Petko Kalev

BSc(Mathematics)(Hons) Plovdiv MSc(Statistics) Melb PhD AIBF BFS FMA

Petko joined the Department in January 1999. For four years prior to that he worked as an assistant lecturer with the Department of Econometrics and Business Statistics, Monash University and, prior to that, he worked for four years as a tutor in the Department of Statistics at The University of Melbourne.

Based on the belief that the quality of teaching and academic research can be achieved through the enhancement of interaction between academe and industry, Petko has established a seminar-contest for honours students to present their Honours Research Project to the Q-Group - Australian finance practitioners and researchers active in the development and use of quantitative techniques in finance - and compete for the annual Q-Group prize award. Students are assessed by the quality of presentation and the currency of topic choice. Such an event provides a good opportunity for exposure and raises the profile of our Department among finance practitioners. In addition, students are influenced to join the profession and finance practitioners are promoted to seek postgraduate training at Monash. By 2002 the Q-Group competition had grown into a nationwide contest on three different research levels: 4th Year, Masters by Research and PhD students.

Given his prime research interests in empirical and applied finance, Petko initiated, and is organiser-coordinator of the Empirical Workshop in Finance (EWF) in the Faculty of Business and Economics.

Recent Reserach Awards/Prizes:

• Runner-Up in the Dean’s Award for Excellence in Research by an Early Career Researcher – Faculty of Business and Economics – Monash University, December 2005
• A joint winner with Sugato Chakravarty and Linh Pham of the Barclays Global Investors Research Award of $10,000 (Australasian Finance and Banking Conference - Sydney, December 2004) for

Publications:

• Kalev, P.S., Nguyen, A. and Oh, N. (2007) Foreign versus Local Investors: Who Knows More? Who Makes More?, forthcoming in the Journal of Banking & Finance (date accepted: 14 December, 2007).
• Wei, S, Rachev, S,  Fabozzi, F.J. and Kalev, P.S. (2007) Unconditional Copula-Based Simulation of Tail Dependence for Co-movement of International Equity Markets, forthcoming in the Empirical Economics(date accepted: 26 September, 2007)
• Kalev, P.S. and Duong, H. (2007) A Test of the Samuelson Hypothesis using Realized Range, The Journal of Futures Markets, forthcoming (date accepted: 30 July, 2007).
• Sujoto, C., Kalev, P.S. and Faff, R.W. (2007) Systematic Liquidity in the Long Run”, Applied Economics Letters, forthcoming (date accepted: 20 July, 2007).
• Duong, H. and Kalev, P.S. (2007) The Samuelson Hypothesis in Futures Markets: An Analysis Using Intraday Data, Journal of Banking & Finance, in press (date accepted: 6 June, 2007).
• Wei, S., Rachev, S. Fabozzi, F.J.and Kalev, P.S. (2008) Fractals in Trade Duration: Capturing Long-Range Dependence and Heavy Tailedness in Modeling Trade Duration, Annals in Finance, Vol. 4, Issue 2, pp. 217-241.
• Lok, E. and Kalev P.S. (2006) “Intraday Behaviour of Australian Companies Cross-Listed on the New Zealand Stock Exchange”, International Review of Financial Analysis, Vol. 15, Issue 4-5, pp. 377--397.
• Kalev, P.S. and Inder, Brett (2006) “The Information Content of the Term Structure of Interest Rates”, Applied Economics, Vol. 38, Issue 1, pp. 33-4.
• Zolotoy, L., Ben-Zion, U. and P.S. Kalev (2005) "Foreign Exchange and Stock Market Integration Before and After the Euro: Evidence from Australia and New Zealand", Eurasian Review of Economics and Finance, Vol. 1, Issue 3, pp. 1--8.
• Kalev, P.S., Liu, W.M., Pham, P.K. and Jarnecic, E., (2004). "Public Information Arrival and Volatility of Intraday Stock Returns", Journal of Banking & Finance, Vol. 28, Issue 6, pp. 1441--1467.
• Kalev, P.S. and Kapoor, V. (2004). "Floor versus Screen Trading: An Empirical Analysis of the Sydney Futures SPI Contract", Finance Letters, Vol. 2, Issue 2, pp. 1--5.
• Chan, H., Faff, R., Kalev, P.S., and Lee, D. (2003). "Further Evidence on the Short-term Contrarian Investment Strategy", Finance Letters, Vol. 1, Issue 2. pp. 1-5.
• Lee, D., Chan, H., Faff, F.W. and Kalev, P.S. “Short Term Contrarian Investing " Is it Profitable?...Yes, No", Journal of Multinational Financial Management, Vol. 13, Issue 4-5, pp. 385--404.
• Pham, P.K., Kalev, P.S. and Steen, A.B. (2003). "Underpricing, Stock Allocation, Ownership Structure and Post Listing Liquidity of Newly Listed Firms", Journal of Banking & Finance, Vol. 27, Issue 5, pp. 919--947.
• Steen, A.B., Kalev, P.S. and Turpie, K. (2001)."The Short-Run Performance of IPOs of Privately Owned and Publicly Owned Firms: A Note From Australia", Multinational Journal of Finance, Vol. 5, Issue 2, pp. 149--154.

Professional Activities:

• Member of the program committee:
  • The European Financial Management Association (EFMA) Conference, Madrid 2006
  • The Financial Management Association (FMA) Conference, Orlando 2007
• Discussant of PhD paper titled "Testing consumption CAPMs in Australia" presented by Mr Bin Li, the UQ to the FIRN Doctorial tutorials on 12^th of December 2007
• Session Chair: FMA Orlando 2007, EFMA Vienna 2007, EFMA Madrid 2006, GFC Rio de Janeiro 2006, FMA Chicago 2005, Euro-FMA Siena 2005, Euro-FMA Zurich 2004, FMA Denver 2003, EFMA Helsinki 2003, EFMA Lugano 2001, EFMA Paris 1999
• Founder and organized of Q-Group/Monash University Colloquium on Empirical & Quantitative Finance, Melbourne 2005, 2006, 2007, 2008 (second Friday of March)
• Member of the Q-Group subcommittee Victorian branch
• Memberships: AFA, FMA, FINSIA (Senior), FIRN, Qgroup Australia and The Bachelier Finance Society
• Ad Hoc Referee for Journal of Financial Markets; Journal of Banking & Finance; Journal of Futures Markets, Journal of International Financial Markets, Institutions & Money; Multinational Finance Journal; Journal of Applied Economics; Quantitative Finance; Australian Journal of Management and; Accounting and Finance.