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.
Governance and the investment performance of not-for-profit endowments. Governance and the investment performance of not-for-profit endowments. This project aims to examine the relation between performance and governance for Australian not for profit (NFP) endowments. The not-for-profit sector now accounts for over 4 per cent of the gross domestic product (GDP) (almost $43 billion) and employs volunteers who contribute an additional $14.6 billion in unpaid work. Little research has been done on ....Governance and the investment performance of not-for-profit endowments. Governance and the investment performance of not-for-profit endowments. This project aims to examine the relation between performance and governance for Australian not for profit (NFP) endowments. The not-for-profit sector now accounts for over 4 per cent of the gross domestic product (GDP) (almost $43 billion) and employs volunteers who contribute an additional $14.6 billion in unpaid work. Little research has been done on the investment performance of the endowments held by NFPs, even though this is an important contributor to their revenues. Expected outcomes include a publicised set of principles and periodically updated index of endowment governance quality, and attendant improvement in NFP investment management.Read moreRead less
Do wealth creating mergers and acquisitions really hurt acquirer shareholders? The purpose of this project is to investigate the benefit to the community of acquisitions, especially when the stock price of the acquirer falls on the announcement. This project is likely to show that acquiring shareholders still gain substantially in these circumstances. The outcome will be fewer failed bids with better regulatory outcomes.
Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new ....Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new statistical control charts for security monitoring of epidemics, networks intrusions and other potentially dangerous changes. The research will also give Australia a competitive advantage in the area of education related to stochastic processes, mathematical finance, control theory and their applications.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
New valuation and parallel simulation methods for finance and insurance. Many Australians have superannuation savings and hold life insurance contracts. Hence, the price and risk of these investments is of particular importance to the welfare of Australia. The proposed research will improve the financial security of Australians by demonstrating that many long term insurance and superannuation products require far less capital than currently suggested. This project will provide path breaking fron ....New valuation and parallel simulation methods for finance and insurance. Many Australians have superannuation savings and hold life insurance contracts. Hence, the price and risk of these investments is of particular importance to the welfare of Australia. The proposed research will improve the financial security of Australians by demonstrating that many long term insurance and superannuation products require far less capital than currently suggested. This project will provide path breaking frontier technology for enhancing the performance of superannuation funds, insurance companies and banks, giving these Australian institutions a competitive advantage. An additional outcome will be global growth for sectors of Australia's IT industry, developing related software and tailored hardware.
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Pricing and Hedging Extreme Maturity Contracts. Most Australians belong to superannuation schemes. Hence, the long term performance and risk of these investments is of particular importance to the welfare of Australia. This research will improve the life-long financial security of Australians by clearly demonstrating that many superannuation targets can be achieved with less capital than currently suggested. This project will provide new technology for enhancing the long term performance of sup ....Pricing and Hedging Extreme Maturity Contracts. Most Australians belong to superannuation schemes. Hence, the long term performance and risk of these investments is of particular importance to the welfare of Australia. This research will improve the life-long financial security of Australians by clearly demonstrating that many superannuation targets can be achieved with less capital than currently suggested. This project will provide new technology for enhancing the long term performance of superannuation funds, managed funds, investment banks and insurance companies, giving these Australian institutions a competitive advantage and permitting them to offer innovative financial products to mitigate extreme maturity financial risk in retirement.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
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
Large-Scale Simulation Methods for Measuring Financial Performance under the Benchmark Approach. All working Australians are now required to belong to superannuation schemes. Hence, the measurement of financial performance safely, efficiently, and over long time horizons is of particular importance to Australia. One outcome alone of this research will be the provision of a technology to optimize the long term performance of superannuation funds. More generally, the results will allow better dec ....Large-Scale Simulation Methods for Measuring Financial Performance under the Benchmark Approach. All working Australians are now required to belong to superannuation schemes. Hence, the measurement of financial performance safely, efficiently, and over long time horizons is of particular importance to Australia. One outcome alone of this research will be the provision of a technology to optimize the long term performance of superannuation funds. More generally, the results will allow better decision-making and integrated, strategic planning for financial institutions and insurance companies. An additional outcome will be global growth for the sectors of Australia's IT industry developing innovative simulation based hardware and software, since the new simulation methods have wide applicability.Read moreRead less