Associate Professor Stephen Sault

stephen sault

RSFAS

Research School of Finance, Actuarial Studies & Statistics

Position
Director
Research School of Finance
Actuarial Studies and Statistics
Email
stephen.sault@anu.edu.au
Phone number
+61 2 612 54869
Office
Room 4.42, CBE Bld (26C)
Research areas

Market efficiency; Computational linguistics; Market sentiment.

 

Biography

Steve Sault is an Associate Professor of Finance, and Director of the Research School of Finance, Actuarial Studies and Statistics.  Steve's research focuses on equity market anomalies and the information content of ASX trading queries. He is involved in a number of research projects that utilise computational linguistics to assess the content and sentiment of online information. Steve’s research appears in Journal of Banking and FinanceAccounting and FinancePacific-Basin Finance Journal and Australian Journal of Management.

Research publications

Sault, S., 2005, “Movements in Australian Stock Volatility – A Disaggregated Approach”, Australian Journal of Management, Vol 30, No 2, pp. 303 - 320.

Sault, S., 2007, “A Disaggregated Analysis of Movements in East Asian Regional Stock Volatility”, Australian Journal of Management, Vol 32, No 2, pp. 251 - 270.

Bettman, J., Sault, S., and Schultz, E., 2009, “Fundamental and Technical Analysis: Substitutes or Complements?”, Accounting and Finance, Vol 49, No 1, pp. 21 - 36. 

Bettman, J., Maher, T., and Sault, S., 2009, “Momentum Profits in the Australian Equity Market: A Matched Firm Approach”, Pacific-Basin Finance Journal, Vol 17, Issue 5, pp. 565 - 579.

Bettman, J., Sault, S., and Von Reibnitz, A., 2010, “The Impact of Liquidity and Transaction Costs on the 52-Week High Momentum Strategy in Australia”, Australian Journal of Management, Vol. 35, No 3, pp. 227 – 244.

Drienko, J., and Sault, S., 2011, “The Impact of Company Responses to Exchange Queries on the Australian Equity Market”, Accounting and Finance, Vol 51, No 4, pp. 923 –945.

Bettman, J., Ng, W., and Sault, S., 2011, “The Economic Significance of Trading Based on the Size Effect in Australia”, Australian Journal of Management, Vol. 36, No 1, pp. 59 – 74.

Bettman, J., Kosev, M., and Sault, S., 2011, “Exploring the Asset Growth Effect in the Australian Equity Market,” Australian Journal of Management, Vol. 36, No. 2, pp. 200 – 216.

Drienko, J & Sault, S 2013, 'The intraday impact of company responses to exchange queries', Journal of Banking and Finance, vol. 37, no. 12, pp. 4810-4819.

Siau, K, Sault, S & Warren, G 2015, 'Are Imputation Credits Capitalised Into Stock Prices?', Accounting and Finance, vol. 55, no. 1, pp. 241 – 277. 

Drienko, J., Sault, S., von Reibnitz, A., 2017. Company Response to Exchange Queries in Real Time, Pacific-Basin Finance Journal, vol. 45, pp. 116-141. 

Research engagement and outreach

Director, Research School of Finance, Actuarial Studies and Statistics

Teaching

Current Teaching:

FINM2002 Derivative

FINM7041 Applied Derivatives 


Other Teaching:

FINM1001 Foundations of Finance

FINM7006 Applied Foundations of Finance

FINM2001 Corporate Finance

FINM2003 Investments