Robert Brooks
Personal Details
First Name: | Robert |
Middle Name: | |
Last Name: | Brooks |
Suffix: | |
RePEc Short-ID: | pbr492 |
[This author has chosen not to make the email address public] | |
Terminal Degree: | 1993 Department of Econometrics and Business Statistics; Monash Business School; Monash University (from RePEc Genealogy) |
Affiliation
Department of Econometrics and Business Statistics
Monash Business School
Monash University
Melbourne, Australiahttp://business.monash.edu/econometrics-and-business-statistics
RePEc:edi:dxmonau (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Harminder B. Nath & Robert D. Brooks, 2020.
"Investor-herding and risk-profiles: A State-Space Model-based Assessment,"
Monash Econometrics and Business Statistics Working Papers
9/20, Monash University, Department of Econometrics and Business Statistics.
- Nath, Harmindar B. & Brooks, Robert D., 2020. "Investor-herding and risk-profiles: A State-Space model-based assessment," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
- Doan, Minh Phuong & Alexeev, Vitali & Brooks, Robert, 2014.
"Concurrent momentum and contrarian strategies in the Australian stock market,"
Working Papers
2014-02, University of Tasmania, Tasmanian School of Business and Economics, revised 13 May 2014.
- Minh Phuong Doan & Vitali Alexeev & Robert Brooks, 2016. "Concurrent momentum and contrarian strategies in the Australian stock market," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 77-106, February.
- Farha Ghapar & Robert Brooks & Russell Smyth, 2013.
"The Impact of Patenting Activity on the Financial Performance of Malaysian Firms,"
Monash Economics Working Papers
22-13, Monash University, Department of Economics.
- Farha Ghapar & Robert Brooks & Russell Smyth, 2014. "The impact of patenting activity on the financial performance of Malaysian firms," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 19(3), pages 445-463, July.
- Robert Brooks & Mark N. Harris & Christopher Spencer, 2012.
"Inflated Ordered Outcomes,"
Discussion Paper Series
2012_09, Department of Economics, Loughborough University, revised Oct 2012.
- Brooks, Robert & Harris, Mark N. & Spencer, Christopher, 2012. "Inflated ordered outcomes," Economics Letters, Elsevier, vol. 117(3), pages 683-686.
- Edwyna Harris & Robert Brooks & Yovina Joymungul, 2009. "The effects of centrally determined water prices on irrigation water demand: evidence from the Victorian State Rivers and Water Supply Commission, 1908-1984," Monash Economics Working Papers 16-09, Monash University, Department of Economics.
- Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Multivariate tests of asset pricing: Simulation evidence from an emerging market," Monash Econometrics and Business Statistics Working Papers 2/08, Monash University, Department of Econometrics and Business Statistics.
- Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008.
"Testing Conditional Asset Pricing Models: An Emerging Market Perspective,"
Monash Econometrics and Business Statistics Working Papers
3/08, Monash University, Department of Econometrics and Business Statistics.
- Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010. "Testing conditional asset pricing models: An emerging market perspective," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 897-918, September.
- Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models," MPRA Paper 25020, University Library of Munich, Germany, revised Oct 2007.
- Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets," MPRA Paper 25349, University Library of Munich, Germany, revised May 2007.
- Kenji Kutsuna & William Dimovski & Robert Brooks, 2007.
"The Pricing and Underwriting Costs of Japanese REIT IPOs,"
Discussion Papers
2007-37, Kobe University, Graduate School of Business Administration.
- Kenji Kutsuna & William Dimovski & Robert Brooks, 2008. "The Pricing and Underwriting Costs of Japanese REIT IPOs," Journal of Property Research, Taylor & Francis Journals, vol. 25(3), pages 221-239, November.
- Brooks, Robert & Harris, Mark & Spencer, Christopher, 2007. "An Inflated Ordered Probit Model of Monetary Policy: Evidence from MPC Voting Data," MPRA Paper 8509, University Library of Munich, Germany.
- Robert Brooks & Edwyna Harris, 2005. "An Analysis of Watermove Water Markets," Monash Econometrics and Business Statistics Working Papers 10/05, Monash University, Department of Econometrics and Business Statistics.
- Emawtee Bissoondoyal-Bheenick & Robert Brooks & Angela Y.N.Yip, 2005.
"Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches,"
Monash Econometrics and Business Statistics Working Papers
9/05, Monash University, Department of Econometrics and Business Statistics.
- Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Yip, Angela Y.N., 2006. "Determinants of sovereign ratings: A comparison of case-based reasoning and ordered probit approaches," Global Finance Journal, Elsevier, vol. 17(1), pages 136-154, September.
- Sinclair Davidson & Robert Brooks, 2004. "R&D, Agency Costs and Capital Structure: International Evidence," Econometric Society 2004 Australasian Meetings 59, Econometric Society.
- Diana Maldonado & Tim Fry & Robert Brooks & Robert Faff, 2004. "Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case," Econometric Society 2004 Australasian Meetings 62, Econometric Society.
- Robert Brooks & Bhavish Jugurnath & Mark Stewart, 2004.
