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Selected Works

2009

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Articles 1 - 30 of 36

Full-Text Articles in Finance and Financial Management

Digital India - A Model Developed By Varma, Vijaya Krushna Varma Mr Dec 2009

Digital India - A Model Developed By Varma, Vijaya Krushna Varma Mr

VIJAYA KRUSHNA VARMA Mr

Banking structure is redesigned to make India a fully digital nation and to usher in 100% E-governance

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Fundamental Investment Research – Do Us Results Apply To Australian Investors?, Bruce Vanstone, Tobias Hahn, Gavin Finnie Nov 2009

Fundamental Investment Research – Do Us Results Apply To Australian Investors?, Bruce Vanstone, Tobias Hahn, Gavin Finnie

Bruce Vanstone

For many investors, the financial crisis of 2008 and 2009 has sparked renewed interest in value-based investment approaches. There is much published research supporting the use of fundamental analysis for value-based investment, and much of this research comes from the US. In previous articles, we have shown that US based fundamental investment research does not translate well to the Australian market. In this paper, we show how to test a well documented US fundamental investment strategy and find that it also does not transfer well to our Australian market.

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Updating Traditional Trade Direction Algorithms With Liquidity Motivation, William J. Bertin, David Michayluk, Laurie Prather Nov 2009

Updating Traditional Trade Direction Algorithms With Liquidity Motivation, William J. 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.

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A Face Can Launch A Thousand Shares (And A 0.80% Abnormal Return), Matteo Arena, John S. Howe Oct 2009

A Face Can Launch A Thousand Shares (And A 0.80% Abnormal Return), Matteo Arena, John S. Howe

Matteo P. Arena

In this paper we examine the market reaction—price and volume—to the appearance of a firm in the Who's News column of The Wall Street Journal. We differentiate between those firms whose articles are accompanied by a picture of an executive and a control set of firms whose articles on the same day are not accompanied by a picture. The results show a more pronounced market reaction to the “cum picture” articles, consistent with the incomplete information theory of Merton [1987] and the heuristic-based familiarity hypothesis. There is no evidence of significant long-run abnormal performance for the sample firms.

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Restarting Securitization Markets: Policy Proposals And Pitfalls, John Kiff, Andy Jobst, Jodi Scarlata, Michael Kisser Sep 2009

Restarting Securitization Markets: Policy Proposals And Pitfalls, John Kiff, Andy Jobst, Jodi Scarlata, Michael Kisser

John Kiff

This chapter tracks the rise and fall of securitization markets, and evaluates the various initiatives aimed at restarting them on a sounder footing, focusing on the markets for securities not backed by governments or government-sponsored enterprises. The analysis attempts to discern how securitization can positively contribute to financial stability and sustainable economic growth. While most of the current proposals are unambiguously positive for securitization markets and financial stability, some proposals—such as those designed to improve the alignment of securitizer and investor interests and accounting changes that will result in more securitized assets remaining on balance sheets—may be combined in ways …

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Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru Aug 2009

Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru

Gulasekaran Rajaguru

Recent trends of globalization and financial market internationalization have exposed the vulnerability of many emerging financial markets to external shocks and spillover effects from regional crisis. It is believed that similar spillover effects were the root cause of the 1997 financial crisis that faced many emerging economies in Asia. This study attempts to investigate the spillover effects of the 1997 Asian financial crisis using data from a sample of selected Asian countries. For empirical estimation, we use high frequency data (daily observations) on exchange rates from 1994 to 2002, construct a multivariate GARCH model and apply the Granger causality test …

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The Global Impact Of The Russian Financial Crisis: Evidence Using Granger Causality And Impulse Reponses In A Var Model, Ahmed Khalid, Gulasekaran Rajaguru Aug 2009

The Global Impact Of The Russian Financial Crisis: Evidence Using Granger Causality And Impulse Reponses In A Var Model, Ahmed Khalid, Gulasekaran Rajaguru

