My research centers on exploring the linkages between macroeconomic forces and financial markets and studying the effects of the business cycle on asset prices and portfolio choice.
“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
“Fundamental Sources of the Time Variation in Equity Risk Levels”
- This paper shows that fundamental cash-flow risk explains more than 40% of the time variation in equity risk. I find that industries with high cash-flow risk have a higher degree of time variation in excess returns, systematic risk premia and risk-adjusted returns. Firms in industries with high fundamental cash-flow risk also have relatively high CAPM betas, smaller firm size and higher book-to-market ratios.
- Awarded the Runner-Up Best Paper Award, 9th FMCG PhD Symposium
- 2018: Presented at the Oxford Finance Job Market Workshop in November 2018 at the Saïd Business School, 31st Australasian Finance and Banking Conference in Sydney, Macquarie University in Sydney, the 9th FMCG in Melbourne, the EFMA PhD Seminar and the EFMA main conference in Milan.
“The Price of Asymmetric Dependence: International Evidence”
- The firm-level degree of asymmetric dependence between stock returns and market returns is the only factor that is consistently priced in the cross section of stock returns in all 38 markets considered.
- 2018: Presented at the FMA European Meeting in Kristiansand, Norway
- 2017: Presented at the 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 between stock returns and market returns emerges when both retail investors and institutional, benchmark-utility, investors co-exist in the economy.
- I find empirical support for this theory in the US equity market.
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
- Dean's Citation for Teaching, Lecturing: Derivative Securities, University of Sydney, S2 2018
- Runner-Up Best Paper Award, 9th Financial Markets and Corporate Governance PhD Symposium, Melbourne, 2018
- 2018 AFA Doctoral Student Travel Grant
- 2017 FIRN Annual Meeting PhD Travel Grant, Uluru, 2017
- 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, 2018
- 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 for an Exemplary Diploma Thesis, Prague, 2010
University of Iowa, Tippie College of Business
- Fall 2019: FIN:3200 Investment Management
University of Sydney Business School
- S2 2018 Derivative Securities
- S1 2018 Derivative Securities
- S1 2017 Capital Markets and Corporate Finance
- S2 2016 Derivative Securities
- S2 2015 Derivative Securities
Last updated in February 2020.