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Dr Paul Docherty

Senior Lecturer

Newcastle Business School (Accounting and Finance)

Career Summary

Biography

Paul has been a faculty member since 2007 and he completed his PhD in finance in 2011. Paul's research interests lie in empirical finance and capital markets, focusing primarily on asset pricing. His research has been published in journals including Accounting and Finance, Applied Economics and The Australian Journal of Management. He is the chief investigator for a large external grant that was awarded by Platypus Asset Management in 2011 and continues to work collaboratively with professionals in the funds management industry.

Research Expertise

Research areas in finance including: - Asset pricing - Market efficiency - Macroeconomics 

Collaborations
Paul collaborates extensively with academics from The University of Melbourne, having co-authored several papers with Associate Professor Howard Chan. He is also undertaking ongoing research collaboration with an industry partner; Platypus Asset Management.


Qualifications

  • PhD (Accounting and Finance), University of Newcastle
  • Bachelor of Commerce, University of Newcastle
  • Bachelor of Commerce (Honours), University of Newcastle
  • Graduate Certificate Practice of Tertiary Teaching, University of Newcastle

Keywords

  • Asset Pricing
  • Empirical Finance
  • Finance
  • Funds Management
  • Investment Analysis
  • Market Efficiency
  • Portfolio Management
  • Quantitative Research Methods

Fields of Research

CodeDescriptionPercentage
150201Finance20
150202Financial Econometrics20
150205Investment and Risk Management60

Professional Experience

UON Appointment

DatesTitleOrganisation / Department
20/03/2015 - 31/03/2015Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
23/02/2015 - 30/06/2015Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
1/01/2015 - Senior LecturerUniversity of Newcastle
Newcastle Business School
Australia
13/12/2014 - 14/12/2014Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
5/08/2014 - 30/06/2015DBA SupervisorUniversity of Newcastle
Newcastle Business School
Australia
29/06/2013 - 31/07/2013Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
19/06/2013 - 31/08/2013Casual AcademicUniversity of Newcastle
Office PVC - Business and Law
Australia
9/04/2013 - 28/06/2013Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
1/03/2013 - 30/03/2013Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
1/02/2013 - 19/07/2013Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
1/01/2013 - 31/05/2013Web Learn Tutor Newastle Business SUniversity of Newcastle
Newcastle Business School
Australia
1/11/2011 - 30/11/2011Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
17/12/2010 - 18/12/2010Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
11/10/2010 - 11/11/2010Casual AcademicUniversity of Newcastle
Office PVC - Business and Law
Australia
31/08/2009 - 11/12/2009Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
18/05/2009 - 28/08/2009Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
29/08/2008 - 16/12/2008Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
1/07/2008 - 31/12/2008Casual AcademicUniversity of Newcastle
Newcastle Business School
Australia
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Publications

For publications that are currently unpublished or in-press, details are shown in italics.


Book (1 outputs)

YearCitationAltmetricsLink
2014Kidwell D, Brimble M, Lenten L, Docherty PA, Mazzola P, Basu A, Financial Markets, Institutions and Money, Wiley, Milton, QLD, 843 (2014) [A4]

Journal article (9 outputs)

YearCitationAltmetricsLink
2015Chan H, Docherty P, 'Momentum in Australian style portfolios: Risk or inefficiency?', Accounting and Finance, (2015)

Momentum strategies have been reported to be successful across a range of different markets and asset classes. Three possible explanations for momentum have been hypothesised: risk, return continuation and excessive co-movement of stock returns compared with dividends. Lewellen (2002) adds to this literature by providing evidence of strong momentum returns in style portfolios that can be explained by negative cross-serial correlation, a result which supports the excess co-movement hypothesis. We report robust evidence of style momentum in the Australian market and use the Jegadeesh and Titman (1995) return decomposition to show that this momentum strategy is predominately explained by positive autocorrelation. Our results support the return continuation hypothesis and confirm Chen and Hong's (2002) assertion that Lewellen's (2002) explanation of style momentum returns does not stand up out-of-sample.

DOI10.1111/acfi.12106
2015Docherty P, Melia A, 'The race that stops the equity market', Applied Economics Letters, (2015)

The Melbourne Cup is a major horse racing event that is colloquially known as the ¿race that stops the nation¿ in Australia. We use constituent stock intraday volume data on the Australian Securities Exchange S&P/ASX 200 equity index from 2003 to 2013 within a regression framework to examine whether this major horse race reduces investor attention. Results show that trading volume on the Australian equity market is significantly reduced during and immediately surrounding the running of the Melbourne Cup, supporting the claim that this is the ¿race that stops the equity market¿.

DOI10.1080/13504851.2015.1023935
Co-authorsAdrian Melia
2014Akhtaruzzaman MD, Docherty P, Shamsuddin AFM, 'Interest rate, size and book-to-market effects in Australian financial firms', Applied Economics, 46 3005-3020 (2014) [C1]
DOI10.1080/00036846.2014.920478
Co-authorsAbul Shamsuddin, Md Akhtaruzzaman
2014Docherty P, Easton S, 'A note on the pricing of Australian government asset sales', Australian Journal of Management, 39 415-423 (2014) [C1]

Unlike acquiring company shareholders in Australian takeovers, but like shareholders in government initial public offerings, shareholders of companies purchasing Australian government assets earn economically and statistically significant positive abnormal returns. However, unlike privatisations via initial public offerings where all citizens are entitled to subscribe for shares, in privatisations via asset sales only acquiring company shareholders benefit from any under-pricing. This suggests the need for greater scrutiny to ensure fair pricing in privatisation via asset sales. © The Author(s) 2013.

