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Articles 1 - 30 of 33
Full-Text Articles in Business
Predictable Responses In Currency Markets To Macroeconomic News: A Trading System Approach, Bruce Vanstone, Warwick Schneller
Predictable Responses In Currency Markets To Macroeconomic News: A Trading System Approach, Bruce Vanstone, Warwick Schneller
Bruce Vanstone
This paper analyses how the release of a macro news event affects exchange rate behaviour. The event examined was the US non-farm payrolls announcement and the British Pound (GBP)/ US Dollar (USD) were the selected currency pair. A trading system model was developed based on a formal methodology previously applied to equity markets. The system examined the currencies reaction to the announcement in determining whether any behavioural patterns were present. Based on the trading system, no exploitable trading patterns were found.
The Effect Of Taxes On Multinational Debt Location, Matteo Arena, Andrew Roper
The Effect Of Taxes On Multinational Debt Location, Matteo Arena, Andrew Roper
Matteo P. Arena
We provide new evidence that differences in international tax rates and tax regimes affect multinational firms' debt location decisions. Our sample contains 8287 debt issues from 2437 firms headquartered in 23 different countries with debt-issuing subsidiaries in 59 countries. We analyze firms' marginal decisions of where to issue debt to investigate the influence of a comprehensive set of tax-related effects, including differences in personal and corporate tax rates, tax credit and exemption systems, and bi-lateral cross-country withholding taxes on interest and dividend payments. Our results show that differences in personal and corporate tax rates, the presence of dividend imputation or …
Bank Risk And Return: The Impact Of Bank Non-Interest Income, Barry Williams, Laurie Prather
Bank Risk And Return: The Impact Of Bank Non-Interest Income, Barry Williams, Laurie Prather
Laurie Prather
Purpose – The purpose of this paper is to consider the impact on bank risk of portfolio diversification between traditional margin income and fee-based income for banks operating in Australia.Design/methodology/approach – Considering several performance variables, this analysis compares the benefits of diversification across different bank types relative to margin income and fee income. Further, regression analysis considers bank risk and revenue concentration.Findings – This paper documents that fee-based income is riskier than margin income but offers diversification benefits to bank shareholders. While improving bank risk-return trade-off, these benefits are of second order importance compared to the large negative impact of …
Bank Risk And Return: The Impact Of Bank Non-Interest Income, Barry Williams, Laurie Prather
Bank Risk And Return: The Impact Of Bank Non-Interest Income, Barry Williams, Laurie Prather
Barry Williams
Purpose – The purpose of this paper is to consider the impact on bank risk of portfolio diversification between traditional margin income and fee-based income for banks operating in Australia.Design/methodology/approach – Considering several performance variables, this analysis compares the benefits of diversification across different bank types relative to margin income and fee income. Further, regression analysis considers bank risk and revenue concentration.Findings – This paper documents that fee-based income is riskier than margin income but offers diversification benefits to bank shareholders. While improving bank risk-return trade-off, these benefits are of second order importance compared to the large negative impact of …
An Analysis Of Australian Exchange Traded Options And Warrants, Will Bertin, Paul Fowler, David Michayluk, Laurie Prather
An Analysis Of Australian Exchange Traded Options And Warrants, Will Bertin, Paul Fowler, David Michayluk, Laurie Prather
Laurie Prather
This study focuses on the price discovery process in Australian option and warrant markets. Characterizing these two markets in terms of their cost structures and institutional features, we formally test competing price discovery hypotheses. The general findings indicate that the warrants market is the dominant market suggesting that their lower trading cost outweigh their less attractive institutional features. Additionally, we find that idiosyncratic differences among firms may result in a clientele effect thus providing justification for the coexistence of these seemingly redundant markets.
