Professor Robert W. Faff

Positions Held

Professor of Finance, Director of Research, Department of Accounting and Finance, Monash University and Visiting Professor, University of Strathclyde, Glasgow, Scotland.

Prizes and Honours

AAANZ Best Manuscript Award for 1988 & 2001.
E. Yetton Award for the best manuscript published in the AJM in 1998 & 2000.
JASSA Merit Award – 1999

Employment

2002- Professor of Finance, Director of Research, Department of Accounting and Finance, Monash University.
1996-2002, Professor of Finance in the School of Economics and Finance, RMIT University.
1995-1996, Associate Professor of Finance, Department of Accounting and Finance, Monash University.
1992-1994, Senior Lecturer, Department of Accounting and Finance, Monash University.
1986-1991, Lecturer, Department of Accounting and Finance, Monash University.
1985, Senior Tutor, Department of Accounting and Finance, ANU.
1982-1984, Tutor, Department of Accounting and Finance, ANU.

Graduate Students

PhD (10).

Research Interests

Asset pricing, managed funds, risk management, market efficiency, risk and volatility modelling, corporate finance, empirical and quantitative finance, accounting and capital markets.

Selected Research Grants

1998-2000 ARC SPIRT grant (with M. Aitken, P. Booth & T. Valentine - Industry Partner: AFMA) for $388,000 (C79805103)
1999-2001 ARC SPIRT grant (with D. Allen & T. Brailsford - Industry Partner ASSIRT) for $100,000 (LP0219466)
2003-2005 ARC Discovery grant (with R. Brooks & T. Fry) for $116,000 (DP345680)
2000 and 1995, small ARC grants for $11,000 and $14,000, respectively.

Professional Activities

ARC Reader.
Editor of Accounting and Finance (2002-).
Past Editor, Accounting Research Journal, 1993 – 2001.
Editorial Board member of Accounting, Accountability and Performance, Accounting Research Journal and Finance Letters.
Executive Committee - Scottish Institute for Research in Investment and Finance (SIRIF).
Research Director – Funds Management Research Centre (SIRCA).
Director: SIRCA Board (1997-).
Director: AFAANZ Board (2002-).
Occasional Reviewer for Accounting, Accountability and Performance; Applied Financial Economics; Australian Journal of Management; Financial Review; Journal of Econometrics; Journal of Banking and Finance; Journal of Economic Integration; Journal of Futures Markets; and Pacific-Basin Finance Journal.

Selected Publications

  • Brooks, R., Faff, R., Hillier, D. and Hillier, J., “The National Market Impact of Sovereign Rating Changes”, Journal of Banking and Finance, forthcoming.
  • McKenzie, M. and Faff, R., 2003, “The Determinants of Conditional Autocorrelation in Stock Returns”, Journal of Financial Research, Vol. 26, No. 2, pp. 259-274.
  • Faff, R., 2003, “Creating Fama and French Factors with Style”, Financial Review, Vol. 38, No.2, pp. 311-322.
  • Faff, R. and McKenzie, M., 2002, “The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study”, Journal of Business, Vol. 75, pp. 95-126.
  • Faff, R., Hillier, D. and Wood, J., 2001, “Taxation and Black’s Zero-Beta Strategy Revisited”, Financial Analysts Journal, Vol. 57, pp. 57-65.
  • McKenzie, M., Brailsford, T. and Faff, R., 2001, “New Insights into the Impact of the Introduction of Futures Trading on Stock Price Volatility”, Journal of Futures Markets, Vol. 21, No. 3, pp. 237-255.
  • Faff, R., 2001, “A Multivariate Test of a Dual Beta CAPM: Australian Evidence”, Financial Review, Vol. 36, No. 4, pp. 157-174.
  • Brooks, R., Faff, R., McKenzie, M. and Mitchell, H., 2000, “A Multi-Country Study of Power ARCH Models and National Stock Market Returns”, Journal of International Money and Finance, Vol. 19, pp. 377-397.
  • Brooks, R., Faff, R. and Ho, Y.K., 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 and Finance, Vol. 21, No. 2, pp. 197-219.
  • Brailsford, T.J. and Faff, R.W., 1996, “An Evaluation of Volatility Forecasting Techniques”, Journal of Banking and Finance, Vol. 20, No.2, pp. 419-438.