Gulasekaran Rajaguru

This study attempts to investigate the financial market contagion in a global perspective. We use a large sample of 26 countries representing different regions in the world and focus on the spillover effects of the 1998 Russian crisis. We use daily observations on three financial market indicators namely, the exchange rates, stock prices and interest rates. We construct a VAR to test the interlinkages among different market and different regions using the Granger causalfiy. Later, we perform impulse response analysis by introducing a shock in each of the Russian market and observe the impact and duration of this shock on …

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The Influence Of Management Structure On The Performance Of Fund Of Funds, William J. Bertin, Laurie Prather Aug 2009

The Influence Of Management Structure On The Performance Of Fund Of Funds, William J. Bertin, Laurie Prather

Laurie Prather

A rapidly growing mutual fund category is Fund 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 favourably. In particular, 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.

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Derivative Markets And Economic Growth: Is There A Relationship?, A. Baluch, Mohamed Ariff Aug 2009

Derivative Markets And Economic Growth: Is There A Relationship?, A. Baluch, Mohamed Ariff

Mohamed Ariff

The spread of capital markets during the half century to-date is a notable global phenomenon in economic development. Derivative markets spread globally in the last quarter century spreading form just two to some 50 in 2007. But the role of derivative markets to economic development has yet been studied. This paper reports new findings on the relationship between derivative market development and (a) economic growth and (b) spot market factors. The results provide very scant support to a positive functional contribution hypothesis by some scholars about derivative markets. However, a negative relationship between the liquidity level of derivative markets and …

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Corporate Governance And Disclosures On The Transition To International Financial Reporting Standards, Pamela Kent, Jenny Stewart Aug 2009

Corporate Governance And Disclosures On The Transition To International Financial Reporting Standards, Pamela Kent, Jenny Stewart

Pamela Kent

For reporting periods ending on or after 30 June 2004, Australian companies were required to disclose the expected impact of applying Australian equivalents of International Financial Reporting Standards effective from 1 January 2005. The objective of this paper is to examine the association between the level of disclosure and corporate governance quality. Using a sample of listed companies with 30 June balance dates, we find that the quantity of disclosure was positively related to some aspects of superior corporate governance, such as the frequency of board and audit committee meetings and the choice of auditor.

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The Role Of Survival Analysis In Financial Distress Prediction, Adrian Gepp, Kuldeep Kumar Aug 2009

The Role Of Survival Analysis In Financial Distress Prediction, Adrian Gepp, Kuldeep Kumar

Kuldeep Kumar

Accurate business failure prediction models would be extremely valuable to many industry sectors, particularly in financial investment and lending. The potential value of such models has been recently emphasised by the extremely costly failure of high profile businesses in both Australia and overseas, such as HIH (Australia) and Enron (USA). Consequently, 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 …

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Characteristics Determining The Efficiency Of Foreign Banks In Australia, Jan-Egbert Sturm, Barry Williams Aug 2009

Characteristics Determining The Efficiency Of Foreign Banks In Australia, Jan-Egbert Sturm, Barry Williams

Barry Williams

The factors determining foreign bank efficiency are investigated using a three stage research method. It is found that host market incumbency reduces efficiency of foreign banks in Australia, resulting in over use of inputs. Factors underlying the limited global advantage hypothesis of Berger, et al. (2000) are identified, in that nationality specific factors represented by dummy variables are not significant once other relevant effects are controlled for. Parent profitability is not fomad to result in increased host nation efficiency, while parent credit rating effects are mixed. Some evidence is presented that banks from more financially sophisticated nations are more efficient. …

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Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru Aug 2009

Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru

Ahmed Khalid

Recent trends of globalization and financial market internationalization have exposed the vulnerability of many emerging financial markets to external shocks and spillover effects from regional crisis. It is believed that similar spillover effects were the root cause of the 1997 financial crisis that faced many emerging economies in Asia. This study attempts to investigate the spillover effects of the 1997 Asian financial crisis using data from a sample of selected Asian countries. For empirical estimation, we use high frequency data (daily observations) on exchange rates from 1994 to 2002, construct a multivariate GARCH model and apply the Granger causality test …

