Keshab Shrestha, Prof - 1

Professor of Banking and Finance

keshab.shrestha@monash.edu
603 5514 6389
Room 6-5-90

Biodata

Dr. Keshab Shrestha is Professor of Banking and Finance.

Professor Keshab Shrestha is Professor of Banking and Finance at the School of Business, Monash University Malaysia.

Formerly teaching in Financial Engineering Program at Risk Management Institute (RMI), National University of Singapore. Professor Shrestha has published in many international refereed journals in the fields of Finance, Accounting, Economics, Statistics and Engineering. While working at RMI, he has also served as a Director of Master of Science in Financial Engineering program. Keshab has over twenty years of teaching experience in the field of Finance. Keshab has also served as an ad hoc referee for many international journals which includes Journal of Corporate Finance, Journal of Banking and Finance, Journal of Business Finance and Accounting, Financial Review, and American Journal of Agricultural Economics, etc. He has taught both undergraduate and graduate courses in Economics and Finance at National University of Singapore, Nanyang Technological University, University of Regina, Concordia University, York University and State University of New York at Buffalo. In the past, Professor Shrestha has also worked as a manager of equity research in a pension fund management company in Canada.

Academic Qualifications

Doctor of Philosophy
Institution State University of New York at Buffalo
Year awarded 1984
Master
Institution State University of New York at Buffalo
Year awarded 1983

Areas of Expertise

1 Asset Pricing
2 Financial Risk Management
3 Financial Econometrics

Book Chapters

1 Sheng-Syan Chen, Kim Wai Ho, Cheng-Few Lee and Keshab Shrestha (2013) “Nonlinear Models in Corporate Finance Research: Review, Critique and Extensions,” Encyclopedia of Finance, ed. C.F. Lee and A.C. Lee, Springer Science, New York.
2 Sheng-Syan Chen, Kim Wai Ho, Cheng-Few Lee and Keshab Shrestha (2013) “Futures Hedge Ratios: A Review,” Encyclopedia of Finance, ed. C.F. Lee and A.C. Lee, Springer Science, New York.

Scholarly Journals (Refereed ONLY)

