A focus of research has been the interplay between risk and financial return in capital markets. In this area, I have addressed such issues as the relation between risk (as the variability of outcomes) and returns. This has led to an understanding of how random movements in stock prices (noise) might be manipulated to improve investment performance. Investors’ required return on financial assets (which equates with a firm’s cost of capital as the hurdle rate for its investment activity) is complicated by many factors (personal taxes and the Australian imputation tax system, as examples), which I clarify over a series of articles. I have also contributed with articles that have been critical of the status allocated to such core paradigms in Finance as the Modigliani and Miller propositions, the capital asset pricing model (CAPM), as well as the Fama and French three-factor model.
My most important contributions are encapsulated in my book in 2015: Stock Markets, Investments and Corporate Behavior: A Conceptual Framework of Understanding, (author Michael Dempsey, published by Imperial College Press with World Scientific).
My contributions across financial markets have also been published in leading international journals, including: Journal of Banking and Finance (2), Financial Analysts Journal (2), European Financial Management (1), Abacus (3), Journal of Investment Management (2), Australian Journal of Management (2), Journal of Business Finance and Accounting (3), Accounting and Business Research (3), Critical Perspectives on Accounting (3), Applied Economics (1), Accounting and Finance (1), Journal of International Financial Markets, Institutions & Money (1), Journal of Asset Management (1) and Australian Tax Forum (1).
Research Projects and Funding 2006-2012
2009-2012 ($165,000) ARC Linkage Grant: Chief investigator with Madhu Veeraraghavan, Paul Lajbcygier, Robert Faff and industry partners of Victoria Funds Management Corporation (VFMC) for “An Empirical Examination of Non-Market Capitalisation Weighted Indices in Australia“.
2008-2009 ($45,000) DIIRD (Department of Innovation, Industry and Regional Development) grant:with Madhu Veeraraghavan and Jay Wickramanayake and partners Invest Victoria for “Inward Direct Foreign Investment (FDI) into the State of Victoria: Improving the Quality of Investment Project Reporting“.
2010 ($6,000) Australian Centre for Financial Studies:Chief Investigator for “Rankings for Australian Managed Funds: A case of Performance Index Failure?“
2007 ($11,000) Melbourne Centre for Financial Studies: recipient for “The Evidence for Fundamental Indexation“.
2006 ($11,000) Melbourne Centre for Financial Studies, 2006:Chief Investigator for “Alternative Risk Indices for the Mutual Fund Industry“.
2006 ($10,000) Melbourne Centre for Financial Studies, 2006:Chief Investigator for “Towards a Reconciliation of Portfolio Theory and Empirical Outcomes in Stock Price Behaviour: Australian Evidence“.
2006 ($3,500) LaTrobe University Grant: recipient for “Is Beta alive in China?“
- Capital Markets
- Financial Economics
- Corporate Finance
- Investment Finance
Sole Authored Book
“Stockmarkets, Investments and Corporate Behavior: A Conceptual Framework of Understanding” (2015), by Michael Dempsey (published by Imperial College Press with World Scientific, isbn hardcover: 978-1-78326-699-9).
Contributions to Books
- In Routledge Companion to Financial Accounting Theory (2015) (edited by Stewart Jones), "Financial Measurement and Financial Markets", Chapter 17, Dempsey, M and Jones, S. (isbn 978-0415-66028-0; hbk, 978-0203-07425-1 ebk)
- The following chapters in "Handbook of Cost and Management Accounting" (edited by Zahirul Hoque), published by Spiramus, London (2005): (1) "A Multidisciplinary Perspective on the Evolution of Corporate Investment Decision Making",(2) "Ethical Profit: An Agenda for Consolidation or for Radical Change", (3) "Corporate Financial Management: Time to Change the Cost of Capital Paradigm?"
- Co-author of textbook “Fundamentals of Corporate Finance” (published by Wiley, 2014)
- MBA (major in finance): Strathclyde Business School, University of Strathclyde (1989).
- MEng: Department of Petroleum Engineering, Herriot-Watt University, Edinburgh (1979).
- PhD: Department of Mathematics, University College, University of Wales (1976).
- MSc: Department of Mathematics, Kings College, University of London (1973).
- BSc: Department of Mathematics, University of York (1972)
- Watson, J.,Delaney, J.,Dempsey, M.,Wickramanayake, J. (2016). Australian superannuation (pension) fund product ratings and performance: a guide for fund managers In: Australian Journal of Management, 41, 189 - 211
- Dempsey, M. (2016). Stock Markets, Investments and Corporate Behavior: A Conceptual Framework of Understanding, Imperial College Press, London, United Kingdom
- Tanha, H.,Dempsey, M. (2016). The information content of ASX SPI 200 implied volatility In: Review of Pacific Basin Financial Markets and Policies, 19, 1 - 14
- Tanha, H.,Dempsey, M. (2016). (In Press) The evolving dynamics of the Australian SPI 200 implied volatility surface In: Journal of International Financial Markets, Institutions and Money, , 1 - 14
- Tanha, H.,Dempsey, M. (2016). The impact of macroeconomic information releases on the smile shape: evidence from the Australian options market In: Journal of Behavioral Finance, 8, 80 - 90
- Sharif, M.,Dempsey, M.,Kabir, H.,Choudhry, T. (2016). An improved framwork for approximating option prices with application to option portfolio hedging In: Economic Modelling, 59, 285 - 296
- Abraham, M.,Dempsey, M.,Marsden, A. (2015). Dividend reinvestment plans :a tax-based incentive under the Australian imputation tax system In: Australian Tax Forum, 30, 435 - 453
- Shi, X.,Dempsey, M.,Duong, H.,Kalev, P. (2015). Investor protection and market liquidity revisited In: Corporate Governance: The International Journal of Business in Society, 15, 517 - 529
- Edirisuriya, P.,Gunasekarage, A.,Dempsey, M. (2015). Bank diversification, performance and stockmarket response: Evidence form listed public banks in South Asian countries In: Journal of Asian Economics, 41, 69 - 85
- Shi, X.,Dempsey, M.,Irlicht, L. (2015). Fundamental indexation and the Fama-French Three Factor Model: Risk assimilation or stock mispricing? In: Journal of Investment Management, 13, 57 - 70
- The Australian Imputation Tax System, Dividend Policy, Earnings Growth and Market Returns: An Australian Study. Funded by: Australian Centre for Financial Studies Research Grants 2014 from (2014 to 2014)
- Dividend policy, corporate ownership, earnings growth and market returns: an Australian Study. Funded by: Australian Centre for Financial Studies Grant pre-2014 from (2013 to 2015)
2 PhD Completions5 PhD Current Supervisions