Business Commons^™

Evaluating Economic Relationships Of Stapled And Traditional Australian Reits, Jaime Yong, David Allen, Lee Lim

Research outputs 2011

The number of Australian Real Estate Investment Trusts (AREITs) trading as stapled securities has grown significantly in the past ten years. Though this type of trust structure improves the income growth to investors, stapled AREITs are riskier relative to traditional AREITs that act primarily as holding companies of property assets. Academic literature on REIT characteristics has found that these assets have become less integrated with bonds and more with stocks. An increasingly mature AREIT market implies that prices of these assets have become more integrated with values of the underlying direct property investments. This study employs quarterly prices over 30 …

Modeling Time-Varying Currency Betas: New Evidence From The Selected Markets, P. Jayasinghe, A. Tsui, Zhaoyong Zhang

Research outputs 2011

In the past decade, studies of exchange rate exposure have mainly focused on three approaches. The first approach uses conventional methods such as sub-sampling, dummy variables, and overlapping moving window regression to capture exchange rate exposure. The second approach uses pre-specified determinants of exposure coefficients to analyze the time-variation of exchange rate exposure. For example, Allayannis (1997) suggests that currency beta is determined by export and import shares, and finds support for time-variation of exposure in some 4-digit level SIC industries. The third approach employs time-varying second moments to derive time-varying exchange rate exposure (see, for instance, Hunter, 2005; Lim, …

Modeling The Conditional Heteroscedasticity And Leverage Effect In The Chinese Stock Markets, Zhihui Yin, Albert Tsui, Zhaoyong Zhang

Research outputs 2011

The Chinese stock market has experienced an astonishing growth and unprecedented development since its inception in the early 1990s, emerged to be the world's second-largest by market value by the end of 2009. The Chinese stock market is also one of the most volatile markets, which has been called by many observers a “casino”. In the recent years there are several far-reaching events that have reshaped the Chinese stock markets. The most notable events include the “dot-com bubble” in 2000, China’s non-tradable shares reform in 2005 and the global financial crisis in 2008. It is noted that the “dot-com bubble” …

Peas In A Pod: Canadian And Australian Banks Before And During A Global Financial Crisis, David Allen, Ray Boffey, Robert Powell

Research outputs 2011

In the aftermath of the Global Financial Crisis (GFC), the Canadian and Australian banking systems have been singled out by some commentators as having performed better than many other banking systems, particularly those in Europe, America and the United Kingdom. Banks in both Canada and Australia, for instance, have continued to report enviable earnings, sound capital levels, and high credit ratings both before and during the GFC. The G-20 and the European Union have tried to identify the features of the Canadian and Australian financial systems which have underpinned this success in order to use them in shaping a revised …

Modeling Exchange Rate Exposure In The Japanese Industrial Sectors, P. Jayasinghe, A Tsui, Zhaoyong Zhang

Research outputs 2011

In recent years the volatility of exchange rate exposure and its associated risk have become a hot issue in international financial management. It is often assumed that a firm’s future operating cash flows is proxied by its market value, and the exposure coe fficient would be able to ef ficiently measure the impact of exchange rate changes on a firm’s return and its se nsitivity to the changes. Recen tly, some studies begin to investigate whether exchange rate exposure is asymmetric between currency appreciations and depreciations. By far most existing studies on exchange rate exposure assume that the variances of …

Innovative Transition Matrix Techniques For Measuring Extreme Risk: An Australian And U.S. Comparison, David Allen, Akhmad Kramadibrata, Robert Powell, Abhay Singh

Research outputs 2011

Comparing Australia and the U.S. both prior to and during the Global Financial Crisis (GFC), using a dataset which includes more than six hundred companies, this paper modifies traditional transition matrix credit risk modelling to address two important issues. Firstly, extreme credit risk can have a devastating impact on financial institutions, economies and markets as highlighted by the GFC. It is therefore essential that extreme credit risk is accurately measured and understood. Transition matrix methodology, which measur es the probability of a borrower transitioning from one credit rating to another, is traditionally used to m easure Value at Risk (VaR), …

