979. Lecturer in Finance,
Department of Business Studies, University of Edinburgh. 1979-1986 "Visiting Fellow in
Finance", Department of Economics and Finance, Western Australian College of Advanced
Education, Perth. 1984. Lecturer/Senior Lecturer in
Finance, Department of Accounting and Finance, University of Western Australia, 1986-1992.
Challenge Bank Professor of
Finance, School of Economics and Finance, Curtin University of Technology, Perth,
1992-1996.
Finance and Economics
References Australian Journal of Management Securities
Industry Research Centre of the Asia-Pacific (SIRCA)
Department of Employment, Workplace Relations and Small Business South Australian Department of State and Regional Development Western Australian Department of State and Regional Development
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Special thanks to
(Note: A selection of these
papers are available for download in Adobe Acrobat format from
the ECU School of Finance and Business Economics Working Paper homepage).
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Contact Information
My Official Address at Joondalup
Professor D.E. Allen FAIBF
Edith Cowan University
School of Accounting, Finance and Economics
Joondalup Campus
100 Joondalup Drive
Western Australia 6027
Telephone
Joondalup 08 6304 5471 (International +61 8 6304 5471)
Fax
08 6304 5894 (International +61 8 6304 5271)
Email
d.allen@ecu.edu.au
