I am a PhD Candidate in Finance at the University of Sydney Business School. My focus of research is in asset pricing with a particular interest in asymmetric dependence of asset returns. Prior to beginning the PhD programme, I worked as a credit risk specialist developing credit risk models for banks in several countries in Europe. I have been awarded multiple prizes for research excellence from international conferences.
“Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis”
- Published at the Journal of Real Estate Finance and Economics in January 2017.
- We investigate the diversification benefits of US Real Estate Investment Trusts (REITs). REITs are known for their convenient characteristics of low correlations with the equity market. These benefits, however, significantly decrease during market downturns. This is due to the asymmetric dependence of returns, which exists also among listed real estate assets.
“The Price of Asymmetric Dependence: Evidence from Australian Listed Equities”
- Submitted to the International Review of Finance: currently in the third round of R&R.
- We find that all sectors in the Australian equity market exhibit asymmetric return co-movements. The
degree of asymmetric dependence differs among industries and has important implications for firms’ cost of capital estimation.
“The Importance of Asymmetric Dependence of Stock Returns for International Investors”
- The degree of asymmetric dependence of stock returns is the only factor that is consistently priced in the cross section of stock returns in all 38 markets considered. Asymmetric dependence is more relevant to disappointment-averse investors as it contains useful information about the dependence of returns during various scenarios of disappointment.
- Moreover, this paper has important implications for financial stability. We find that in fast-growing markets, the degree of asymmetric dependence increases.
Refereed Research Reports
“Asset Price Bubbles in the Australian Market”
- I am one of the authors of the CIFR report, which examines the prevalence of asset price bubbles in Australian listed industrial equities and REIT markets. In contrast to the US listed stock markets, we find little evidence of asset-price bubbles in historical returns of Australian markets (1992-2016).
Prizes and Awards
I have been awarded several international prizes for research excellence, including the EPRA Prize for the Best Paper in Listed Real Estate at the 3rd European Real Estate Annual Conference, the Best Discussant Award at the 10th The International Accounting & Finance Doctoral Symposium, or the Best Paper Award at 13th Academic Conference in Antibes.
List of Awards
- 2018 AFA Doctoral Student Travel Grant
- 2017 FIRN Annual Meeting PhD Travel Grant
- Best Discussant Award, The 10th The International Accounting & Finance Doctoral Symposium, Warsaw, Poland, 2017
- Selected as the best PhD student to represent The University of Sydney Business School at the 2017 Fordham PhD Colloquium, New York, 2017
- EPRA Prize for the Best Paper in Listed Real Estate, 3rd European Real Estate Annual Conference, Regensburg, Germany, 2016
- The University of Sydney Business School Research Travel Support Stipend 2017
- The University of Sydney Postgraduate Research Support Stipend 2016, 2017
- The University of Sydney Business School Research Scholarship for International Students and Tuition Fee Award, University of Sydney, 2015-2018
- Best Paper Award, 13th Academic Conference in Antibes, France, 2014
- Top 3% of Best Students Award, Maastricht University, 2011
- Top Thesis Award, Maastricht University, 2011
- B.A. with Distinction from the Dean of the Faculty of Social Sciences at Charles University in Prague for an Exemplary Diploma Thesis
- (upcoming) 30th Australasian Finance and Banking Conference 2017, Sydney, Australia, December 2017
- 2017 FIRN Annual Conference, Uluru, Australia, 16th - 18th November 2017
- 2017 FMA Annual Meeting, Boston, USA, 11th - 14th October 2017
- 10th The International Accounting & Finance Doctoral Symposium, Warsaw, Poland, 14th June 2017
- 2017 Fordham PhD Colloquium, New York, USA, 4th - 5th May 2017
- 29th Australasian Finance and Banking Conference 2016, Sydney, Australia, 16th December 2016
- 2016 EFMA Annual Meeting, Basel, Switzerland, 2nd July 2016
- 2016 EFMA Merton H. Miller Doctoral Students Seminar, Basel, Switzerland, 29th June 2016
- European Real Estate Society 23rd Annual Conference, Regensburg, Germany, 11th June 2016 *
- 5th Auckland Finance Meeting, Auckland, New Zealand, 19th December 2015 *
- 28th Australasian Finance and Banking Conference 2015, Sydney, Australia, 18th December 2015
* Presented by co-author.
University of Sydney Business School
- S1 2017 Capital Markets and Corporate Finance
- S2 2016 Derivative Securities
- S2 2015 Derivative Securities
- S1 2016 International Financial Management
- S1 2015 Mathematical Finance