Publications by Dempsey, M

Browse Results (45 results found)

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Books (2)
Dempsey, M 2017, Stock markets and corporate finance, World Scientific, New Jersey, United States. 207  
Dempsey, M 2016, Stock Markets, Investments and Corporate Behavior: A Conceptual Framework of Understanding, Imperial College Press, London, United Kingdom. 291  
Book Chapters (1)
Dempsey, M and Jones, S 2015, 'Financial measurement and financial markets' in Stewart Jones (ed.) The Routledge Companion to Financial Accounting Theory, Routledge, United States, pp. 438-451. 105  
Journal Articles (39)
Mozumder, S, Kabir, H and Dempsey, M 2018, 'Pricing and hedging options with GARCH-stable proxy volatilities', Applied Economics, vol. 50, no. 56, pp. 6034-6046. 9   0
Li, M and Dempsey, M 2017, 'Value, growth and divergence of opinion in emerging markets: Chinese evidence', Archives of Business Research, vol. 5, no. 5, pp. 72-93. 48  
Li, A and Dempsey, M 2017, 'Is post earnings announcement drift a priced risk factor in emerging markets? Chinese evidence', Archives of Business Research, vol. 5, no. 6, pp. 29-47. 45   0
Mozumder, S, Dempsey, M and Kabir, H 2017, 'Back-testing extreme value and Lévy value-at-risk models: evidence from international futures markets', Journal of Risk Finance, vol. 18, no. 1, pp. 88-118. 127   0
Cong, C, Dempsey, M and Xie, H 2017, 'Political skill, entrepreneurial orientation and organizational justice: A study of entrepreneurial enterprise in China', International Journal of Entrepreneurial Behavior and Research, vol. 23, no. 1, pp. 20-34. 106   6 Cited 1 times in Scopus1 2
Tanha, H and Dempsey, M 2017, 'Derivatives usage in emerging markets following the GFC: Evidence from the GCC countries', Emerging Markets Finance and Trade, vol. 53, no. 1, pp. 170-179. 90   2 0 1
Alawadhi, A and Dempsey, M 2017, 'Social norms and market outcomes: The effects of religious beliefs on stock markets', Journal of International Financial Markets, Institutions and Money, vol. 50, pp. 119-134. 28   4 0 18
Watson, J, Delaney, J, Dempsey, M and Wickramanayake, J 2016, 'Australian superannuation (pension) fund product ratings and performance: a guide for fund managers', Australian Journal of Management, vol. 41, no. 2, pp. 189-211. 120   4 Cited 3 times in Scopus3 0
Tanha, H and Dempsey, M 2016, 'The impact of macroeconomic information releases on the smile shape: evidence from the Australian options market', Journal of Behavioral Finance, vol. 8, no. 1, pp. 80-90. 104   1 0
Sharif, M, Dempsey, M, Kabir, H and Choudhry, T 2016, 'An improved framwork for approximating option prices with application to option portfolio hedging', Economic Modelling, vol. 59, pp. 285-296. 119   1 0 0
Tanha, H and Dempsey, M 2016, '(In Press) The evolving dynamics of the Australian SPI 200 implied volatility surface', Journal of International Financial Markets, Institutions and Money, pp. 1-14. 27   1 0 0
Tanha, H and Dempsey, M 2016, 'The information content of ASX SPI 200 implied volatility', Review of Pacific Basin Financial Markets and Policies, vol. 19, no. 1, pp. 1-14. 117   3 Cited 1 times in Scopus1 0
Shi, X, Dempsey, M and Irlicht, L 2015, 'Fundamental indexation and the Fama-French Three Factor Model: Risk assimilation or stock mispricing?', Journal of Investment Management, vol. 13, no. 4, pp. 57-70. 179  
Edirisuriya, P, Gunasekarage, A and Dempsey, M 2015, 'Australian specific bank features and the impact of income diversification on bank performance and risk', Australian Economic Papers, vol. 54, no. 2, pp. 63-87. 151   1 0 0
Chan, D, Dempsey, M and Lajbcygier, P 2015, 'Is Fundamental Indexation able to time the market? Evidence from the Dow Jones Industrial Average and the Russell 1000', Journal of International Financial Markets, Institutions and Money, vol. 37, pp. 162-177. 24   1 Cited 2 times in Scopus2 0
Shi, X, Dempsey, M, Duong, H and Kalev, P 2015, 'Investor protection and market liquidity revisited', Corporate Governance: The International Journal of Business in Society, vol. 15, no. 4, pp. 517-529. 28   1 Cited 1 times in Scopus1 0
Abraham, M, Dempsey, M and Marsden, A 2015, 'Dividend reinvestment plans :a tax-based incentive under the Australian imputation tax system', Australian Tax Forum, vol. 30, pp. 435-453. 140   0
Edirisuriya, P, Gunasekarage, A and Dempsey, M 2015, 'Bank diversification, performance and stockmarket response: Evidence form listed public banks in South Asian countries', Journal of Asian Economics, vol. 41, pp. 69-85. 153   Cited 2 times in Scopus2 0
Tanha, H and Dempsey, M 2015, 'Do Aussie markets smile? Implied volatility functions and determinants', Applied Economics, vol. 47, no. 30, pp. 3143-3163. 109   1 0 0
Tanha, H and Dempsey, M 2015, 'The asymmetric response of volatility to market changes and the volatility smile: Evidence from Australian options', Research in International Business and Finance, vol. 34, pp. 164-176. 64   Cited 3 times in Scopus3 0
