Illiquidity, momentum traders, incentives, and book to market: explaining and testing the factor drivers of stock market returns. I build on my new illiquidity explanation for the equity premium based on the realisation that government bonds turn over many times faster than equity and that trading is both voluntary and endogenous. By introducing these new theoretical developments and new factors such executive incentives I aim to enhance our knowledge of what drives returns in global stock marke ....Illiquidity, momentum traders, incentives, and book to market: explaining and testing the factor drivers of stock market returns. I build on my new illiquidity explanation for the equity premium based on the realisation that government bonds turn over many times faster than equity and that trading is both voluntary and endogenous. By introducing these new theoretical developments and new factors such executive incentives I aim to enhance our knowledge of what drives returns in global stock markets. As a result researchers will have a better understanding of, and controls for, market factors to enable sound empirical work and companies will be able to lower the cost of capital via greater liquidity and improve their corporate governance structures and performance.Read moreRead less
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
Political connections and the cleantech transition in China and Australia. Estimates show that the transition to clean technology will likely create $20 trillion in wealth worldwide. This project aims to analyse how corporate investment and government strategies are deployed in China and Australia to maximise wealth capture. Taking into consideration the critical role of government policy in the cleantech transition, the project attempts to determine how carbon-intensive and cleantech firms use ....Political connections and the cleantech transition in China and Australia. Estimates show that the transition to clean technology will likely create $20 trillion in wealth worldwide. This project aims to analyse how corporate investment and government strategies are deployed in China and Australia to maximise wealth capture. Taking into consideration the critical role of government policy in the cleantech transition, the project attempts to determine how carbon-intensive and cleantech firms use political connections as a mechanism for mitigating risks and taking advantage of opportunities. This project focuses on the relation between politically connected boards and the cleantech transition, and seeks to empirically show the economic importance and value effects of political connections in two countries.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.
The role of asymmetric dependence on Australian firms' cost of capital. This project aims to reframe the cost-of-capital estimation to incorporate asymmetric dependence (AD), and explore the economic loss caused by omitting AD. Asymmetric Dependence describes the phenomenon whereby the dependence between a stock and the market differs during downturns compared with market upturns. This is significant because portfolio diversification fails at the very moment that investors need it most. This ....The role of asymmetric dependence on Australian firms' cost of capital. This project aims to reframe the cost-of-capital estimation to incorporate asymmetric dependence (AD), and explore the economic loss caused by omitting AD. Asymmetric Dependence describes the phenomenon whereby the dependence between a stock and the market differs during downturns compared with market upturns. This is significant because portfolio diversification fails at the very moment that investors need it most. This project will explore how firms can strategically innovate and evolve in order to manage their exposure to AD and hence reduce their cost of capital. This will provide significant benefits, such as lowering the cost of capital of Australian firms and to increase their productivity.Read moreRead less
The real effects of bank capital regulation on international bank lending. This project aims to analyse the effect of risk-based capital regulation on international bank lending and real economic activity in borrowing countries. The Global Financial Crisis and financial turmoil highlighted serious failings in global banks’ regulatory framework. Since the international financial system is not resilient, redesigning capital regulation as part of wider reforms is urgently needed. In light of this, ....The real effects of bank capital regulation on international bank lending. This project aims to analyse the effect of risk-based capital regulation on international bank lending and real economic activity in borrowing countries. The Global Financial Crisis and financial turmoil highlighted serious failings in global banks’ regulatory framework. Since the international financial system is not resilient, redesigning capital regulation as part of wider reforms is urgently needed. In light of this, Australia’s latest Financial System Inquiry advocated higher bank capital requirements. This project expects to raise awareness among national and international policy makers and prudential regulators working towards further banking regulatory reforms.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
Reshaping the landscape of bank monitoring and risk disclosures. The project will develop an innovative machine-learning-based approach for measuring, monitoring and evaluating bank lending activities and risk disclosures to take advantage of the big data available. It will use multidimensional data to produce more relevant metrics for assessing bank risks and risk disclosure quality and apply them in regulatory policy evaluation. The project findings will significantly advance the knowledge on ....Reshaping the landscape of bank monitoring and risk disclosures. The project will develop an innovative machine-learning-based approach for measuring, monitoring and evaluating bank lending activities and risk disclosures to take advantage of the big data available. It will use multidimensional data to produce more relevant metrics for assessing bank risks and risk disclosure quality and apply them in regulatory policy evaluation. The project findings will significantly advance the knowledge on mitigating banking misconduct. They will also equip regulatory authorities with an efficient monitoring tool and an early-warning device to promote better lending and risk disclosure practices, and foster a more transparent and stable financial system to support financial intermediation in Australia and worldwide.Read moreRead less
The economic cost of insider trading - culture, legislation, governance, gender and crisis impacts: comparative evidence from around the globe. Does a country's culture and firm governance affect returns to insiders and/or general trading costs? Do uninformed insiders benefit at the expense of outsiders? By extending research internationally on these important equity issues, feedback is provided on best practice to increase information availability and reduce unscrupulous gains to insiders.
Investment irreversibility, policy uncertainty and hedging strategies. This project aims to investigate how firms’ financial hedging and production decisions reduce shocks caused by potentially unstable regulatory policies, particularly when the investments are largely irreversible. Unstable regulatory policies induce shocks to the economy, but a joint hedging and production decision is more effective than using financial hedging alone to smooth shocks. Firms that anticipate regulatory change al ....Investment irreversibility, policy uncertainty and hedging strategies. This project aims to investigate how firms’ financial hedging and production decisions reduce shocks caused by potentially unstable regulatory policies, particularly when the investments are largely irreversible. Unstable regulatory policies induce shocks to the economy, but a joint hedging and production decision is more effective than using financial hedging alone to smooth shocks. Firms that anticipate regulatory change alter their responses to policies, potentially rendering those policies less effective. This project’s investigation of Australian mining and energy industries should provide understanding of firms’ hedging behaviour and could have implications for the design of policy.Read moreRead less