"Dividend taxation and Corporate investment: A comparative study between the classical system and imputation system of dividend taxation in the United States and Australia,"
Econometric Society 2004 Australasian Meetings
97, Econometric Society.
- Bhavish Jugurnath & Mark Stewart & Robert Brooks, 2008. "Dividend taxation and corporate investment: a comparative study between the classical system and imputation system of dividend taxation in the United States and Australia," Review of Quantitative Finance and Accounting, Springer, vol. 31(2), pages 209-224, August.
- McKenzie, M. & Michell, H. & Brooks, R.D. & Faff, R.W., 1998.
"Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange,"
Papers
98-3, Melbourne - Centre in Finance.
- Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 22-38.
- McKenzie, M. & Michell, H. & Brooks, R.D. & Faff, R.W., 1998. "A Multi-Country of Power ARCH Models and National Stock Market Returns," Papers 98-4, Melbourne - Centre in Finance.
- Brooks, R & Davidson, S & Faff, R, 1997.
"An Examination of the Effects of Major Political Change on Stock Market Volatility : The South African Experience,"
Papers
97-4, Melbourne - Centre in Finance.
- Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997. "An examination of the effects of major political change on stock market volatility: the South African experience," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 255-275, October.
- Lee, J. & Brooks, R., 1996. "The Stability of ARCH Models Across Australian Financial Markets," Papers 96-9, Melbourne - Centre in Finance.
- Faff, R. & Brooks, R., 1996. "Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period," Papers 96-10, Melbourne - Centre in Finance.
- Brooks, R. & Michaelides, P., 1995.
"Autocorrelations, Returns and Australian Financial Futures,"
Papers
95-9, Melbourne - Centre in Finance.
- Robert Brooks & Paul Michaelides, 1995. "Autocorrelations, returns and Australian financial futures," Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 323-326.
- Brooks, R. & Faff, R., 1995.
"Financial Market Deregulation and Bank Risk: Testing for Beta Instability,"
Papers
95-3, Melbourne - Centre in Finance.
- Brooks, Robert D & Faff, Robert W, 1995. "Financial Market Deregulation and Bank Risk: Testing for Beta Instability," Australian Economic Papers, Wiley Blackwell, vol. 34(65), pages 180-199, December.
- Brooks, R.D. & Faff, R.W. & Lee, J.H.H., 1994.
"Beta Stability and Portfolio Formation,"
Papers
94-3, Melbourne - Centre in Finance.
- Brooks, Robert D. & Faff, Robert W. & Lee, John H. H., 1995. "Beta stability and portfolio formation," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 145-146, May.
- Brooks, Robert D. & Faff, Robert W. & Lee, John H. H., 1994. "Beta stability and portfolio formation," Pacific-Basin Finance Journal, Elsevier, vol. 2(4), pages 463-479, December.
- Brooks, R.D. & King, M.L., 1994. "Hypothesis Testing of Varying Coefficient Regression Models: Procedures and Applications," Monash Econometrics and Business Statistics Working Papers 5/94, Monash University, Department of Econometrics and Business Statistics.
- Brooks, R., 1994.
"The Unbiased Prediction Hypothesis in Futures Markets: A Varying Coefficient Approach,"
Papers
94-11, RMIT - Centre Finance.
- Brooks, R., 1994. "The Unbiased Prediction Hypothesis in Futures Markets: A Varying Coefficient Approach," Papers 94-11, Melbourne - Centre in Finance.
- Brooks, R.D., 1993. "The Robustness of Point Optional Testing for Rosenberg Random Regression Co-Efficients," Papers 93-3, Melbourne - Centre in Finance.
Articles
- Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Nguyen, Duc Khuong, 2020.
"Dynamic volatility spillover effects between oil and agricultural products,"
International Review of Financial Analysis, Elsevier, vol. 69(C).
- Pick Schen Yip & Robert Brooks & Hung Xuan Do & Duc Khuong Nguyen, 2019. "Dynamic Volatility Spillover Effect between Oil and Agricultural Products," Working Papers 2019-009, Department of Research, Ipag Business School.
- Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Do, Hung Xuan & Smyth, Russell, 2020. "Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets," Energy Economics, Elsevier, vol. 86(C).
- Nath, Harmindar B. & Brooks, Robert D., 2020.
"Investor-herding and risk-profiles: A State-Space model-based assessment,"
Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
- Harminder B. Nath & Robert D. Brooks, 2020. "Investor-herding and risk-profiles: A State-Space Model-based Assessment," Monash Econometrics and Business Statistics Working Papers 9/20, Monash University, Department of Econometrics and Business Statistics.
- Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Do, Hung Xuan, 2019. "Asymmetric relationship between order imbalance and realized volatility: Evidence from the Australian market," International Review of Economics & Finance, Elsevier, vol. 62(C), pages 309-320.
- Chaiyuth Padungsaksawasdi & Sirimon Treepongkaruna & Robert Brooks, 2019. "Investor Attention and Stock Market Activities: New Evidence from Panel Data," IJFS, MDPI, vol. 7(2), pages 1-19, June.
