Professor Robert Brooks

Position

Casual

School /
Work Unit

Economics, Finance and Marketing

Contact Details

No Phone

Location

City Campus

College/Portfolio

Business

Qualifications

Prof. Robert Brooks

B. Ec. (Hons), PhD (Monash)

Overview

Teaching/Work responsibilities

The Assoc. Dean (Research) heads the Research Development Unit which is responsible for the facilitation and support of research in the business faculty.The unit manages the running of the faculty higher degrees and ethics committees, the faculty research grants scheme, the allocation of scholarships to postgraduate research students, provides an advisory role on research matters to staff and postgraduate research students in the faculty, and also provides advice to the Dean on research related matters, as well as providing a faculty perspective to the university R&D division.

Research Interests

My research has primarily been in the area of financial econometrics.Financial econometrics involves the application of econometric modelling techniques to model the behaviour of financial markets.A major theme of my research has been modelling of risk in Australian financial markets with a particular emphasis on analysing the impact of financial deregulation.My research program has extended into the study of Asian financial markets.This is consistent with the faculty’s heavy emphasis on teaching in Asia and has obvious synergies.In more recent years a key emphasis in the research program has been the recruitment of new participants into the research.These new participants have been either RMIT staff or postgraduate research students.This is part of a strategy to increase the research capability in the economics and finance discipline at RMIT to provide a platform for higher research output and greater numbers of postgraduate research students.

Research Projects, Consultancy and Student Project

Research Mentoring

An important aspect of my research program has been the involvement and mentoring of staff and students who are new to research.This has been part of a strategy to increase the research capacity within RMIT Business so as to facilitate an increase in both research output and postgraduate research students under supervision.

Grants

ARC Small Grant, The Relationship Between Risk Instability And Changes In Markets Conditions, $14,000, January 1995 to December 1995.

This grant was obtained from Monash University in collaboration with Robert Faff.The grant produced three refereed publications.Two of these publications (in Australian Economic Papers) study the impact of financial deregulation in the Australian economy on the beta risk of Australian universities.The third paper (in the Journal of Quantitative Economics) studied the impact of bull and bear phases of the stock market on the stability of beta risk.The research assistant employed under the project subsequently went on to complete a Masters by research at RMIT.

ARC Small Grant, Revisions To Macroeconomic Data And Their News Content For Financial Markets, $15,000, January 1996 to December 1996.

This grant was obtained from RMIT in collaboration with Sinclair Davidson and Ting-Yean Tan.The grant produced three refereed publications.The main paper (in Journal of International Financial Markets, Institutions and Money) analyses the news content for Australian financial markets of revisions to Australian macroeconomic data.The other two papers (both in Applied Economics Letters) analyse the quality of Australian macroeconomic data and the impact of data revisions on exchange rates.The research assistant employed under the project is a current PhD student at RMIT.

SPIRT Grant, The Development Of New Sub-Category Benchmark Indices On The Australian Stock Exchange, $20,756 per annum, January 1999 to December 2001.

This grant was obtained in collaboration with Sinclair Davidson (RMIT) and Andrew Gray (JB Were Stockbroking Ltd.).The project will construct new benchmark indices on the Australian Stock Exchange which can be used to assess stock market performance.The project will involve a PhD student on an APA(I) scholarship.The student who has taken up the scholarship obtained first class honours from the University of Newcastle and otherwise would not have come to RMIT.This project grew out of a joint seminar series run with JB Were Stockbroking Ltd. which enabled a sharing of research ideas and led to the development of this specific proposal.

External Research Grants, Tenders and Contracts

ARC Small Grant, The Relationship Between Risk Instability And Changes In Markets Conditions, $14,000, January 1995 to December 1995.

This grant was obtained from Monash University in collaboration with Robert Faff. The grant produced three refereed publications. Two of these publications (in Australian Economic Papers) study the impact of financial deregulation in the Australian economy on the beta risk of Australian universities. The third paper (in the Journal of Quantitative Economics) studied the impact of bull and bear phases of the stock market on the stability of beta risk. The research assistant employed under the project subsequently went on to complete a Masters by research at RMIT.

ARC Small Grant, Revisions To Macroeconomic Data And Their News Content For Financial Markets, 15,000, January 1996 to December 1996.

This grant was obtained from RMIT in collaboration with Sinclair Davidson and Ting-Yean Tan. The grant produced three refereed publications. The main paper (in Journal of International Financial Markets, Institutions and Money) analyses the news content for Australian financial markets of revisions to Australian macroeconomic data. The other two papers (both in Applied Economics Letters) analyse the quality of Australian macroeconomic data and the impact of data revisions on exchange rates. The research assistant employed under the project is a completed PhD student at RMIT.

The Pratt Foundation, Efficiency And Accountability In Charitable Organisations In Australia, $10,000 per annum, March 1998 to February 2001.

This research contract was obtained in collaboration with Sinclair Davidson. The research contract was used to fund a scholarship for a PhD student to work on the topic area. The student successfully completed her PhD.

ARC SPIRT Grant, The Development Of New Sub-Category Benchmark Indices On The Australian Stock Exchange, $25,756 per annum, January 1999 to December 2001.

