Qualifications PhD in Finance, University of Massachusetts, 1999. MBA in Business Administration, University of Massachusetts, 1994. ABD in Industrial Engineering, Business Administration, Universitaet Karlsruhe, Germany, 1992. Thomas Henker received his MBA in 1994 and his Ph.D. (Finance) in 1999 from the University of Massachusetts. He is a member of the CFA-Institute and holds a Chartered Financial Analyst® charter. He is regular presenter and invited speaker at academic and practitioner conferences. Thomas has published numerous articles in leading Finance journals including the Journal of Financial Markets, the European Journal of Finance, the Journal of Empirical Finance, and the Financial Review. He is a member of the curriculum committee of the Chartered Alternative Investments Association, a research associate of INGARM, and a member of FIRN. His research interests are in Portfolio Management, the Microstructure of Financial Markets and in Alternative Investments. Thomas is Professor of Finance at Bond University where he lectures in both undergraduate and postgraduate portfolio management and quantitative methods courses. He has taught at Bond University, the University of New South Wales, BITCC in Beijing, Clark University and the University of Massachusetts.
Articles
Survivorship bias and alternative explanations of momentum effect (with Julia Henker and Thanh Duc Huynh), 2011 Financial Management Association (FMA) Annual Meeting (2011)
This paper provides the first detailed examination of momentum effect in Australian equity market. In...
The effect of the ban on short selling on market efficiency and volatility (with Uwe Helmes and Julia Henker), 2011 Financial Management Association (FMA) Annual Meeting (2011)
We examine the effects of the short selling ban, imposed by Australian regulators in the...
Are retail investors the culprits? Evidence from Australian individual stock price bubbles (with Julia Henker), The European journal of finance (2010)
We address the question of whether the trading of retail investors causes stock price anomalies....
Noise and efficient variance in the Indonesia Stock Exchange (with Zaafri A. Husodo), Pacific-Basin finance journal (2010)
We separate noise from information related variance for stocks traded on the Indonesian Stock Exchange...
Spread decomposition with common spread components, International journal of managerial finance (2010)
Purpose – This paper aims to incorporate a market wide buying and selling pressure cost...
Book Chapters
Naive and planned diversification for managed futures (with George A. Martin), The handbook of alternative investment strategies (1999)
Conference Papers
Re-examining the dividend drop ratios with dividend capture trading (with Vyas Balasubramaniam, William Bertin, and Laurie Prather), 17th annual conference of the Multinational Finance Society (MFS) (2010)
We calculate dividend drop ratios over periods with changing quotation and taxation frameworks to assess...
Dividend drop ratios and tax theory: An intraday analysis under different tax and price quoting regimes (with Vyas Balasubramaniam, William Bertin, and Laurie Prather), Financial Management Assocation (FMA) European conference (2010)
We calculate dividend drop ratios over periods with changing quotation and taxation frameworks to assess...
Transaction sizes and spreads: An informational approach (with David Feldman, Robert Kohn, and Yuewen Xiao), Financial Integrity Research Network (FIRN) research day in finance (2009)
We introduce an informational approach (IA) for exploring association between variables, an alternative to the...
Migration of trading and the introduction of single stock futures on the underlying US stocks, 2009 Financial Management Association (FMA) Annual Meeting (2008)
This study investigates where liquidity and informed trading takes place following the introduction of single...
The short-term dynamics of information risk (with Shah A. H. Shah-Idil and Jianxin Wang), Financial Integrity Research Network (FIRN) research day in finance (2008)
We introduce an informational approach (IA) for exploring association between variables, an alternative to the...
Theses
Bid and ask spreads in futures markets, Electronic Doctoral Dissertations for UMass Amherst (1999)
This dissertation examines a number of empirical issues that arise in the trading of equity...