- Kang, Sang Hoon & Maitra, Debasish & Dash, Saumya Ranjan & Brooks, Robert, 2019. "Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
- Emawtee Bissoondoyal-Bheenick & Robert Brooks & Wei Chi & Hung Xuan Do, 2018. "Volatility spillover between the US, Chinese and Australian stock markets," Australian Journal of Management, Australian School of Business, vol. 43(2), pages 263-285, May.
- Meng‐Horng Lee & Chee‐Wooi Hooy & Robert Brooks, 2018. "Decomposition of systematic and total risk variations in emerging markets," International Finance, Wiley Blackwell, vol. 21(2), pages 158-174, June.
- Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan, 2017. "Dynamic spillover between commodities and commodity currencies during United States Q.E," Energy Economics, Elsevier, vol. 66(C), pages 399-410.
- Cathy Sheehan & Helen De Cieri & Brian K Cooper & Robert Brooks, 2016. "The impact of HR political skill in the HRM and organisational performance relationship," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 161-181, February.
- Wei Chi & Robert Brooks & Emawtee Bissoondoyal-Bheenick & Xueli Tang, 2016. "Classifying Chinese bull and bear markets: indices and individual stocks," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 33(4), pages 509-531, October.
- Minh Phuong Doan & Vitali Alexeev & Robert Brooks, 2016.
"Concurrent momentum and contrarian strategies in the Australian stock market,"
Australian Journal of Management, Australian School of Business, vol. 41(1), pages 77-106, February.
- Doan, Minh Phuong & Alexeev, Vitali & Brooks, Robert, 2014. "Concurrent momentum and contrarian strategies in the Australian stock market," Working Papers 2014-02, University of Tasmania, Tasmanian School of Business and Economics, revised 13 May 2014.
- Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2016. "Stock and currency market linkages: New evidence from realized spillovers in higher moments," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 167-185.
- Lim, Kian-Ping & Hooy, Chee-Wooi & Chang, Kwok-Boon & Brooks, Robert, 2016. "Foreign investors and stock price efficiency: Thresholds, underlying channels and investor heterogeneity," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 1-28.
- Trung Minh Dang & Ross Booth & Robert Brooks & Adi Schnytzer, 2015. "Do TV Viewers Value Uncertainty of Outcome? Evidence from the Australian Football League," The Economic Record, The Economic Society of Australia, vol. 91(295), pages 523-535, December.
- Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon, 2015. "Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis," Global Finance Journal, Elsevier, vol. 28(C), pages 24-37.
- Bissoondoyal-Bheenick, Emawtee & Brooks, Robert, 2015. "The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 37-55.
- Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Treepongkaruna, Sirimon, 2015. "Do asset backed securities ratings matter on average?," Research in International Business and Finance, Elsevier, vol. 33(C), pages 32-43.
- Geerling, Wayne & Magee, Gary B. & Brooks, Robert, 2015. "Cooperation, defection and resistance in Nazi Germany," Explorations in Economic History, Elsevier, vol. 58(C), pages 125-139.
- Nath, Harmindar B. & Brooks, Robert D., 2015. "Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 94-111.
- Robert Brooks & Robert Faff & Sirimon Treepongkaruna & Eliza Wu, 2015. "Do Sovereign Re-Ratings Destabilize Equity Markets during Financial Crises? New Evidence from Higher Return Moments," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(5-6), pages 777-799, June.
- Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "How does trading volume affect financial return distributions?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 190-206.
- Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 5-20.
- Jutasompakorn, Pearpilai & Brooks, Robert & Brown, Christine & Treepongkaruna, Sirimon, 2014. "Banking crises: Identifying dates and determinants," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 150-166.
- Farha Ghapar & Robert Brooks & Russell Smyth, 2014.
"The impact of patenting activity on the financial performance of Malaysian firms,"
Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 19(3), pages 445-463, July.
- Farha Ghapar & Robert Brooks & Russell Smyth, 2013. "The Impact of Patenting Activity on the Financial Performance of Malaysian Firms," Monash Economics Working Papers 22-13, Monash University, Department of Economics.
- Brooks, Robert & Harris, Edwyna, 2014. "Price leadership and information transmission in Australian water allocation markets," Agricultural Water Management, Elsevier, vol. 145(C), pages 83-91.
- Sutsarun Lumiajiak & Sirimon Treepongkaruna & Marvin Wee & Robert Brooks, 2014. "Thai Financial Markets and Political Change," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 5-26, July.
- George Woodward & Robert Brooks, 2014. "A Generalized Approach to Measure Market Timing Skills of Fund Managers: Theory and Evidence," International Journal of Risk and Contingency Management (IJRCM), IGI Global, vol. 3(1), pages 40-75, January.
- Simon MOORHEAD & Robert BROOKS, 2013. "The Effect of the Introduction of the Euro on Asymmetric Stock Market Returns Volatility Across the Euro-Zone," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 12(2), pages 280-301, June.
- Do, Hung Xuan & Brooks, Robert Darren & Treepongkaruna, Sirimon, 2013. "Generalized impulse response analysis in a fractionally integrated vector autoregressive model," Economics Letters, Elsevier, vol. 118(3), pages 462-465.
