Cycles and Size: Long Term Valuation and Investment Performance. This project will significantly enhance our understanding of the cyclical variation in the returns and volatility of size-related equity classes. A better understanding of these cyclical phenomena may also lead to improvements in the asset allocation process, in particular the investment in medium- and
small-sized enterprise shares. The current neglect by analysts and reluctance of institutional investors to research and invest in ....Cycles and Size: Long Term Valuation and Investment Performance. This project will significantly enhance our understanding of the cyclical variation in the returns and volatility of size-related equity classes. A better understanding of these cyclical phenomena may also lead to improvements in the asset allocation process, in particular the investment in medium- and
small-sized enterprise shares. The current neglect by analysts and reluctance of institutional investors to research and invest in this sizable market segment offers significant opportunities for linkage research. This project will focus on the valuation, (il)liquidity, and macroeconomic sources of momentum profits as they related to the economic cycle, across the size spectrum.
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Developing a robust model for pricing inter-related volatility-based financial derivative contracts. Volatility-based financial contracts were developed in the late 1990s to provide an easy way for investors to gain exposure to the future level of volatility and thus provide a means by which they could speculate on its future levels and also hedge unpredictable volatility risk. This would potentially save them from losing vast quantities of money. However these products can only be efficient pr ....Developing a robust model for pricing inter-related volatility-based financial derivative contracts. Volatility-based financial contracts were developed in the late 1990s to provide an easy way for investors to gain exposure to the future level of volatility and thus provide a means by which they could speculate on its future levels and also hedge unpredictable volatility risk. This would potentially save them from losing vast quantities of money. However these products can only be efficient products for trading and risk management if they are priced correctly. This project will benefit investors by providing empirically viable models that will be able to be easily implemented to provide accurate and fast pricing solutions.Read moreRead less
An Examination of Strategic Investment Arrangements for Institutional Investors: The Case for Centralised Portfolio Management. The aim of this project is to examine the extent to which Australian superannuation funds are able to enhance their overall returns, achieve investment objectives, and minimise operating costs incurred. This will be achieved by examining the benefits of centralised portfolio management for superannuation funds, and consideration of how active and index management can be ....An Examination of Strategic Investment Arrangements for Institutional Investors: The Case for Centralised Portfolio Management. The aim of this project is to examine the extent to which Australian superannuation funds are able to enhance their overall returns, achieve investment objectives, and minimise operating costs incurred. This will be achieved by examining the benefits of centralised portfolio management for superannuation funds, and consideration of how active and index management can be utilised within the overall fund structure. We will show the problems associated with the current portfolio configuration system adopted by super funds, and to identify areas where more optimal investment arrangements can significantly improve overall portfolio returns and reduce expenses.Read moreRead less
What Is the Optimal Level of Transparency and Should Off-Market Block Trading exist in Futures Markets? The aims of this project are twofold; to assess (i) what level of transparency is optimal and (ii) whether off-market block trading should be allowed in futures markets. Transparency refers to how much of the trading process is made visible to participants. The issue has been researched only very recently and findings have been limited. Off-market block trading procedures allow large trades ....What Is the Optimal Level of Transparency and Should Off-Market Block Trading exist in Futures Markets? The aims of this project are twofold; to assess (i) what level of transparency is optimal and (ii) whether off-market block trading should be allowed in futures markets. Transparency refers to how much of the trading process is made visible to participants. The issue has been researched only very recently and findings have been limited. Off-market block trading procedures allow large trades to be executed away from the market. This project will undertake the first study of large trades on futures markets and will also compare the impact of large trades on market quality when executed on- and off-market.Read moreRead less
Risk Measurement for Large Portfolios under the Benchmark Approach. The measurement of risk for large portfolios, consisting of basic assets and derivatives, will play a key role in future risk management systems. Based on a new characterization of asymptotic portfolios this project proposes the development, implementation and testing of highly efficient new risk measurement methodologies suitable for portfolios with hundreds or thousands of instruments. Comparisons with standard and new simulat ....Risk Measurement for Large Portfolios under the Benchmark Approach. The measurement of risk for large portfolios, consisting of basic assets and derivatives, will play a key role in future risk management systems. Based on a new characterization of asymptotic portfolios this project proposes the development, implementation and testing of highly efficient new risk measurement methodologies suitable for portfolios with hundreds or thousands of instruments. Comparisons with standard and new simulation methods will demonstrate their superiority. The outcomes of this project will give the Australian industry and the industry partner a competitive advantage in the measurement and management of risk for large portfolios as superannuation funds or portfolios of banks.Read moreRead less