This grant was obtained in collaboration with Sinclair Davidson (RMIT) and Andrew Gray (JB Were Stockbroking Ltd.). The project assesses the construction of benchmark indices on the Australian Stock Exchange which can be used to assess stock market performance. The project involved a PhD student on an APA(I) scholarship. The student who has taken up the scholarship obtained first class honours from the University of Newcastle and otherwise would not have come to RMIT. This project grew out of a joint seminar series run with JB Were Stockbroking Ltd. which enabled a sharing of research ideas and led to the development of this specific proposal. The student has passed his PhD and produced 4 papers, 2 of which have recently been published in journals (Accounting Research Journal, Accounting, Accountability & Performance).

William Noall Ltd, Developing Socially Responsible Investment Criteria, $12,500, May 2001 to November 2001.

This research contract was obtained in collaboration with Sinclair Davidson. The research contract has been used to fund scholarships for postgraduate students to work on the topic area. Australian International Hotel School, The Economic Impact of the Australian International Hotel School, $25,000, August 2001 to December 2001 This tender involves a research team from RMIT of which I am the project leader. The project is designed to measure the economic impact of the Australian International Hotel School on the economy of Australia and the ACT

AUSTROADS, Benefits of Road Investment to Assist Tourism, $54,000 August 2001 to March 2002

This tender involves a research team from RMIT of which I am the project leader. The project examines the linkages between tourism and transport planning and provides a framework for the economic evaluation of such links.

Siemens Ltd, The Implications and Effects on the Culture of Siemens Ltd as it shifts from being primarily a manufacturing/engineering company to a Fully Integrated Service Company, $20,500, January 2002 to July 2002.

This research contract is in collaboration with Jenny Diggle and has been used to fund a scholarship for an honours student to work on the broad topic area.

Taxpayers Research Foundation, Do R&D Tax Concessions Add Value, $46,255, May 2002 to April 2003

This grant was obtained in collaboration with Sinclair Davidson. The project involves a study of the determinants of R&D activity in Australian organizations, and the capital market valuation of R&D activity. The project has produced 4 papers, 1 of which is currently forthcoming in Economic Papers. In addition the work has provided the basis for a current ARC Discovery grant application.

Universal Postal Union, Knowledge Base Case Study, $15,000, July 2002 to November 2002

This research contract is in collaboration with Pam Green and has been used to fund a scholarship for an honours student to work on the broad topic area. A paper reporting the results of this project is forthcoming in the International Journal of Knowledge, Culture and Change Management.

Department of Industry, Innovation and Regional Development & Southern Grampians Shire Council, The Economic Impact of RMIT Hamilton, $15,000, October 2002 to December 2002

This tender involves a research team from RMIT of which I am the project leader. The project is designed to measure the economic impact of RMIT Hamilton on the local economy. A paper reporting the results of this project is forthcoming in the International Journal of Knowledge, Culture and Change Management.

ARC Discovery Grant, A Complex Systems Approach to Modelling Time Varying Risk in the Presence of Market Frictions, January 2003 to December 2005, 2003 - $40,000, 2004&2005 - $38,000 per annum

This grant was obtained in collaboration with Robert Faff (Monash) and Tim Fry. The project will model time varying beta risk of individual companies in the presence of censoring constraints. To date 2 papers have submitted to journals on the results from the first year of the project and work is currently progressing on the modelling exercise. ARC Linkage Grant, Valuations and Business Models for Biotechnology Companies, January 2003 to December 2005, 28,033 per annum

This grant was obtained in collaboration with Roslyn Russell, Gina Nicoletti and Bob Borland (BioDiem Ltd). The project involves an APA(I) student and will analyse valuations and business models for Australian biotechnology companies.

ARC Linkage Grant, Censored Regression Techniques for Credit Scoring, January 2003 to December 2005, 28,033 per annum

This grant was obtained in collaboration with Peter Smith. The project involves an APA(I) student and will analyse credit scoring in a bank loan portfolio. The industry partners are the ANZ Bank and BPN Consulting.

ARC Linkage Grant, Demand and Supply for the Creative Arts in Rural and Regional Victoria, January 2004 to December 2006, 28,033 per annum

This grant was obtained in collaboration with Roslyn Russell and Judy Morton (Arts Victoria). The project involves an APA(I) student and will analyse the demand and supply for the creative arts in rural and regional Victoria.

Publications

Books

Brooks , R. and Fausten, D. (1998), Macroeconomics In the Open Economy, Longman.

Brooks , R., Morley, C., Kam, B., Stewart, M., Diggle, J. and Gangemi, M. (2003), Benefits ofRoad Investment to Assist Tourism, Austroads Publication AP-R225/03, Austroads Incorporated.

McKenzie, M. and Brooks , R. (1999), Research Design Issues In Time Series Modelling of Financial Market Volatility, McGraw - Hill Series in Advanced Finance, Vol. 2, McGraw - Hill.

Book Chapters

Brooks , R. and Sayers, R. (2002), Trends In Printed Matter Exports, in B.Cope and C.Ziguras (eds.), The International Publishing Services Market, Common Ground Publishing.