1 Keshab Shrestha, Ravichandran Subramaniam, Yessy Peranginangin and Sheena Sara Suresh Philip, (2018), "Quantile hedge ratio for energy markets," Energy Economics 71, 253-272
2 Yong Ma, Keshab Shrestha and Weidong Xu, 2017, “Pricing vulnerable options with jump clustering,” Journal of Futures Markets , forthcoming, DOI: 10.1002/fut.21843.
3 Keshab Shrestha, Ravichandran Subramaniam and Puspavathy Rassiah, 2017, “Pure martingale and joint normality tests for energy futures contracts,” Energy Economics 63, 174-184
4 Sie Ting Lau, Keshab Shrestha and Jing Yu, 2016, “Corporate Governance and the Information Content of Earnings Announcements: A Cross-Country Analysis,” Contemporary Accounting Research 33, 1238-1266.
5 Donald Lien, Keshab Shrestha and Jing Wu, 2016, “Quantile Estimation of Optimal Hedge Ratio”, Journal of Futures Markets 36, 194-214.
6 Donald Lien and Keshab Shrestha, 2014, “Price Discovery in Interrelated Markets,” The Journal of Futures Markets 34, 203-219.
7 Julia Sawicki and Keshab Shrestha (2014), “Misvaluation and Managerial Trading Incentives for Real and Accrual-Based Earnings Management,  Journal of Business Finance and Accounting
8 Keshab Shrestha (2014), “Price Discovery in Energy Markets,” Energy Economics 45, 229-233.  Energy Economics
9 Seoungpil Ahn and Keshab Shrestha, (2013), “Differential effects of Classified Boards on Firm Value,” Journal of Banking and Finance, 37, 3993-4013.
10 Yongning Wang, Ruey S. Tsay, Johannes Ledolter and Keshab Shrestha, (2013), “Forecasting Simultaneously High-Dimensional Time Series: A Robust Model-Based Clustering Approach,” Journal of Forecasting 32, 673-684.
11 Suman Banerjee, Lili Dai and Keshab Shrestha, (2011), “Cross-country IPOs: What explains differences in underpricing?” Journal of Corporate Finance 17, 1289 – 1305
12 Donald Lien and Keshab Shrestha, (2010), “Estimating Optimal Hedge Ratio: A Multivariate Skew-Normal Distribution Approach,” Applied Financial Economics 20, 627– 636.
13 Donald Lien and Keshab Shrestha, (2009), “A New Information Share Measure,” The Journal of Futures Markets 29, No. 4, pp. 377 – 395
14 Julia Sawicki and Keshab Shrestha, (2008), “Insider Trading and Earnings Management,” Journal of Business Finance and Accounting 35, pp. 331-346
15 Sheng-Syan Chen, C.F. Lee and Keshab Shrestha, (2008), “Do the pure martingale and joint normality hypothesis hold for futures contracts? Implications for the optimal hedge ratio,” Quarterly Review of Economics and Finance 48, pp. 153-174
16 Donald Lien and Keshab Shrestha, (2008), “Hedging Effectiveness Comparisons: A Note,” International Review of Economics and Finance 17, pp 391-396
17 Donald Lien and Keshab Shrestha, (2007), “An Empirical Analysis of the Relationship between Hedge Ratio and Hedging Horizon Using Wavelet Analysis,” Journal of Futures Markets 27, pp. 127-150
18 C.F. Lee, Keshab Shrestha and Robert L. Welch, (2007), “Relationship between Treasury bills and Eurodollars: Theoretical and Empirical Analyses,” Review of Quantitative Finance and Accounting 28, pp. 163-185
19 Beng Soon Chong, Ming-Hua Liu and Keshab Shrestha, (2006), “Monetary Transmission via the Administered Interest Rates Channel,” Journal of Banking and Finance 30, pp. 1467-1484
20 Donald Lien and Keshab Shrestha, (2005), “Estimating the Optimal Hedge Ratio with Focus Information Criterion,” The Journal of Futures Markets 25, pp. 1011 – 1024
21 Sheng-Syan Chen, C.F. Lee and Keshab Shrestha, 2004, “An Empirical Analysis of the Relationship between the Hedge Ratio and Hedging Horizon: A Simultaneous Estimation of the Short- and Long-Run Hedge Ratio,” The Journal of Futures Markets 24, pp. 359 – 386
22 Sheng-Syan Chen, C. F. Lee and Keshab Shrestha, (2002), “Are Expected Inflation Rates and Expected Real Rates Negatively Correlated? A Lon-Run Test of the Mundell-Tobin Hypothesis,” Journal of Financial Research 25, pp. 305-320
23 Sheng-Syan Chen, C.F. Lee and Keshab Shrestha, (2001), “On A Mean-Generalized Semivariance Approach to Determining the Hedge Ratio”, The Journal of Futures Markets 21, pp. 581 – 598
24 Keshab Shrestha and Robert L. Welch, (2001), “Relationship between Treasury Bills and Eurodollar Futures: A Long Memory Analysis,” Review of Quantitative Finance and Accounting 16, pp. 65 – 80
25 Keshab Shrestha, (1999), “Equality of Real Returns on Canadian and US Treasury bills: A Fractional Cointegration Analysis,” Review of Quantitative Finance and Accounting 13, pp. 83 – 99
26 Sheng-Syan Chen and Keshab Shrestha, (1998), “Validity of the Short- and Long-Run Fisher Relationships: An Empirical Analysis,” The Managerial Finance 24, pp. 64 – 76
27 Sheng-Syan Chen and Keshab Shrestha, (1998), “Validity of the Short- and Long-Run Fisher Relationships: An Empirical Analysis,” The Managerial Finance 24, pp. 64 – 76
28 Mahmudul Anam, Shin-Hwan Chiang and Keshab Shrestha, 1996, “Dumping with Correlated Demand” Southern Economic Journal 62, pp. 1072 - 1078
29 Keshab Shrestha and Chris Sakellariou, (1996), “Wage Discrimination: A Statistical Test,” Applied Economics Letters 3, pp. 649-651
30 Keshab Shrestha, (1989), "Empirical Measurement of Inflation Index: A Multiple Indicators Distributed Lag Approach," Journal of Business and Economic Statistics 7, pp. 219 – 225
31 Keshab Shrestha and T.T. Soong, (1988), "Response Probabilities of Nonlinear Random Systems: A Compartmental Approach," Probabilistic Engineering Mechanics 3, pp. 92 – 97
32 Keshab Shrestha, (1988), "Estimation of A General Linear Model with An Unobservable Stochastic Variable," Economics Letters 26, pp. 259 – 264
33 Keshab Shrestha, (1987), "Multiple Cause Model with Autocorrelated Errors: A Gain in Efficiency Analysis," Economics Letters 23, pp. 257 – 262
34 Keshab Shrestha, (1986), "The Lag Relationship between Producer and Consumer Prices: An Unobservable Variable Approach," Economics Letters 22, pp. 175 – 179

Practitioner Journals (Non ERA)

