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Articles 1 - 7 of 7
Full-Text Articles in Business
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 …
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.
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.
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.
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
Laurie Prather
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.
Updating Traditional Trade Direction Algorithms With Liquidity Motivation, William Bertin, David Michayluk, Laurie Prather
Updating Traditional Trade Direction Algorithms With Liquidity Motivation, William Bertin, David Michayluk, Laurie Prather
Laurie Prather
Trade-direction algorithms play an important role in traditional studies of market microstructure and in understanding the market for immediacy. This paper examines the underlying definition of trade origination and proposes a new liquidity motivation (LM) method to classify individual trades using orders. This LM model represents a unique alternative to the traditional algorithms used in most microstructure research. Using the NYSE TORQ database, LM trade classifications are compared with traditional methods for classifying trade direction. We document systematic biases resulting from the conventional algorithms and provide an alternative liquidity-based classification method that captures the actual behavior of market participants.