- Mohan NANDHA & Robert BROOKS & Robert FAFF, 2013. "Oil, Oil Volatility and Airline Stocks: A Global Analysis," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 12(2), pages 302-318, June.
- Robert Brooks & Edwyna Harris & Yovina Joymungul, 2013. "Price clustering in Australian water markets," Applied Economics, Taylor & Francis Journals, vol. 45(6), pages 677-685, February.
- Chris Judde & Ross Booth & Robert Brooks, 2013. "Second Place Is First of the Losers," Journal of Sports Economics, , vol. 14(4), pages 411-439, August.
- Sirimon Treepongkaruna & Robert Brooks & Stephen Gray, 2012. "Do trading hours affect volatility links in the foreign exchange market?," Australian Journal of Management, Australian School of Business, vol. 37(1), pages 7-27, April.
- Nurjannah & Don U.A. Galagedera & Robert Brooks, 2012. "Conditional Relation between Systematic Risk and Returns in the Conventional and Downside Frameworks: Evidence from the Indonesian Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 11(3), pages 271-300, December.
- Brooks, Robert & Harris, Mark N. & Spencer, Christopher, 2012.
"Inflated ordered outcomes,"
Economics Letters, Elsevier, vol. 117(3), pages 683-686.
- Robert Brooks & Mark N. Harris & Christopher Spencer, 2012. "Inflated Ordered Outcomes," Discussion Paper Series 2012_09, Department of Economics, Loughborough University, revised Oct 2012.
- Mun, Melissa & Brooks, Robert, 2012. "The roles of news and volatility in stock market correlations during the global financial crisis," Emerging Markets Review, Elsevier, vol. 13(1), pages 1-7.
- Nath, H. (Mindi) B. & Kim, Jae H. & Brooks, Robert D., 2012. "Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 10-22.
- Haifeng Guo & Robert Brooks & Hung-Gay Fung, 2011. "Underpricing of Chinese Initial Public Offerings," Chinese Economy, Taylor & Francis Journals, vol. 44(5), pages 72-85, September.
- Chan, Kam Fong & Treepongkaruna, Sirimon & Brooks, Robert & Gray, Stephen, 2011. "Asset market linkages: Evidence from financial, commodity and real estate assets," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1415-1426, June.
- Kian‐Ping Lim & Robert Brooks, 2011. "The Evolution Of Stock Market Efficiency Over Time: A Survey Of The Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 69-108, February.
- William Dimovski & Simmala Philavanh & Robert Brooks, 2011. "Underwriter reputation and underpricing: evidence from the Australian IPO market," Review of Quantitative Finance and Accounting, Springer, vol. 37(4), pages 409-426, November.
- Luo, Weiwei & Brooks, Robert D. & Silvapulle, Param, 2011. "Effects of the open policy on the dependence between the Chinese 'A' stock market and other equity markets: An industry sector perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 49-74, February.
- Tristan Masters & Roslyn Russell & Robert Brooks, 2011. "The demand for creative arts in regional Victoria, Australia," Applied Economics, Taylor & Francis Journals, vol. 43(5), pages 619-629.
- Bissoondoyal-Bheenick, Emawtee & Brooks, Robert D., 2010. "Does volume help in predicting stock returns? An analysis of the Australian market," Research in International Business and Finance, Elsevier, vol. 24(2), pages 146-157, June.
- Hoa Nguyen & William Dimovski & Robert Brooks, 2010. "Underpricing, Risk Management, Hot Issue and Crowding out Effects: Evidence From the Australian Resources Sector Initial Public Offerings," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 333-361.
- Hill, Paula & Brooks, Robert & Faff, Robert, 2010. "Erratum to "Variations in sovereign credit quality assessments across rating agencies" [J. Bank. Finance 34 (2010) 1327-1343]," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2306-2306, September.
- Lim, Kian-Ping & Brooks, Robert D., 2010. "Why Do Emerging Stock Markets Experience More Persistent Price Deviations From A Random Walk Over Time? A Country-Level Analysis," Macroeconomic Dynamics, Cambridge University Press, vol. 14(S1), pages 3-41, May.
- Guo, Haifeng & Brooks, Robert & Shami, Roland, 2010. "Detecting hot and cold cycles using a Markov regime switching model--Evidence from the Chinese A-share IPO market," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 196-210, April.
- Hill, Paula & Brooks, Robert & Faff, Robert, 2010. "Variations in sovereign credit quality assessments across rating agencies," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1327-1343, June.
- Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010.
"Testing conditional asset pricing models: An emerging market perspective,"
Journal of International Money and Finance, Elsevier, vol. 29(5), pages 897-918, September.
- Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Testing Conditional Asset Pricing Models: An Emerging Market Perspective," Monash Econometrics and Business Statistics Working Papers 3/08, Monash University, Department of Econometrics and Business Statistics.
- Kian-Ping Lim & Robert Brooks, 2009. "On the validity of conventional statistical tests given evidence of nonsynchronous trading and nonlinear dynamics in returns generating process: a further note," Applied Economics Letters, Taylor & Francis Journals, vol. 16(6), pages 649-652.
