Prof Francis In - Researcher Profile

Biography

Francis In is a professor in the Department of Accounting and Finance. 

Qualifications

APPLIED ECONOMICS

Institution: Cornell University

Year awarded: 2005

Publications

Journal Articles

Kim, S., In, F.H., 2012, False discoveries in volatility timing of mutual funds, Journal of Banking and Finance [P], vol 36, issue 7, Elsevier BV, Amsterdam Netherlands, pp. 2083-2094.

In, F.H., Cui, J., Maharaj, E.A., 2012, The impact of a new term auction facility on Libor-OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis, Journal of International Money and Finance [P], vol 31, issue 5, Pergamon, Kidlington Oxford UK, pp. 1106-1125.

In, F., Kim, S., Gencay, R., 2011, Investment horizon effect on asset allocation between value and growth strategies, Economic Modelling [P], vol 28, issue 4, Elsevier BV, Amsterdam Netherlands, pp. 1489-1497.

Kang, B., In, F., Kim, G., Kim, T., 2010, A longer look at the asymmetric dependence between hedge funds and the equity market, Journal of Financial and Quantitative Analysis [P], vol 45, issue 3, Cambridge University Press, UK, pp. 763-789.

In, F.H., Kim, S., Faff, R., 2010, Explaining mispricing with Fama-French factors: New evidence from the multiscaling approach, Applied Financial Economics [P], vol 20, issue 4, Routledge, UK, pp. 323-330.

Kim, S., In, F.H., 2010, Portfolio allocation and the investment horizon: A multiscaling approach, Quantitative Finance [P], vol 10, issue 4, Routledge, UK, pp. 443-453.

Ji, I., In, F., 2010, The impact of the global financial crisis on the cross-currency linkage of LIBOR-OIS spreads, Journal of International Financial Markets, Institutions and Money [P], vol 20, issue 5, Elsevier BV, North-Holland, Netherlands, pp. 575-589.

Lu, X., In, F.H., Kou, M., 2009, The high-frequency responses of Australian financial futures to unexpected cash rate announcements, Economic Record [P], vol 85, issue s1, Wiley-Blackwell Publishing Asia, Richmond Vic Australia, pp. 22-28.

In, F.H., Kim, S., Marisetty, V., Faff, R., 2008, Analysing the performance of managed funds using the wavelet multiscaling method, Review of Quantitative Finance and Accounting, vol 31, issue 1, Springer New York LLC, USA, pp. 55-70.

In, F.H., Kim, S., 2007, A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables, Finance Research Letters, vol 4, issue 3, Academic Press, USA, pp. 165-171.

In, F.H., Yoon, J.H., 2007, Determination of asset prices with an investment-specific technology model: Implications for the equity premium puzzle, Journal of Economic Dynamics and Control, vol 31, issue 8, Elsevier BV, North-Holland, Netherlands, pp. 2637-2658.

Kim, S., In, F.H., 2007, On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis, Journal of International Financial Markets, Institutions & Money, vol 17, issue 2, Elsevier BV, North-Holland, Netherlands, pp. 167-179.

In, F.H., 2007, Volatility spillovers across international swap markets: The US, Japan, and the UK, Journal of International Money and Finance, vol 26, issue 3, Pergamon, UK, pp. 329-341.

Kim, S., In, F.H., 2006, A note on the relationship between industry returns and inflation through a multiscaling approach, Finance Research Letters, vol 3, issue 1, Academic Press, San Diego CA USA, pp. 73-78.

Batten, J.A., In, F.H., 2006, Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework, Applied Financial Economics, vol 16, issue 12, Routledge, UK, pp. 881-892.

Lu, X., In, F.H., 2006, Monetary policy, open market operations and New Zealand interest-rate and exchange-rate markets, Journal of the Asia Pacific Economy, vol 11, issue 4, Routledge, Abingdon UK, pp. 462-481.

In, F.H., Kim, S., 2006, Multiscale hedge ratio between the Australian stock and futures markets: evidence from wavelet analysis, Journal of Multinational Financial Management, vol 16, issue 4, Elsevier BV, North-Holland, The Netherlands, pp. 411-423.

In, F.H., Kim, S., 2006, The hedge ratio and the empirical relationship between the stock and futures markets: a new approach using wavelet analysis, The Journal of Business, vol 79, issue 2, University of Chicago Press, Journals Division, USA, pp. 799-820.

In, F.H., Batten, J.A., 2005, Expectations and equilibrium in high-grade Australian bond markets, Review of Pacific Basin Financial Markets and Policies, vol 8, issue 4, World Scientific Publishing Co. Pte Ltd, Singapore, pp. 573-592.

Kim, S., In, F.H., 2005, Multihorizon sharpe ratios, Journal of Portfolio Management: The Journal for Investment Professionals, vol 31, issue 2, Insitutional Investor, Journals, USA, pp. 105-111.

Kim, S., In, F.H., 2005, The relationship between stock returns and inflation: new evidence from wavelet analysis, Journal of Empirical Finance, vol 12, issue 3, Elsevier BV, North-Holland, The Netherlands, pp. 435-444.

