Senior Lecturer, Griffith University

Dr John Fan is a Senior Lecturer in Finance at Griffith Business School. John's research interests lay in asset pricing and investment management, with expertise in Quantitative Strategies, Commodities, Carbon Emissions Trading and ESG Integration. His current research focuses on the construction of investment strategies for institutional investors.

  • Sustainable factor investing: Where doing well meets doing good

    John Fan    John Hua Fan, Lachlan Michalski
    24 Apr 2019

    Analysis of the impact of ESG integration on systematic factors in Australian equities shows that simultaneously exploiting ESG scores with quality, momentum and size characteristics outperforms standard factor strategies.
  • No more excuses! Performance of ESG integrated portfolios in Australia

    John Fan    Darren D. Lee, John Hua Fan, Victor S. H. Wong
    23 Feb 2018

    We find compelling evidence that integrating ESG (Environment, Social and Governance) into ongoing investment practices in Australia does not harm returns, limit diversification nor adds additional risk to portfolios and investments formed from high ESG rated firms. Portfolios formed from high-rated ESG firms can provide significant outperformance, superior diversification and lower overall portfolio risk when compared to portfolios comprised of low ESG rated firms. The inclusion of ESG into investment strategies in Australia is consistent with maximising shareholder value, minimising risk and is consistent with the fiduciary responsibilities required of professional asset managers and owners. 
  • Demystifying commodity futures in China

    John Fan    John Hua Fan, Tingxi Zhang
    22 Feb 2018

    This paper presents the most comprehensive study to date on commodity futures in China. We find that passive long-only investments deliver poor economic returns. Among 12 long-short strategies examined, momentum and term structure strategies generate statistically significant economic profits in nearby and distant contracts, illiquid markets and randomly selected commodity sectors. Our results cannot be attributed to aggregate market risks, none-tradable macroeconomic risks, commodity specific risks, market sentiment, transactions costs and data-snooping. We show that liquidity, anchoring bias and regulation induced limits-to-arbitrage provide at least a partial explanation. Furthermore, our findings suggest that long-short strategies that exploit past returns and hedging pressure make excellent candidates for hedging against movements in traditional assets in China. This paper also highlights the urgency to establish a CFTC-type repository for positions data that distinguish hedgers and speculators. Such data are essential to assess the effectiveness of risk transfers in these markets.