Conference Papers

Boucher, C. and Brooks , R. (2002), Changing Times, Changing Research, Changing egrees: Supervising and Managing the First PhD by Project Undertaken in a Business Faculty, paper presented to the 2002 RMIT Research on Research Conference.

Brooks , R. (2003), Time Varying Betas on China’s A and B Share Indices, paper presented to the 15th Annual ACESA Conference, Melbourne 2003.

Brooks , R. and Merlot, L. (2002), Changing candidature approval processes: A review of the RMIT Business panel review of candidature process, paper presented to the 2002 Quality in Postgraduate Research conference, Adelaide.

Holian, R. and Brooks , R. (2003), Ethical Issues and Insider Research in Organisations, paper presented to the 2003 NHMRC/AHEC Conference on Ethics in Human Research.

Jones, S., Brooks , R., Maldonado, D. and Russell, R. (2003), Researching Innovation in the Knowledge Economy: How a Mixture of Disciplines and Methods Might Work, paper presented to the 2003 RMIT Research on Research Conference.

Leeprechanon, N., Moorthy, S., Brooks , R. and David, A.K. (2000), A Review of Major Factors in Restructuring Power Markets in Developing Countries, 5th International Conference on Advances in Power System Control, Operation and Management.

Leeprechanon, N., David, A.K., Moorthy, S., Brooks , R. and Liu, F.B. (2001), Restructuring of Electricity Supply Industry in Developing Countries: Lessons from Thailand, Portland International Conference on Management of Engineering and Technology.

Leeprechanon, N., Moorthy, S., Brooks , R., David, A.K. and Wen, F. (2001), Transmission Planning in Deregulated Systems: A Model for Developing Countries, IEEE Porto Power Tech Conference.

Leeprechanon, N., Moorthy, S., Brooks , R., Ellis, M. and Sappakitkamjorn, J. (2002), A Systems Decision Modelling Approach to Electrical Generation Capacity Planning, 12 th Annual Symposium International Council on Systems Engineering (INCOSE2002).

Leeprechanon, N., David, A.K., Moorthy, S., Brooks , R. and Nealand, J. (2002), Market Power in Developing Countries, International Conference on Power System Technology (Powercon2002).

Lin, D.Z. and Brooks , R. (2003), Teamwork Model and its Applications to Transaction Cost Economy with a Consideration of Human Behaviour, paper presented to The Management Conference: The Third International Conference on Culture and Change in Organisations.

Unnithan, C., Swatman, P. and Brooks , R. (2002), Do Dot.coms Add Value: A Preliminary Study of the Market Capitalisation of Australian and Indian Telecoms and Banking Sectors, Proceedings of the Thirteenth Australasian Conference on Information Systems, Enabling Organisations and Society through Information Systems, Volume 2.

Refereed Journal Papers

1991:1(1)

Brooks , R. (1991), A Social Loss Approach to Testing The Efficiency of Australian Financial Futures, Australian Economic Papers 30, 192-201.

1992:1(2)

Brooks , R., Faff, R.W. and Lee, J. (1992), The Form of Time Variation of Systematic Risk: Some Australian Evidence, Applied Financial Economics 2, 191-198.

1993:2(4)

Brooks , R. (1993) Alternative Point Optimal Tests for Regression Coefficient Stability, Journal of Econometrics 57, 365-376.

Fry, T., Brooks , R., Comley, B. and Zhang, J. (1993) Economic Motivations for Limited Dependent and Qualitative Variable Models, Economic Record 69, 193-205.

1994:4(8)

Brooks , R. (1994), The Unbiased Prediction Hypothesis in Futures Markets: A Varying Coefficient Approach, Accounting Research Journal 7, 33-41.

Brooks , R., Faff, R.W. and Lee, J. (1994) Beta Stability and Portfolio Formation, Pacific- Basin Finance Journal 2, 463-479.

Brooks , R. and King, M.L. (1994a), Testing Hildreth-Houck Against Return to Normalcy Random Regression Coefficients, Journal of Quantitative Economics 10, 33-52.

Brooks , R. and King, M.L. (1994b) Hypothesis Testing of Varying Coefficient Regression Models: Procedures and Applications, Pakistan Journal of Statistics 10, 301-357.

1995:3(11)

Brooks , R. (1995) The Robustness of Point Optimal Testing for Rosenberg Random Regression Coefficients, Econometric Reviews 14, 35-53.

Brooks , R., and Faff, R.W. (1995) Financial Market Deregulation and Bank Risk: Testing for Beta Instability, Australian Economic Papers 34, 180-199.

Brooks , R. and Michaelides, P. (1995), Autocorrelations, Returns and Australian Financial Futures, Applied Economics Letters, 2, 323-326.

1996:3(14)

Brooks , R., Faff, R.W. and Ariff, M., (1996) The Nature and Extent of Beta Instability in the Kuala Lumpur Stock Market, Capital Markets Review 4, 1-14.

Brooks , R. and Sheehan, M. (1996) Forecast Error and Social Loss Approaches to Testing the Efficiency of Australian Financial Futures, Australian Economic Papers 35, 132-140.

