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David Allen

Foundation Professor of Finance

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.

• Working papers on personal website
• Social Science Research Network 

Responsibilities

• Director,  Finance, Economics, Markets and Research Centre (FEMARC)
• Australian Research Council (ARC) Financial Research Network (FIRN) Representative
• Member of Financial Research Network (FIRN) National Executive
• Australian Research Council (ARC) Australian Assessor

Staff qualifications

• FFin.
• Ph.D.
• M.Phil.
• MA.   

Awards and recognition

• 2012 - Faculty of Business and Law, Dean's Award for Research Excellence.
• 2011 - Award for Outstanding Research Performance in the School of Accounting, Finance and Economics.

Research

Research interests

• Investments
• Financial Econometrics
• Market Microstructure

Current research areas

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

Recent research grants

• 2011 - 2013, New methods for modelling and forecasting risk. Australian Research Council, Discovery Project Grant (DP110102884). Researchers: Prof David E Allen, Prof Lyn C Thomas, Dr Robert J Powell, Prof James W Taylor, Prof Michael McAleer. 
• Modelling stock market liquidity in Australia and the Asia Pacific Region (LP0455281). Australian Research Council, Linkage Projects 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.
• 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. (RN0460246).
• Forecasting Risk Thresholds for Portfolio Management and Regulation. Researchers: Prof. M McAleer; Prof DE Allen; Dr S Hoti. 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. (LP0562305).

Recent publications (within the last five years)

Monographs

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

Book chapters

• Allen, D.E., A.K. Singh & R. Powell, (2012) "Machine learning and short positions in stock trading strategies", HandBook of Short Selling, Ed G. Gregoriou, Elsevier, ISBN 978-0-12-387724-6, pp.467-478.
• Allen, D.E., A. .K Singh, R. .J Powell & A. Kramadibrata, (2012) "Short Selling Stock Indices On Signals From Implied Volatility Index Changes: Evidence From Quantile Regression Based Techniques", HandBook of Short Selling, Ed G. Gregoriou, Elsevier, ISBN 978-0-12-387724-6, pp. 479-492.
• Allen, D.E., Powell, R. J., & Singh, A. K. (2012). Short Selling Consistency in South Africa. In G. N. Gregoriou (Ed.), Handbook of Short Selling: Elsevier, ISBN 978-0-12-387724-6, ;pp.381-386
• Allen, D.E., Singh, A., Powell, R., Kramadibrata, A. R., (2011), Short Selling Stock Indices On Signals From Implied Volatility Index Changes: Evidence From Quantile Regression Based Techniques. Handbook of Short Selling, 479-492, Boston. 
• Allen, D.E., Powell, R. , Singh, A. , (2011), Machine Learning and Short Positions in Stock Trading Strategies. Handbook of Short Selling, 467-478, Boston. 
• Allen, D.E.
• , Powell, R. , Singh, A. , (2011), Short Selling Consistency in South Africa. Handbook of Short Selling, 381-386, Boston. 
• Allen, D.E., 
• Chimhini, J., (2010), World Price of Covariance Risk with respect to Emerging Markets. Emerging Markets: Performance, Analysis and Innovation, 117-146, Boca Raton GFlorida. 
• Allen, D.E., 
• Singh, A. , Powell, R. , (2010), Asset pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis. Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, 176-193, USA, DOI: 10.1057/9780230298101. 
• Powell, R. , Allen, D.E., (2009), Bank Default Risk in the United States and the United Kingdom. The Banking Crisis Handbook, 503-519, Florida, USA. 
• Allen, D.E., Powell, R. , (2009), Structural credit modeling and its relationship to market Value at Risk: An Australian sectoral perspective. The VaR Implementation Handbook, 403-414, New York, USA. 
• Allen, D.E., Cheng, AS., Comerton-Forde, C., Yang, JW., (2008), Returns, Volatility, and Liquidity on the ASX. Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing, 228-245, USA. 
• Allen, D.E., Soongswang, A., (2008), Takeovers and Shareholder Value Creation on the Stock Exchange of Thailand. International Finance Review: 'Asia-Pacific Financial Markets: Integration, Innovation and Challenges', 8(23), 347-370, UK. 

