- Are financial markets efficient?
- That is, do they quickly and accurately impound all available information? Early (1970s – early 1980s) empirical research found in favour of market efficiency. However, starting in the mid 1980s empirical research began appearing in quality journals presenting evidence to the contrary. In a seminal article, DeBondt and Thaler (1985) suggested that investors are prone to systematically over-reacting to both good and bad news. They supported their thesis with empirical evidence that stocks that performed the best over a given three year period performed poorly over a subsequent three year period, and vice versa. Their research re-ignited the market efficiency debate that continues to this day and forms the basis of my current research program.
- Gaunt, Clive (2016) Momentum crashes: the Australian evidence. JASSA: The Finsia Journal of Applied Finance, 1: 17-26.
- Gaunt, Clive (2015) The llusory Australian small firm premium. JASSA, 2015 2: 19-25.
- Gaunt, Clive (2013) Accounting and Finance: authorship and citation trends. Accounting and Finance, 54 2: 441-465. doi:10.1111/acfi.12061
- Brailsford, Tim, Gaunt, Clive and O'Brien, Michael A. (2012) Size and book-to-market factors in Australia. Australian Journal of Management, 37 2: 261-281. doi:10.1177/0312896211423555
- Brailsford, Tim, Gaunt, Clive and O'Brien, Michael (2012) The investment value of the value premium. Pacific-Basin Finance Journal, 20 3: 416-437. doi:10.1016/j.pacfin.2011.12.008
- Schneider, Paul and Gaunt, Clive (2012) Price and earnings momentum in Australian stock returns. Accounting and Finance, 52 2: 495-517. doi:10.1111/j.1467-629X.2010.00395.x
- Wu, Y., Gaunt, C. and Gray, S. (2010) A comparison of alternative bankruptcy prediction models. Journal of Contemporary Accounting & Economics, 6 1: 34-45. doi:10.1016/j.jcae.2010.04.002
- O'Brien, M., Brailsford, T. and Gaunt, C. (2010) Interaction of size, book-to-market and momentum effects in Australia. Accounting and Finance, 50 1: 197-219. doi:10.1111/j.1467-629X.2009.00318.x
- Gaunt, C. (2004) Size and book to market effects and the Fama French three factor asset pricing model: Evidence from the Australian stockmarket. Accounting and Finance, 44 1: 27-44. doi:10.1111/j.1467-629x.2004.00100.x
- Clive Gaunt and Philip Gray (2003) Short-term autocorrelation in Australian equities. Australian Journal of Management, 28 1: 97-117.
- 1990-2000 Member Australian Computer Society (MACS)
- 2001 AAANZ Peter Brownell Manuscript Award
- (Coveted award for best published paper in ‘Accounting and Finance’ Journal for year 2000)
- Paper titled: ‘The impact of share price on seasonality and size anomalies in the Australian equity market’
- 2000 Winner of a best paper award for ‘The Incremental Association of Disclosed Cash Flows with Stock Returns: Australian Evidence’, presented at the 11th International Conference of Accounting Academics, Hong Kong, June 2000.
- 1999 Winner of a best paper award (and PACAP research fellow) for 'Overreaction in the Australian Equity Market: 1974-1997', presented at the PACAP Conference, Singapore, July 1999.
|Towards a deeper understanding of market efficiency: evidence from directors trads, large single day share price movements and managed fund performance persistence.||UQ New Staff Research Grant||2001-2002||$10,000|