Tanha, H, Dempsey, M and Hallahan, T 2014, 'Macroeconomic information and implied volatility: evidence from Australian index options', Review of Behavioural Finance, vol. 6, no. 1, pp. 46-62. 56  
Gharaibeh, O, Bornholt, G and Dempsey, M 2014, 'Evidence of industry cost of equity estimation', The International Journal of Business and Finance Research, vol. 8, no. 4, pp. 1-17. 94  
Dempsey, M 2014, 'The Modigliani and Miller propositions: The history of a failed foundation for corporate finance?', Abacus: A Journal of Accounting Finance and Business Studies, vol. 50, no. 3, pp. 279-295. 167   3 Cited 2 times in Scopus2 0
Dempsey, M 2014, 'The Modigliani and Miller (MM) propositions: the history of a failed foundation for corporate finance?', Abacus: a journal of accounting, finance and business studies, vol. 50, no. 3, pp. 279-295. 168   3 Cited 2 times in Scopus2 0
Dempsey, M 2013, 'The capital asset pricing model (CAPM): the history of a failed revolutionary idea in finance?', Abacus: a journal of accounting, finance and business studies, vol. 49, pp. 7-23. 577   27 Cited 27 times in Scopus27 3
Dempsey, M 2013, 'The CAPM: A case of elegance is for tailors?', Abacus: A Journal of Accounting, Finance and Business Studies, vol. 49, pp. 82-87. 57   4 Cited 2 times in Scopus2 0
Dempsey, M 2012, 'The controversy in fundamental indexation: Why both sides of the argument are (mostly) correct', Journal of Investment Management (JOIM), vol. 10, no. 4, pp. 54-63. 67  
Dempsey, M 2011, 'Idiosyncratic volatility as an explanation of the small firm effect: Australian evidence', Corporate Ownership and Control, vol. 8, no. 3, pp. 280-289. 55  
Bollen, B, Dempsey, M and Li, L 2011, 'Beta in the Chinese markets: Wanted dead or alive', Corporate Ownership and Control, vol. 8, no. 4, pp. 305-312. 159  
Dempsey, M 2011, 'Consistent cash flow valuation with tax-deductible debt: a clarification', European Financial Management, vol. online, pp. 1-7. 109   0 0
Dempsey, M 2010, 'The book-to-market equity ratio as a proxy for risk: Evidence from Australian markets', Australian Journal of Management, vol. 35, no. 1, pp. 7-21. 75   10 Cited 8 times in Scopus8
Dempsey, M, McKenzie, M and Partington, G 2010, 'The problem of pre-tax valuations: a note', Journal of Applied Research in Accounting and Finance, vol. 5, no. 2, pp. 10-13. 112  
Bollen, B and Dempsey, M 2010, 'The small firm and other confounding effects in asset pricing data: some evidence from Australian markets', Investment Management and Financial Innovations, vol. 7, no. 4, pp. 70-76. 52   0
Dempsey, M 2009, 'The Fama and French three-factor model and leverage: compatibility with the Modigliani and Miller propositions', Investment Management and Financial Innovations, vol. 6, no. 1, pp. 48-53. 134   0
Dempsey, M 2009, 'Rankings for Australian managed funds: contrariness and performance index failure', Journal of Asset Management, vol. 10, no. 3, pp. 138-157. 64   Cited 3 times in Scopus3 0
Dempsey, M and Partington, G 2008, 'Cost of capital equations under the Australian imputation tax system', Accounting and Finance, vol. 48, no. 3, pp. 439-460. 207   9 Cited 5 times in Scopus5
Dempsey, M 2008, 'The significance of beta for stock returns in Australian markets', Investment Management and Financial Innovations, vol. 5, no. 3, pp. 51-61. 103  
Bollen, B, Clayton, L, Dempsey, M and Veeraraghavan, M 2008, 'Are company size and stock beta, liquidity and idiosyncratic volatility related to stock returns? Australian evidence', Investment Management and Financial Innovations, vol. 5, no. 4, pp. 143-156. 217  
Dempsey, M 2003, 'A multidisciplinary perspective on the evolution of corporate investment decision making', Accounting, Accountability and Performance, vol. 9, no. 1, pp. 1-33. 208   0
Conference Papers (3)
Clayton, L, Dempsey, M and Veeraraghavan, M 2007, 'Are beta, firm size, liquidity and idiosyncratic volatility related to stock returns? Australian evidence', in John Unkles F Fin, Kevin Davis SF Fin (ed.) Proceedings of the 12th Finsia and Melbourne Centre for Financial Studies Banking and Finance Conference 2007, Melbourne, Australia, 24 - 25th September 2007, pp. 1-33. 192  
Dempsey, M 2005, 'A binomial model approach to modelling portfolio volatility in continuous time', in V. Kachitvichyanukul, U. Purintrapiban, P. Utayopas (ed.) Proceedings of the 2005 International Conference on Simulation and Modelling (SimMod), Bangkok, Thailand, January 17-19 2005, pp. 609-617. 228  
Dempsey, M 2005, 'Portfolio investment allocation allowing volatile growth in continuous time', in V. Kachitvichyanukul, U. Purintrapiban, P. Utayopas (ed.) Proceedings of the 2005 International Conference on Simulation and Modelling (SimMod), Bangkok, Thailand, January 17-19 2005, pp. 635-644. 81  
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