Monash University > Business and Economics > Accounting and Finance > Staff

Professor Robert Faff

BEc(Hons) ANU MEc ANU PhD FCPA

Robert Faff is currently Professor of Finance and the Director of Research in the Department. He is also currently a Visiting Professor at the University of Leeds, within the Leeds University Business School. For six years prior to this he held the position of Research Professor of Finance at RMIT and has been a Visiting Professor at the University of Strathclyde. Robert is widely published in numerous refereed international finance and economics journals - most notable among these is the Journal of Business - widely acclaimed to be in the top three finance journals worldwide, and also the Journal of Banking and Finance, Journal of Futures Markets, Journal of Financial Research, Financial Review and the Financial Analysts Journal. His awards include the best manuscript award for articles published in Accounting and Finance (1988), the Australian Journal of Management (1998) and JASSA Merit Award (1999). An article published in the Pacific-Basin Financial Journal (2005), " Ranking Finance Programs in the Asia-Pacific Region: An Update”, by Kam Chan, Carl Chen and Peter Lung, assessed the research productivity of 170 Finance Departments at universities based in the Asia Pacific region to rank finance professors based on weighted Journal of Finance - equivalent page counts. According to this measure over the fifteen-year period 1990-2004, Robert Faff ranked number one in the Asia-Pacific region.

To compliment his research profile, Robert has presented in excess of one hundred conference papers and research seminars at many domestic and international universities. He is also co-author of the highly regarded textbook Corporate Finance published by Prentice Hall. He is current Editor of Accounting and Finance and past Editor of Accounting Research Journal (1993-2001).

Robert has served as Treasurer of the Accounting Association of Australia and New Zealand (AAANZ), Treasurer of the Asia Pacific Finance Association (APFA) and is a member of the Executive Committee of the Scottish Institute for Research in Investment and Finance (SIRIF).

Research:	• asset pricing • risk modelling • managed fund performance • behavioural finance • corporate governance • market efficiency
Address:	Department of Accounting and Finance Monash University Clayton, Vic. 3800 Australia
Located at:	Room 1077, Building 11, Clayton Campus
Tel:	+61 3 9905 2387
Fax:	+61 3 9905 2339
Email:	Robert.Faff@BusEco.monash.edu.au
Selected Publications:	Draper, P., Faff, R. and Hiller, D., “Do Precious Metals Shine? An Investment Perspective”, Financial Analysts Journal , forthcoming. Gray, P. and R. Faff, “ On the Estimation and Comparison of Short-Rate Models Using the Generalised Method of Moments”, Journal of Banking and Finance , forthcoming. Balaban, E., A. Bayar and R. Faff, “Forecasting Stock Market Volatility”, Journal of Portfolio Management , forthcoming. Chan, H. and Faff, R., “Asset Pricing and the Illiquidity Premium”, Financial Review , Vol. 40, 2005, pp. 429-458 . Brooks, R., Faff, R., Hillier, D. and Hillier, J., “The National Market Impact of Sovereign Rating Changes”, Journal of Banking and Finance , Vol 28, 2004, pp.233-250. Dean, W. and Faff, R., “Asymmetric Covariance, Volatility and the Impact of News”, Journal of Financial Research , Vol. 26, 2004, pp. 393-413. Faff, R., “Creating Fama and French Factors with Style”, Financial Review , Vol. 38, 2003, pp. 311-322. McKenzie, M. and Faff, R., “The Determinants of Conditional Autocorrelation in Stock Returns”, Journal of Financial Research , Vol. 36, No. 2, 2003, pp. 259-274. Faff, R. and McKenzie, M., “The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study”, Journal of Business , Vol. 75, 2002, pp. 95-126. Faff, R., “A Multivariate Test of a Dual Beta CAPM: Australian Evidence”, Financial Review , Vol. 36, No. 4, 2001, pp. 157-174.