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David Allen

David Allen

Professor David Allen

Foundation Professor of Finance

Telephone:  
Email: d.allen@ecu.edu.au   
Campus:  
Room:  

 

Availability:

By appointment.

Current teaching:

  • Corporate Finance;
  • Investments;
  • Capital Markets;
  • Financial Econometrics.

Background

David has had an extensive academic career, specializing in corporate finance, investments, capital markets and financial econometrics. Prior to working at ECU, David was the Challenge Bank Professor at Curtin University.

Responsibilities:

  • Director FEMARC;
  • (ARC) FIRN Representative;
  • Member of FIRN National Executive;
  • ARC Australian Assessor.

Staff qualifications

  • FAIBF
  • Ph.D.
  • M.Phil.
  • MA.   

Research

Research interest:

  • Investments;
  • Financial Econometrics;
  • Market Microstructure.

Current research area:

  • Risk modelling;
  • Portfolio selection;
  • Market microstructure;
  • Financial econometrics.

Recent research grants:

  • LP0455281 Modelling stock market liquidity in Australia and the Asia Pacific Region. Linkage Grant with SIRCA to study market impact (the impact of securities trading on price movements) with SIRCA as the industry partner and a research team whose chief investigators are Professor Allen, Professor M. McAleer of UWA and Dr Shelton Peiris of the University of Sydney.
  • RN0460246 Financial Integrity Research Network received ARC funding of $1.75m for 2005-2010. Participated in FIRN as a founding member; currently National Seminar Program Directo. FIRN is directed towards innovation in the integrity and efficiency of Australia's financial system. It addresses pressing problems and threats associated with this key component of Australia's infrastructure. FIRN brings together a multi-disciplinary network involving 14 Australian universities, featuring internationally renowned academics in a unique collaborative research effort which spans the conventional disciplinary boundaries of: Financial economics, Applied statistics, Financial econometrics, Actuarial science, Financial mathematics, Market micro-structure, Accounting and information systems, Corporate finance, Corporate governance, Funds management. FIRN is supported by SIRCA's (the Securities Industry Research.
  • LP0562305 Prof M McAleer; Prof DE Allen; Dr S HotiTitle: 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.

Recent publications

Monographs:

  • D.E. Allen and F. Ghandiya, Assessing Exchange Rate Hypotheses within Southern Africa, (200 page monograph), Ashgate Publishing, Aldershot, UK. (2004).

Book chapters:

  • D.E. Allen, L.K. Lim and T. Winduss, (2007) “AUSFTA and its implications for the Stock Markets in the Pacific Basin Countries”, chapter 9 in, Regionalism, Trade and Economic Development in the Asia-Pacific Region, Ed. M.A.B. Siddique, Edward Elgar, Cheltenham, UK, ISBN 978184542 503 6, pp.128-139.
  • D.E. Allen, Alexander Shu-Sing Cheng, Carole Comerton-Forde and Joey Wenling Yang, (2008), “Returns, Volatility and liquidity on the ASX: Undisclosed vs. Disclosed Limit Orders” Chapter 12 in; Market Liquidity, Ed. G. Gregorious and F-S. Lhabitant, John Wiley, New York, ISBN, 978-0-470-18169-0 pp. 227-245. (Associated with Linkage Grant LP0455281).
  • D.E. Allen, D. and Soongswang, A. (2008). “Takeovers and Shareholder Value Creation on the Stock Exchange of Thailand”, chapter in; Asia-Pacific Financial Markets: Integration, Innovation and Challenges, Ed. S-J. Kim and M.D. Mckenzie, Elsevier, Amsterdam, ISBN: 978-0-7623 -1471-3, pp.347-370.
  • D.E. Allen and R. Powell, “Structural Credit Modelling and its relationship to market Value at Risk: an Australian sectoral Perspective”, Chapter 19 in; The VaR Implementation Handbook, Edited G. Gregoriou, McGraw-Hill (2009), ISBN: 978-0-07-161513-6, pp. 403-414. * (Associated with Linkage Grant LP0562305).
  • D.E. Allen and M. Scarth, "Modelling the Volatility of the FTSE100 index using High Frequency Data Sets," Chapter 22, Stock Market Volatility, Edited G. Gregoriou, Chapman-Hall, CRC Finance Series, London, (2009) ISBN: 13-978-1-4200-9954-6, pp: 419-437. * (Associated with Linkage Grant LP0562305).
  • D.E. Allen and J. Chimhini, “The World Price of Covariance Risk with Respect to Emerging Markets”, Chapter in; Emerging Markets: Performance, Analysis and Innovation, G.N. Gregoriou (ed.) Chapman-Hall/Taylor and Francis London, CRC Finance Series, London, (2009) ISBN: 978-1-0448-3, pp:117-146.