1 Keshab Shrestha and W. H. Watt, “Is Volatility Bad for the Stock Market?” Stock Exchange of Singapore Journal 25, Singapore, (April 1997), pp. 24– 26
2 Keshab Shrestha and M. H. Liu, “To Hold or Not to Hold?” Stock Exchange of Singapore Journal 24, Singapore, (November 1996), pp. 41– 43.
3 M. H. Liu  and Keshab Shrestha, “The Ups and Downs of SES Index Returns,” Stock Exchange of Singapore Journal 24, Singapore, (May 1996), pp. 26 – 28.
4 M. H. Liu and Keshab Shrestha, “Are Mondays really bad for stocks?” Stock Exchange of Singapore Journal 24, Singapore, (March 1996), pp. 28 – 31
5 Keshab Shrestha with Kok Hui Tan and Joseph Kang, “Performance of Low P/E Stock Investment Strategy”, Stock Exchange of Singapore Journal 23, Singapore, (September 1995), pp. 31 – 32

Completed Supervision

Student Alicia Wai Lai Cheung; Leh Hiong Ker;  Chwee Heng Poh
Program of study An empirical study of the prerormance and cointegration analysis of CPF approved unit trusts in Singapore (MBA (Banking and Finance)); 1996
Awarding university Nanyang Technological University, Singapore
Student Zhi Li
Program of study Warrant pricing  Singapore Experience (MBA); 1997
Awarding university Nanyang Technological University, Singapore
Student Ivan Chin Huat Tan
Program of study Momentum strategies in the Singapore equity market (MBA); 2005
Awarding university Nanyang Technological University, Singapore
Student Tong Sing Tan
Program of study The impact on the transaction costs due to the decimalization of the NYSE (M.Sc. Applied Finance); 2005
Awarding university Nanyang Technological University, Singapore
Student Lei Zeng
Program of study New Study on the impacts of stock split (Master of Business); 2007
Awarding university Nanyang Technological University, Singapore

International Presentations

1 Julia Sawicki and Keshab Shrestha, “Overvalued Equity and the Accruals Anomaly: Evidence from Insider Trades.” presented at the 2nd Annual International Conference on Accounting and Finance, 2012, Singapore
2 Julia Sawicki and Keshab Shrestha, “Overvalued Equity and the Accruals Anomaly: Evidence from Insider Trades.” presented at the 2011 American Accounting Association Annual Meeting, Denver, Colorado.
3 Dev Mishra and Keshab Shrestha, “The Impacts of Intrinsic Information Asymmetry, Extrinsic Information Asymmetry and Managerial Entrenchment on Ex-ante Cost of Equity Capital”, presented at the 2009 American Accounting Association Annual Meeting, New York, 2009.
4 Donald Lien and Keshab Shrestha, “A New Information Share Measure and Its Application to Futures and Spot Markets”, presented at the Top-Ten Percent Session, at the 2006 meeting of the Financial Management Association International, Salt Lake City, USA
5 C. F. Lee, Keshab Shrestha and Robert L. Welch, “Relationship between Treasury Bills and Eurodollar: A Long Memory GARCH-M Analysis,” presented at the 2002 meeting of the Financial Management Association International, San Antonio, 2002
6 Keshab Shrestha with Sheng-Syan Chen and C.F. Lee, “Nonlinear Models in Corporate Finance Research: Review, Critique and Extensions”, presented at the 2001 meeting of the Financial Management Association International, Toronto, October 2001
7 Keshab Shrestha with Sheng-Syan Chen and C.F. Lee, “A Comparative Study of Futures Hedge Ratios: Theory and Empirical Analysis”, presented at the 2001 meeting of the Financial Management Association International, Toronto, October 2001
8 Keshab Shrestha with Robert L. Welch, “Relationship between Treasury Bills and Eurodollar Futures: A Long Memory Analysis”, presented at the 1999 meeting of the Northern Finance Association Conference, Calgary, Canada
9 Keshab Shrestha with Kok Hui Tan, “Short-Run and Long-Run Relationships Between Real Interest Rates in G-7 countries,” presented at the 1999 meeting of the Financial Management Association European Conference, Barcelona, June 1999
10 Keshab Shrestha with Sheng-Syan Chen and C.F. Lee, “Alternative Approaches to Hedge Ratio: Theory and Empirical Analysis,” presented at the 1998 meeting of the Financial Management Association International, Chicago, October 1998
11 Keshab Shrestha with Sheng-Syan Chen, “Are Expected Inflation and Expected Real Return on T-Bills Negatively Correlated? A Long-Run Test of Mundell and Tobin Hypothesis,” presented at the 1997 meeting of the Financial Management Association International, Honolulu, Hawaii, October 15-18, 1997

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