Petra Andrlikova

Photo of Petra Andrlikova

MSc
PhD Candidate

The University of Sydney
NSW 2006 Australia


Bio

Petra is a PhD Candidate in Finance at the University of Sydney Business School. Petra‚Äôs research interests include theoretical and empirical asset pricing, with a particular focus on asymmetric dependence between stock returns and market returns. Prior to beginning the PhD programme, Petra worked as a credit risk specialist in the Czech Republic developing credit risk models for banks in several countries in Europe. Petra graduated cum laude from the Maastricht University in 2011 and received the Top 3% of Best Students Award and the Top Thesis Award.


Thesis working title

Asymmetric dependence

This thesis investigates asymmetric dependence between equity returns and market returns. During financial crisis, equity returns tend to be highly correlated with market returns. This correlation is higher during market downturns (crisis periods) than during market upturns. This is rather unfortunate for investors as their returns on investment decrease in times when they need the money most (in bad times). This thesis explores the drivers of asymmetric dependence, its importance (price) and the consequences of the existence of asymmetric dependence for investors in listed equities.

Supervisor: Jamie Alcock

Selected publications

2018

Journal Article

Huang Y, Yao J, and Zhu Y (2018) Thriving in a disrupted market: a study of Chinese hedge fund performance Pacific-Basin Finance Journal, 48, 210-223. [More Information]

2017

Conference Proceedings

Liu S, Min B, Qiu B, and Yao J (2017) What Drives the Dispersion Effect: Investor Sentiment or Conditional Equity Premium? 7th Auckland Finance Meeting; Auckland Centre for Financial Research, Auckland, New Zealand.

Liu S, Min B, Qiu B, and Yao J (2017) Analyst Forecast Dispersion and Market Return Predictability: Does Conditional Equity Premium Play a Role? 30th Australasian Finance and Banking Conference (AFBC); University of New South Wales (UNSW) Press, Sydney, Australia.

2016

Report

Alcock J, Andrlikova P, Aspris A, Foley S, Satchell S, Segara R, Wright D, and Yao J (2016) Asset price bubbles in the Australian Market; The Centre for International Finance and Regulation, Sydney, 4-154.

2015

Journal Articles

Lee H, and Yao J (2015) Evaluating and predicting the failure probabilities of hedge funds Investment Analysts Journal, 44 (2), 134-150. [More Information]

Ling Y, Yao J, and Liu W (2015) Chinese Hedge Funds - Performance and Risk Exposures The Chinese Economy, 48 (5), 330-350. [More Information]

Wilkens M, Yao J, Oehler P, and Jeyasreedharan N (2015) Evaluating the performance of hedge funds using two-stage peer group benchmarks Journal of Asset Management, 16 (4), 272-291. [More Information]

Yao J (2015) Financial Innovation and Chinese Economic Reform The Chinese Economy, 48 (5), 309-311. [More Information]

2014

Journal Articles

Yao J (2014) Market Segmentation, Information Asymmetry and Investor Responses in the Chinese A- and B-Markets Australasian Accounting Business and Finance Journal, 8 (1), 79-100. [More Information]

Yao J, Ma C, and He W (2014) Investor herding behaviour of Chinese stock market International Review of Economics and Finance, 29, 12-29. [More Information]

2013

Journal Article

Yao J, Partington G, and Stevenson M (2013) Predicting the Directional Change in Consumer Sentiment Australian Journal of Management, 38 (1), 67-80. [More Information]

2012

Journal Article

Yao J (2012) Semi-Parametric Examination of Industry Risk: The Australian Evidence Australian Economic Papers, 51 (4), 228-246. [More Information]

2011

Conference Proceeding

Ma C, and Yao J (2011) Information Efficiency, Market Segmentation and Investor Herding - Evidence from the Chinese Stock Market Macao International Symposium on Accounting and Finance 2011; Macao Accounting and Finance Association, Macao, China.

2010

Conference Proceedings

Lu J, Chin K, Yao J, Xu J, and Xiao J (2010) Cross-Cultural Education: Learning Methodology and Behaviour Analysis for Asian Students in IT Field of Australian Universities 12th Australasian Computing Education Conference (ACE 2010); Australian Computer Society, Sydney, Australia.

Xiao J, Lu J, Chin K, Xu J, and Yao J (2010) Cross-Cultural Learning Challenges and Teaching Strategies for First-Year Asian Students in Australian Universities 2nd International Conference on Computer Supported Education (CSEDU 2010); Institute for Systems and Technologies of Information, Control and Communication (INSTICC), Lisbon, Portugal.

2009

Conference Proceedings

Lee H, Stevenson M, and Yao J (2009) How Likely Do Funds Fail? 17th Conference on the Theories and Practices of Securities and Financial Markets (SFM 2009); National Sun Yat-sen University, Kaohsiung, Taiwan.

Lu J, Chin K, Yao J, Xu J, and Xiao J (2009) Cross-Cultural Teaching and Learning Methodology Analysis for Asian Students in Australian Universities International Conference on Innovation in Teaching and Management of Higher Education (ICITM '09); UPENA, Terengganu, Malaysia.

Yao J (2009) The Semi-Parametric Examination of Industry Risk: The Australian Evidence 38th Australian Conference of Economists ACE 2009; Economic Society of Australia, Adelaide.

2008

Conference Proceeding

Comerton-Forde C, and Yao J (2008) Market segmentation, information asymmetry and investor responses of Chinese A and B stock markets European Financial Management Association 2008 17th Annual Meeting (EFMA 2008); European Financial Management Association, Athens, Greece.

2006

Journal Article

Yao J, and Alles L (2006) Industry return predictability, timing and profitability Journal of Multinational Financial Management, 16 (2), 122-141. [More Information]

Conference Proceeding

Yao J, Partington G, and Stevenson M (2006) Predicting the Directional Change in Consumer Sentiment 28th International Symposium on Forecasting (ISF 2008); International Institute of Forecasters, on line.

2005

Journal Articles

Yao J, Gao J, and Lakshman A (2005) Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information Pacific-Basin Finance Journal, 13 (2), 225-245. [More Information]

Yao J, Partington G, and Stevenson M (2005) Run length and the predictability of stock price reversals Accounting and Finance, 45 (4), 653-671. [More Information]

2004

Journal Article

Yao J, and Gao J (2004) Computer-Intensive Time-Varying Model Approach To The Systematic Risk Of Australian Industrial Stock Returns Australian Journal of Management, 29 (1), 121-146.

Recent Units Taught

  • FINC3011 International Financial Management

  • FINC5001 Capital Markets and Corporate Finance

  • FINC6010 Derivative Securities