Professor Steve Sault

stephen sault


Research School of Finance, Actuarial Studies & Statistics

Research School of Finance
Actuarial Studies and Statistics
Phone number
+61 2 612 54869
Room 4.56, CBE Bld (26C)
Research areas

Market efficiency; Computational linguistics; Market sentiment.



Steve Sault is a 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. 

Drienko, J., Sault, S., and Wong, W.H., "Do Rights Matter? An Intraday Analysis of Rights Issues in Australia", Accounting and Finance, forthcoming.

Research engagement and outreach

Director, Research School of Finance, Actuarial Studies and Statistics


Current Teaching:

FINM7006 Applied Foundations of Finance

Other Teaching:

FINM1001 Foundations of Finance

FINM2002 Derivatives

FINM6041 Applied Derivatives 

FINM2001 Corporate Finance

FINM2003 Investments