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The Global Impact Of The Russian Financial Crisis: Evidence Using Granger Causality And Impulse Reponses In A Var Model, Ahmed Khalid, Gulasekaran Rajaguru Aug 2009

The Global Impact Of The Russian Financial Crisis: Evidence Using Granger Causality And Impulse Reponses In A Var Model, Ahmed Khalid, Gulasekaran Rajaguru

Ahmed Khalid

This study attempts to investigate the financial market contagion in a global perspective. We use a large sample of 26 countries representing different regions in the world and focus on the spillover effects of the 1998 Russian crisis. We use daily observations on three financial market indicators namely, the exchange rates, stock prices and interest rates. We construct a VAR to test the interlinkages among different market and different regions using the Granger causalfiy. Later, we perform impulse response analysis by introducing a shock in each of the Russian market and observe the impact and duration of this shock on …

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Alternative Estimators Of Cointegrating Parameters In Models With Non-Stationary Data: An Application To Us Export Demand (Working Paper), James J. Forest, Paul Turner Aug 2009

Alternative Estimators Of Cointegrating Parameters In Models With Non-Stationary Data: An Application To Us Export Demand (Working Paper), James J. Forest, Paul Turner

James J Forest

This paper presents Monte Carlo simulations which compare the empirical performance of two alternative single equation estimators of the equilibrium parameters in a dynamic relationship. The estimators considered are Stock and Watson’s dynamic ordinary least squares (DOLS) estimator and Bewley’s transformation of the general autoregressive distributed lag model. The results indicate that the Bewley transformation produces a lower mean-square error as well as superior serial correlation properties even with lower truncation lags for the lagged variables included in the estimation equation. An application is then provided which examines the nature of the equilibrium relationship between aggregate US exports, world trade …

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Dual Agency: Corporate Boards With Reciprocally Interlocking Relationships, Kevin F. Hallock Jun 2009

Dual Agency: Corporate Boards With Reciprocally Interlocking Relationships, Kevin F. Hallock

Kevin F Hallock

[Excerpt] This paper studies reciprocal interlocks of boards of directors of large firms where an employee of firm A sits on firm B's board and at the same time an employee of firm B sits on firm A's board. The study of Boards of Directors by those in economics and finance is not new. In fact, Dooley (1969) writes of interlocking directorates, but his definition is different in that he presents evidence of interlock where "at least one director ... sat on the board of at least one other of the largest companies". Books by Mizruchi (1982) and Pennings (1980) …

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Intensified Regulatory Scrutiny And Bank Distress In New York City During The Great Depression,” With Patrick Van Horn, Gary Richardson May 2009

Intensified Regulatory Scrutiny And Bank Distress In New York City During The Great Depression,” With Patrick Van Horn, Gary Richardson

Gary Richardson

Bank distress peaked in New York City, at the center of the United States money market, in July and August 1931, when the banking crisis peaked in Germany and before Britain abandoned the gold standard. This article tests competing theories about the causes of New York’s banking crisis. The cause appears to have been intensified regulatory scrutiny, which was a delayed reaction to the failure of the Bank of United States, rather than the exposure of money center banks to events overseas.

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Canadian Residential Mortgage Markets: Boring But Effective?, John Kiff May 2009

Canadian Residential Mortgage Markets: Boring But Effective?, John Kiff

John Kiff

Klyuev (2008) concluded that the Canadian market for housing finance is highly advanced and sophisticated, but financing options were somewhat limited, particularly at terms longer than five years. This paper argues that the paucity of longer-term loans is caused by a five-year maturity cap on government-guaranteed deposit insurance, and a prepayment penalty limit on residential mortgage loans in the Interest Act. That said, the availability and cost of residential loans for prime borrowers are comparable to those in the United States.