- Lim, Kian-Ping & Brooks, Robert D., 2009. "Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic," Chaos, Solitons & Fractals, Elsevier, vol. 40(3), pages 1271-1276.
- Robert Brooks & Edwyna Harris & Yovina Joymungul, 2009. "Market depth in an illiquid market: applying the VNET concept to Victorian water markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(13), pages 1361-1364.
- Daniel Mulino & Richard Scheelings & Robert Brooks & Robert Faff, 2009. "Does Risk Aversion Vary with Decision‐Frame? An Empirical Test Using Recent Game Show Data," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 1(1/2), pages 44-61, September.
- Zhang, Xibin & Brooks, Robert D. & King, Maxwell L., 2009.
"A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation,"
Journal of Econometrics, Elsevier, vol. 153(1), pages 21-32, November.
- Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics.
- Mohan Nandha & Robert Brooks, 2009. "Oil prices and transport sector returns: an international analysis," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 393-409, November.
- Robert Brooks & Robert Faff & Daniel Mulino & Richard Scheelings, 2009. "Deal or No Deal, That is the Question: The Impact of Increasing Stakes and Framing Effects on Decision‐Making under Risk," International Review of Finance, International Review of Finance Ltd., vol. 9(1‐2), pages 27-50, March.
- Guo, Haifeng & Brooks, Robert, 2009. "Duration of IPOs between offering and listing: Cox proportional hazard models--Evidence for Chinese A-share IPOs," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 239-249, December.
- Woodward, George & Brooks, Robert, 2009. "Do realized betas exhibit up/down market tendencies?," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 511-519, June.
- Guo, Haifeng & Brooks, Robert, 2008. "Underpricing of Chinese A-share IPOs and short-run underperformance under the approval system from 2001 to 2005," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 984-997, December.
- Brooks, Robert & Harris, Edwyna, 2008. "Efficiency gains from water markets: Empirical analysis of Watermove in Australia," Agricultural Water Management, Elsevier, vol. 95(4), pages 391-399, April.
- Lim, Kian-Ping & Brooks, Robert D. & Kim, Jae H., 2008. "Financial crisis and stock market efficiency: Empirical evidence from Asian countries," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 571-591, June.
- Dimovski, William & Brooks, Robert, 2008. "The underpricing of gold mining initial public offerings," Research in International Business and Finance, Elsevier, vol. 22(1), pages 1-16, January.
- Bhavish Jugurnath & Mark Stewart & Robert Brooks, 2008.
"Dividend taxation and corporate investment: a comparative study between the classical system and imputation system of dividend taxation in the United States and Australia,"
Review of Quantitative Finance and Accounting, Springer, vol. 31(2), pages 209-224, August.
- Robert Brooks & Bhavish Jugurnath & Mark Stewart, 2004. "Dividend taxation and Corporate investment: A comparative study between the classical system and imputation system of dividend taxation in the United States and Australia," Econometric Society 2004 Australasian Meetings 97, Econometric Society.
- Kenji Kutsuna & William Dimovski & Robert Brooks, 2008.
"The Pricing and Underwriting Costs of Japanese REIT IPOs,"
Journal of Property Research, Taylor & Francis Journals, vol. 25(3), pages 221-239, November.
- Kenji Kutsuna & William Dimovski & Robert Brooks, 2007. "The Pricing and Underwriting Costs of Japanese REIT IPOs," Discussion Papers 2007-37, Kobe University, Graduate School of Business Administration.
- Tim Fry & Sandra Mihajilo & Roslyn Russell & Robert Brooks, 2008. "The Factors Influencing Saving in a Matched Savings Program: Goals, Knowledge of Payment Instruments, and Other Behavior," Journal of Family and Economic Issues, Springer, vol. 29(2), pages 234-250, June.
- Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008. "Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 527-544, December.
- Iqbal, Javed & Brooks, Robert, 2007. "Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan," Journal of Multinational Financial Management, Elsevier, vol. 17(1), pages 75-93, February.
- Brooks, Robert, 2007. "Power arch modelling of the volatility of emerging equity markets," Emerging Markets Review, Elsevier, vol. 8(2), pages 124-133, May.
- Jugurnath, Bhavish & Stewart, Mark & Brooks, Robert, 2007. "Asia/Pacific Regional Trade Agreements: An empirical study," Journal of Asian Economics, Elsevier, vol. 18(6), pages 974-987, December.
- Robert Brooks & Xibin Zhang & Emawtee Bissoondoyal Bheenick, 2007. "Country risk and the estimation of asset return distributions," Quantitative Finance, Taylor & Francis Journals, vol. 7(3), pages 261-265.
- Galagedera, Don U.A. & Brooks, Robert D., 2007. "Is co-skewness a better measure of risk in the downside than downside beta?: Evidence in emerging market data," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 214-230, July.