In press

  • D.E.Allen and R. Powell, “Bank Default Risk in the US and the UK”, Chapter in; Banking Crises, G.N. Gregoriou (ed.) Chapman-Hall/Taylor and Francis London, UK (2010)* (Associated with Linkage Grant LP0562305).
  • D. E. Allen and L. DeMello, "Forecasting the Equity Premium in the Australian Market”, Forthcoming; Advances in Financial Planning and Forecasting (AIAPF) Elsevier (2010).
  • D.E. Allen and L. Demello, “The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context”, Econometrics Volume, McGraw-Hill (2010).

Refereed journal articles:

  • 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. (Ranked A, Australian Business Deans Council - Journal Ratings List).
  • 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. (Associated with Linkage Grant LP0455281) (Ranked B, Australian Business Deans Council - Journal Ratings List).
  • 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. (Ranked A, Australian Business Deans Council - Journal Ratings List).
  • 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. (Associated with Linkage Grant LP0455281) (Ranked A, Australian Business Deans Council - Journal Ratings List).
  • 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. (Ranked A, Australian Business Deans Council - Journal Ratings List).
  • D.E.Allen, B. Veiga and M.McAleer, “Modelling and forecasting dynamic VaR thresholds for risk management and regulation”, Risk Letters, 1(3), 2006 (with D.E. Allen and B. Veiga).* (Associated with Linkage Grant LP0562305).
  • 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. (Ranked B, Australian Business Deans Council - Journal Ratings List).
  • 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. (Ranked A, Australian Business Deans Council - Journal Ratings List).
  • 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 (Associated with Linkage Grant LP0455281)
  • D.E.Allen, F. Chan, M. McAleer, and S. Peiris, (2008) “Finite Sample Properties of the QMLE for the Log-ACD model: Applications to Australian Stocks”, Journal of Econometrics, 147, pp.163-185. (Associated with Linkage Grant LP0455281) (Ranked A*, Australian Business Deans Council - Journal Ratings List).
  • J. Gao, M. McAleer and D.E. Allen, (2008) “Econometric Modelling in Finance and Risk Modelling: an Overview”, Journal of Econometrics, 147, pp.1-4.* (Associated with Linkage Grant LP0562305). (Ranked A*, Australian Business Deans Council - Journal Ratings List).
  • D.E. Allen and V. Soucik, (2008) “Long-run underperformance of seasoned equity offerings: Fact or an illusion?” Mathematics and Computers in Simulation, Vol 78, 2-3, pp. 146-154. (Ranked B, Australian Business Deans Council - Journal Ratings List).
  • D.E.Allen, J. Gao and M.McAleer, (2009) Modelling and Managing Financial Risk: An Overview”, Mathematics and Computers in Simulation, Vol 79, 8. pp.2521-2524* (Associated with Linkage Grant LP0562305). (Ranked B, Australian Business Deans Council - Journal Ratings List).
  • David Allen, Zdravetz Lazarov, Michael McAleer, Shelton Peiris, (2009) “Comparison of Alternative ACD Models via Density and Interval Forecasts: Evidence from the Australian Stock Market”, Mathematics and Computers in Simulation, Vol 79, pp.2535-2555. (Associated with Linkage Grant LP0455281). (Ranked B, Australian Business Deans Council - Journal Ratings List).
  • D.E.Allen, G.C. Yap and R. Shareef, (2009) "Modelling interstate tourism demand in Australia: A cointegration approach", Mathematics and Computers in Simulation. Vol 79, pp.2733-2744. (Ranked B, Australian Business Deans Council - Journal Ratings List).
  • David E. Allen, and R Powell, (2009), “Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective” Accounting and Finance, Wiley Interscience, Vol 49, 3, pp.425-444.* (Associated with Linkage Grant LP0562305). (Ranked A, Australian Business Deans Council - Journal Ratings List).
  • D.E.Allen, P. Gerrans, R. Powell, and A. Kumar Singh, (2009)“Quantile regression: its application in investment analysis”, The FINSIA Journal of Applied Finance, Jassa, Issue 4, pp. pp. 7-12.* (Associated with Linkage Grant LP0562305). (Ranked C, Australian Business Deans Council - Journal Ratings List).
  • D.E. Allen, (2009) “Measuring and Modelling Risk”, Global Business and Economics Review, Vol X, Vol. 11, Nos. 3/4, pp.199-224.* (Associated with Linkage Grant LP0562305). (Ranked C, Australian Business Deans Council - Journal Ratings List).