Fausten, D. and Brooks , R. (1996) The Balancing Item in Australia’s Balance of Payments Accounts: An Impressionistic View, Applied Economics 28, 1303-1311.

1997:14(28)

Brooks , R. (1997) Using a Sequence of Point Optimal Tests to Select a Varying Coefficient Model, Communications in Statistics 26, 671-685.

Brooks , R., Davidson, S. and Faff, R.W. (1997) An Evaluation of the Effects of Major Political Change on Stock Volatility: The South African Experience, Journal of International Financial Markets, Institutions and Money 7, 255-275.

Brooks , R. and Faff, R.W., (1997a) A Note on Beta Forecasting, Applied Economics Letters 4, 77-78.

Brooks , R. and Faff, R.W., (1997b) Beta Forecasting in Malaysia: A Note, Malaysian Management Review 32, 48-50.

Brooks , R., and Faff, R.W., (1997c) Financial Deregulation and Relative Risk of Australian Industry, Australian Economic Papers 36, 308-320.

Brooks , R., Faff, R.W., Gangemi, M., and Lee, J., (1997) A Further Examination of the Effect of Diversification on the Stability of Portfolio Betas, Applied Financial Economics 7, 9-14.

Brooks , R., Faff, R. and Ho. Y.K., (1997), A New Test of the Relationship between Regulatory Change in Financial Markets and the Stability of Beta Risk of DepositoryInstitutions, Journal of Banking and Finance 21, 197-219.

Brooks , R., Faff, R.W. and Josev, T., (1997) Beta Stability and Monthly Seasonal Effects: Evidence from the Australian Capital Market, Applied Economics Letters 4, 563-566.

Brooks , R., Faff, R.W. and Mckenzie, M. (1997) Bivariate GARCH Estimation of Beta Risk in the Australian Banking Industry, Accountability and Performance 3, 81-102.

Brooks , R., Faff, R.W. and Slade, P. (1997), An Investigation of the Level and Stability of Beta Risk Across New Zealand Industries, Pacific Accounting Review 9, 37-58.

Brooks , R., Fry, T. and Harris, M. (1997) The Size and Power Properties of Combining Choice Set Partition Tests for the IIA property in the Logit Model, Journal of Quantitative Economics 13, 45-61.

Brooks , R. and Lee, J. (1997) The Stability of ARCH Models Across Australian Financial Futures Markets, Applied Financial Economics 7, 347-359.

Faff, R.W. and Brooks , R.D., (1997) Further Evidence on the Relationship between Beta Stability and the Length of Estimation Period, Advances in Investment Analysis and Portfolio Management 4, 97-113.

McKenzie, M. and Brooks , R. (1997) The Impact of Exchange Rate Volatility on US-German Trade Flows, Journal of International Financial Markets, Institutions and Money 7, 73-87.

1998:9(37)

Brooks , R., Berman, G. and Davidson, S. (1998), The Nature and Extent of Revisions to Australian Macroeconomic Data, Applied Economics Letters 5, 169-174.

Brooks , R., Berman, G., Davidson, S. and Tan, T.Y. (1998), Is There a Common Response in Australian Bilateral Exchange Rates Following Current Account Announcements, Applied Economics Letters 5, 645-648.

Brooks , R. and Faff, R.W. (1998), A Test of a Two-factor APT Based on the Quadratic Market Model: International Evidence, Studies in Economics and Econometrics 22, 65-76.

Brooks , R., Faff, R.W. and Ariff, M., (1998) An Investigation into the Extent of Beta Instability in the Singapore Stock Market, Pacific-Basin Finance Journal 6, 87-101.

Brooks , R., Faff, R.W. and Mckenzie, M. (1998) Time Varying Beta Risk of Australian Industry Portfolios: A comparison of modelling techniques, Australian Journal of Management 23, 1-22.

Brooks , R., Fry, T. and Harris, M. (1998), Combining Choice Set Partition Tests for IIA: Size Properties in the Four Alternative Settings, Journal of Quantitative Economics 14,1-9.

Faff, R.W. and Brooks , R. (1998a) Time-Varying Beta Risk for Australian Industry Portfolios: An exploratory analysis, Journal of Business Finance and Accounting 25, 721-745.

Faff, R.W. and Brooks , R. (1998b), Some New Evidence on the Relationship Between Beta Stability and Market Conditions, Journal of Quantitative Economics 14, 67-83.

Liew, K.Y. and Brooks , R. (1998) Returns and Volatility in the Kuala Lumpur Crude Palm Oil Futures Market, Journal of Futures Markets 18, 985-999.

1999: 9(46)

Brooks , R., Berman, G., Davidson, S. and Tan, T.Y. (1999), Announcements and Revisions of Australian Macroeconomic Data and Their News Content for Australian Financial Markets, Journal of International Financial Markets, Institutions and Money 9, 195-215.

Brooks , R., Copp, J. and Risman, S. (1999), Currency Risk in Forward Foreign Exchange Markets, Asia-Pacific Journal of Economics and Business 3, 48-59.

Copp, J. and Brooks , R. (1999a), The Economic Costs of Forward Mispricing, Accounting Research Journal 12, 229-232.