Dividend Drop Ratios And Tax Theory: An Intraday Analysis Under Different Tax And Price Quoting Regimes, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather
Dividend Drop Ratios And Tax Theory: An Intraday Analysis Under Different Tax And Price Quoting Regimes, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather
Thomas Henker
We calculate dividend drop ratios over periods with changing quotation and taxation frameworks to assess the validity of competing explanations. Using intraday prices adjusted for non-trading, we provide a more accurate picture of price changes due to dividend payments than those produced in previous literature. Intraday estimates for dividend drop ratios are consistently higher than those calculated with end of day prices. Further findings indicate that stocks trading ex-dividend, on average, underperform the market over the following month. We attribute this phenomenon to dividend capture trading by tax advantaged and tax indifferent market participants.
The Valuation Accuracy Of The Price-Earnings And Price-Book Benchmark Valuation Methods, C. S. Cheng, Ray Mcnamara
The Valuation Accuracy Of The Price-Earnings And Price-Book Benchmark Valuation Methods, C. S. Cheng, Ray Mcnamara
Ray McNamara
This paper evaluates the valuation accuracy of the price-earnings (P/E), the price-book (P/B) and a combined price-earnings and price-book (P/E-P/B) benchmark valuation methods. Performance of the benchmark valuation methods relies on the definition of comparable firms. In this paper, comparable firms are selected based on industry membership, size and return on equity as well as combinations of industry membership with size and with return on equity. We find that within the P/E and P/B benchmark valuation methods, the best definition of the comparable firms are based on industry membership combined with return on equity. However, only the industry membership is …
Patterns Of Debt Use In Small Businesses: A Non-Parametric Analysis, Atreya Chakraborty
Patterns Of Debt Use In Small Businesses: A Non-Parametric Analysis, Atreya Chakraborty
Atreya Chakraborty
This paper uses non-parametric techniques to examine patterns of debt use by small firms and how such patterns differ across firm categories. The methodological goal is to use the richness of the firm level data and allow convincing presentations with minimum of assumptions. The procedures used provide easily comprehendible graphical descriptions of the data. The procedures augment what can be discerned from descriptive statistics by accounting for differential weights and allowing for clustering that is a native feature of cross-sectional data. We also investigate how firms could benefit if credit availability improves. Though a model-based analysis would be required to …
Foreign Bank Efficiency In Australia: What Makes A Difference?, Jan-Egbert Sturm, Barry Williams
Foreign Bank Efficiency In Australia: What Makes A Difference?, Jan-Egbert Sturm, Barry Williams
Barry Williams
Purpose – The purpose of this paper is to explore the factors that affect differences in measured efficiency of foreign-owned banks operating in Australia. The relevance of both comparative advantage theory and new trade theory to multinational banking in Australia will be tested.
Design/methodology/approach – A three stage research method is employed. First, estimates of foreign bank efficiency are drawn from a larger sample of domestic and foreign banks in Australia. Efficiency is estimated using parametric distance functions, applying several different specifications of inputs and outputs. Second, factor analysis is used to estimate a series of common factors drawn from …
Modelling The Glitter In Gold, Kuldeep Kumar, Gulasekaran Rajaguru, Samir Shrivastava
Modelling The Glitter In Gold, Kuldeep Kumar, Gulasekaran Rajaguru, Samir Shrivastava
Kuldeep Kumar
Academics have found it particularly challenging to develop parsimonious models that can accurately model and forecast gold price. One of the reasons could be the complex nature of gold market fundamentals. Arguing that the key to forecasting gold prices lies in analyzing the factors that generate investment demand (as opposed to gold supply and fabrication demand), we empirically validate a model that factors in consumer sentiments, interest rates, returns on stock market, and oil prices. Our findings indicate that although gold price has significant correlation with all these four variables, interest rate and consumer sentiments are only significant predictors of …
Modelling The Glitter In Gold, Kuldeep Kumar, Gulasekaran Rajaguru, Samir Shrivastava
Modelling The Glitter In Gold, Kuldeep Kumar, Gulasekaran Rajaguru, Samir Shrivastava
Gulasekaran Rajaguru
Academics have found it particularly challenging to develop parsimonious models that can accurately model and forecast gold price. One of the reasons could be the complex nature of gold market fundamentals. Arguing that the key to forecasting gold prices lies in analyzing the factors that generate investment demand (as opposed to gold supply and fabrication demand), we empirically validate a model that factors in consumer sentiments, interest rates, returns on stock market, and oil prices. Our findings indicate that although gold price has significant correlation with all these four variables, interest rate and consumer sentiments are only significant predictors of …
Investable Market Neutral Hedge Fund Indices: An Examination Of Whether These Indice Eliminate Market Risk?, Simone Kelly, Gulasekaran Rajaguru, Anthony White
Investable Market Neutral Hedge Fund Indices: An Examination Of Whether These Indice Eliminate Market Risk?, Simone Kelly, Gulasekaran Rajaguru, Anthony White
Gulasekaran Rajaguru
Market neutral hedge funds are attractive portfolio constituents when they eliminate market risk. Is this the case for the relatively new investable market neutral hedge fund indices? Given the significant growth in index investing and the number of investable hedge fund index products, we conduct the first empirical assessment of whether the investable market neutral hedge fund indices exhibit this characteristic.
