Jamie Alcock

Photo of Jamie Alcock


Associate Professor

Rm 402
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone +61 9036 6351
jamie.alcock@sydney.edu.au

Bio

Dr Jamie Alcock is Associate Professor of Finance at the University of Sydney Business School. He has previously held appointments at The University of Cambridge, Downing College Cambridge and the University of Queensland. He was awarded his PhD degree by the University of Queensland in 2005.

Dr Alcock's research interests include asset pricing, corporate finance, real estate finance and Australian finance. Dr Alcock has published over thirty five refereed research articles and reports in high quality international journals such as Review of Finance, The Journal of Banking and Finance, The Journal of Futures Markets, ABACUS, Journal of Real Estate Finance and Economics and Quantitative Finance. The quality of Dr Alcock's research has been recognised through multiple international research prizes, including most recently the EPRA Best Paper prize at the 2016 European Real Estate Society conference.

Dr Alcock is a respected research degree supervisor having supervised seven PhD students, with six completions (almost all awarded 'without corrections'), over 50 Masters dissertations and nine Australian honours dissertations - with all nine awarded 'first-class honours'. Dr Alcock's doctoral students have obtained academic positions at the University of Cambridge, Cornell University, The University of New South Wales and The University of Queensland. He is particularly proud that six of his seven PhD students have won international prizes for the research conducted under his supervision.

Dr Alcock teaches asset pricing honours, financial derivatives and real estate finance and investments and has twice been nominated for the Wayne Lonergan Outstanding Teaching Award. Dr Alcock has also led a number of significant initatives in teaching and learning. He has coached several case competition teams to international successes. In addition, he has developed the University of Sydney Real Estate Case Competition, as well as new units of study in real estate finance and investments, and new postgraduate degree offerings at previous institutions.

Dr Alcock serves as the postgraduate coursework coordinator, and graduate studies board member, for the finance discipline and is a frequent media commentator on finance, investments and real estate.

Selected publications

2018

Journal Articles

Alcock J, and Andrlikova P (2018) Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis Journal of Real Estate Finance and Economics, 56 (2), 183-216. [More Information]

Alcock J, and Steiner E (2018) Fundamental drivers of dependence in REIT returns Journal of Real Estate Finance and Economics, 57 (1), 4-42. [More Information]

Book

Alcock J, and Satchell S (2018) Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns; Wiley, Chichester. [More Information]

Book Chapters

Alcock J, and Andrlikova P (2018) Asymmetric Dependence, Persistence and Firm-Level Stock Return Predictability Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns; Wiley, Chichester, 198-220. [More Information]

Alcock J, and Hatherley A (2018) Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns; Wiley, Chichester, 1-16. [More Information]

Alcock J, and Hatherley A (2018) The Price of Asymmetric Dependence Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns; Wiley, Chichester, 47-74. [More Information]

Low R, Alcock J, Faff R, and Brailsford T (2018) Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It? Asymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns; Wiley, Chichester, 263-289. [More Information]

2017

Journal Articles

Alcock J, and Hatherley A (2017) Characterizing the Asymmetric Dependence Premium Review of Finance, 21 (4), 1701-1737. [More Information]

Alcock J, and Smith G (2017) Non-parametric American option valuation using Cressie-Read divergences Australian Journal of Management, 42 (2), 252-275. [More Information]

Alcock J, and Steiner E (2017) The interrelationships between REIT capital structure and investment Abacus, 53 (3), 371-394. [More Information]

Alcock J, and Steiner E (2017) Unexpected Inflation, Capital Structure and Real Risk-Adjusted Firm Performance Abacus, 53 (2), 273-298. [More Information]

2016

Conference Proceedings

Alcock J, and Andrlikova P (2016) The Rising Importance of Asymmetric Dependence in UK Equity Returns 25th Annual Meeting of the European Financial Management Association (EFMA 2016); European Financial Management Association, Basel.

Alcock J, and Andrlikova P (2016) Do Real Estate Investment Trust Investors Value Asymmetric Dependence in returns? European Real Estate Society 23rd Annual Conference; European Real Estate Society, Regensburg, Germany.

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.

2014

Journal Articles

Alcock J, and Smith G (2014) Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options The Journal of Futures Markets, 34 (4), 320-345. [More Information]

Alcock J, Steiner E, and Tan K (2014) Joint Leverage and Maturity Choices in Real Estate Firms: The Role of the REIT Status Journal of Real Estate Finance and Economics, 48 (1), 57-78. [More Information]

2013

Journal Articles

Alcock J, Baum A, Colley N, and Steiner E (2013) The Role of Financial Leverage in the Performance of Private Equity Real Estate Funds The Journal of Portfolio Management, 39 (5), 99-110. [More Information]

Alcock J, Glascock J, and Steiner E (2013) Manipulation in U.S. REIT investment performance evaluation: Empirical evidence Journal of Real Estate Finance and Economics, 47 (3), 434-465. [More Information]

Low R, Alcock J, Faff R, and Brailsford T (2013) Canonical vine copulas in the context of modern portfolio management: Are they worth it? Journal of Banking & Finance, 37 (8), 3085-3099. [More Information]

2012

Journal Articles

Alcock J, and Burrage K (2012) Stable, strong order 1.0 methods for solving stochastic ordinary differential equations Bit (Lisse): numerical mathematics, 52 (3), 539-557. [More Information]

Alcock J, Finn F, and Tan K (2012) The determinants of debt maturity in Australian firms Accounting and Finance, 52 (2), 313-341. [More Information]

Reports

Alcock J, and Steiner E (2012) REIT capital structure, real risk-adjusted performance and the management of exposure to inflation; European Public Real Estate Association (EPRA), Brussels, 1-22.