Copp, J. and Brooks , R. (1999b), Variance Ratio Testing of the Australian Forward Foreign Exchange Market, Applied Economics Letters 6, 417-419.

Diggle, J., Brooks , R. and Shannon, J. (1999), International Diversification of the Funds Management Industry, Applied Economics Letters 6, 663-667.

Gangemi, M., Brooks , R. and Faff, R.W. (1999a), Mean Reversion and the Forecasting of Country Betas: A Note, Global Finance Journal 10, 231-245.

Gangemi, M., Brooks , R. and Faff, R.W. (1999b), Country Betas, Their Time Sensitivity and the International Crash of October 1987, International Journal of Finance 11, 1390-1399.

Ragunathan, V., Faff, R.W. and Brooks , R., (1999) Correlations, Business Cycles and Integration, Journal of International Financial Markets, Institutions and Money 9, 75-95.

Trivedi, A. and Brooks , R. (1999), Autocorrelations, Returns and Australian Stock Indices, Applied Economics Letters 6, 581-584.

2000: 9(55)

Berman, G., Brooks , R., and Davidson, S. (2000), The Sydney Olympic Games Announcement and Australian Stock Market Reaction, Applied Economics Letters 7, 781- 784.

Brooks , R., Faff, R.W., Ho, Y.K. and Mckenzie, M. (2000), US Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach, Review of Quantitative Finance and Accounting 14, 17-43.

Brooks , R., Faff, R.W., Mckenzie, M. and Mitchell, H. (2000), A Multi-Country Study of Power ARCH Models and National Stock Market Returns, Journal of International Money and Finance 19, 377-397.

Gangemi, M., Brooks , R. and Faff, R.W. (2000), Modelling Australia’s Country Risk: A Country Beta Approach, Journal of Economics and Business 52, 259-276.

Lie, F., Brooks , R. and Faff, R. (2000), Modelling the Equity Beta Risk of Australian Financial Sector Companies, Australian Economic Papers 39, 301-311.

McKenzie, M., Brooks , R. and Faff, R.W. (2000), The Use of Domestic and World Market Indexes in the Estimation of Time Varying Betas, Journal of Multinational Financial Management 10, 91-106.

McKenzie, M., Brooks , R., Faff, R.W. and Ho, Y.K. (2000) Exploring the Economic Rationale of Extremes in GARCH Generated Betas: The Case of US Banks, Quarterly Review of Economics and Finance 20, 85-106.

Ragunathan, V., Faff, R.W. and Brooks , R. (2000), Australian Industry Beta Risk, the Choice of Market Index and Business Cycles, Applied Financial Economics, 10, 49-58.

Yong, L., Brooks , R. and Faff, R.W. (2000), A Test of Beta Instability for Hong Kong Industry Portfolios, International Journal of Finance, 12, 1653-1663.

2001: 9 (64)

Bollen, B., Brooks , R. and Faff, R.W. (2001), An Empirical Examination of the Required Number of Leading and Lagged Terms in Estimating The Dimson Beta: An Updated AnalysisAccounting, Accountability and Performance 7, 23-30.

Brooks , R., Faff, R. and Fry, T (2001), GARCH Modelling of Individual Stock Data: The Impact of Censoring, Firm Size and Trading Volume, Journal of International Financial Markets, Institutions and Money 11, 215 222.

Brooks , R., Faff, R.W., and Josev, T. (2001), An Empirical Investigation of The Cross – Industry Variation in Mean Reversion of Australian Stock Returns, Pacific Accounting Review 13, 1-16.

Brooks , R., Fausten, D. and Silvapulle, P. (2001), Causality in International Capital Movements: The Income Mobility of Australian Investment Abroad, Accounting Research Journal, 14, 58-64.

Brooks , R. and Silvapulle, P. (2001), Testing for Linear and Nonlinear Granger Causality between the Australian Current Account and Trade Weighted Index, Journal of Quantitative Economics 17, 102-116.

Faff, R.W., Brooks , R. and Tan, P.F. (2001), A Test of a New Dynamic CAPM, Advances In Investment Analysis and Portfolio Management 8, 133-159.

Josev, T., Brooks , R. and Faff, R.W. (2001), Testing a Two Factor APT Model on Australian Industry Equity Portfolios: The Effect of Intervaling, Applied Financial Economics 11, 157- 163.

McKenzie, M., Mitchell, H., Brooks , R. and Faff, R.W. (2001), Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange, European Journal of Finance 7, 22-38.

Thomas, S. and Brooks , R. (2001), Garch-Based Hedge Ratios for Australian Share Price Index Futures: Does Asymmetry Matter?, Accounting, Accountability and Performance 7, 61- 76.

2002: 4 (68)

Brooks , R. and Davidson, S. (2002), Trade Flows in Pacific Basin Economies: Investigating the Bounce Back Hypothesis, Economic Papers 21, 71-85.

Brooks , R., Faff, R.W. and McKenzie, M. (2002), Time Varying Country Risk: An Assessment of Alternative Modelling Techniques, European Journal of Finance 8, 249-274.

Brooks , R., Faff, R. and Sokulsky, D. (2002), An Ordered Response Model of Test Cricket Performance, Applied Economics 34, 2353-2365.

