Discovery Early Career Researcher Award - Grant ID: DE140100253
Funder
Australian Research Council
Funding Amount
$373,700.00
Summary
Bank governance and financial crisis: implications for bank risk-taking, earnings management, and information efficiency. The global financial crisis signified that the connections between the governance of banks, their performance, and the long-term stability of the financial system are not well understood. This project investigates how executives' compensation, audit efforts and ownership structure in banks impact their risk-taking, accounting choices and information flows in a global setting ....Bank governance and financial crisis: implications for bank risk-taking, earnings management, and information efficiency. The global financial crisis signified that the connections between the governance of banks, their performance, and the long-term stability of the financial system are not well understood. This project investigates how executives' compensation, audit efforts and ownership structure in banks impact their risk-taking, accounting choices and information flows in a global setting for the periods before and around the crisis. The project findings will advance our knowledge of how to improve the existing monitoring systems of banks to safeguard the economy and to provide a more transparent bank system. The project will also facilitate an evaluation of the effectiveness of various reforms that were initiated following the crisis.Read moreRead less
The impact of payout policy changes on firm value and short selling activities across different taxation regimes. Brealey et al (2011) assert that we don't know enough yet about how payout policy varies across firms. This project examines the information content of dividend changes and repurchase programs and the long-term market impact of these announcements, controlling for the substitution effect of repurchases/dividends in different institutional/tax regimes. This project also examines wheth ....The impact of payout policy changes on firm value and short selling activities across different taxation regimes. Brealey et al (2011) assert that we don't know enough yet about how payout policy varies across firms. This project examines the information content of dividend changes and repurchase programs and the long-term market impact of these announcements, controlling for the substitution effect of repurchases/dividends in different institutional/tax regimes. This project also examines whether short sellers manifest abnormal behaviour around the announcement of dividend changes and repurchase programs, and whether earnings are manipulated upwards to maintain the dividend or downwards prior to the announcement of repurchase programs. The findings will be of major interest to academics, managers, investors and regulators.Read moreRead less
MANAGING AND MODELLING RISK AND COMPLEXITY IN THE INVESTMENT AND HEDGE FUNDS INDUSTRY. The project will develop an evolutionary learning algorithm for modeling non-linear financial asset price movements and conduct simulations to gain a better understanding of price formation in securities markets with a focus on the equity market. We will focus on extreme market conditions to calibrate the benefits and efficiency of risk management techniques. The models will be applied to benchmarking and eval ....MANAGING AND MODELLING RISK AND COMPLEXITY IN THE INVESTMENT AND HEDGE FUNDS INDUSTRY. The project will develop an evolutionary learning algorithm for modeling non-linear financial asset price movements and conduct simulations to gain a better understanding of price formation in securities markets with a focus on the equity market. We will focus on extreme market conditions to calibrate the benefits and efficiency of risk management techniques. The models will be applied to benchmarking and evaluating portfolio decisions of hedge funds; investment risk management and dynamic portfolio selection strategies. The research will result in new theoretical approaches and empirical methods to study price movements and evaluate fund performance.Read moreRead less
Share trading by corporate insiders: effects and implications. The project examines trading by corporate insiders in Australian firms. The project's findings will provide evidence to corporate regulators on firms' disclosure practices and the effect of non-disclosure of insider trades on transparency in the market and investor confidence through the firm's cost of capital.
Superannuation Funds: Ensuring the Financial Health of Australians in Retirement. Superannuation is relevant to all Australians, providing a foundation for their lifestyle in retirement. The protection and enhancement of superannuation savings have been high priorities of both government and regulatory agencies. Recent legislative changes include mandated choice of superannuation fund and increased disclosure requirements. Regulators have also flagged the need for increased corporate governance ....Superannuation Funds: Ensuring the Financial Health of Australians in Retirement. Superannuation is relevant to all Australians, providing a foundation for their lifestyle in retirement. The protection and enhancement of superannuation savings have been high priorities of both government and regulatory agencies. Recent legislative changes include mandated choice of superannuation fund and increased disclosure requirements. Regulators have also flagged the need for increased corporate governance among superannuation funds. This project assesses the impact of these developments through an assessment of competition, performance and accountability within the superannuation industry. Monitoring the industry in this way will strongly contribute to the financial and economic health of Australians in retirement.