To make this assessment, we adjust the Four Moment Capital Asset Pricing Model adopting conditional measures of systematic variance, systematic skewness and systematic kurtosis as the regressors. This new model is then used to test whether there is a …
Management Structure And The Performance Of Funds Of Mutual Funds, William Bertin, Laurie Prather
Management Structure And The Performance Of Funds Of Mutual Funds, William Bertin, Laurie Prather
Laurie Prather
A rapidly growing mutual fund category is funds of funds (FOFs) which invest in other mutual funds instead of individual securities. This study reports on FOFs' characteristics and performance relative to traditional equity mutual funds and finds that FOFs compare favorably. FOFs with identified managers outperform their unidentified counterparts, and FOFs that invest in-family outperform both traditional equity funds and those FOFs investing out-of-family. Finally, replicating FOFs' holdings can be prohibitively expensive since they commonly hold funds with high minimum initial investments, closed funds and/or funds that are restricted to a particular investor type.
What Do Options Have To Do With It?: Inclusion Of Options Market Indicators In Bid-Ask Spread Decomposition, David Michayluk, Laurie Prather, Li-Anne Woo, Henry Yip
What Do Options Have To Do With It?: Inclusion Of Options Market Indicators In Bid-Ask Spread Decomposition, David Michayluk, Laurie Prather, Li-Anne Woo, Henry Yip
Laurie Prather
This paper develops a cross-market model to extend Huang and Stoll (1997) by utilizing information from trade flows in the options market. Empirical tests reveal a significant increase in the estimated adverse information component, which stays consistent irrespective of the degree of option leverage. Further, intraday variation in stock bid-ask spread components is affected by the stock trade size and the extent of imbalance in information-based option trades. Including the options market information in decomposition of the stock bid-ask spread enhances the quality of its estimation.
Business Failure Prediction Using Survival Analysis, Kuldeep Kumar, Adrian Gepp
Business Failure Prediction Using Survival Analysis, Kuldeep Kumar, Adrian Gepp
Adrian Gepp
Accurate business failure prediction models would be extremely valuable to many industry sectors, particularly in financial investment and lending. Recently, there has been a significant increase in interest in business failure prediction, from both industry and academia. Statistical business failure prediction models attempt to predict the failure or success of a business. Discriminant and logit analyses have been the most popular approaches, but there are also a large number of alternative techniques available. In this paper, a comparatively new technique known as survival analysis has been used for business failure prediction. Overall, the results suggest that survival analysis techniques provide …
Mutual Fund Characteristics, Managerial Attributes, And Fund Performance, Laurie Prather, William Bertin, Thomas Henker
Mutual Fund Characteristics, Managerial Attributes, And Fund Performance, Laurie Prather, William Bertin, Thomas Henker
Thomas Henker
This study provides a comprehensive examination of recent mutual fund performance by analyzing a large set of both mutual funds and fund attributes in an effort to link performance to fund-specific characteristics. The results indicate that the hypothesized relationships between performance and the explanatory variables are generally upheld. After taking into consideration general market conditions and fund investment objective, the characteristic variables that relate to fund popularity, growth, cost, and management also explain performance. Finally, after controlling for survivorship and benchmark error as well as fund-specific factors, the results refute the performance persistence phenomenon.