Faff, R.W., Brooks , R. and Ho, Y.K. (2002), New Evidence on the Impact of Financial Leverage on Beta Risk: A Time Series Approach, North American Journal of Economics andFinance 13, 1-20.

2003: 11 (79)

Brooks , R. (2003), Econbase Downloads and the Ranking of Australian University Economics Research: A Comparative Study, Economic Papers 22, 21-29.

Brooks , R., Davidson, S. and Faff, R.W. (2003), Sudden Changes in Property Rights: The Case of Australian Native Title, Journal of Economic Behavior and Organization 52, 427- 442.

Brooks , R., Faff, R.W., Hillier, D. and Hillier, J. (2003), Do Stock Markets React to the Rerating of Sovereign Risk? JASSA 4, 2-8.

Brooks , R. and Ragunathan, V. (2003), Returns and Volatility on the Chinese Stock Markets, Applied Financial Economics 13, 747-752.

Brooks , R., Stewart, M. and Gangemi, M. (2003), Measuring the Impact of Knowledge Based Institutions on National and Local Economies, International Journal of Knowledge, Culture and Change Management 3, 521-550.

Dimovski, W. and Brooks , R. (2003), Financial Characteristics of Australian Initial Public Offerings from 1994 to 1999, Applied Economics 35, 1599-1607.

Keane, P., Brooks , R. and Green, P. (2003), Developing a Knowledge Base for Postal Organisations, International Journal of Knowledge, Culture and Change Management 3, 23- 34.

Lai, E., Brooks , R. and Faff, R.W. (2003), Mean Reversion of Skewness: International Evidence, International Journal of Finance 15, 2619-2627.

McKenzie, M and Brooks , R. (2003), The Role of Information in Hong Kong Individual Stock Futures Trading, Applied Financial Economics 13, 123-131.

Sokulsky, D. Brooks , R. and Davidson, S. (2003), Time Varying Volatility and Beta Patterns of Sub-indexes on the Australian Stock Exchange, Accounting Research Journal 16, 117-132.

Sokulsky, D., Brooks , R. and Davidson, S. (2003), Price Effects of Changes to Size Subindexes on the Australian Stock Exchange, Accounting, Accountability and Performance 9, 67-88.

2004: 6 (85)

Brooks , R. and Davidson, S. (2004), How Much R&D Should Australia Undertake, Economic Papers 23, 165-174.

Brooks , R., Faff, R.W., Fry, T. and Newton, E. (2004), Censoring and its Impact on Multivariate Testing of The Capital Asset Pricing Model, Applied Financial Economics 14, 413-420.

Brooks , R., Faff, R.W., Hillier, D. and Hillier, J. (2004), The National Market Impact of Sovereign Rating Changes, Journal of Banking and Finance 28, 233-250.

Dimovski, W. and Brooks , R. (2004), Do You Really Want to ask an Underwriter How Much Money You Should Leave on the Table, Journal of International Financial Markets, Institutions and Money 14, 267-280.

Dimovski, W. and Brooks , R. (2004), Initial Public Offerings in Australia 1994 to 1999: Recent Evidence of Underpricing and Underperformance, Review of Quantitative Finance and Accounting 22, 179-198.

Maldonado, D. and Brooks , R. (2004), ARC Linkage Projects and Research Intensive Organisations: Are Research Intensive Organisations Likely to Participate, Economic Papers 23, 175-188.

Forthcoming: 8 (93)

Brooks , R., Davidson, S. and Jackson, M. (2004), The Price of Discrimination: An Australian Analysis, Economic Papers, forthcoming.

Brooks , R. and Dimovski, W., (2003), Hot Issues, New Economy Stocks and Australian Industry IPO Returns in the Late 1990s, International Journal of Knowledge, Culture and Change Management, forthcoming.

Brooks , R., Faff, R., Fry, T. and Gunn, L. (2004), Censoring and its Impact on Beta Risk Estimation, Advances in Investment Analysis and Portfolio Management, forthcoming.

Brooks , R., Faff, R.W., Fry, T. and Newton, E. (2004), The Selectivity Corrected Market Model and Heteroscedasticity in Stock Returns: Yet Another Look At Volume Versus Garch,

Accounting Research Journal, forthcoming.

Dimovski, W. and Brooks , R. (2004), Stakeholders Representation on the Boards of Australian Initial Public Offerings, Applied Financial Economics, forthcoming.

Dimovski, W. and Brooks , R. (2003), Promise More, Leave Less. The Importance of Dividend Forecasts in Initial Public Offerings, International Journal of Knowledge, Culture and Change Management, forthcoming.

Dimovski, W. and Brooks , R. (2004), Putting Their Money Where Their Mouth Is – The Importance of Shareholder Directors Post Listing, Accounting Research Journal, forthcoming.

Lai, E. Brooks , R. and Faff, R.W. (2004), Persistence and Predictability of Skewness in Country Equity Market Returns, Journal of Quantitative Economics, forthcoming.

Work in Progress

Brooks , R. (2004), Ranking Economics Research Output by Econbase Downloads: A Comparison to Publication Based Measures.