Modeling The Fractional Integration In Volatility Between The Greater China Financial Markets, K. Ho, Zhaoyong Zhang

Research outputs 2011

The dynamics of the interrelationships among the financial markets in the Greater China area including Mainland China, Taiwan, and Hong Kong, is a noteworthy issue of economic research. This is not only because the financial markets in this region have grown rapidly over the past decade, but also because of the arguably asymmetric integration of the emerging Chinese economy with advanced countries in the real side of the economy and tight control over financial market. Since its establishment in the early 1990s, the Mainland Chinese stock market has expanded rapidly in terms of capitalization, turnover, and the new listings. Even …

Modelling Exchange Rate Pass-Through In Australia, China And India, Shrabani Saha, Zhaoyong Zhang

Research outputs 2011

Exchange rate pass-through (ERPT) has attracted a ttention of many researchers in the last three decades due to the adoption of flexible exchange rate system by many countries. The objectives of this study are to make a comparative study by exploring the literature relating pass-through for import prices and domestic prices in Australia, China and India. In particular, we test whether the exchange rate pass-through to import prices is complete, estimate the pass-through to CPI to investigate whether there is any association between the pass-through and the average inflation rate across these countries. Using a structural VAR model we test …

Assessing The Dynamic Relationship Between Small And Large Cap Stock Prices, K. Ho, B. Ernst, Zhaoyong Zhang

Research outputs 2011

The historical long-run return on small capitalization stocks has unquestionably outperformed large capitalization stocks since 1926. The phenomenon of small capitalization stocks having higher risk- adjusted returns compared with large capitalization stocks is an equity market anomaly first discovered in 1981. Since then, many academics and investors have strongly argued that “size is dead”. This paper argues that far from being dead, the phenomenon of size effect appears alive and well and it could be exploited effectively over long-term investment horizons. To analyze this phenomenon, we focus specifically on the dynamics of small cap and large cap prices. We test …

Modeling The Conditional Volatility Asymmetry Of Business Cycles In Four Oecd Countries: A Multivariate Garch Approach, K Ho, A Tsui, Zhaoyong Zhang

Research outputs 2011

There are many studies on the business cycle indicators in the past decades, but mostly focusing on the asymmetric and non-linear features of business cycles incorporated into the conditional mean equation rather than the conditional variance formulation. Recently, the hypothesis of volatility asymmetry in business cycle indicators has been re-examined by, for instance, Ho and Tsui (2003 and 2004) using univariate asymmetric power ARCH (APARCH) and EGARCH models. However, the main drawback of univariate GARCH analysis is that it fails to capture the co-movement of macroeconomic variables. These co-movement relationships are important issues emphasised by the business cycle researchers, yet …

Are Credit Ratings A Good Measure Of Capital Adequacy?, David Allen, Akhmad Kramadibrata, Robert Powell, Abhay Singh

Research outputs 2011

Focus on capital adequacy intensified since the onset of the Global Financ ial Crisis (GFC), with many US and other global banks experiencing capital shortages over this time. The Basel standardised approach uses credit ratings as a determinant for corporate capital adequacy requirements. A problem with credit ratings is that they were designed to be a measure of relative, as opposed to absolute credit risk, and do not ratchet up or down with changes in economic circumstances. This paper examines how credit risk as indicated by credit ratings (and thei r associated capital requirement) changed pre and post Global Financial …

Credit Risk Measurement Methodologies, David Allen, Robert Powell

Research outputs 2011

The significant problems experienced by banks during the Global Financial Crisis have highlighted the critical importance of measuring and providing for credit risk. This paper will examine four popular methods used in the measurement of credit risk and provide an analysis of the relative shortcomings and advantages of each method. The study includes external ratings approaches, financial statement analysis models, the Merton / KMV structural model, and the transition based models of CreditMetrics and CreditPortfolioView. Each model assesses different cr iteria, and an understanding of the merits and disadvantages of the various models can assist banks and other credit modellers …