Read moreRead less
Capital Management in a Stochastic Earnings Framework. Many large Australian firms have on-going capital management programs. These programs are aimed at ensuring that the firm maintains an optimal capital structure. This is often done according to rules of thumb or benchmarked against a few financial ratios. To the extent that more rigor can be introduced into the analysis of optimal capital structure, there is a clear benefit to Australian firms. Of course, the reason firms engage in capit ....Capital Management in a Stochastic Earnings Framework. Many large Australian firms have on-going capital management programs. These programs are aimed at ensuring that the firm maintains an optimal capital structure. This is often done according to rules of thumb or benchmarked against a few financial ratios. To the extent that more rigor can be introduced into the analysis of optimal capital structure, there is a clear benefit to Australian firms. Of course, the reason firms engage in capital management initiatives in the first place is to lower their cost of capital and to increase value. Any initiative that lowers the cost of capital of Australian firms will result in increased productivity and economic growth.Read moreRead less
Price Discovery in Equity and Volatility Futures for Trading and Hedging. This project aims to develop a multivariate asynchronous technique to analyse the price discovery of movements in equity stock indices, volatility index futures and exchange traded products. This project expects to generate new knowledge in the area of financial econometrics using an innovative mixed frequency sampling approach to establish robust causal inferences. Expected outcomes of the project include enhanced econome ....Price Discovery in Equity and Volatility Futures for Trading and Hedging. This project aims to develop a multivariate asynchronous technique to analyse the price discovery of movements in equity stock indices, volatility index futures and exchange traded products. This project expects to generate new knowledge in the area of financial econometrics using an innovative mixed frequency sampling approach to establish robust causal inferences. Expected outcomes of the project include enhanced econometric theory and its implementation in applied finance. This should provide significant benefits in the price discovery of the equity index in Australia, including insights that will help Australian funds in hedging and trading volatility.Read moreRead less
ARC Financial Integrity Research Network. The integrity of the financial system is constantly under stress because of the development of ever more complex financial instruments, structures and strategies, and the associated research technologies that continues to accelerate worldwide. FIRN's vision is to harness the considerable strengths of Australia's internationally renowned finance, accounting and economics researchers into a research agenda to address issues concerning the integrity of the ....ARC Financial Integrity Research Network. The integrity of the financial system is constantly under stress because of the development of ever more complex financial instruments, structures and strategies, and the associated research technologies that continues to accelerate worldwide. FIRN's vision is to harness the considerable strengths of Australia's internationally renowned finance, accounting and economics researchers into a research agenda to address issues concerning the integrity of the financial system. It will enable Australian research in this area to match the scale and impact of similar research in other major international financial centres, and play an essential role in placing Australia among the world's leaders in financial markets related research.Read moreRead less
Quantification issues in corporate valuation, the cost of capital, and optimal capital structure. An estimate of the firm's cost of capital is probably the most important calculation required in corporate finance. It is used as the discount rate in valuation and capital budgeting decisions and forms the basis of pricing structures for many regulated industries. Corporate finance theory has identified the key inputs used to calculate the cost of capital, but the current literature falls short o ....Quantification issues in corporate valuation, the cost of capital, and optimal capital structure. An estimate of the firm's cost of capital is probably the most important calculation required in corporate finance. It is used as the discount rate in valuation and capital budgeting decisions and forms the basis of pricing structures for many regulated industries. Corporate finance theory has identified the key inputs used to calculate the cost of capital, but the current literature falls short of precisely quantifying and measuring many of these inputs. The outcomes from this project will be a framework to quantify three key aspects of the cost of capital - the value of dividend imputation tax credits, the assessment of the optimal capital structure for the firm (in particular, the quantification of bankruptcy and agency costs associated with debt financing), and the estimation of the firm's marginal tax rate.Read moreRead less
The Importance of Being Politically Connected. The literature on the importance of political connections to firms and their value implications is scant. This project aims to develop a framework that depicts the interplay of political connections, institutional factors, corporate governance, media coverage and firm value. In particular, it investigates how political connections enhance the value of firms in China and how this changes as the market transitions.