- Roslyn Russell & Robert Brooks & Aruna Nair & Liz Fredline, 2006. "The Initial Impacts Of A Matched Savings Program: The Saver Plus Program," Economic Papers, The Economic Society of Australia, vol. 25(1), pages 32-40, March.
- Robert Brooks & John Byrne, 2006. "A citation analysis of ARC Discovery and Linkage grant investigators in economics and finance," Applied Economics Letters, Taylor & Francis Journals, vol. 13(3), pages 141-146.
- Gabrielle Berman & Robert Brooks & John Murphy, 2006. "Funding The Non-Profit Welfare Sector: Explaining Changing Funding Sources 1960–1999," Economic Papers, The Economic Society of Australia, vol. 25(1), pages 83-99, March.
- Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Yip, Angela Y.N., 2006.
"Determinants of sovereign ratings: A comparison of case-based reasoning and ordered probit approaches,"
Global Finance Journal, Elsevier, vol. 17(1), pages 136-154, September.
- Emawtee Bissoondoyal-Bheenick & Robert Brooks & Angela Y.N.Yip, 2005. "Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches," Monash Econometrics and Business Statistics Working Papers 9/05, Monash University, Department of Econometrics and Business Statistics.
- William Dimovski & Robert Brooks, 2006. "The Pricing of Property Trust IPOs in Australia," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 185-199, March.
- William Dimovski & Robert Brooks, 2006. "Factors Influencing Money Left on the Table by Property Trust IPO Issuers," Journal of Property Research, Taylor & Francis Journals, vol. 23(3), pages 269-280, September.
- Diana Maldonado & Robert Brooks, 2004. "Arc Linkage Projects And Research-Intensive Organizations: Are Research-Intensive Organizations Likely To Participate?," Economic Papers, The Economic Society of Australia, vol. 23(2), pages 175-188, June.
- Robert Brooks & Sinclair Davidson, 2004. "How Much R&D Should Australia Undertake?," Economic Papers, The Economic Society of Australia, vol. 23(2), pages 165-174, June.
- William Dimovski & Robert Brooks, 2004. "Initial Public Offerings in Australia 1994 to 1999, Recent Evidence of Underpricing and Underperformance," Review of Quantitative Finance and Accounting, Springer, vol. 22(3), pages 179-198, May.
- Brooks, Robert & Faff, Robert W. & Hillier, David & Hillier, Joseph, 2004. "The national market impact of sovereign rating changes," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 233-250, January.
- Robert Brooks & Sinclair Davidson & Margaret Jackson, 2004. "The Price Of Discrimination: An Economic Analysis Of The Human Rights And Equal Opportunity Commission Rulings 1985–2000," Economic Papers, The Economic Society of Australia, vol. 23(3), pages 244-256, September.
- Dimovski, William & Brooks, Robert, 2004. "Do you really want to ask an underwriter how much money you should leave on the table?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 267-280, July.
- Brooks, Robert & Davidson, Sinclair & Faff, Robert, 2003. "Sudden changes in property rights: the case of Australian native title," Journal of Economic Behavior & Organization, Elsevier, vol. 52(4), pages 427-442, December.
- William Dimovski & Robert Brooks, 2003. "Financial characteristics of Australian initial public offerings from 1994 to 1999," Applied Economics, Taylor & Francis Journals, vol. 35(14), pages 1599-1607.
- Faff, R. W. & Brooks, R. D. & Kee, Ho Yew, 2002. "New evidence on the impact of financial leverage on beta risk: A time-series approach," The North American Journal of Economics and Finance, Elsevier, vol. 13(1), pages 1-20, May.
- Robert Brooks & Sinclair Davidson, 2002. "Investigating The “Bounce-Back” Hypothesis After The Asian Crisis," Economic Papers, The Economic Society of Australia, vol. 21(2), pages 71-85, June.
- Robert Brooks & Robert Faff & David Sokulsky, 2002. "An ordered response model of test cricket performance," Applied Economics, Taylor & Francis Journals, vol. 34(18), pages 2353-2365.
- Brooks, Robert D. & Faff, Robert W. & Fry, Tim R. L., 2001. "GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 215-222, June.
- Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff, 2001.
"Power ARCH modelling of commodity futures data on the London Metal Exchange,"
The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 22-38.
- McKenzie, M. & Michell, H. & Brooks, R.D. & Faff, R.W., 1998. "Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange," Papers 98-3, Melbourne - Centre in Finance.
- McKenzie, Michael D. & Brooks, Robert D. & Faff, Robert W. & Ho, Yew Kee, 2000. "Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 85-106.
- Brooks, Robert D. & Faff, Robert W. & McKenzie, Michael D. & Mitchell, Heather, 2000. "A multi-country study of power ARCH models and national stock market returns," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 377-397, June.
- Frida Lie & Robert Brooks & Robert Faff, 2000. "Modelling the Equity Beta Risk of Australian Financial Sector Companies," Australian Economic Papers, Wiley Blackwell, vol. 39(3), pages 301-311, September.
- Gabrielle Berman & Robert Brooks & Sinclair Davidson, 2000. "The Sydney Olympic Games announcement and Australian stock market reaction," Applied Economics Letters, Taylor & Francis Journals, vol. 7(12), pages 781-784.