Modeling Information Linkages In The Stock And Options Markets, K Ho, L Zheng, Zhaoyong Zhang

Research outputs 2011

When markets are assumed to be complete, option trading should not contain new information for market participants, as options derive their prices from the underlying stocks. However, if markets are incomplete, then this unidirectional relationship may not be true, because informed traders may prefer to trade options instead of the underlying stocks for several reasons: one, option trading involves lower transaction costs and higher financial leverage; and two, investors who have private information about stock price volatility can only make their bet on volatility in the option market. Compared with the research on the relationship between options trading activity and …

Alexander Hamilton And Asian Capitalism, Ian Austin

Research outputs 2011

Alexander Hamilton (1755-1804), extensive essayist (including The Federalist), long-serving aide de camp to George Washington (1732-1799), the first Secretary to the Treasury (1789-1795), and author of a series of Reports to Congress, takes his rightful place as one of theUnited States ofAmerica’s founding fathers. Like all members of Washington administrations (1789-1797), Hamilton on taking office was acutely aware of the highly precarious nature of the new nation’s future.What was to replace British rule was far fromcertain, and at the time the construction of a functioning republic beyond a small geographical area was considered by political orthodoxy to be dubious. In …

The Good Practice Principles: Silver Bullet Or Starter Gun?, Siri Barrett-Lennard, Katie Dunworth, Anne J. Harris

Research outputs 2011

The Good Practice Principles have provided the higher education sector with a framework for action in the area of academic language and learning (ALL); and the imprimatur of DEEWR has ensured that they have been nationally disseminated and are now widely recognised. Yet, while they have been nationally acknowledged as appropriate and desirable, the means by which they might be achieved is by no means certain. In order to realise these principles, ALL educators and colleagues in Australian institutions must grapple with major issues that arise chronologically over students’ academic careers. These issues include: how can we know whether students …

An Approach To Theory-Based Youth Programming, Mat D. Duerden, Ann Gillard

Faculty Publications

A key but often overlooked aspect of intentional, out-of-school-time programming is the integration of a guiding theoretical framework. The incorporation of theory in programming can provide practitioners valuable insights into essential processes and principles of successful programs. While numerous theories exist that relate to youth development practice, they often remain inaccessible to practitioners. Therefore, the goal of this article is to synthesize two theoretical perspectives, the social development model and self-determination theory, into a practitioner-friendly programming framework. The resulting social development programming model outlines specific components, processes, and outcomes of effective and intentional youth development programs.

Assessing The Need For The Development Of Standardized Life Skills Measures, Mat D. Duerden, Peter A. Witt

Faculty Publications

Youth practitioners often select life skills as intentionally targeted program outcomes. While research findings suggest the efficacy of program experiences to positively influence a variety of life skills, it remains difficult to compare these findings due to measurement incongruities. Individual life skills (e.g., leadership, decision making, etc.) often lack standardized conceptualizations and measurement approaches. The purpose of the study reported here was to gather data about practitioners' perceptions of those life skill domains most in need of measurement development. Based on the results of the study, 10 life skill sub-domains are recommended for future measurement development efforts.

Using Implementation Intentions Prompts To Enhance Influenza Vaccination Rates, Katherine L. Milkman, John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian

Faculty Publications

We evaluate the results of a field experiment designed to measure the effect of prompts to form implementation intentions on realized behavioral outcomes. The outcome of interest is influenza vaccination receipt at free on-site clinics offered by a large firm to its employees. All employees eligible for study participation received reminder mailings that listed the times and locations of the relevant vaccination clinics. Mailings to employees randomly assigned to the treatment conditions additionally included a prompt to write down either (1) the date the employee planned to be vaccinated or (2) the date and time the employee planned to be …

Consumer Financial Protection, John Y. Campbell, Howell E. Jackson, Brigitte C. Madrian, Peter Tufano

