Modelling multivariate financial time series using copulas. What are the chances that the losses in the market value of investments exceed the anticipated levels? Given that one country's financial market collapsed, what are the chances that it would lead to financial crises in other countries? These questions often arise in risk management and international finance. This project takes a significant step forward from the existing literature to develop new flexible and innovative methods to an ....Modelling multivariate financial time series using copulas. What are the chances that the losses in the market value of investments exceed the anticipated levels? Given that one country's financial market collapsed, what are the chances that it would lead to financial crises in other countries? These questions often arise in risk management and international finance. This project takes a significant step forward from the existing literature to develop new flexible and innovative methods to answer the foregoing type of questions. Further, this project proposes new measures of market risks that are suitable for communicating to the broader public as well as the experts.Read moreRead less
Special Research Initiatives - Grant ID: SR0354895
Funder
Australian Research Council
Funding Amount
$40,000.00
Summary
Financial Integrity Research Network (FIRN). FIRN will be directed towards innovation in the integrity and efficiency of Australia's financial system. To address pressing problems and threats associated with this key component of Australia's infrastructure, FIRN will bring together a multi-disciplinary network featuring internationally renowned academics in a unique collaborative research effort which will cross conventional disciplinary boundaries including financial economics, applied statist ....Financial Integrity Research Network (FIRN). FIRN will be directed towards innovation in the integrity and efficiency of Australia's financial system. To address pressing problems and threats associated with this key component of Australia's infrastructure, FIRN will bring together a multi-disciplinary network featuring internationally renowned academics in a unique collaborative research effort which will cross conventional disciplinary boundaries including financial economics, applied statistics, actuarial science, financial mathematics, market micro-structure, accounting and information systems. FIRN will be supported by SIRCA's world-class financial research infrastructure and industry network. It will deliver a range of innovative research, educational, professional development and applied outcomes.Read moreRead less
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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When Markets Fail: A Comparative Assessment of Costs and Benefits of Trade Interruption. Stock exchanges worldwide provide the opportunity to instantaneously and continuously trade securities. The introduction of automated trading systems has considerably enhanced this opportunity. Surprisingly, exchanges still have (and use) the discretion to occasionally suspend trading in certain stocks. These trading halts are used to prevent a disorderly or uninformed response to pertinent company informati ....When Markets Fail: A Comparative Assessment of Costs and Benefits of Trade Interruption. Stock exchanges worldwide provide the opportunity to instantaneously and continuously trade securities. The introduction of automated trading systems has considerably enhanced this opportunity. Surprisingly, exchanges still have (and use) the discretion to occasionally suspend trading in certain stocks. These trading halts are used to prevent a disorderly or uninformed response to pertinent company information releases. Practitioners and academics tend to believe that trading halts do not serve this role well. We propose a new methodology to more accurately measure the costs and benefits of trade suspensions. We compare their impact on different trading systems, and evaluate their intertemporal performance.Read moreRead less
A Synthesis of Agency and Managerial Power Theories and Its Applications to Corporate Governance, Management Compensation, and Firm Performance. The existing models of corporate governance in economics and finance based on agency theory do not successfully portray all modern corporations. Thus the importance of a new and rigorous way to study corporate governance can be hardly exaggerated. This project will provide a synthesized theory of corporate governance and is expected to produce highest- ....A Synthesis of Agency and Managerial Power Theories and Its Applications to Corporate Governance, Management Compensation, and Firm Performance. The existing models of corporate governance in economics and finance based on agency theory do not successfully portray all modern corporations. Thus the importance of a new and rigorous way to study corporate governance can be hardly exaggerated. This project will provide a synthesized theory of corporate governance and is expected to produce highest-quality research publishable in top-tier journals. This will, among others, enhance Australia's standing as a knowledge nation. This project is also expected to contribute to the discussions on how to improve corporate governance and regulation of management compensation both in Australia and abroad. 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
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.
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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
Does Australian Corporate Taxation Matter? On a GDP-weighted basis the average OECD corporate rate has fallen from 44 percent in 1985 to 31 percent in 2004. Australia operates a flat thirty percent corporate tax rate and this compares well with the current OECD average. Yet, the Business Council of Australia argues that the Australian corporate tax rate is 'uncompetitive'. Certainly, the corporate tax burden (i.e. corporate tax revenue as a proportion of GDP) is very high in Australia, the thi ....Does Australian Corporate Taxation Matter? On a GDP-weighted basis the average OECD corporate rate has fallen from 44 percent in 1985 to 31 percent in 2004. Australia operates a flat thirty percent corporate tax rate and this compares well with the current OECD average. Yet, the Business Council of Australia argues that the Australian corporate tax rate is 'uncompetitive'. Certainly, the corporate tax burden (i.e. corporate tax revenue as a proportion of GDP) is very high in Australia, the third highest in the OECD, and the highest in the Asia-Pacific region. This project will evaluate the extent that the corporate tax burden is a hinderance to Australian firms and economic behaviour. Read moreRead less
Multifractal models in finance via the crossing tree. High level mathematical modelling is an established part of the modern finance industry, in particular the Black-Scholes option pricing formula is now an indispensable financial tool.
To remain competitive the Australian financial sector needs to keep up with developments in mathematical finance, which is only possible if the Australian academic community remains active in the field.
The work on multifractal modelling proposed here is innov ....Multifractal models in finance via the crossing tree. High level mathematical modelling is an established part of the modern finance industry, in particular the Black-Scholes option pricing formula is now an indispensable financial tool.
To remain competitive the Australian financial sector needs to keep up with developments in mathematical finance, which is only possible if the Australian academic community remains active in the field.
The work on multifractal modelling proposed here is innovative both in its theoretical aspects and its applied methodology, and will ensure that Australian research remains at the cutting edge of this highly competitive and fast moving field.Read moreRead less