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Sino-Turkish Relations In A Globalising Asia-Pacific, Rosita Dellios, Nadir Kemal Yilmaz May 2009

Sino-Turkish Relations In A Globalising Asia-Pacific, Rosita Dellios, Nadir Kemal Yilmaz

Rosita Dellios

Relations between China and Turkey are quiescent. In a globalizing Asia-Pacific, however, they are unlikely to remain so. High economic interdependence in the presence of the rise of Asian and Eurasian powers suggest that China and Turkey as multiregional states have a common interest in regional cooperation. It is within this context that bilateral relations are likely to develop. China’s rapid rise means that its impact will not be confined to Pacific Asia. Increasingly, with the quest for energy security, China is setting its diplomatic compass westward to Eurasia and the Middle East. With Russia - another multiregional state - …

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Homeless Abroad, Homeless At Home: The Conundrum Of Globalisation, Sudhir H. Kale, Sangita De, Robin Pentecost May 2009

Homeless Abroad, Homeless At Home: The Conundrum Of Globalisation, Sudhir H. Kale, Sangita De, Robin Pentecost

Sudhir H. Kale

Forces of globalization have brought about profound changes in the way consumers the world over view their identity. For many, consumption becomes one of the key avenues through which they can reterritorialize themselves. Consumption for the purpose of reterritorialization has interesting implications for marketers. Goods and services designed and promoted to restore consumers’ sense of identity will resonate well with today’s deterritorialized consumers. This premise has macromarketing and micromarketing implications.

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The Psychology Of Money: Beyond Behavioral Finance, Cicily Maton, William Marty Martin Apr 2009

The Psychology Of Money: Beyond Behavioral Finance, Cicily Maton, William Marty Martin

William Marty Martin

Behavioral finance has attracted the attention of both academics and practitioners. This article explores the roots of behavioral finance, psychology, and showns how these principles are actually used in practice.

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The Timeliness Of Performance Information In Determining Executive Compensation, Kevin F. Hallock, Paul Oyer Mar 2009

The Timeliness Of Performance Information In Determining Executive Compensation, Kevin F. Hallock, Paul Oyer

Kevin F Hallock

We study whether boards of directors concentrate on performance near compensation decision times rather than providing consistent incentives for chief executive officers (CEO). throughout the fiscal year. We show empirically that managers can profit by moving sales revenue among fiscal quarters. Though this may suggest that boards use short-term trends when determining rewards, we find evidence consistent with boards tying pay to recent sales growth so as to use the best information about future performance. We also find that the timing of profits throughout the year does not affect CEO pay, which may suggest that smoothing firm income is important …

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Solid Waste Management Through The Application Of Advanced Technologies, Praveen Jha Dr Feb 2009

Solid Waste Management Through The Application Of Advanced Technologies, Praveen Jha Dr

Praveen Jha Dr

State-of-art long term plan for Solid Waste Management (SWM) including collection, transportation and disposal of Solid Waste (SW), as well as for monitoring of SWM, by generating integrated solution could be generated through the application of advanced technologies so that the policy interventions may prove to be highly successful and cost-effective. Currently, SWM plans are either non-existent or are riddled with serious problems and limitations. SWM plans are extremely expensive. Long term planning could be done for collection, transportation and disposal of SW in such a manner that Waste Collection Points, transportation routes, schedules regarding transportation, loading, unloading, stoppage etc, …

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What Determines Differences In Foreign Bank Efficiency? Australian Evidence, Jan-Egbert Sturm, Barry Williams Feb 2009

What Determines Differences In Foreign Bank Efficiency? Australian Evidence, Jan-Egbert Sturm, Barry Williams

Barry Williams

This study examines the factors that determine difference in efficiency of foreign bank in the host market (Australia). The impact of home market, host market and parent bank characteristics are considered within the frameworks offered by comparative advantage and new trade theories. Parametric distance functions are used to estimate the efficiency of foreign banks in Australia, and the robustness of model specification is tested using both general to specific modelling and extreme bounds analysis. It is found that following clients reduces the efficiency of profit creation. Incumbent bank's market share acts as a barrier to entry, while parent bank profits …

