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
- 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.
- Awarded the EPRA Prize for the Best Paper in Listed Real Estate, 3rd ERES Conference
- 2016: Presented at the 3rd ERES Annual Conference in Regensburg
“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.
- 2015: Presented at 28th AFBC in Sydney
“The Price of Asymmetric Dependence: International Evidence”
- 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.
- 2017: Presented at 30th AFBC in Sydney, FIRN Annual Conference in Uluru, FMA Annual Meeting in Boston, Fordham PhD Colloquium in New York
“Institutional Ownership and Asymmetric Dependence”
- Asymmetric dependence of stock returns emerges when both retail investors and institutional, benchmark-utility, investors co-exist in the economy. The degree of asymmetric dependence increases in the heterogeneity in investor type. The state dependence of firm correlations between stock returns and market returns is related to the firm level of institutional ownership. Stocks with high institutional ownership exhibit higher correlations during market downturns relative to market upturns.
- We find empirical support for this theory in the US equity market.
“Heterogeneous Cash-Flow Risk and the Cross Section of Return Correlations”
- Heterogeneous cash-flow risk affects the cross section of stock returns. Assets with a low covariance of cash-flow and consumption growth can serve as natural hedges against negative consumption shocks. I find that stocks with high cash-flow risk have higher excess returns and a higher degree of asymmetric dependence, i.e. a higher correlation of stock returns with market returns during downturns relative to upturns. I use a consumption-based model with habit formation to make predictions about the effects of cash-flow risk on the cross section of returns and return correlations. These predictions are confirmed by data.
- Awarded the Runner-Up Best Paper Award, 9th FMCG PhD Symposium
- 2018: Presented at 9th FMCG in Melbourne
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
- Runner-Up Best Paper Award, 9th Financial Markets and Corporate Governance PhD Symposium
- 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) 2018 FMA Europe Annual Meeting, June 2018
- (upcoming) 2018 EFMA Annual Meeting, Milan, Italy, June 2018
- 9th Financial Markets and Corporate Governance PhD symposium, April 2018
- 30th Australasian Finance and Banking Conference 2017, Sydney, Australia, December 2017
- 2017 FIRN Annual Conference, Uluru, Australia, November 2017
- 2017 FMA Annual Meeting, Boston, USA, October 2017
- 10th The International Accounting & Finance Doctoral Symposium, Warsaw, Poland, June 2017
- 2017 Fordham PhD Colloquium, New York, USA, May 2017
- 29th Australasian Finance and Banking Conference 2016, Sydney, Australia, December 2016
- 2016 EFMA Annual Meeting, Basel, Switzerland, July 2016
- 2016 EFMA Merton H. Miller Doctoral Students Seminar, Basel, Switzerland, June 2016
- European Real Estate Society 23rd Annual Conference, Regensburg, Germany, June 2016 *
- 5th Auckland Finance Meeting, Auckland, New Zealand, December 2015 *
- 28th Australasian Finance and Banking Conference 2015, Sydney, Australia, December 2015
* Presented by co-author.
University of Sydney Business School
- S1 2018 Derivative Securities
- S1 2017 Capital Markets and Corporate Finance
- S2 2016 Derivative Securities
- S2 2015 Derivative Securities
- S1 2016 International Financial Management
- S1 2015 Mathematical Finance
Last updated in April 2018.