Brooks , R. (2004), Benchmarking University Research Performance Using RRTMR Data.

Brooks , R. (2004), A Citation Impact Analysis of ARC Discovery and Linkage Grant Investigators.

Brooks , R. and Davidson, S. (2004), Are There R&D Spillover Effects: Australian Evidence.

Brooks , R. and Davidson, S. (2004), R&D, Agency Costs and Capital Structure: International Evidence.

Brooks , R. and Davidson, S. (2004), Do R&D Tax Credits Crowd Out Dividend Franking Credits.

Brooks , R., Davidson, S. and Gangemi, M. (2004), R&D in Australia: Determinants and Valuation Effects.

Brooks , R., Faff, R.W., Fry, T. and Bisoondoyal-Bheenick, E. (2004), Alternative Risk Estimators in Cases of Extreme Thin Trading: Canadian Evidence.

Brooks , R., Faff, R.W., Fry, T. and Maldonado, D. (2004), Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case.

Brooks , R., Faff, R.W. and Sokulsky, D. (2004), The Stock Market Impact of German Reunification: International Evidence.

Brooks , R. and Lye, C.S. (2004), The Impact of Capital Controls on Malaysian Banking Industry Betas.

Diggle, J. and Brooks , R. (2004), The Target Cash Rate and Its Impact on Investment Asset Returns in Australia.

Diggle, J., Brooks , R. and Stewart, M. (2004), Credit Wrapping and Local Infrastructure Investment.

Dimovski, W. and Brooks , R. (2004), Dividend Forecasts and Dividend Payments of Initial Public Offerings – When Zero Means Zero and No Comment Most Likely Means Zero.

Dimovski W. and Brooks , R. (2004), Industry Characteristics of Australian Initial Public Offerings from 1994 to 1999.

Dimovski, W. and Brooks , R. (2004), The Underpricing of Property Trust IPOs in Australia.

Dimovski, W. and Brooks , R. (2004), The Gender Composition of Boards of Directors Before and After an Initial Public Offering.

Dimovski, W. and Brooks , R. (2004), The Importance of Intangible Assets in Initial Public Offerings.

Faff, R.W., Brooks , R. and Ho, Y.K. (2004), A Simple Test of the Risk Class Hypothesis.

Jugurnath, B., Stewart, M. and Brooks , R. (2004), Dividend Taxation and Corporate Investment: A Comparative Study Between The Classical System and Imputation System of Dividend Taxation in the United States and Australia.

Maynes, G., Brooks , R., and Davidson, S. (2004), Singaporean Economic Growth, Education and Human Capital Accumulation, 1974-96.

Parkatt, G., Davidson, S. and Brooks , R. (2004), Testing the CAPM and Performance Measurement for Thai Mutual Funds.

Ragunathan, V., Faff, R.W. and Brooks , R. (2004), Correlations, Integration and Hansen- Jagannathan Bounds.

Sokulsky, D., Brooks , R. and Davidson, S. (2004), Price Effects of the Introduction of MSCIs Enhanced Methodology on the Constituents of the MSCI Australian Country Index.

Supervision projects

PhD students

Senior Supervisor – Completed

  • Berman, G. A Charity Case – Efficiency and Accountability of Nonprofit Welfare Organisations in Australia, Economics and Finance, RMIT, 2001.
  • Chan, D. The Role of Information In Stock Pricing In The Hong Kong Stock Market, Economics and Finance, RMIT, 1998.
  • Diggle, J. When Cash Is King – The Optimal Management of an Asset Allocation to Cash, Economics and Finance, RMIT, 2002.
  • Gionea, J. Trends/Prospects In The Global Grain Sector: The Opportunities For Australia’s Grain Industry, Economics and Finance, RMIT, 2003.
  • Lin, D. Investment Decision Making Under Uncertainty: A Residual Character Approach, Economics and Finance, RMIT, 1998.
  • McKenzie, M. Australian Exchange Rate Volatility: Modelling, Forecasting And Assessing The Impact On Trade Flows, Economics and Finance, RMIT, 1997
  • Sokulsky, D. An Empirical Investigation into the Price Effects Associates with Constituent Changes to Australian Equity Indices, Economics and Finance, RMIT, 2002.

Second Supervisor – Completed

  • Anderson, J. Trading Rules and Money Management, Economics and Finance, RMIT, 2002.
  • Davidson, S. South African Corporate Structures In An Agency Theory Framework, Economics and Finance, RMIT, 1999.
  • Di Iorio, A. An Analysis of the Exchange Rate Exposure of the Australian Equities Market, Economics and Finance, RMIT, 2002.
  • Hart, K. Modelling The Asset Allocation Process And The Effectiveness Of Models Through Time, Communications And Informatics, VUT, 2000.
  • Lai, E. The Role of Return Skewness In Financial Modelling: Some International Evidence, Economics and Finance, RMIT, 2000.
  • Leeprechanon, N. A Pricing Optimisation Model For Transmission Services Open Access In The Competitive Electricity Supply Industry In Thailand, Electrical Engineering, RMIT, 2003.
  • Parkaft, G. The Role Of Equity Factors In Explaining The Cross-sectional Variation In Stock Returns In The Thai Capital Market, Economics and Finance, RMIT, 2002.
  • Ragunathan, V. Integration Of And Correlations Between National Stock Market Indicies, Economics and Finance, RMIT, 1999.

