Novel econometric techniques for dealing with point processes in high frequency financial data with applications to financial risk management. The recent global financial crisis highlighted the inherent risk involved in investing in financial assets. This project aims to develop novel statistical methods for forecasting the onset of instability in asset prices. The outcomes of this research will lead to improvements in the management of financial risk.
Forecasting and Financing Healthy Ageing and Aged Care in Australia. This project aims to quantify future risks of chronic illness and functional disability in retirement, proposing financing strategies aimed at enhancing healthy ageing, lifestyle quality and aged care provisions. The project devotes to devising a framework integrating government and private sector participation in funding health costs which increase significantly in older ages. The expected outcome includes sustainable retireme ....Forecasting and Financing Healthy Ageing and Aged Care in Australia. This project aims to quantify future risks of chronic illness and functional disability in retirement, proposing financing strategies aimed at enhancing healthy ageing, lifestyle quality and aged care provisions. The project devotes to devising a framework integrating government and private sector participation in funding health costs which increase significantly in older ages. The expected outcome includes sustainable retirement income scenarios for easing fiscal pressure from social initiatives such as age pension and aged care financing at the same time improving living standards for seniors. The project expects to place Australia at the forefront of research on sustainable solutions to financial challenges facing retirees.Read moreRead less
Retirement income product innovation. This project aims to develop and assess comprehensive retirement income products to support sustainable retirement income streams for the Australian superannuation system. It will provide a framework to develop flexible structured retirement income products, taking into account the fair and effective allocation of costs and risks. Actuarial and financial analysis will highlight savings in Age Pension and aged care costs arising from more effective design of ....Retirement income product innovation. This project aims to develop and assess comprehensive retirement income products to support sustainable retirement income streams for the Australian superannuation system. It will provide a framework to develop flexible structured retirement income products, taking into account the fair and effective allocation of costs and risks. Actuarial and financial analysis will highlight savings in Age Pension and aged care costs arising from more effective design of retirement income products incorporating investment and longevity risk. It intends to develop risk sharing retirement products, risk management strategies, and longevity index-based hedging contracts to share and mitigate financial and longevity risk.Read moreRead less
Risk management with real-time financial and business conditions indicators. This project will develop new methods that combine financial and macroeconomic information that arrives at different intervals to better understand the implications of this information for risk management and policy decision-making. This will support better risk management strategies especially when economic conditions are very volatile.
Modelling claim dependencies for the general insurance industry with economic capital in view: an innovative approach with stochastic processes. This project will develop and enhance multi-dimensional models used to describe and assess the risks borne by general insurers. These innovative methods, which will be directly applicable by the industry, will strengthen the efficiency and the safety of the Australian economy.
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
Financial tunnelling: shareholder protection and wealth changes during two decades of capital management activities in Australia. Companies raise capital and distribute capital and profits through various mechanisms, often structured to benefit important shareholders such as institutions. This study examines the extent to which minority shareholders have had wealth destroyed through company capital management activities, and offers corporate governance solutions.
Quantitative Analysis of Systemic Risk in Insurance. This project aims to achieve a contemporary and comprehensive quantitative analysis of systemic risk in insurance. The significance lies in narrowing the gap between the studies of systemic risk in banking and insurance. Expected outcomes include the construction of insurance/reinsurance networks to formalise systemic risk, the analysis of the role of network integration, and the development of pricing frameworks to entail a systemic risk prem ....Quantitative Analysis of Systemic Risk in Insurance. This project aims to achieve a contemporary and comprehensive quantitative analysis of systemic risk in insurance. The significance lies in narrowing the gap between the studies of systemic risk in banking and insurance. Expected outcomes include the construction of insurance/reinsurance networks to formalise systemic risk, the analysis of the role of network integration, and the development of pricing frameworks to entail a systemic risk premium. The project will benefit insurers and regulators by providing a forward-looking approach to monitoring and assessing insurance risk during a systemic crisis. These important original contributions to insurance risk management will help establish Australia’s global leadership in systemic risk.Read moreRead less
Reshaping superannuation practice in Australia using big data analytics. This project aims to reform superannuation investment practices in Australia. Using sophisticated data analytics and machine-learning techniques, combined with economic modelling and quantitative finance. The project will try to understand the broad characteristics of Australian superannuation investors and their practice from a ‘big data’ perspective. The expected outcomes of this project are the identification of key dete ....Reshaping superannuation practice in Australia using big data analytics. This project aims to reform superannuation investment practices in Australia. Using sophisticated data analytics and machine-learning techniques, combined with economic modelling and quantitative finance. The project will try to understand the broad characteristics of Australian superannuation investors and their practice from a ‘big data’ perspective. The expected outcomes of this project are the identification of key determinants for successful superannuation behaviour to inform decision-making for better superannuation practices and policies. It is expected that the insights arising from this project will contribute to safeguarding the future of Australia’s superannuation schemes, and to better financial security at retirement.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE180100649
Funder
Australian Research Council
Funding Amount
$363,996.00
Summary
Slow diffusion of information in asset pricing and risk management. This project aims to develop a unified investment and asset pricing theory for the slow diffusion of information in financial markets, such as momentum, reversal and post-earnings announcement drift. Expected outcomes of this project include the development of optimal methods to explore historical information, a systematic understanding of the impact of investor sentiment and heterogeneity on the speed of asset price response to ....Slow diffusion of information in asset pricing and risk management. This project aims to develop a unified investment and asset pricing theory for the slow diffusion of information in financial markets, such as momentum, reversal and post-earnings announcement drift. Expected outcomes of this project include the development of optimal methods to explore historical information, a systematic understanding of the impact of investor sentiment and heterogeneity on the speed of asset price response to news, and novel empirical hypotheses and tests that improve return predictability and reduce crash risks. The project will provide a potential competitive advantage and guidance to Australian investors, including superannuation fund managers, in competitive globalised financial markets.Read moreRead less