Faculty Publications

Over the past 65 years, fi nancial innovation has presented U.S. households with an ever-widening set of fifi nancial options from an expanding set of fifi rms and accompanied by a sometimes dizzying amount of information. At the same time, consumer fifi nance has increasingly become a “do-it-yourself ” activity (Ryan, Trumbull, and Tufano, 2010). Households are expected to make decisions about pension plan contributions and payouts, to choose from a wide array of credit instruments to fund everything from home purchase to short-term cash needs, and more generally to assume a greater level of responsibility for their fifi nancial …

Web 2.0: A Definition, Literature Review, And Directions For Future Research, David W. Wilson, Xiaolin Lin, Phil Longstreet, Saonee Sarker

Faculty Publications

The Web 2.0 paradigm has gained substantial momentum in the last decade. The influence of Web 2.0 principles and technologies has fueled an explosion of information and media content on the Web, and individual and corporate adoption of the technologies continues to rise. As the popularity and usefulness of these technologies continue to unfold, there has yet been no concise definition of the term Web 2.0, nor a clear understanding of its scope. We synthesize and analyze the extant academic and practitioner-oriented literature on the topic to 1) provide a clear, concise definition of the term Web 2.0, 2) categorize …

Conceptual-Model Programming: A Manifesto, David W. Embley, Stephen W. Liddle, Óscar Pastor

Faculty Publications

In order to promote conceptual-model programming (CMP), we present these CMP articles. We hold these articles to be the defining principles for model-complete software development.

Essentially, this CMP manifesto asserts that programming activities are to be carried out via conceptual modeling. For applications amenable to conceptual-model designs, software developers should never need to write a line of traditional code. Thus, programming is actually conceptual-model programming.

To accommodate CMP, conceptual-modeling languages must be executable. They must also be capable of completely deploying both databases and user interfaces and conceptually expressing database access and user interaction. To enable CMP, a conceptual-model compiler …

Picturing Flag Violence In Civil War Sheet Music: The Case Of “Down With The Traitors’ Serpent Flag”, Kenneth Hartvigsen

Faculty Publications

Published in Chicago in 1861, “Down with the Traitors’ Serpent Flag” is one of thousands of political parlor songs from the American Civil War. Many of these songs are unremarkable musically and were preserved in homes, archives, and museum collections largely for their vibrant illustrations. In my presentation I examine this song’s lithographic cover illustration—a Union soldier grinding a Confederate flag into the dust—within a broader discourse of Civil War flag imagery taken from songs, political cartoons, and cartes-de-visite.

Compelling secrets exist within this colorful image that may not first meet the eye; to uncover these meanings along with the …

Dynamic Collaboration: Participant-Driven Agile Processes For Complex Tasks, Joel H. Helquist, Amit Deokar, Thomas Meservy, John Kruse

Faculty Publications

Groups and decision makers are increasingly running headlong into complexity as interconnections and interdependencies between individuals and organizations continue to grow, decision time horizons shrink and more work is being performed by distributed teams. These factors are driving up overall problem space complexity and limiting the effectiveness of time-tested decision and collaboration processes. Increases in problem space complexity lead to higher equivocality in collaborative processes and associated products. Electronic collaboration support tools and associated process management schemes have proven successful in many challenging contexts. However, current collaboration process management schemes and tools may not be able to effectively handle more …

Etf Volatility Around The New York Stock Exchange Close., Stoyu Ivanov

Faculty Publications

In this study we extend the work of Chang, Jain and Locke (1995) who study the Standard and Poor’s 500 (S&P 500) Index futures contract volatility around NYSE close by examining three ETFs, the Spider, the Diamonds and the Cubes price volatilities after market close. Similar to the S&P 500 Index futures contract ETFs continue trading until 16:15, which is 15 minutes after their underlying indexes are reported. This is the first study to the best of our knowledge to examine the volatility of ETFs around the NYSE close. We document that similar to the findings of Chang, Jain and …

Alignment Within The Corporate It Unit: An Analysis Of Software Testing And Development, Colin Onita, Jasbir Dhaliwal

