Daniel Chai

Dr

20042019
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Research Output 2005 2019

2019

Down but not out: plenty of returns available for shorted down stocks

Galariotis, E., Li, B. & Chai, D., May 2019, In : International Review of Financial Analysis. 63, p. 296-306 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Internet search intensity and its relation with trading activity and stock returns

Chai, D., Dai, M., Gharghori, P. & Hong, B., Apr 2019, (Accepted/In press) In : International Review of Finance. 30 p.

Research output: Contribution to journalArticleResearchpeer-review

Which model best explains the returns of large Australian stocks?

Chai, D., Chiah, M. & Gharghori, P., Jun 2019, In : Pacific-Basin Finance Journal. 55, p. 182-191 10 p.

Research output: Contribution to journalArticleResearchpeer-review

2018

Value-creation through spin-offs: Australian evidence

Chai, D., Lin, Z. & Veld, C., 1 Aug 2018, In : Australian Journal of Management. 43, 3, p. 353-372 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Volume shocks and stock returns: an alternative test

Zhong, A., Chai, D., Li, B. & Chiah, M., 1 Apr 2018, In : Pacific Basin Finance Journal. 48, p. 1-16 16 p.

Research output: Contribution to journalArticleResearchpeer-review

2017

Momentum in weekly returns: the role of intermediate-horizon past performance

Chai, D., Limkriangkrai, M. & Ji, P. I., Apr 2017, In : Accounting and Finance. 57, S1, p. 45-68 24 p.

Research output: Contribution to journalArticleResearchpeer-review

2016

A better model? An empirical investigation of the Fama–French five-factor model in Australia

Chiah, M., Chai, D., Zhong, A. & Li, S., 1 Dec 2016, In : International Review of Finance. 16, 4, p. 595-638 44 p.

Research output: Contribution to journalArticleResearchpeer-review

Co-existence of short-term reversals and momentum in the Australian equity market

Chai, D. & Do, B., 1 Feb 2016, In : Australian Journal of Management. 41, 1, p. 55-76 22 p.

Research output: Contribution to journalArticleResearchpeer-review

The Australian asset-pricing debate

Durand, R. B., Limkriangkrai, M. & Chai, D., 1 Jun 2016, In : Accounting and Finance. 56, 2, p. 393-421 29 p.

Research output: Contribution to journalArticleResearchpeer-review

2015

Empirical tests on the liquidity-adjusted capital asset pricing model

Vu, V. H., Chai, D. & Do, M. V., 2015, In : Pacific Basin Finance Journal. 35, p. 73 - 89 17 p.

Research output: Contribution to journalArticleResearchpeer-review

2014

Momentum effect in Australian equities: Revisit, armed with short-selling ban and risk factors

Li, B., Stork, T., Chai, D., Ee, M. S. & Ang, H. N., 2014, In : Pacific Basin Finance Journal. 27, p. 19 - 31 13 p.

Research output: Contribution to journalArticleResearchpeer-review

2013

Liquidity in asset pricing: New Australian evidence using low-frequency data

Chai, D., Faff, R. & Gharghori, P., 2013, In : Australian Journal of Management. 38, 2, p. 375 - 400 26 p.

Research output: Contribution to journalArticleResearchpeer-review

2012

Does the 2008 short sale ban affect the enforcement of the Law of One Price? Evidence from Australia

Do, B. H., Do, M. V. & Chai, D., 2012, In : Accounting and Finance. 52, 1, p. 117 - 144 28 p.

Research output: Contribution to journalArticleResearchpeer-review

The usefulness of financial statement information in predicting stock returns: New Zealand evidence

Goslin, J., Chai, D. & Gunasekarage, A., 2012, In : Australasian Accounting Business and Finance Journal. 6, 2, p. 51 - 70 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
2010

New evidence on the relation between stock liquidity and measures of trading activity

Chai, D., Faff, R. & Gharghori, P., 2010, In : International Review of Financial Analysis. 19, 3, p. 181 - 192 12 p.

Research output: Contribution to journalArticleResearchpeer-review

The investor recognition hypothesis: The New Zealand case

Chai, D. & Choi, D. F. S., 2010, In : Applied Financial Economics. 20, 11, p. 891 - 898 8 p.

Research output: Contribution to journalArticleResearchpeer-review

2008

On the linkage between financial risk tolerance and risk aversion

Faff, R., Mulino, D. & Chai, D., 2008, In : Journal of Financial Research. 31, 1, p. 1 - 23 23 p.

Research output: Contribution to journalArticleResearchpeer-review

2005

Share returns after large one-day price drops

Chai, D. & Gunasekarage, A., 2005, In : The Institute of Finance Professionals New Zealand Inc. (INFINZ) Journal. May 2005, 2, p. 18 - 23 6 p.

Research output: Contribution to journalArticleOther