Maxwell Stevenson

Photo of Maxwell Stevenson

BA NE; MStats MCom(Hons) PhD UNSW
Senior Lecturer

Rm 545
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone 61 2 9036 9429
maxwell.stevenson@sydney.edu.au

Selected publications

2013

Journal Articles

Rodrigues B, and Stevenson M (2013) Takeover prediction using forecast combinations International Journal of Forecasting, 29 (4), 628-641. [More Information]

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 Articles

Rodrigues B, Souza R, and Stevenson M (2012) An analysis of intraday market behaviour before takeover announcements International Review of Financial Analysis, 21, 23-32. [More Information]

Zhu M, Philpotts D, and Stevenson M (2012) The benefits of tree-based models for stock selection Journal of Asset Management, 13 (6), 437-448. [More Information]

2011

Journal Article

Zhu M, Philpotts D, Sparks R, and Stevenson M (2011) A Hybrid Approach to Combining CART and Logistic Regression for Stock Ranking The Journal of Portfolio Management, 38 (1), 100-109. [More Information]

2010

Conference Proceeding

Rodrigues B, and Stevenson M (2010) An Analysis of Intraday Market Behaviour Before Takeover Announcements 18th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics SNDE 2010; Society for Nonlinear Dynamics and Econometrics, Novara, Italy.

2009

Journal Article

McLeay S, and Stevenson M (2009) Modelling the longitudinal properties of financial ratios Applied Financial Economics, 19 (4), 305-318. [More Information]

Conference Proceeding

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.

Report

Chiarella C, Svec J, and Stevenson M (2009) Diagnostic testing for earnings simulation engines in the Australian electricity market.

2008

Journal Article

Jun A, Alaganar V, Partington G, and Stevenson M (2008) Price and Volume Behaviour around the Ex-dividend Day: Evidence on the Value of Dividends from American Depositary Receipts and their Underlying Australian Stocks International Review of Finance, 8 (1-2), 21-55.

2007

Journal Articles

Svec J, and Stevenson M (2007) Modelling and forecasting temperature based weather derivatives Global Finance Journal, 18 (2), 185-204. [More Information]

Wong B, Partington G, Stevenson M, and Torbey V (2007) Surviving Chapter 11 Bankruptcies: Duration and Payoff? Abacus, 43 (3), 363-387. [More Information]

2006

Journal Articles

Frino A, Jarnecic E, Stevenson M, and Tan A (2006) Sources of price discovery in the Australian dollar currency market Review of Futures Markets (Chicago), 15 (1, article 2), 45-83.

Keller A, Stevenson M, and Jarnecic E (2006) The impact of market closures on option volumes at the ASX JASSA, Summer (4), 32-33.

Stevenson M (2006) Book Review: Forecast verification: A practitioner's guide in atmospheric science by I T Jolliffe and D B Stephenson International Journal of Forecasting, 22 (2), 403-405.

Stevenson M, do Amaral L, and Peat M (2006) Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market Studies in Nonlinear Dynamics and Econometrics, 10 (3, Article 4), 1-23. [More Information]

Conference Proceedings

Amaral L, Peat M, and Stevenson M (2006) Forward prices and their risk management role in the Australian electricity market 13th Global Finance Conference.

Tan A, Frino A, Stevenson M, and Jarnecic E (2006) Sources of price discovery in the Australian dollar currency marke 16th Annual Annual Asia Pacific Futures Research Symposium (APFRS) 2006; Kent State University, Ohio, USA.

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.

Book Chapter

Hutson E, Lynch M, and Stevenson M (2006) Distributional Characteristics of Funds of Hedge Funds Returns Funds of Hedge Funds: Performance, Assessment, Diversification, and Statistical Properties; Elsevier, United States, 213-238.

2005

Journal Articles

Oetomo T, and Stevenson M (2005) Hot or Cold? A Comparison of Different Approaches to the Pricing of Weather Derivatives Journal of Emerging Market Finance, 4 (2), 101-133.

Peat M, Stevenson M, and Maroney D (2005) The relationship between technical indicators and the market index JASSA, 2005 Winter (2), 8-11.

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

Van Lennep D, Oetomo T, Stevenson M, and De Vries A (2004) Weather Derivatives: An Attractive Additional Asset Class Journal of Alternative Investments, 7 (2), 65-74.

Conference Proceedings

Jun A, Alaganar V, Partington G, and Stevenson M (2004) Price and Volume Behaviour around the Ex-dividend Day: Evidence on the Value of Dividends from ADRs and their Underlying Australian Stocks 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.

Peat M, Stevenson M, and Maroney D (2004) The Predictive Ability Of Simple Technical Indicators: Australian Evidence First International Workshop on Intelligent Finance (IWIF 1); The University of Ballarat, Victoria, Australia.

2003

Conference Proceeding

Chiarella C, Flaschel P, and Stevenson M (2003) Wage and Price Phillips Curves: Normal or Adverse Real Wage Adjustments? 3rd IWH Workshop in Macroeconometrics; Nomos Verlaggesellschaft, Nomos, Baden Baden.

Book Chapter

Stevenson M, Chiarella C, and Flaschel P (2003) Wage and Price Phillips Curves: Normal or Adverse Real Wage Adjustments? Advances in Macroeconometric Modeling; Nomos Verlaggesellschaft, Germany.

Recent Units Taught

  • FINC5001 Capital Markets and Corporate Finance

  • FINC6001 Intermediate Corporate Finance

  • FINC6021 Corporate Valuation