Bid And Ask Spreads In Futures Markets, Thomas Henker
Bid And Ask Spreads In Futures Markets, Thomas Henker
Thomas Henker
This dissertation examines a number of empirical issues that arise in the trading of equity index futures and in research conducted using high frequency futures market data. Both essays benefit from a data set unique to futures market research. The dissertation consists of two essays. ^ The Bid and Ask spread of the FTSE-100 futures contract, presents evidence that bid-ask spreads of the FTSE-100 index futures market are wider than microstructure theory would predict because full point price quotes are systematically preferred over half point price quotes by market makers. The findings are even more pronounced for electronic trading in …
The Great Debate: Fundamental V Technical Analysis, Alison Harrington, Max Knobel, Bruce Vanstone, George Karakatsanis
The Great Debate: Fundamental V Technical Analysis, Alison Harrington, Max Knobel, Bruce Vanstone, George Karakatsanis
Bruce Vanstone
So, you want be a successful share market trader? It doesn’t matter whether you have a burning desire to be a hotshot analyst for a large fund manager or you just want to be a lot more hands-on with your own portfolio – you need to understand both Fundamental and Technical Analysis.
How To Generate Maximum Returns And Reduce Risk Using Position Sizing Techniques, Bruce Vanstone
How To Generate Maximum Returns And Reduce Risk Using Position Sizing Techniques, Bruce Vanstone
Bruce Vanstone
Selecting what and when to buy and sell is an important aspect of trading. However, it is not the only technique that determines how profitable a trader or investor will be. Overall profitability is also determined by how much is bought. Determining how much to buy or sell is the field of position sizing. Unfortunately, most traders tend to focus on their entry and exit signals, and position sizing usually receives only a cursory glance.
Re-Examining The Dividend Drop Ratios With Dividend Capture Trading, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather
Re-Examining The Dividend Drop Ratios With Dividend Capture Trading, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather
Thomas Henker
We calculate dividend drop ratios over periods with changing quotation and taxation frameworks to assess the veracity of competing explanations. We use intraday prices, adjusted for non-trading, to provide a more accurate picture of price changes due to dividend payments than those produced in previous literature. Intraday estimates for dividend drop ratios are consistently higher than those calculated with end of day prices. Further we find that stocks trading ex-dividend, on average, underperform the market by a large amount over the following month. We attribute this phenomenon to dividend capture trading by tax advantaged and tax indifferent market participants.
Re-Examining The Dividend Drop Ratios With Dividend Capture Trading, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather
Re-Examining The Dividend Drop Ratios With Dividend Capture Trading, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather
Laurie Prather
We calculate dividend drop ratios over periods with changing quotation and taxation frameworks to assess the veracity of competing explanations. We use intraday prices, adjusted for non-trading, to provide a more accurate picture of price changes due to dividend payments than those produced in previous literature. Intraday estimates for dividend drop ratios are consistently higher than those calculated with end of day prices. Further we find that stocks trading ex-dividend, on average, underperform the market by a large amount over the following month. We attribute this phenomenon to dividend capture trading by tax advantaged and tax indifferent market participants.
Are Retail Investors The Culprits? Evidence From Australian Individual Stock Price Bubbles, Julia Henker, Thomas Henker
Are Retail Investors The Culprits? Evidence From Australian Individual Stock Price Bubbles, Julia Henker, Thomas Henker
Thomas Henker
We address the question of whether the trading of retail investors causes stock price anomalies. Our intent is to study settings in which retail investors are most likely to have influence on market prices. Previous research suggests that retail investors have more influence in small capitalization stocks, and argues that retail investors are most likely to be irrational. Most theories of stock price anomalies hypothesize the presence of irrational traders. Consequently, we focus on stock price anomalies in primarily small capitalization stocks. Our data are from the Australian Stock Exchange Clearinghouse. The Australian stock market is characterized by a high …
Noise And Efficient Variance In The Indonesia Stock Exchange, Thomas Henker, Zaafri Husodo
Noise And Efficient Variance In The Indonesia Stock Exchange, Thomas Henker, Zaafri Husodo
Thomas Henker
We separate noise from information related variance for stocks traded on the Indonesian Stock Exchange with a realized variance estimator. We find that the average optimal sampling frequency to estimate the realized variance is 9 min and that market quality has improved after 2004. The positive relation between the standard deviation of the noise variance and the square root of the efficient realized variance implies that as uncertainty about asset values increases the risk of transacting with traders with superior information increases as well. Furthermore, variance ratio comparisons reveal that private information is a significant trading component on the IDX.