In press:

  • K.Sato, Z. Zhang and D.E. Allen, (2010) “The Suitability of a Monetary Union in East Asia: What does the Cointegration Approach Tell? Mathematics and Computers in Simulation. (Ranked B, Australian Business Deans Council - Journal Ratings List).
  • D.E.Allen and G. Yap, (2010) “An Investigation of other leading indicators influencing Australian domestic tourism demand", Mathematics and Computers in Simulation, (Ranked B, Australian Business Deans Council - Journal Ratings List).
  • D.E. Allen and I. Bujang”, (2010) "Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests". Mathematics and Computers in Simulation, (Ranked B, Australian Business Deans Council - Journal Ratings List).
  • T. Sharp, S. Li and D.E. Allen, (2010) “Empirical Performance of Affine Option Pricing Models: Evidence from the Australian Index Options Market”, Applied Financial Economics.(Ranked C, Australian Business Deans Council - Journal Ratings List).

Conference papers:

  • D. E. Allen, M. McAleer and B. Veiga “Modelling and Forecasting Dynamic VaR Thresholds for Risk Management and Regulation”, to appear in V. Kachitvichyanukul, U. Purintrapiban and P. Utayopas (eds.), Proceedings of the International Conference on Simulation and Modelling, Bangkok, Thailand, 2005. (*)(Associated with Linkage Grant LP0562305).
  • D.E. Allen and J. Chimhini, "The World Price of Covariance Risk with respect to Emerging Markets", to appear in V. Kachitvichyanukul, U. Purintrapiban and P. Utayopas (eds.), Proceedings of the International Conference on Simulation and Modelling, Bangkok, Thailand, 2005. 
  • D.E. Allen and V. Boobal Batchelor “The Role Of Post-Crisis Bank Mergers In Enhancing Efficiency Gains and Benefits to The Public In The Context of a Developing Economy: Evidence From Malaysia”, University of Melbourne, In Zerger, A. and Argent, R.M. (eds) MODSIM 2005 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2005, pp. 559-565. ISBN: 0-9758400-2-9.
  • D.E.Allen and V. Soucik, Long Run Underperformance of Seasoned Equity Offerings: Fact or an Illusion? University of Melbourne, In Zerger, A. and Argent, R.M. (eds) MODSIM 2005 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2005, pp. 559-565. ISBN: 0-9758400-2-9.
  • D.E. Allen, A.S.S. Cheng and J.W. Yang, “The Impact of Undisclosed Vs Disclosed Limit Orders: Evidence from Inter-Day returns, Signalling and information effects on the ASX,”Business and Economics Society International International Conference, Antibes France, (July 2007), Global Business Economics Anthology, ISSN 1553-1392, pp.392-403 (Associated with Linkage Grant LP0455281).
  • Sato, K., Allen, D. & Zhang, Z.Y , “A Monetary Union in East Asia: What does the Common Cycles Approach Tell?”. In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp.1007-1012.
  • D.E. Allen, R. Shareef, and G. Yap, “In Modelling Interstate Tourism Demand in Australia: A Cointegration Approach”.In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp.1920-1926.
  • D.E.Allen, and V. Soucik, “The Performance of Seasoned Equity Issues in a Risk-Adjusted Environment?” In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp. 1835-1842. ISBN : 978-0-9758400-4-7. 
    http:/www.mssanz.au/modsim07/Papers/DegreeofSite_s44_Basenet_.pdf
  • D.E. Allen and R.J. Powell,“Thoughts on VaR and CVaR, In Oxley, L. and Kulasiri, D. (eds) MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2007, pp.1843-1850. ISBN : 978-0-975840047. 47. http:/www.mssanz.au/modsim07/Papers/DegreeofSite_ s44_Basenet_.pdf * (Associated with Linkage Grant LP0562305).
  • D.E. Allen and G. Yap, “Investigating other leading indicators influencing Australian domestic tourism demand”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09.
  • D.E. Allen and G. Yap, “Modelling Australian domestic tourism demand: A panel data approach”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009
  • D.E. Allen, M. McAleer and M. Scarth, “PRICING OPTIONS BY SIMULATION USING REALIZED VOLATILITY”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09 * (Associated with Linkage Grant LP0562305).
  • R. Powell and D.E. Allen, “CVaR and Credit Risk Measurement”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09 * (Associated with Linkage Grant LP0562305).
  • J. Yong, D.E. Allen, and L.k. Lim, “AREIT returns from 1990 – 2008: A multi-factor approach” 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09.
  • D.E. Allen and J. Sudiman, “Does tick size change improve liquidity provision?Evidence from the Indonesia Stock Exchange”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09 (Associated with Linkage Grant LP0455281).
  • D.E. Allen and I. Bujang, “Stock Returns and Equity Premium Evidence Using Dividend Price Ratios and Dividend Yields in Malaysia” 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09.
  • D.E. Allen and I. Bujang, “Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests”, 18th World IMACS / MODSIM Congress, Cairns, Australia 13-17 July 2009 http://mssanz.org.au/modsim09.