Senior Supervisor – In Progress

  • Bissoondoyal-Bheenick, E., Sovereign and Australian Credit Ratings: Determinants and Valuation Effects, Economics and Finance, RMIT.
  • Gangemi, M. Modelling Regional Economic Development, Economics and Finance, RMIT.
  • Hallahan, T. Examination Of The Characteristics And Performance Of Investment AndSuperannuation Funds, Economics and Finance, RMIT.
  • Lambrick, S. An Assessment and Test of the Arbitrage Pricing Theory in Australia: 1974 to 1999: A Macro Variables Approach, Economics and Finance, RMIT.
  • Loh, J., A Framework for the Valuation of Biotechnology Companies, Economics and Finance, RMIT.
  • Wang, Y. Development of China’s Capital Markets, Economics and Finance, RMIT.
  • Yip, A. An Intelligent Approach to Business Failure Prediction, Business Information Technology, RMIT.

Second Supervisor – In Progress

  • Cam, M. The Stock Market Consequences of Terrorist Events, Economics and Finance, RMIT.
  • Glasson, S. Censoring Regression Techniques for Credit Scoring, Statistics, RMIT.
  • Jens, P. Valuations and Business Models for Biotechnology Companies, Economics and Finance, RMIT.
  • Jugurnath, B. An Analysis of an Integrated Tax System in APEC, Economics and Finance, RMIT.
  • Maldonado, D. Knowledge Development Between Industries and Universities, Management, RMIT.
  • Masters, T. Demand and Supply for the Creative Arts in Rural and Regional Victoria, Economics and Finance, RMIT.

DBA Students

Senior Supervisor – Completed

  • Dimovski, B. Characteristics Of Initial Public Offerings In Australia 1994 to 1999: Recent Evidence of Initial Day Underpricing and Longer Term Underperformance, Management, RMIT, 2002.

Master of Business (Research) Students

Senior Supervisor – Completed

  • Gangemi, M. Country And Industry Beta Risk: Stability, Mean Reversion And The Role Of Macroeconomic Variables, Economics and Finance, RMIT, 1999

Second Supervisor – Completed

  • Piriyapant, G. An Analysis Of The Thai Mutual Fund Industry, Economics and Finance, RMIT, 1999.

Industry experience

Submissions to Government Inquiries

Brooks , R. (2002), submission 17 to Issues Papers on Higher Education at the Crossroads,
http://www.backingaustraliasfuture.gov.au/submissions/issues_sub/issues1.htm

Brooks , R. (2003), submission 7 to the Senate Employment, Workplace Relations and Education Committee inquiry on Hacking Australia’s Future,
http://www.aph.gov.au/Senate/committee/eet_ctee/highered2003/submissions/sublist.htm

Brooks , R. (2004), submission 22 to the Senate Employment, Workplace Relations and Education Committee inquiry on Student Income Support,
http://www.aph.gov.au/Senate/committee/eet_ctte/studentincome04/submissions/sublist.htm

Diggle, J., Brooks , R. and Tucker, G., (2002), submission 12 to the Commonwealth Debt Management Review,
http://www.debtreview.treasury.gov.au/public_sub.asp

Print Media

Number Crunchers See Few Potential Winners At Olympics, The Australian, 22 July 1997.

Nation Prepares For APEC Forum, China Daily, 3 August 2000.

Central Bank Watch: China’s State Banks Still Dominant, Dow Jones International News, 8 August.

Market Response To Revised Data, The Australian Financial Review, 19 September 2000.

Fuelling The Debate, Melbourne Express, 5 April 2001.

Flip Side To Foreign Debt, MX, 22 October 2001.

Shock Tactics, MX, 11 December 2001.

No Magic Number For Stock Portfolio, MX, 15 May 2002.

Lock-up Policy Costly, MX, 24 July 2002.

Power Spend-up, Preston Leader, 10 September 2002.

Power Spend-up, Northcote Leader, 11 September 2002.

Cash Is Switched Off, Coburg Moreland Leader, 16 September 2002.

Cash Is Switched Off, Brunswick Moreland Leader, 16 September 2002.

Windfall Burns Out, Manningham Leader, 18 September 2002.

RMIT Has Major Economic Impact, Hamilton Spectator, 15 May 2003.

Places Still Fall Short In Reforms, The Australian, 4 June 2003.

Loan Scheme May Turn Profit, The Australian Financial Review, 27 June 2003.

Student Loan Plan Comes Under Fire, The Age, 22 September 2003

Radio

Reserve Bank of Australia Cuts Official Interest Rates, 3AK, 3 October 2001.

The Great Academic Debate: RMIT vs Swinburne, 3AW, 19 November 2002.

Television

Reserve Bank of Australia Raises Official Interest Rates, SBS World News, 5 June 2002.

US-Australia Free Trade Agreement, SBS World News, 7 August 2002.

US-Australia Free Trade Agreement, SBS World News, 21 July 2003.