David Johnstone

Photo of David Johnstone

BA BCom(Hons) PhD CA
Honorary Professor

H69 - Codrington Building
The University of Sydney
NSW 2006 Australia


Selected publications

2019

Journal Article

Grant A, Johnstone D, and Kwon O (2019) The cost of capital in a prediction market International Journal of Forecasting, 35 (1), 313-320. [More Information]

2018

Journal Article

Johnstone D, and Wagenhofer A (2018) Capacity Planning Under Uncertainty and the Cost of Capital (forthcoming) Journal of Management Accounting Research, 30 (3), 169-185. [More Information]

Book

Johnstone D (2018) Accounting Theory as a Bayesian Discipline; Now Publishers Inc., Hanover, United States. [More Information]

2017

Journal Articles

Gan Q, Wei W, and Johnstone D (2017) Does the Probability of Informed Trading Model Fit Empirical Data? Financial Review, 52 (1), 5-35. [More Information]

Johnstone D (2017) When are investment projects in the same risk class? Accounting and Finance, 57 (2), 499-510. [More Information]

Johnstone D (2017) Sensitivity of the Discount Rate to the Expected Payoff in Project Valuation Decision Analysis, 14 (2), 126-136. [More Information]

Jones S, Johnstone D, and Wilson R (2017) Predicting Corporate Bankruptcy: An Evaluation of Alternative Statistical Models Journal of Business Finance and Accounting, 44 (1-2), 3-34. [More Information]

2016

Journal Articles

Johnstone D (2016) Advances in Equity Valuation: Research on Accounting Valuation Abacus, 52 (1), 1-4. [More Information]

Johnstone D (2016) The Effect of Information on Uncertainty and the Cost of Capital Contemporary Accounting Research, 33 (2), 752-774. [More Information]

Conference Proceeding

Gan Q, Wei W, and Johnstone D (2016) Does the Probability of Informed Trading Model Fit Empirical Data? Quantitative Methods in Finance 2016 Conference; UTS, Sydney, Australia.

2015

Journal Articles

Gan Q, Wei W, and Johnstone D (2015) A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering Quantitative Finance, 15 (11), 1805-1821. [More Information]

Johnstone D (2015) Every Aspect of a Risky Business Affects Its Cost of Capital JASSA, 2015 (4), 6-11.

Johnstone D (2015) Information and the cost of capital in a mean-variance efficient market Journal of Business Finance and Accounting, 42 (1-2), 79-100. [More Information]

Jones S, Johnstone D, and Wilson R (2015) An Empirical Evaluation of the Performance of Binary Classifiers in the Prediction of Credit Ratings Changes Journal of Banking & Finance, 56, 72-85. [More Information]

Book Chapter

Johnstone D (2015) A Bayesian understanding of information uncertainty and the cost of capital The Routledge Companion to Financial Accounting Theory; Routledge, Abingdon, 396-422.

2013

Journal Articles

Johnstone D (2013) The CAPM Debate and the Logic and Philosophy of Finance Abacus, 49 (S1), 1-6. [More Information]

Johnstone D, and Lindley D (2013) Mean-Variance and Expected Utility: The Borch Paradox Statistical Science, 28 (2), 223-237. [More Information]

Johnstone D, Jones S, Jose V, and Peat M (2013) Measures of the Economic Value of Probabilities of Bankruptcy Journal of the Royal Statistical Society Series A-Statistics in Society, 176 (3), 635-653. [More Information]

Book Chapter

Johnstone D (2013) A Simple Automated Market Maker for Prediction Markets The Oxford Handbook of The Economics of Gambling; Oxford University Press, New York, USA, 543-559.

2012

Journal Articles

Johnstone D (2012) Log-optimal economic evaluation of probability forecasts Journal of the Royal Statistical Society Series A-Statistics in Society, 175 (3), 661-689. [More Information]

Johnstone D, and Curtin B (2012) Damages for Negligent Valuation of Mortgage Securities: A Finance Theory Perspective Company and Securities Law Journal, 30 (8), 476-492.