The contribution of the private equity and venture capital industry to the Australian economy and society. This study enables the priority goal of promoting an innovation culture and economy through research, by assessing the contribution of private equity investment in dynamic firms and evaluating industry practices. It guides the industry body (AVCAL) and the Government in formulating private equity and venture capital policy and initiatives to stimulate innovation and success in the Australia ....The contribution of the private equity and venture capital industry to the Australian economy and society. This study enables the priority goal of promoting an innovation culture and economy through research, by assessing the contribution of private equity investment in dynamic firms and evaluating industry practices. It guides the industry body (AVCAL) and the Government in formulating private equity and venture capital policy and initiatives to stimulate innovation and success in the Australian economy. The results allow the assessment of the success of the government programs and assists the private equity industry in quantifying its effectiveness in stimulating economic growth. Further, the study assists entrepreneurial firms developing innovative concepts, in understanding the benefits of seeking venture capital support in Australia.Read moreRead less
Understanding market mechanisms to achieve greater efficiency in institutional equities and futures markets. This project investigates the impact of high frequency trading on financial market quality. Financial markets are essential for capital raising and form a critical part of the Australian economy. Ordinary residents have billions invested in it through superannuation. Deterioration in market quality leads to poor consumer confidence, increases firms’ cost of capital and transaction costs, ....Understanding market mechanisms to achieve greater efficiency in institutional equities and futures markets. This project investigates the impact of high frequency trading on financial market quality. Financial markets are essential for capital raising and form a critical part of the Australian economy. Ordinary residents have billions invested in it through superannuation. Deterioration in market quality leads to poor consumer confidence, increases firms’ cost of capital and transaction costs, and ultimately reduces retirement quality. The proliferation of high frequency trading in financial markets requires a thorough understanding of their impact on market quality. This project aims to lead to more efficient regulation, improving financial markets and making Australia attractive to investors and enhancing the quality of retirement for residents.Read moreRead less
Novel Mathematical Technologies for Financial Valuation and Risk. The finance industry is a key industry sector in Australia, with a highly qualified and well-paid work force. The profitability and stability of financial institutions rests in part on their ability to accurately and rapidly value innovative financial products and to quantify risk, yet many contemporary financial products are difficult to value quickly and accurately. This project will bring innovative mathematical technologies ....Novel Mathematical Technologies for Financial Valuation and Risk. The finance industry is a key industry sector in Australia, with a highly qualified and well-paid work force. The profitability and stability of financial institutions rests in part on their ability to accurately and rapidly value innovative financial products and to quantify risk, yet many contemporary financial products are difficult to value quickly and accurately. This project will bring innovative mathematical technologies to bear on complex financial problems. It has the potential to improve both the profitability and stability of Australian financial institutions, and to enhance their role regionally and internationally.Read moreRead less
The Role of Corporate Governance Mechanisms in Maximising the Performance of Listed Australian Corporations. The recent spake of corporate collapses and scandals highlights the need for an ongoing commitment to the development, implementation and maintenance of strong systems of governance within Australian corporations. This commitment necessitates an understanding of which suite of governance mechanisms are most effective in positively impacting upon corporate performance rather than just the ....The Role of Corporate Governance Mechanisms in Maximising the Performance of Listed Australian Corporations. The recent spake of corporate collapses and scandals highlights the need for an ongoing commitment to the development, implementation and maintenance of strong systems of governance within Australian corporations. This commitment necessitates an understanding of which suite of governance mechanisms are most effective in positively impacting upon corporate performance rather than just the performance impact of a particular mechanism in isolation. To date, research facilitating such an understanding is all but non-existent. However, our study will yield this much-needed evidence and, therefore, provide the foundations for ongoing corporate governance reform on the part of regulators and practitioners alike.Read moreRead less
Creating Sustainability-Oriented Fintech Lending Platforms in Australia. This project aims to investigate how FinTech lending companies can use customers' environmental information to access their creditworthiness, and whether lending decisions based on environmental information can promote pro-environmental behaviour and expedite the societal transformation towards a low-carbon economy. These aims will be achieved through a quantitative analysis that evaluates the use of a customer's "carbon fo ....Creating Sustainability-Oriented Fintech Lending Platforms in Australia. This project aims to investigate how FinTech lending companies can use customers' environmental information to access their creditworthiness, and whether lending decisions based on environmental information can promote pro-environmental behaviour and expedite the societal transformation towards a low-carbon economy. These aims will be achieved through a quantitative analysis that evaluates the use of a customer's "carbon footprint" for predicting default risk, and a field experiment that analyses the economic and environmental benefits of the proposal. The project intends to develop a new approach that contributes to developing a sustainable lending platform for Fintech firms and establishing sustainable FinTech standards for policymakers.Read moreRead less