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Dr Jonathan Reeves

Dr Jonathan Reeves

Senior Lecturer
  • PhD, Queen's University
  • MPhil, University of Auckland
  • BCom,University of Auckland
Business School
School of Banking and Finance


Jonathan received his PhD in Economics from Queen's University, Canada. He also holds a Masters degree in Mathematics from the University of Auckland, New Zealand. His expertise is in forecasting in financial markets and his research has been published in leading international journals such as the International Journal of Forecasting, Journal of Financial Econometrics and Insurance: Mathematics and Economics. In addition, his research has been presented at numerous academic and industry conferences, including presentations at North American Meetings of the Econometric Society. Jonathan has also written op-ed for the Australian Financial Review on a number of occasions and appeared in other media including ABC and Bloomberg News. He has consulted for financial services companies both in Australia and overseas.
Phone
+61-2-93855874
E-mail
reeves@unsw.edu.au
Location
UNSW Business School - Ref E12 Level 3, Office 369
  • Journal articles | 2024
    Doan B; Jayasuriya D; Lee JB; Reeves JJ, 2024, 'Cryptocurrency systematic risk dynamics', Economics Letters, 241,
    Journal articles | 2023
    Doan B; Reeves JJ; Sherris M, 2023, 'Portfolio management for insurers and pension funds and COVID-19: targeting volatility for equity, balanced, and target-date funds with leverage constraints', Annals of Actuarial Science,
    Journal articles | 2023
    Latli B; Hrapchak MJ; Reeves JT; Lee H; Song JJ, 2023, 'Synthesis of beta-site amyloid precursor protein-cleaving enzyme 1 inhibitors BI 1147560 and BI 1181181 labeled with carbon-14 and deuterium', Journal of Labelled Compounds and Radiopharmaceuticals, 66, pp. 145 - 154,
    Journal articles | 2023
    Volchkov I; Powell BV; Zatolochnaya OV; Leung JC; Pennino S; Wu L; Gonnella NC; Bhaskararao B; Kozlowski MC; Reeves JT, 2023, 'Practical Synthesis of Terminal Vinyl Fluorides', Journal of Organic Chemistry, 88, pp. 10881 - 10904,
    Journal articles | 2023
    2023, 'Process Development for the Synthesis of BI 1702135: A Concise Design Enabled by Selective Acylation of a 2-Aminobenzimidazole Intermediate', Organic Process Research and Development,
    Journal articles | 2022
    Doan B; Lee JB; Liu Q; Reeves JJ, 2022, 'Beta measurement with high frequency returns', Finance Research Letters, 47,
    Journal articles | 2022
    Phin A; Prono T; Reeves JJ; Saxena K, 2022, 'Shifts in beta and the TARP announcement', Finance Research Letters, 47, pp. 102704 - 102704,
    Journal articles | 2019
    Cenesizoglu T; Papageorgiou N; Reeves JJ; Wu H, 2019, 'An analysis on the predictability of CAPM beta for momentum returns', Journal of Forecasting, 38, pp. 136 - 153,
    Journal articles | 2019
    Lee JB; Reeves JJ; Tjahja AC; Xie X, 2019, 'Targeting market neutrality', Quantitative Finance, 19, pp. 437 - 451,
    Journal articles | 2018
    Cenesizoglu T; Reeves JJ, 2018, 'CAPM, components of beta and the cross section of expected returns', Journal of Empirical Finance, 49, pp. 223 - 246,
    Journal articles | 2018
    Doan B; Papageorgiou N; Reeves JJ; Sherris M, 2018, 'Portfolio management with targeted constant market volatility', Insurance: Mathematics and Economics, 83, pp. 134 - 147,
    Journal articles | 2018
    Phin A; Prono T; Reeves JJ; Saxena K, 2018, 'Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement', Finance and Economics Discussion Series, 2018.0,
    Journal articles | 2017
    Cenesizoglu T; de Oliveira Ferrazoli Ribeiro F; Reeves JJ, 2017, 'Beta forecasting at long horizons', International Journal of Forecasting, 33, pp. 936 - 957,
    Journal articles | 2016
    Cenesizoglu T; Liu Q; Reeves JJ; Wu H, 2016, 'Monthly Beta Forecasting with Low-, Medium- and High-Frequency Stock Returns', Journal of Forecasting
    Journal articles | 2016
    Papageorgiou N; Reeves JJ; Xie X, 2016, 'Betas and the Myth of Market Neutrality', International Journal of Forecasting, 32, pp. 548 - 558,
    Journal articles | 2013
    Reeves JJ; Wu H, 2013, 'Constant versus Time-Varying Beta Models: Further Forecast Evaluation', Journal of Forecasting, 32, pp. 256 - 266,
    Journal articles | 2010
    Maheu JM; Reeves JJ; Xie X, 2010, 'Forecasting Volatility in the Presence of Model Instability', Australian and New Zealand Journal of Statistics, 52, pp. 221 - 237,
    Journal articles | 2010
    Reeves JJ; Gregory AW, 2010, 'Estimation and Inference in ARCH Models in the Presence of Outliers', Journal of Financial Econometrics, 8, pp. 547 - 569,
    Journal articles | 2008
    Hooper VJ; Ng K; Reeves JJ, 2008, 'Quarterly Beta Forecasting: An Evaluation', International Journal of Forecasting, 24, pp. 480 - 489
    Journal articles | 2005
    Reeves JJ, 2005, 'Bootstrap Prediction Intervals for ARCH Models', International Journal of Forecasting, 21, pp. 237 - 248
  • Preprints |
    Bay J; Liu Q; Reeves JJ; Rhee SG; Wu H, The Low Volatility Anomaly in Australian Stock Returns, ,
    Preprints |
    Cenesizoglu T; Liu Q; Reeves JJ; Wu H, Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns,
    Preprints |
    Cenesizoglu T; Papageorgiou NA; Reeves JJ; Wu H, Understanding the Relationship of Momentum with Beta, ,
    Preprints |
    Cenesizoglu T; Reeves JJ, Beta Forecasting at Long Horizons, ,
    Preprints |
    Cenesizoglu T; Reeves JJ, CAPM, Components of Beta and the Cross Section of Expected Returns, ,
    Preprints |
    Cenesizoglu T; Reeves JJ, CAPM, Components of Beta and the Cross Section of Expected Returns, ,
    Preprints |
    Doan BH; Lee JB; Liu Q; Reeves JJ, Beta Measurement and Forecasting with High Frequency Returns,
    Preprints |
    Doan BH; Reeves JJ; Sherris M, Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints,
    Preprints |
    Doan BH; Reeves JJ, Targeting Market Neutrality and Volatility, ,
    Preprints |
    Lee JB; Reeves JJ; Tjahja AC; Xie X, Targeting Market Neutrality,
    Preprints |
    Papageorgiou NA; Reeves JJ; Sherris M, Equity Investing with Targeted Constant Volatility Exposure,
    Preprints |
    Phin A; Reeves JJ; Saxena K, Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement, ,

In the Media

My Teaching

  • FINS5513 Investments and Portfolio Selection
  • FINS5542 Applied Funds Management