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Testing Twin Deficits Hypothesis Using Vars And Variance Decomposition, Ahmad Zubaidi Baharumshah, Evan Lau, Ahmed M. Khalid Feb 2009

Testing Twin Deficits Hypothesis Using Vars And Variance Decomposition, Ahmad Zubaidi Baharumshah, Evan Lau, Ahmed M. Khalid

Ahmed Khalid

This paper examines the twin deficits hypothesis in the ASEAN countries. The major findings of this paper are the following. (1) Long run relationships are detected between budget and current account deficits. (2) The Keynesian view fits well for Thailand since the causality runs from budget deficit to current account deficit. For Indonesia, the causality runs in an opposite direction while the empirical results indicate that a bidirectional pattern of causality exists for Malaysia and the Philippines. (3) We also found support for an indirect causal relationship that runs from budget deficit to higher interest rates, and higher interest rates …

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Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru Feb 2009

Financial Market Contagion: Evidence From The Asian Crisis Using A Multivariate Garch Approach, Ahmed M. Khalid, Gulasekaran Rajaguru

Ahmed Khalid

Recent trends of globalization and financial market internationalization have exposed the vulnerability of many emerging financial markets to external shocks and spillover effects from regional crisis. It is believed that similar spillover effects were the root cause of the 1997 financial crisis that faced many emerging economies in Asia. This study attempts to investigate the spillover effects of the 1997 Asian financial crisis using data from a sample of selected Asian countries. For empirical estimation, we use high frequency data (daily observations) on exchange rates from 1994 to 2002, construct a multivariate GARCH model and apply the Granger causality test …

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Healthcare Could Your Organization Save Money With Complementary And Alternative Medicine?, William Martin, Hugh Long Jan 2009

Healthcare Could Your Organization Save Money With Complementary And Alternative Medicine?, William Martin, Hugh Long

William Marty Martin

Some evidence suggests complementary and alternative medicine could reduce costs and improve efficiency while increasing patient satisfaction.

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The Value Of Managerial Beliefs In Turbulent Environments: Managerial Orientation And E-Business Advantage, T. Coltman, T. M. Devinney, D. F. Midgley Jan 2009

The Value Of Managerial Beliefs In Turbulent Environments: Managerial Orientation And E-Business Advantage, T. Coltman, T. M. Devinney, D. F. Midgley

Tim Coltman

There is a great divide between the degree to which academic research accounts for the role of managerial discretion in firm performance and the weight given by the popular press and financial community to the importance of the management of an organization. The purpose of this paper is to bridge this gap by quantifying the way managerial beliefs influence the quality of firm performance in a turbulent environment based on e-business. An e-business research setting is used that is associated with a situation of environmental turbulence to allow for sufficient variance in managerial beliefs to measure their effect on firm …

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The Relative Valuation Of Socially Responsible Firms: An Exploratory Study, Ali M. Fatemi, Iraj Fooladi, David Wheeler Dec 2008

The Relative Valuation Of Socially Responsible Firms: An Exploratory Study, Ali M. Fatemi, Iraj Fooladi, David Wheeler

Ali M Fatemi

In this paper we develop a model in support of the argument that the imposition of a “social responsibility” constraint could lead to increased profitability of the firm. To empirically test this, we compare the characteristics of firms making up the DS 400 index with that of a control group of firms not included in the DS 400. We find that socially responsible firms are, at a minimum, not dominated by their peer firms on the basis of returns. They are also not dominated by their peers on the basis of their betas, but dominate them on the basis of …

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What Does Islamic Finance Want To Be When It Grows Up?, Karen Hunt Ahmed Dec 2008

What Does Islamic Finance Want To Be When It Grows Up?, Karen Hunt Ahmed

Karen Hunt Ahmed

No abstract provided.

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