- Gangemi, Michael A. M. & Brooks, Robert D. & Faff, Robert W., 2000. "Modeling Australia's country risk: a country beta approach," Journal of Economics and Business, Elsevier, vol. 52(3), pages 259-276.
- Brooks, Robert D. & Faff, Robert W. & McKenzie, Michael D. & Ho, Yew Kee, 2000. "U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach," Review of Quantitative Finance and Accounting, Springer, vol. 14(1), pages 17-43, January.
- Alpana Trivedi & Robert Brooks, 1999. "Autocorrelations, returns and Australian stock indices," Applied Economics Letters, Taylor & Francis Journals, vol. 6(9), pages 581-584.
- Joanne Copp & Robert Brooks, 1999. "Variance ratio testing of the Australian forward foreign exchange market," Applied Economics Letters, Taylor & Francis Journals, vol. 6(7), pages 417-419.
- Gangemi, Michael & Brooks, Robert & Faff, Robert, 1999. "Mean reversion and the forecasting of country betas: a note," Global Finance Journal, Elsevier, vol. 10(2), pages 231-245.
- Jenny Diggle & Robert Brooks & John Shannon, 1999. "International diversification of the funds management industry," Applied Economics Letters, Taylor & Francis Journals, vol. 6(10), pages 663-667.
- Keng Yap Liew & Robert Brooks, 1998. "Returns and volatility in the Kuala Lumpur crude," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(8), pages 985-999, December.
- Robert Brooks & Gabrielle Berman & Sinclair Davidson & Ting-Yean Tan, 1998. "Is there a common response in Australian bilateral exchange rates following current account announcements?," Applied Economics Letters, Taylor & Francis Journals, vol. 5(10), pages 645-648.
- Brooks, Robert D. & Faff, Robert W. & Ariff, Mohamed, 1998. "An investigation into the extent of beta instability in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 87-101, May.
- Robert Brooks & Gabrielle Berman & Sinclair Davidson, 1998. "The nature and extent of revisions to Australian macroeconomic data," Applied Economics Letters, Taylor & Francis Journals, vol. 5(3), pages 169-174.
- Robert Brooks & Robert Faff & Thomas Josev, 1997. "Beta stability and monthly seasonal effects: evidence from the Australian capital market," Applied Economics Letters, Taylor & Francis Journals, vol. 4(9), pages 563-566.
- Brooks, Robert D & Faff, Robert W, 1997. "Financial Deregulation and Relative Risk of Australian Industry," Australian Economic Papers, Wiley Blackwell, vol. 36(69), pages 308-320, December.
- Robert Brooks & Robert Faff, 1997. "A note on beta forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 77-78.
- Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997.
"An examination of the effects of major political change on stock market volatility: the South African experience,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 255-275, October.
- Brooks, R & Davidson, S & Faff, R, 1997. "An Examination of the Effects of Major Political Change on Stock Market Volatility : The South African Experience," Papers 97-4, Melbourne - Centre in Finance.
- McKenzie, Michael D. & Brooks, Robert D., 1997. "The impact of exchange rate volatility on German-US trade flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 73-87, April.
- Brooks, Robert D. & Faff, Robert W. & Yew, Kee Ho, 1997. "A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 197-219, February.
- Brooks, Robert D & Sheehan, Matthew P, 1996. "Forecast Error and Social Loss Approaches to Testing the Efficiency of Australian Financial Futures," Australian Economic Papers, Wiley Blackwell, vol. 35(66), pages 132-140, June.
- Robert Brooks & Paul Michaelides, 1995.
"Autocorrelations, returns and Australian financial futures,"
Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 323-326.
- Brooks, R. & Michaelides, P., 1995. "Autocorrelations, Returns and Australian Financial Futures," Papers 95-9, Melbourne - Centre in Finance.
- Brooks, Robert D & Faff, Robert W, 1995.
"Financial Market Deregulation and Bank Risk: Testing for Beta Instability,"
Australian Economic Papers, Wiley Blackwell, vol. 34(65), pages 180-199, December.
- Brooks, R. & Faff, R., 1995. "Financial Market Deregulation and Bank Risk: Testing for Beta Instability," Papers 95-3, Melbourne - Centre in Finance.
- Brooks, Robert D. & Faff, Robert W. & Lee, John H. H., 1994.
"Beta stability and portfolio formation,"
Pacific-Basin Finance Journal, Elsevier, vol. 2(4), pages 463-479, December.
- Brooks, Robert D. & Faff, Robert W. & Lee, John H. H., 1995. "Beta stability and portfolio formation," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 145-146, May.
- Brooks, R.D. & Faff, R.W. & Lee, J.H.H., 1994. "Beta Stability and Portfolio Formation," Papers 94-3, Melbourne - Centre in Finance.
- Brooks, Robert D., 1993. "Alternative point-optimal tests for regression coefficient stability," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 365-376.
- Brooks, Robert D, 1991.
"A Social Loss Approach to Testing the Efficiency of Australian Financial Futures,"
Australian Economic Papers, Wiley Blackwell, vol. 30(57), pages 192-201, December.
