A/Prof. Victor Fang

STAFF PROFILE

Position

Associate Professor

Faculty

Faculty of Business and Law

Department

BL Deakin Business School

Campus

Melbourne Burwood Campus

Contact

v.fang@deakin.edu.au
+61 3 924 46919

Research interests

• Fixed Income and interest rate swaps and related issues
• Financial risk Management
• Modeling of Term structure of Interest Rates
• Volatility Modeling

Publications

Filter by

2017

Corporate hedging and the high idiosyncratic volatility low return puzzle

M Chng, V Fang, V Xiang, H Zhang

(2017), pp. 1-31, International review of finance, London, Eng., C1

journal

IPO lockups, long run returns, and growth opportunities

J Haman, K Chalmers, V Fang

(2017), Vol. 49, pp. 1-16, Journal of international financial markets, institutions and money, Amsterdam, The Netherlands, C1-1

journal
2016

The role of optimistic news stories in IPO pricing

P Carey, V Fang, H Zhang

(2016), Vol. 41, pp. 16-29, Journal of international financial markets, institutions and money, Amsterdam, The Netherlands, C1

journal

Aggregate volatility risk and the cross-section of stock returns: Australian evidence

V Mai, T Ang, V Fang

(2016), Vol. 36, pp. 134-149, Pacific-Basin finance journal, Amsterdam, The Netherlands, C1

journal

How accurately can convertibles be classified as debt or equity for tax purposes? Evidence from Australia

J-P Fenech, V Fang, R Brown

(2016), Vol. 12, pp. 153-164, Review of law & economics, Berlin, Germany, C1

journal
2015

Non-tradable share reform, liquidity, and stock returns in China

C-H Hung, Q Chen, V Fang

(2015), Vol. 15, pp. 27-54, International Review of Finance, C1

journal

International swap market contagion and volatility

A Azad, J Batten, V Fang, J Wickramanayake

(2015), Vol. 47, pp. 355-371, Economic Modelling, C1

journal

What determines the yen swap spread?

A Azad, J Batten, V Fang

(2015), Vol. 40, pp. 1-13, International Review of Financial Analysis, C1

journal

The economic significance of CDS price discovery

V Xiang, M Chng, V Fang

(2015), Vol. In press, pp. 1-30, Review of quantitative finance and accounting, New York, N.Y., C1

journal

The underpricing of infrastructure IPOs: Evidence from China

Q Tan, W Dimovski, V Fang

(2015), Vol. 18, pp. 150025-1-1550025-31, Review of Pacific Basin Financial Markets and Policies, Singapore, Asia, C1

journal
2014

Unchecked manipulations, price-volume relationship and market efficiency: evidence from emerging markets

S Azad, S Azmat, V Fang, P Edirisuriya

(2014), Vol. 30, pp. 51-71, Research in international business and finance, Philadelphia, USA, C1

journal

Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods

C Hung, A Azad, V Fang

(2014), Vol. 31, pp. 14-29, Journal of international financial markets, institutions & money, Amsterdam, The Netherlands, C1

journal

Impact of policy changes on the efficiency and returns-to-scale of Japanese financial institutions: an evaluation

A Azad, S Yasushi, V Fang, A Ahsan

(2014), Vol. 32, pp. 159-171, Research in international business and finance, Amsterdam, The Netherlands, C1

journal

Corporate bond prices and idiosyncratic risk : evidence from Australia

V Fang, C Hung

(2014), Vol. 33, pp. 99-114, Journal of international financial markets, institutions & money, Amsterdam, The Netherlands, C1

journal
2013

Transmigration across price discovery categories : evidence from the U.S. CDS and equity markets

V Xiang, M Chng, V Fang

(2013), Vol. 33, pp. 573-599, Journal of futures markets, Malden, Mass., C1

journal

Stock prices and the location of trade : evidence from China-backed ADRs

X Wang, L Yao, V Fang

(2013), Vol. 26, pp. 677-688, North American jounal of economics and finance, Amsterdam, The Netherlands, C1

journal

An investigation of the deviation from the market efficiency and its Implications for capital market development: the DSE evidence

A Azad, A Ahsan, V Fang

(2013), pp. 143-159, Emerging markets and the global economy: a handbook, Oxford, England, B1

chapter
2012

Business cycles and the impact of macroeconomic surprises on interest rate swap spreads : Australian evidence

V Fang, A Azad, J Batten, C Lin

(2012), pp. 379-398, Contemporary studies in economic and financial analysis, Bingley, England, B1

chapter

Linking the interest rate swap markets to the macroeconomic risk : The UK and us evidence

