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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

Code Description Percentage
150201 Finance 20
150202 Financial Econometrics 20
150205 Investment and Risk Management 60

Professional Experience

UON Appointment

Dates Title Organisation / Department
20/03/2015 - 31/03/2015 Casual Academic University of Newcastle
Newcastle Business School
Australia
23/02/2015 - 30/06/2015 Casual Academic University of Newcastle
Newcastle Business School
Australia
1/01/2015 -  Senior Lecturer University of Newcastle
Newcastle Business School
Australia
13/12/2014 - 14/12/2014 Casual Academic University of Newcastle
Newcastle Business School
Australia
5/08/2014 - 30/06/2015 DBA Supervisor University of Newcastle
Newcastle Business School
Australia
29/06/2013 - 31/07/2013 Casual Academic University of Newcastle
Newcastle Business School
Australia
19/06/2013 - 31/08/2013 Casual Academic University of Newcastle
Office PVC - Business and Law
Australia
9/04/2013 - 28/06/2013 Casual Academic University of Newcastle
Newcastle Business School
Australia
1/03/2013 - 30/03/2013 Casual Academic University of Newcastle
Newcastle Business School
Australia
1/02/2013 - 19/07/2013 Casual Academic University of Newcastle
Newcastle Business School
Australia
1/01/2013 - 31/05/2013 Web Learn Tutor Newastle Business S University of Newcastle
Newcastle Business School
Australia
1/11/2011 - 30/11/2011 Casual Academic University of Newcastle
Newcastle Business School
Australia
17/12/2010 - 18/12/2010 Casual Academic University of Newcastle
Newcastle Business School
Australia
11/10/2010 - 11/11/2010 Casual Academic University of Newcastle
Office PVC - Business and Law
Australia
31/08/2009 - 11/12/2009 Casual Academic University of Newcastle
Newcastle Business School
Australia
18/05/2009 - 28/08/2009 Casual Academic University of Newcastle
Newcastle Business School
Australia
29/08/2008 - 16/12/2008 Casual Academic University of Newcastle
Newcastle Business School
Australia
1/07/2008 - 31/12/2008 Casual Academic University 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)

Year Citation Altmetrics Link
2014 Kidwell 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)

Year Citation Altmetrics Link
2015 Chan 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: ris... [more]

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.

DOI 10.1111/acfi.12106
2015 Docherty 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 A... [more]

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¿.

DOI 10.1080/13504851.2015.1023935
Co-authors Adrian Melia
2014 Akhtaruzzaman MD, Docherty P, Shamsuddin AFM, 'Interest rate, size and book-to-market effects in Australian financial firms', Applied Economics, 46 3005-3020 (2014) [C1]
DOI 10.1080/00036846.2014.920478
Co-authors Abul Shamsuddin, Md Akhtaruzzaman
2014 Docherty 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 govern... [more]

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.

DOI 10.1177/0312896213503839
Co-authors Steve Easton
2014 McCredie 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 expla... [more]

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.

DOI 10.1016/j.pacfin.2014.05.001
Co-authors Katherine Uylangco, Steve Easton
2013 Docherty P, Chan H, Easton S, 'Australian evidence on the implementation of the size and value premia', ACCOUNTING AND FINANCE, 53 367-391 (2013) [C1]
DOI 10.1111/j.1467-629X.2011.00464.x Author URL
Citations Scopus - 1Web of Science - 1
Co-authors Steve Easton
2013 Docherty 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]
DOI 10.1016/j.pacfin.2012.10.004 Author URL
Co-authors Steve Easton
2012 Docherty PA, Easton SA, 'Market efficiency and continuous information arrival: Evidence from prediction markets', Applied Economics, 44 2461-2471 (2012) [C1]
Citations Scopus - 1Web of Science - 1
Co-authors Steve Easton
2011 Docherty 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]
DOI 10.1177/0312896211399200
Citations Scopus - 6Web of Science - 6
Co-authors Steve Easton
Show 6 more journal articles

Conference (2 outputs)

Year Citation Altmetrics Link
2010 Docherty 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]
DOI 10.2139/ssrn.1658230
Co-authors Steve Easton
2009 Docherty PA, Chan H, Easton SA, 'Tangibility, investment irreversibility and asset pricing', 22nd Australasian Finance and Banking Conference 2009, Sydney, NSW (2009) [E1]
Co-authors Steve Easton
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Grants and Funding

Summary

Number of grants 1
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 body Platypus Asset Management
Project Team Doctor Paul Docherty, Professor Stephen Easton, Professor Jim Psaros, Dr Howard Chan, Professor Philip Gray
Scheme Research Grant
Role Lead
Funding Start 2012
Funding Finish 2012
GNo G1100869
Type Of Funding Grant - Aust Non Government
Category 3AFG
UON Y
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Research Supervision

Current Supervision

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

Past Supervision

Year Research Title / Program / Supervisor Type
2015 The Channels of Monetary Policy on Australian Financial Markets
Accounting, Faculty of Business and Law
Co-Supervisor
2013 Interest 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.

Medibank Private float offers retail investors an early Christmas gift

November 20, 2014

Paul Docherty and Steve Easton discuss the Medibank Private float

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

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

Office

Room SRS213
Building Social Science
Location Callaghan
University Drive
Callaghan, NSW 2308
Australia
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