Refereed journal articles

• Allen, D. E., & Faff, R. (2012). "The Global Financial Crisis: Some Attributes and Responses", Special Issue Article, Accounting and Finance 52 (2012) 1–7, ERA 2010 A ranked Journal
• Allen, D. E., A.K. Singh, A. Kramadibrata, R. Powell, (2012). "Beyond reasonable doubt: multiple tail risk measures applied to European industries", Applied Economic Letters, Routledge, Volume 19, Issue 7, May 2012, pages 671-676 ERA 2010 B ranked Journal
• Allen, D.E., Singh, A. K., & Powell, R. J. (2012). A Gourmet's Delight: CAViaR and the Australian Stock Market, Applied Economics Letters 19(15), 1493-1498 (ERA 2010 B ranking)
• Allen, D.E.,& R.J. Powell, (2012). "The Fluctuating Default Risk of Australian Banks", The Australian Journal of Management, 37, (2) 297-325 ERA 2010 (A ranked Journal).
• Allen, D.E., Powell, R. , (2011), Measuring and Optimising Extreme Sectoral Risk in Australia. Asia Pacific Journal of Economics and Business, 15(1), 1-14. 
• Allen, D.E., Singh, A. , Powell, R. , (2011), Quantile Regression as a Tool for Portfolio Investment Decisions. Annals of Financial Economics, 6(1), 63-85. 
• Allen, D.E., Kramadibrata, A. R., Powell, R. , Singh, A. , (2011), Japanese Banks: Tail Risk and Capital Buffers. International Journal of Business Studies (ECU), 19(1), 7-27, Australia. 
• Allen, D.E., Powell, R. , (2011), Measuring Real Capital Adequacy in Extreme Economic Conditions: An Examination of Swiss Banking Sector. Journal of Modern Accounting and Auditing , 7(6), 541-554. 
• Allen, D.E., Powell, R. , (2011), Customers and Markets: Both Are Essential to Credit Risk Measurement in Australian Banks. Australasian Accounting Business and Finance Journal, 5(1), 57-75. 
• Allen, D.E., McAleer, M., Scharth, M., (2011), Monte Carlo option pricing with asymmetric realized volatility dynamics. Mathematics and Computers in Simulation, 81(7), 1247-1256, Netherlands, DOI: 10.1016/j.matcom.2010.06.010. 
• Yap, G. , Allen, D.E., (2011), Investigating other leading indicators influencing Australian domestic tourism demand. Mathematics and Computers in Simulation, 81(7), 1365-1374, Netherlands, DOI: 10.1016/j.matcom.2010.05.005. 
• Allen, D.E., Powell, R., Singh, A. (2011), Beyond reasonable doubt: multiple tail risk measures applied to European industries. Applied Economics Letters , 19(7), 671-676, DOI: 10.1080/13504851.2011.593496. 
• Allen, D.E., (2009), Measuring and Modelling Risk. Global Business and Economics Review, 11(3/4), 199-224. 
• Allen, D.E., Gerrans, P. A., Singh, A., Powell, R. (2009). Quantile regression: its application in investment analysis. JASSA: Journal of the Australian Society of Security Analysts, 2009(4), 7-12. 
• Allen, D.E., Powell, R. , (2009), Transitional Credit Modelling and its Relationship to Market Value at Risk: an Australian sectoral perspective. Accounting and Finance, 49(3), 425-444, Australia, DOI: 10.1111/j.1467-629X.2009.00294.x. 
• Allen, D.E., Yap, G. , (2009), Modelling interstate tourism demand in Australia: A cointegration approach. Mathematics and Computers in Simulation, 79(9), 2733-2740, Netherlands. 
• Sato, K., Zhang, Z., Allen, D.E., (2009), The suitability of a monetary union in East Asia: What does the cointegration approach tell?. Mathematics and Computers in Simulation, 79(9), 2927-2937, The Netherlands, DOI: 10.1016/j.matcom.2008.10.004. 
• Allen, D.E., Soucik, V., (2008), Long-Run Underperformance of Seasoned Equity offerings: Fact Or an Illusion?. Mathematics and Computers in Simulation, 78(2-3), 146-154, Netherlands, DOI: 10.1016/j.matcom.2008.01.034. 
• Gao, J., McAleer, M., Allen, D.E., (2008), Econometric Modelling in Finance and Risk Management: An Overview. Journal of Econometrics, 147(1), 1-4, Netherlands, DOI: 10.1016/j.jeconom.2008.09.025. 
• Allen, D.E., Chang, F., McAleer, M., Peiris, S., (2008), Finite Sample Properties of the Qmle for the Log-Acd Model: Application to Australian Stocks. Journal of Econometrics, 147(1), 163-185, Netherlands.