RePEc:taf:apfiec:v:18:y:2008:i:8:p:605-616 is not listed on IDEAS
RePEc:taf:apfelt:v:1:y:2005:i:2:p:75-78 is not listed on IDEAS
RePEc:taf:apfiec:v:14:y:2004:i:16:p:1167-1180 is not listed on IDEAS
RePEc:taf:apfiec:v:19:y:2009:i:3:p:183-190 is not listed on IDEAS
RePEc:taf:apfiec:v:15:y:2005:i:18:p:1251-1258 is not listed on IDEAS
RePEc:taf:apfelt:v:3:y:2007:i:5:p:295-299 is not listed on IDEAS
RePEc:taf:apfiec:v:15:y:2005:i:1:p:31-42 is not listed on IDEAS
RePEc:taf:apfiec:v:19:y:2009:i:2:p:147-155 is not listed on IDEAS
RePEc:taf:apfiec:v:11:y:2001:i:2:p:157-163 is not listed on IDEAS
RePEc:taf:apfiec:v:7:y:1997:i:4:p:347-359 is not listed on IDEAS
RePEc:taf:apfiec:v:14:y:2004:i:6:p:413-420 is not listed on IDEAS
RePEc:taf:apfelt:v:2:y:2006:i:3:p:147-150 is not listed on IDEAS
RePEc:taf:apfiec:v:10:y:2000:i:1:p:49-58 is not listed on IDEAS
RePEc:taf:apfiec:v:20:y:2010:i:5:p:381-395 is not listed on IDEAS
RePEc:taf:apfiec:v:18:y:2008:i:20:p:1623-1633 is not listed on IDEAS
RePEc:taf:apfiec:v:21:y:2011:i:13:p:997-1003 is not listed on IDEAS
RePEc:taf:apfelt:v:4:y:2008:i:5:p:341-345 is not listed on IDEAS
RePEc:taf:apfelt:v:4:y:2008:i:1:p:41-44 is not listed on IDEAS
RePEc:taf:apfelt:v:1:y:2005:i:3:p:139-141 is not listed on IDEAS
RePEc:taf:apfiec:v:14:y:2004:i:17:p:1233-1238 is not listed on IDEAS
RePEc:taf:apfiec:v:17:y:2007:i:8:p:615-633 is not listed on IDEAS
RePEc:taf:apfiec:v:13:y:2003:i:10:p:747-752 is not listed on IDEAS
Chapters
- Emawtee Bissoondoyal-Bheenick & Robert Brooks, 2015. "Stock Market Impact of Sovereign Rating Changes: Alternative Benchmark Models," Palgrave Macmillan Books, in: Nigel Finch (ed.), Emerging Markets and Sovereign Risk, chapter 13, pages 231-252, Palgrave Macmillan.
- Ross Booth & Robert Brooks, 2011. "Violence in the Australian Football League: Good or Bad?," Sports Economics, Management, and Policy, in: R. Todd Jewell (ed.), Violence and Aggression in Sporting Contests, edition 1, chapter 0, pages 133-151, Springer.
- William Dimovski & Robert Brooks, 2007. "Differences in Underpricing Returns Between REIT IPOs and Industrial Company IPOs," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting, chapter 11, pages 215-225, World Scientific Publishing Co. Pte. Ltd..
More information
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Rankings
This author is among the top 5% authors according to these criteria:- Number of Works
- Number of Distinct Works
- Number of Distinct Works, Weighted by Number of Authors
- Number of Citations
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- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- h-index
- Number of Registered Citing Authors
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-CFN: Corporate Finance (2) 2004-10-30 2008-05-10
- NEP-DCM: Discrete Choice Models (2) 2005-05-07 2008-05-05
- NEP-ECM: Econometrics (2) 2008-05-10 2012-10-27
- NEP-MAC: Macroeconomics (2) 2008-05-05 2012-10-27
- NEP-MON: Monetary Economics (2) 2008-05-05 2012-10-27
- NEP-AGR: Agricultural Economics (1) 2009-08-08
- NEP-BEC: Business Economics (1) 2004-10-30
- NEP-CBA: Central Banking (1) 2008-05-05
- NEP-CDM: Collective Decision-Making (1) 2012-10-27
- NEP-CSE: Economics of Strategic Management (1) 2013-08-05
- NEP-EFF: Efficiency and Productivity (1) 2013-08-05
- NEP-ENV: Environmental Economics (1) 2005-05-14
- NEP-FIN: Finance (1) 2005-05-07
- NEP-FMK: Financial Markets (1) 2020-05-04
- NEP-INO: Innovation (1) 2013-08-05
- NEP-IPR: Intellectual Property Rights (1) 2013-08-05
- NEP-MIC: Microeconomics (1) 2004-10-30
- NEP-ORE: Operations Research (1) 2008-05-10
- NEP-RMG: Risk Management (1) 2020-05-04
- NEP-SBM: Small Business Management (1) 2013-08-05
- NEP-SEA: South East Asia (1) 2013-08-05
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