Zhang, C.D., In, F.H., Farley, A.A., 2004, A multiscaling test of causality effects among international stock markets, Neural, Parallel & Scientific Computations, vol 12, Dynamic Publishers, Inc., USA, pp. 91-112.

In, F.H., Fang, V.K.F., Brown, R., 2004, Australian and US interest rate swap markets: comparison and linkages, Accounting and Finance, vol 44, Blackwell Publishing Asia, Australia, pp. 45-56.

Yoon, J.H., In, F.H., 2004, Terms of trade, intermediate goods and international real business cycles: Australia case, International Studies Review, vol 5, issue 2, Blackwell Publishing, Inc., USA, pp. 95-111.

In, F.H., Brown, R.L., Fang, V.K.F., 2003, Links among interest rate swap markets: US, UK and Japan, The Journal of Fixed Income, vol 13, Institutional Investor Journals, USA, pp. 84-95.

In, F.H., Brown, R.L., Fang, V.K.F., 2003, Modeling volatility and changes in the swap spread, International Review of Financial Analysis, vol 12, Elsevier, The Netherlands, pp. 545-561.

Kim, S., In, F.H., 2003, The relationship between financial variables and real economic activity: evidence from spectral and wavelet analyses, Studies in Nonlinear Dynamics and Econometrics, vol 7, issue 4, Berekley Electronic Press, USA, pp. 1-16.

In, F.H., Batten, J., Kim, S., 2003, What drives the term and risk structure of Japanese bonds?, The Quarterly Review of Economics and Finance, vol 43, issue 6, Elsevier Science BV North-Holland, Netherlands, pp. 518-541.

In, F.H., Kim, S., Yoon, J.H., 2002, International stock market linkages: evidence from the Asian financial crisis, Journal of Emerging Market Finance, vol 1, issue 1, Sage Publications Ltd, UK, pp. 1-29.

Brown, R.L., In, F.H., Fang, V.K.F., 2002, Modeling the determinants of swap spreads, The Journal of Fixed Income, vol 12, issue 1, Institutional Investor, New York NY USA, pp. 29-40.

Kim, S., In, F.H., 2002, The influence of foreign stock markets and macroeconomic news announcements on Australian financial markets, Pacific Basin Finance Journal, vol 10, Elsevier Science BV, Netherlands, pp. 571-582.

Batten, J., Hogan, W., In, F.H., 2002, Valuing credit spreads on quality Australian dollar Eurobonds in a multivariate EGARCH framework, Australian Economic Papers, vol 41, issue 1, Blackwell Publishing Ltd, UK, pp. 115-128.

In, F.H., Kim, S., Yoon, J.H., Viney, C.W., 2001, Dynamic Interdependence and Volatility Transmission of Asian Stock Markets Evidence from the Asian Crisis, International Review of Financial Analysis, vol 10, issue 1, Elsevier Science, Amsterdam Netherlands, pp. 87-96.

Kim, S., In, F.H., Viney, C.W., 2001, Modelling Linkages Between Australian Financial Futures Markets, Australian Journal of Management, vol 26, issue 1, The Australian Graduate School of Management, Sydney NSW Australia, pp. 19-34.

In, F., Inder, B.A., 1997, Long-run relationships between world vegetable oil prices, The Australian Journal of Agricultural and Resource Economics, vol 41, Blackwell, Oxford, pp. 455-470.

Conference Proceedings

Zhang, C.D., In, F.H., Farley, A.A., 2004, A wavelet-based method of variance homogeneity testing of foreign exchange rates, Proceedings of the 2004 AFAANZ Conference, 04 July 2004 to 06 July 2004, AFAANZ, Australia, pp. 1-37.

Postgraduate Research Supervisions

Current Supervision

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Return predictability and corporate capital structure.

Supervisors:

In, F (Main), Ji, I (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Risks measurement in cross border mergers and acquisition in Asia Pacific.

Supervisors:

In, F (Main), Ji, I (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

The Volume and Volatility Relationship in Australia and the G7 Countries..

Supervisors:

In, F (Main), Duong, H (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

What does the Libor-OIS spread say about the behaviour of credit market and banking systems?.

Supervisors:

In, F (Main), Maharaj, E (Associate).

Completed Supervision

Student:

Fang, V.

Program of Study:

STUDIES IN THE PRICING OF INTEREST RATE SWAPS. (PHD) 2003.

Supervisors:

In, F (Main), Gay, R (Associate).

Student:

Kim, S.

Program of Study:

ESSAYS ON ASSET PRICING THEORY. (PHD) 2003.

Supervisors:

In, F (Main), Chan, H (Associate).

Student:

Lu, X.

Program of Study:

Australian monetary policy, open market operations and financial market reactions. (PHD) 2006.

Supervisors:

In, F (Main).

Student:

Sadique, M.

Program of Study:

Studies on hard and soft information. (PHD) 2009.

Supervisors:

In, F (Joint-Co), Veeraraghavan, M (Joint).

Student:

Yoon, J.

Program of Study:

FOUR ESSAYS ON INTERNATIONAL REAL BUSINESS CYCLE AND ASSET PRICING MODELS. (PHD) 2001.

Supervisors:

In, F (Main).