Faculty Publications

Strategic alignment between an organization's business strategy/capabilities and those of its information technology (IT) unit is an extensively researched subject that addresses the issue of fit between business and technology strategies. A key gap in the literature is lack of recognition that underlying this macro level of alignment are other, more granular levels of alignment involving the interdependent subunits within the corporate IT unit. Given the critical interdependencies between development and testing subunits in software engineering, this paper focuses on an alignment model for ensuring that these two functions work together effectively. A development-testing alignment (DTA) model is described, and …

Effective Customer Relationship Management Of Health Care: A Study Of Hospitals In Thailand, Howard W. Combs, B. Laohasirichaikul, S. Chaipoopirutana

Faculty Publications

This article investigates the effects and the relative importance of the four perceived service quality dimensions on corporate image, customer satisfaction, and customer loyalty. To obtain results, factor analysis and multiple regression techniques are applied to data collected from 500 Thai outpatients of the five largest private hospitals in Bangkok. The findings indicate that the four dimensions significantly affect corporate image, customer satisfaction, and customer loyalty. More specifically, the doctor concern dimension is the most important factor affecting customer satisfaction and customer loyalty. The tangibles dimension is the most important factor affecting corporate image.

Creating Online Brand Value Through Online Discussion Site, David Czerwinski, M Merz, U Herbst

Faculty Publications

This paper discusses the implications of the new evolving Service-Dominant (S-D) logic in marketing on brand value creation. Furthermore, it introduces the concept of online brand value and examines whether online discussion sites constitute a means for firms to co-create, together with a firm's customers, online brand value. Moreover, a conceptual framework of online discussion sites is proposed. Finally, the results of an exploratory empirical analysis of two discussion sites are presented. The findings provide initial support for the hypothesis that online discussion sites can be used to create online brand value. Moreover, the findings suggest that firm-generated discussion sites …

Adaptive Appointment Systems With Patient Preferences, Wen-Ya Wang, D. Gupta

Faculty Publications

Patients' satisfaction with an appointment system when they attempt to book a nonurgent appointment is affected by their ability to book with a doctor of choice and to book an appointment at a convenient time of day. For medical conditions requiring urgent attention, patients want quick access to a familiar physician. For such instances, it is important for clinics to have open slots that allow same-day (urgent) access. A major challenge when designing outpatient appointment systems is the difficulty of matching randomly arriving patients' booking requests with physicians' available slots in a manner that maximizes patients' satisfaction as well as …

Dividends, Momentum And Macroeconomic Variables As Determinants Of The U.S. Equity Premium Across Economic Regimes, Anastasios G. Malliaris, Ramaprasad Bhar

School of Business: Faculty Publications and Other Works

The equity premium of the S&P 500 index is explained in this paper by several variables that can be grouped into fundamental, behavioral, and macroeconomic factors. We hypothesize that the statistical significance of these variables changes across economic regimes. The three regimes we consider are the low‐volatility, medium‐volatility, and high‐volatility regimes in contrast to previous studies that do not differentiate across economic regimes. By using the three‐state Markov switching regime econometric methodology, we confirm that the statistical significance of the independent variables representing fundamentals, macroeconomic conditions, and a behavioral variable changes across economic regimes. Our findings offer an improved understanding …

Youth And Risky Consumption: Moving Toward A Transformative Approach, Marlys J. Mason, John F. Tanner, Maria Piacentini, Dan Freeman, Trena Anastasia, Wided Batat, Wendy Boland, Murad Canbulut, Jenna M. Drenten, Anne Hamby, Priyamvadha Rangan, Zhiyong Yang

School of Business: Faculty Publications and Other Works

Recent statistics indicate that youth continue to engage in a wide variety of risky behaviours in spite of significant investment devoted to improving their well-being. One possible factor is a paternalistic view in understanding risk and promoting well-being. Participants in the Youth and Risk track of the Transformative Consumer Research conference challenge the paternalistic view, arguing in this paper for a more inclusive perspective that requires a reexamination of the nature of risk. The paternalistic view is discussed, and then countered with a more participatory approach that develops a role for youth in research in order to achieve socially desirable …