Financial Constraints, The Distribution Of Wealth And International Trade, Emmanuel Amissah, Spiros Bougheas, Rodney Falvey
Financial Constraints, The Distribution Of Wealth And International Trade, Emmanuel Amissah, Spiros Bougheas, Rodney Falvey
Rodney Falvey
Extract:
As the Heckscher-Ohlin-Mundell paradigm predicts, in a world where capital markets are perfect and production exhibits constant-returns to scale, while aggregate wealth endowments can be an important source of comparative advantage, their internal distribution does not matter for the patterns of international trade. This is because in the absence of financial frictions the only factor that determines the availability of external finance is a project's net present value. In real life financial markets are far from perfect. Informational asymmetries between lenders and borrowers, corporate governance quality shortcomings and non-negligible intermediation costs are only a sample of the types of …
Assessing Solvency For Financially Distressed Companies, James Routledge, Ray Mcnamara
Assessing Solvency For Financially Distressed Companies, James Routledge, Ray Mcnamara
Ray McNamara
This article reviews past and recent authorities that have addressed the definition and application of the solvency test in s 95A of the Corporations Act 2001 (Cth). The discussion highlights that, when faced with financial distress, company directors need to carefully consider the solvency implications of their decisions. To generate cash to pay debts as they become due, directors may attempt to realise company assets, obtain additional secured or unsecured debt finance or reorganise the timing of payments with creditors. The discussion of relevant cases shows that the solvency implications associated with realisation of assets, use of assets as security …
Spread Decomposition With Common Spread Components, Thomas Henker
Spread Decomposition With Common Spread Components, Thomas Henker
Thomas Henker
Purpose – This paper aims to incorporate a market wide buying and selling pressure cost component into a spread decomposition model as spread cost component.
Design/methodology/approach – The paper extends a commonly used trade indicator spread decomposition model to include a component common to all stocks of a specialist firm and a market wide component common to all stocks.
Findings – Strong evidence is found that specialists consider this common factor cost component when they set bid and ask quotes. Some specialist firms also take the next logical step and specifically manage their firm wide stock inventories. The common factor …
Security Issuance And Reits: Implications For Operating Performance And Governance (Dissertation), R. Roark
Security Issuance And Reits: Implications For Operating Performance And Governance (Dissertation), R. Roark
R. Scott Roark
No abstract provided.
Commercial Real Estate Concentrations, Elisabeta Pana
Commercial Real Estate Concentrations, Elisabeta Pana
Elisabeta Pana
No abstract provided.
Compensation Across Executive Labor Markets: What Can We Learn From Cross-Listed Firms?, Colette Southam, Stephen Sapp
Compensation Across Executive Labor Markets: What Can We Learn From Cross-Listed Firms?, Colette Southam, Stephen Sapp
Colette Southam
There is wide consensus that chief executive officers (CEOs) of US firms earn significantly more than their Canadian counterparts. Using a matched sample, we find that the majority of this difference is due to US CEOs earning 50% more than CEOs of Canadian non-cross-listed firms. We find no such ‘‘US premium’’ for Canadian cross-listed firms, because the use of options allows the cross-listed firms to keep pace with their neighbors to the south. While firms that list only in Canada compete in the labor market defined by their national boundary, crosslisted firms appear to be competing directly with their US …
The Impact Of Bank Mergers On Liquidity Creation, Elisabeta Pana, Jin Park, Tim Query
The Impact Of Bank Mergers On Liquidity Creation, Elisabeta Pana, Jin Park, Tim Query
Elisabeta Pana
No abstract provided.