Jones S, and Johnstone D (2012) Analyst Recommendations, Earnings Forecasts and Corporate Bankruptcy: Recent Evidence Journal of Behavioral Finance, 13 (4), 281-298. [More Information]

2011

Journal Articles

Johnstone D (2011) Economic Interpretation of Probabilities Estimated by Maximum Likelihood or Score Management Science, 57 (2), 308-314. [More Information]

Johnstone D, and Lin Y (2011) Fitting probability forecasting models by scoring rules and maximum likelihood Journal of Statistical Planning and Inference, 141 (5), 1832-1837. [More Information]

Johnstone D, and Lindley D (2011) Elementary proof that mean-variance implies quadratic utility Theory and Decision: an international journal for multidisciplinary advances in decision sciences, 70 (2), 149-155. [More Information]

Johnstone D, Jose V, and Winkler R (2011) Tailored Scoring Rules for Probabilities Decision Analysis, 8 (4), 256-268. [More Information]

2010

Journal Articles

Frino A, Johnstone D, and Zheng H (2010) Anonymity, Stealth Trading and the Information Content of Broker Identity Financial Review, 45 (3), 501-522.

Grant A, and Johnstone D (2010) Finding profitable forecast combinations using probability scoring rules International Journal of Forecasting, 26 (3), 498-510. [More Information]

2009

Journal Article

Johnstone D (2009) Discussion of Penman Abacus, 45 (3), 372-378. [More Information]

2008

Journal Articles

Frino A, Grant J, and Johnstone D (2008) The house money effect and local traders on the Sydney Futures Exchange Pacific-Basin Finance Journal, 16 (1-2), 8-25. [More Information]

Grant A, Johnstone D, and Kwon O (2008) Optimal Betting Strategies for Simultaneous Games Decision Analysis, 5 (1), 10-18. [More Information]

Johnstone D (2008) What Does an IRR (or Two) Mean? The Journal of Economic Education, 39 (1 - Winter 2008), 78-87. [More Information]

2007

Journal Articles

Johnstone D (2007) Economic Darwinism: Who Has the Best Probabilities? Theory and Decision: an international journal for multidisciplinary advances in decision sciences, 62 (1), 47-96. [More Information]

Johnstone D (2007) Discussion of Altman and Sabato Abacus, 43 (3), 358-362. [More Information]

Johnstone D (2007) The Value of a Probability Forecast from Portfolio Theory Theory and Decision: an international journal for multidisciplinary advances in decision sciences, 63 (2), 153-203. [More Information]

Johnstone D (2007) The Parimutuel Kelly Probability Scoring Rule Decision Analysis, 4 (2), 66-75.

Johnstone D (2007) What's the Difference Between the Stockmarket and the Racetrack? The Journal of Gambling Business and Economics, 1 (2), 121-127.

Johnstone D (2007) What’s the Difference Between the Stockmarket and the Racetrack? The Journal of Gambling Business and Economics, 1 (2), 121-127.

Book Chapter

Johnstone D (2007) Investments as bets in the binomial asset pricing model Forecasting Expected Returns in the Financial Markets; Academic Press, London, 251-263.

2006

Journal Articles

Bortoli L, Frino A, Jarnecic E, and Johnstone D (2006) Limit Order Book Transparency, Execution Risk, and Market Liquidity: Evidence from the Sydney Futures Exchange The Journal of Futures Markets, 26 (12), 1147-1167. [More Information]

Bortoli L, Frino A, Jarnecic E, and Johnstone D (2006) Limit order book transparency, execution risk and market liquidity: Evidence from the Sydney Futures Exchange The Journal of Futures Markets, 26 (12), 1147-1167. [More Information]

Furche A, and Johnstone D (2006) Evidence of the Endowment Effect on the Australian Stock Exchange Journal of Behavioral Finance, 7 (3), 145-154.

