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Geoffrey F. Loudon

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  • Position: -

Research Interests

  • Financial risk management
  • Derivatives pricing and hedging
  • Asset pricing


Selected Publications

  • Hobbes, G., Loudon, G., and F. Lam. 2007. Regime Shifts in the Stock-bond Relation in Australia. Review of PacificBasin Financial Markets and Policies, Volume 10, No.1, pp. 81-99.
  • Loudon, G., and Rai, A. 2007. Is volatility risk priced after all? Some disconfirming Evidence. Applied Financial Economics, Volume 17, No. 5, pp. 357-368.
  • Is the risk-return relation positive? Further evidence from a stochastic volatility in mean approach, Applied Financial Economics 16(13), 2006, 981-992
  • Hedge fund risk factors and the Value-at-Risk of fixed income trading strategies, (with J. Okunev and D. White), The Journal of Fixed Income 16, 2006, 46-61
  • Evidence on the issuer effect in warrant overpricing, (with K.T. Nguyen), Applied Financial Economics 16(3), 2006, 223-23
  • Does the choice of news restrictions in GARCH based systematic risk measures matter? Macquarie Research in Accounting and Finance 8, 2005, 1-40
  • Financial risk exposures in the airline industry: evidence from Australia and New Zealand, Australian Journal of Management 29(2), 2004, 295-316
  • What do ADR's tell us about international arbitrage and market integration? Accounting Research Journal 14(2), 2001, 113-125
  • An empirical analysis of alternative parametric ARCH models, (with W.H. Watt and P.K. Yadav), Journal of Applied Econometrics 15(2), 2000, 117-136
  • Valuing executive options, a new game for professional accountants, Charter 70(8), 1999, 75-78
  • Foreign exchange exposure and the pricing of currency risk in equity returns: Some Australian evidence, Pacific-Basin Finance Journal 1, 1993, 335-354
  • The Foreign Exchange Operating Exposure of Australian Stocks, Accounting and Finance 33(1), 1993, 19-32
  • American Put Pricing: Australian Evidence, Journal of Business Finance and Accounting 17(2), 1990, 297-321
  • Put Call Parity Theory: Evidence from the Big Australian, Australian Journal of Management 13(1), 1988, 53-67