Alcock J, Lizieri C, and Steiner E (2012) Real Estate's Role in the Mixed Asset Portfolio: A Re-examination | Working Paper 1 Real Estate Returns and Other Asset Classes: A Review of Literature; Investment Property Forum, London, 6-25.

Lizieri C, Alcock J, Satchell S, Steiner E, and Wongwachara W (2012) Real Estate's Role in the Mixed Asset Portfolio: A Re-Examination: Summary Report; Investment Property Forum, London, 6-22.

Lizieri C, Alcock J, Satchell S, Steiner E, and Wongwachara W (2012) Real Estate's Role in the Mixed Asset Portfolio: A Re-examination | Working Paper 4 Real Estate Returns and Financial Assets in Extreme Markets; Investment Property Forum, London, 6-28.

Lizieri C, Alcock J, Satchell S, Steiner E, and Wongwachara W (2012) Real Estate's Role in the Mixed Asset Portfolio: A Re-examination | Working Paper 3 Time Varying Influences on Real Estate Returns; Investment Property Forum, London, 6-37.

Lizieri C, Alcock J, Satchell S, Steiner E, and Wongwachara W (2012) Real Estate's Role in the Mixed Asset Portfolio: A Reexamination | Working Paper 2 Private Commercial Real Estate Returns and the Valuation Process; Investment Property Forum, London, 6-42.

2011

Journal Article

Alcock J, Mollee T, and Woods J (2011) Volatile earnings growth, the price of earnings and the value premium Quantitative Finance, 11 (6), 805-815. [More Information]

2010

Journal Articles

Alcock J, and Auerswald D (2010) Empirical tests of canonical nonparametric American option pricing methods The Journal of Futures Markets, 30 (6), 509-532. [More Information]

Alcock J, and Auerswald D (2010) Empirical tests of canonical nonparametric American option-pricing methods The Journal of Futures Markets, 30 (6), 509-532. [More Information]

Alcock J, Baum J, and Lizieri C (2010) Property companies, financing decisions and risk European Public Real Estate Association News (34), 42-44.

2009

Journal Article

Alcock J, and Hatherley A (2009) Asymmetric Dependence Between Domestic Equity Indices and its Effect on Portfolio Construction Australian Actuarial Journal, 15 (1), 143-180.

2008

Journal Articles

Alcock J, and Carmichael T (2008) Nonparametric American option pricing The Journal of Futures Markets, 28 (8), 717-748. [More Information]

Alcock J, Cockcroft S, and Finn F (2008) Quantifying the advantage of secondary mathematics study for accounting and finance undergraduates Accounting and Finance, 48 (5), 697-718. [More Information]

Conference Proceeding

Alcock J, Goard J, and Vassallo A (2008) Calibrating mean-reverting jump diffusion models: an application to the NSW electricity market 2007 Mathematics in Industry Study Group; Mathematics in Industry Study Group, Wollongong, Australia.

2007

Journal Article

Hatherley A, and Alcock J (2007) Portfolio construction incorporating asymmetric dependence structures: A users guide Accounting and Finance, 47 (3), 447-72.

Book Chapter

Alcock J, Goard J, and Vassallo A (2007) Calibrating mean-reverting jump diffusion models: An application to the NSW electricity market Proceedings of the 2007 Mathematics and Statistics in Industry Study Group; Mathematics and Statistics in Industry Study Group, University of Wollongong, Wollongong, 57-81.

2006

Journal Article

Alcock J, and Burrage K (2006) A Note on the Balanced Method Bit (Lisse): numerical mathematics, 46 (4), 689-710. [More Information]

2005

Journal Articles

Alcock J (2005) Numerical methods for quantitative finance Bulletin of the Australian Mathematics Society, 72 (1), 173-6.

Alcock J, and Docwra G (2005) A simulation analysis of the market effect of the Australian Broadcasting Corporation Information Economics and Policy, 17 (4), 407-427. [More Information]

Alcock J, and Gray P (2005) Forecasting stock returns using model selection criteria Economic Record, 81 (253), 135-151. [More Information]

Alcock J, and Gray P (2005) Dynamic, non-parametric hedging of European style contingent claims using Canonical valuation Finance Research Letters, 2 (1), 41-50. [More Information]

Selected grants

Recent Units Taught

  • BUSS4402 Finance Honours A

  • FINC3025 Real Estate Finance

  • FINC6001 Intermediate Corporate Finance

  • FINC6010 Derivative Securities

  • FINC6024 Real Estate Finance and Investment

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