Johnstone D, and Lonergan W (2006) The DORC valuation model of regulated infrastructure assets JASSA, 2006 (2 (Winter)), 10-14.

Conference Proceedings

Bortoli L, Frino A, Jarnecic E, and Johnstone D (2006) Limit order book transparency, execution risk and market liquidity European Financial Management Association 2006 Annual Meetings (EFM 2006); European Financial Management Association, USA.

Grant A, Johnstone D, and Kwon O (2006) Optimal betting strategies for simultaneous games Accounting and Finance Association of Australia and New Zealand Conference (AFAANZ) 2006; John Wiley & Sons, online.

2005

Journal Article

Frino A, Jarnecic E, Johnstone D, and Lepone A (2005) Bid-ask bounce and the measurement of price behaviour around block trades on the Australian Stock Exchange Pacific-Basin Finance Journal, 13 (3), 247-262. [More Information]

Conference Proceedings

Bortoli L, Frino A, Jarnecic E, and Johnstone D (2005) Limit order book transparency, execution risk and market liquidity 18th Australasian Finance and Banking Conference (AFBC).

Frino A, Johnstone D, and Zheng H (2005) The information content of trader identification Workshop on Microstructure of Financial Markets (MICFINMA); Universidad Carlos III de Madrid, Spain.

Johnstone D (2005) Choosing an Analyst in a Simulated Betting Market Accounting and Finance Association of Australia and New Zealand Conference AFAANZ 2005; The Accounting and Finance Association of Australia and New Zealand, Australia.

2004

Journal Article

Frino A, Johnstone D, and Zheng H (2004) The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior? Journal of Banking & Finance, 28 (2), 353-372. [More Information]

Conference Proceedings

Frino A, Jarnecic E, Johnstone D, and Lepone A (2004) Bid-ask bounce and the measurement of price behaviour around block trades on the Australian Stock European Financial Management Association Annual Meeting (EFMA) 2004; European Financial Management Association, European.

Johnstone D (2004) The Value Of A Probability Forecast From Portfolio Theory Accounting and Finance Association of Australia and New Zealand Conference (AFAANZ) 2004; The Accounting and Finance Association of Australia and New Zealand, CD-ROM - Australia.

2003

Journal Articles

Johnstone D (2003) Behvioral and Prescriptive Explanations of a Reverse Sunk Cost Effect. Theory and Decision: an international journal for multidisciplinary advances in decision sciences, 53, 209-242. [More Information]

Johnstone D (2003) C475. Erratum to C462 "More on the Relative Efficacy of Probability Scoring Rules" Journal of Statistical Computation and Simulation, 73 (8), 617.

Johnstone D (2003) Replacement Cost Asset Valuation and Regulation of Energy Infrastructure Tariffs Abacus, 39 (1), 1-41.

Recent Units Taught

  • FINC3023 Behavioural Finance

  • FINC6022 Behavioural Finance

Newsroom articles

  • The big disconnect 08 Nov 2015

    ABC Radio National

    Professor David Johnstone was interviewed on Radio National's Background Briefing about electricity prices and new solar technologies.

  • Fear, greed, panic: what makes us sell? 25 Aug 2015

    AAP Newswire

    Professor David Johnstone was quoted in AAP Newswire about new investors' reaction to the Australian stock market following a fall in China.

  • DORC rort: The art of getting energy infrastructure paid for twice 19 Sep 2014

    Sydney Morning Herald and the Saturday Age

    Dr David Johnstone is quoted in a Saturday Age and Sydney Morning Herald article about the depreciation optimised replacement cost rort in which governments and electricity companies charging consumers for assets they have already paid for.

  • Gas industry's depreciation formula a 'licence to print money' 15 Sep 2014

    The Age and Canberra Times

    Professor David Johnstone is quoted in an article about the supply and demand for gas.

  • Cluster analysis gives academic inside look at trading 05 Feb 2014

    The Australian Financial Review

    If you believe the market is a rational and sober organism, you will view sudden swings in share prices of its smaller component stocks as phenomena that can be explained.

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