A Azad, V Fang, C Hung

(2012), Vol. 22, pp. 38-47, International review of financial analysis, Amsterdam, Netherlands, C1

journal
2011

Low-frequency volatility of yen interest rate swap market in relation to macroeconomic risk

A Azad, V Fang, J Wickramanayake

(2011), Vol. 11, pp. 353-390, International review of finance, Richmond, Vic., C1-1

journal
2010

Value-at-risk disclosures and the implications on bank stakeholders

J Ball, V Fang

(2010), pp. 3-27, Banking and capital markets : new international perspective, Singapore, B1-1

chapter
2009

Volatility spillover between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis

D Choi, V Fang, T Fu

(2009), Vol. 1, pp. 106-117, Asian journal of finance and accounting, Las Vegas, Nev., C1-1

journal
2008

Macroeconomic news, business cycles and Australian financial markets

V Fang, C Lin, K Parboo

(2008), Vol. 15, pp. 185-207, Asian Pacific Financial Markets, New York, N. Y., C1-1

journal

A heuristic approach to Asian hedge fund allocation

V Fang, K Phoon, V Xiang

(2008), Vol. 10, pp. 42-52, Journal of wealth management, New York, N. Y., C1-1

journal
2007

Volatility linkages and spillovers in stock and bond markets : some international evidence

V Fang, E Lin, V Lee

(2007), Vol. 7, pp. 1-10, Journal of international finance and economics, Turlock, Calif., C1-1

journal

An examination of Australian gold mining firms' exposure over the collapse of gold price in the late 1990s

V Fang, E Lin, W Poon

(2007), Vol. 15, pp. 37-49, International journal of accounting and information management, West Yorks, U. K., C1-1

journal
2006

A survey of value-at-risk and its role in the banking industry

J Ball, V Fang

(2006), Vol. 32, pp. 1-31, Journal of financial education, Philadelphia, Pa., C1-1

journal

Volatility transmissions between stock and bond markets : evidence from Japan and the U.S.

V Fang, Y Lim, C Lin

(2006), Vol. 12, pp. 120-128, International journal of information technology, Singapore, Singapore, C1-1

journal
2005

Can the choice of interpolation method explain the difference between swap prices and futures prices?

R Brown, V Fang

(2005), Vol. 45, pp. 199-216, Accounting and finance, Richmond, Vic., C1-1

journal

Volatility transmission between stock and bond markets : evidence from US and Australia

V Fang, V Lee, L Yee-Choon

(2005), Vol. 3578, pp. 580-587, Lecture notes in computer science, Heidelberg, Germany, C1-1

journal
2004

Using forward rate agreements to price and hedge interest rate swaps

R Brown, V Fang

(2004), Vol. 17, pp. 71-76, Accounting research journal, London, England, C1-1

journal

Credit risk of interest rate swaps : a comparative study of CIR and Monte Carlo simulation approach

V Fang, V Lee

(2004), Vol. 3177, pp. 780-787, Lecture notes in computer science, Berlin, Germany, C1-1

journal

Australian and US interest rate swap markets : comparison and linkages

F In, V Fang, R Brown

(2004), Vol. 44, pp. 45-56, Accounting and finance, Richmond, Vic., C1-1

journal
2003

Links among interest rate swap markets : U.S., U.K. and Japan

F In, R Brown, V Fang

(2003), Vol. 13, pp. 84-95, Journal of fixed income, London, England, C1-1

journal

An empirical analysis of the Australian dollar swap spreads

V Fang, R Muljono

(2003), Vol. 11, pp. 153-173, Pacific-basin finance journal, Amsterdam, The Netherlands, C1-1

journal

Testing the expectations hypothesis for interest rate term structure : some Australian evidence

V Fang, V Lee

(2003), Vol. 2669, pp. 189-198, Lecture notes in computer science, Berlin, Germany, C1-1

journal

Modeling volatility and changes in the swap spread

F In, R Brown, V Fang

(2003), Vol. 12, pp. 545-561, International review of financial analysis, Amsterdam, The Netherlands, C1-1

journal
2002

Modeling the determinants of swap spreads

R Brown, F In, V Fang

(2002), Vol. 12, pp. 29-40, Journal of fixed income, London, England, C1-1

journal

Funded Projects at Deakin

No Funded Projects at Deakin found

Supervisions

Principal Supervisor
2015

Thi Anh Thu Pham

Thesis entitled: Studies of firm efficiency on stock returns

Doctor of Philosophy, Department of Finance

2013

Hansen Limong

Thesis entitled: Information Linkages between the U.S. Credit Default Swap and Equity Markets

Doctor of Philosophy, School of Accounting, Economics & Finance