DOI10.1177/0312896213503839
Co-authorsSteve Easton
2014McCredie B, Docherty P, Easton S, Uylangco K, 'The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market', Pacific Basin Finance Journal, 29 261-271 (2014) [C1]

Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that explain the decision process. This information is disclosed 2. weeks later when the explanatory minutes of the Reserve Bank board meeting are released. This paper is the first study to exploit the features of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory statements on the Australian interest rate futures market.We find that both monetary policy announcements and explanatory minutes releases have a significant impact on the implied yield and volatility of Australian interest rate futures contracts. When the differential impact of these announcements is examined using the full sample, no statistically significant difference is found. However, when the sample is partitioned based on stable periods and the Global Financial Crisis, a differential impact is evident. Further, contrary to the findings of Kim and Nguyen (2008), Lu et al. (2009), and Smales (2012a), the response along the yield curve, is found to be indifferent between the short and medium terms. © 2014 Elsevier B.V.

DOI10.1016/j.pacfin.2014.05.001
Co-authorsKatherine Uylangco, Steve Easton
2013Docherty P, Chan H, Easton S, 'Australian evidence on the implementation of the size and value premia', ACCOUNTING AND FINANCE, 53 367-391 (2013) [C1]
DOI10.1111/j.1467-629X.2011.00464.xAuthor URL
CitationsScopus - 1Web of Science - 1
Co-authorsSteve Easton
2013Docherty P, Chan H, Easton S, 'Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia', PACIFIC-BASIN FINANCE JOURNAL, 22 107-124 (2013) [C1]
DOI10.1016/j.pacfin.2012.10.004Author URL
Co-authorsSteve Easton
2012Docherty PA, Easton SA, 'Market efficiency and continuous information arrival: Evidence from prediction markets', Applied Economics, 44 2461-2471 (2012) [C1]
CitationsScopus - 1Web of Science - 1
Co-authorsSteve Easton
2011Docherty PA, Chan H, Easton SA, 'Asset tangibility, industry representation and the cross section of equity returns', Australian Journal of Management, 36 75-87 (2011) [C1]
DOI10.1177/0312896211399200
CitationsScopus - 6Web of Science - 6
Co-authorsSteve Easton
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Conference (2 outputs)

YearCitationAltmetricsLink
2010Docherty PA, Chan H, Easton SA, 'Asset tangibility, industry representation and the cross section of equity returns', 23rd Australasian Finance and Banking Conference 2010, Sydney, NSW (2010) [E1]
DOI10.2139/ssrn.1658230
Co-authorsSteve Easton
2009Docherty PA, Chan H, Easton SA, 'Tangibility, investment irreversibility and asset pricing', 22nd Australasian Finance and Banking Conference 2009, Sydney, NSW (2009) [E1]
Co-authorsSteve Easton
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Grants and Funding

Summary

Number of grants1
Total funding$99,000

Click on a grant title below to expand the full details for that specific grant.


20121 grants / $99,000

Practical implementation of anomaly-based investment strategies and the investigation of new anomalies in the Australian stock market$99,000

Funding body: Platypus Asset Management

Funding bodyPlatypus Asset Management
Project TeamDoctor Paul Docherty, Professor Stephen Easton, Professor Jim Psaros, Dr Howard Chan, Professor Philip Gray
SchemeResearch Grant
RoleLead
Funding Start2012
Funding Finish2012
GNoG1100869
Type Of FundingGrant - Aust Non Government
Category3AFG
UONY
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Research Supervision

Current Supervision

CommencedResearch Title / Program / Supervisor Type
2014Corporate Governance and Firm Performance in Saudi Arabia
Accounting, Faculty of Business and Law
Co-Supervisor
2014Liquidity and Systematic Risk in the US Loan Market
Accounting, Faculty of Business and Law
Co-Supervisor
2013The Q-Factor Model of Asset Pricing - Australian Evidence
Accounting, Faculty of Business and Law
Co-Supervisor
2013Return Dispersion and Asset Pricing
Accounting, Faculty of Business and Law
Co-Supervisor
2013Net Share Issuance and Asset Pricing: An Australian Study
Accounting, Faculty of Business and Law
Co-Supervisor
2013Net Share Issuance and Asset Pricing: An Australian Study
Accounting, Faculty of Business and Law
Principal Supervisor
2013Stock Return Anomalies in Emerging Markets
Accounting, Faculty of Business and Law
Co-Supervisor

Past Supervision

YearResearch Title / Program / Supervisor Type
2015The Channels of Monetary Policy on Australian Financial Markets
Accounting, Faculty of Business and Law
Co-Supervisor
2013Interest Rate Risk of Australian Financial Firms
Accounting, Faculty of Business and Law
Co-Supervisor
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News

Dr Paul Docherty

Corporate Governance in Australia

May 29, 2015

Dr Paul Docherty was recently invited to deliver a presentation to the Australian Shareholders Association on the topic of Corporate Governance in Australia.

Dr Paul Docherty

Positions

Senior Lecturer
Newcastle Business School
Faculty of Business and Law

DBA Supervisor
Newcastle Business School
Faculty of Business and Law

Casual Academic
Newcastle Business School
Faculty of Business and Law

Casual Academic
Newcastle Business School
Faculty of Business and Law

Focus area

Accounting and Finance

Contact Details

Emailpaul.docherty@newcastle.edu.au
Phone(02) 4921 5046

Office

RoomSRS213
BuildingSocial Science
LocationCallaghan
University Drive
Callaghan, NSW 2308
Australia
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