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An Examination of the Structure, Performance, Trading Activity and Portfolio Compositions of Small-Cap Equity Managers. Australian investment managers currently manage $A904 billion in assets. Given that Australians compulsorily commit 9% of their salaries this figure is set to rise rapidly. Developing a better understanding of the performance and trading activities of these managers offers significant benefit to all Australians. The growth in assets under management has forced managers to in ....An Examination of the Structure, Performance, Trading Activity and Portfolio Compositions of Small-Cap Equity Managers. Australian investment managers currently manage $A904 billion in assets. Given that Australians compulsorily commit 9% of their salaries this figure is set to rise rapidly. Developing a better understanding of the performance and trading activities of these managers offers significant benefit to all Australians. The growth in assets under management has forced managers to invest in alternative assets such as small cap stocks. Small companies have been described as the engine room of economic growth, promoting employment, national prosperity, and innovation and entrepreneurship. Our research considers a significant and growing part of Australia's national economy.Read moreRead less
An Examination of Strategic Investment Arrangements for Institutional Investors: The Case for Centralised Portfolio Management. The aim of this project is to examine the extent to which Australian superannuation funds are able to enhance their overall returns, achieve investment objectives, and minimise operating costs incurred. This will be achieved by examining the benefits of centralised portfolio management for superannuation funds, and consideration of how active and index management can be ....An Examination of Strategic Investment Arrangements for Institutional Investors: The Case for Centralised Portfolio Management. The aim of this project is to examine the extent to which Australian superannuation funds are able to enhance their overall returns, achieve investment objectives, and minimise operating costs incurred. This will be achieved by examining the benefits of centralised portfolio management for superannuation funds, and consideration of how active and index management can be utilised within the overall fund structure. We will show the problems associated with the current portfolio configuration system adopted by super funds, and to identify areas where more optimal investment arrangements can significantly improve overall portfolio returns and reduce expenses.Read moreRead less
A Wavelet Multiscaling Approach to Multifactor Asset Pricing Models. Risk and return are two fundamental concepts underlying business decisions involving $millions daily. Even for publicly listed companies risk is difficult to measure, particularly when the time dimension over which decisions are being made is ill-defined - potentially leading to sub-optimal decisions. This project focuses on the time scale question by developing an innovative methodology (based on wavelet multiscaling) that imp ....A Wavelet Multiscaling Approach to Multifactor Asset Pricing Models. Risk and return are two fundamental concepts underlying business decisions involving $millions daily. Even for publicly listed companies risk is difficult to measure, particularly when the time dimension over which decisions are being made is ill-defined - potentially leading to sub-optimal decisions. This project focuses on the time scale question by developing an innovative methodology (based on wavelet multiscaling) that improves our understanding of risk and return. The project will help enhance risk control, and provide improved tools and knowledge to aid formation of superior globally diversified portfolios over different time scales - thereby delivering considerable long-term economic benefits.Read moreRead less
An Investigation of Country- and Firm-Level Barriers to Australian Institutional Investments in Foreign Equity Markets. Australia's investment assets pool is ranked fourth in the world and is the largest in the Asia-Pacific region, yet Australia is ranked the second worst among 16 developed countries in internationally diversifying its investment portfolio. This project will identify global growth/diversification opportunities for Australian funds and assess their portfolio allocation practices ....An Investigation of Country- and Firm-Level Barriers to Australian Institutional Investments in Foreign Equity Markets. Australia's investment assets pool is ranked fourth in the world and is the largest in the Asia-Pacific region, yet Australia is ranked the second worst among 16 developed countries in internationally diversifying its investment portfolio. This project will identify global growth/diversification opportunities for Australian funds and assess their portfolio allocation practices against their international peers. The findings will encourage Australian funds to expand their investments in global equity markets, including Asia. This will enhance investment performance and make it possible to grow Australia's investment assets pool to the second largest in the world after the US, thereby increasing our long-term national wealth.Read moreRead less
An Empirical Examination of Non-Market Capitalisation Weighted Indices in Australia. If Australian fund managers switched from capital weighted indices to fundamental weighted indices, due to their greater efficiency, millions of Australians may have more money at retirement and thus reduce the burden on government to supplement their retirement income. Also, providing practical industry directed research, and PhD graduates in portfolio management will enhance both finance academia and industry ....An Empirical Examination of Non-Market Capitalisation Weighted Indices in Australia. If Australian fund managers switched from capital weighted indices to fundamental weighted indices, due to their greater efficiency, millions of Australians may have more money at retirement and thus reduce the burden on government to supplement their retirement income. Also, providing practical industry directed research, and PhD graduates in portfolio management will enhance both finance academia and industry and improve the quality and breadth of finance practice and research in Australia. Read moreRead less
An Integrated Approach to Credit Risk Management and the Valuation of Credit Derivatives. Financial positions subject to risk of default typically involve three components: risk which is traded, diversifiable or neither. The project will analyse the relationship of these default risk components by rigorously modeling default dependence between obligors and harnessing the information in liquid market prices, such as credit spreads. On the basis of risk capital allocation, it will eliminate the ar ....An Integrated Approach to Credit Risk Management and the Valuation of Credit Derivatives. Financial positions subject to risk of default typically involve three components: risk which is traded, diversifiable or neither. The project will analyse the relationship of these default risk components by rigorously modeling default dependence between obligors and harnessing the information in liquid market prices, such as credit spreads. On the basis of risk capital allocation, it will eliminate the arbitrariness in pricing non-traded risks. This will yield an integrated credit risk management methodology ready for the next generation of regulatory requirements currently under discussion by the Basel Committee on Banking Supervision.Read moreRead less
Share Buybacks and Information Asymmetry: Winners and Losers. This study is the first to examine the effectiveness of existing regulations governing share buybacks in Australia. The results will be important for understanding how domestic capital market regulation affects the international competitiveness of Australian companies through their relative cost of capital. It will also assist in ensuring that capital market integrity is increased through the optimal design of regulation and improved ....Share Buybacks and Information Asymmetry: Winners and Losers. This study is the first to examine the effectiveness of existing regulations governing share buybacks in Australia. The results will be important for understanding how domestic capital market regulation affects the international competitiveness of Australian companies through their relative cost of capital. It will also assist in ensuring that capital market integrity is increased through the optimal design of regulation and improved market transparency, and thereby encourage greater participation by investors. The results will assist regulatory agencies in designing market surveillance that identifies signs of insider trading or market manipulation associated with corporate capital management activities.Read moreRead less
Modelling the Optimal Hedge Fund Portfolio Using a Multiscaling Method. Asset allocation theory sits at the heart of modern finance, yet remains something of a conundrum. By developing the a longer-horizon framework to asset allocation involving hedge funds, this project provides a significant insight onto sources of risk-horizon effects on asset allocation and allow us to understand how the exposure of hedge funds to the market risk varies across investment horizons. This allows academics to ....Modelling the Optimal Hedge Fund Portfolio Using a Multiscaling Method. Asset allocation theory sits at the heart of modern finance, yet remains something of a conundrum. By developing the a longer-horizon framework to asset allocation involving hedge funds, this project provides a significant insight onto sources of risk-horizon effects on asset allocation and allow us to understand how the exposure of hedge funds to the market risk varies across investment horizons. This allows academics to address a wide range of problems in optimal asset allocation and performance measurement. In addition, the outcomes can be applied to risk management by practitioners for their international and Australian domestic investors.
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Implied distributions and implied asset dynamics: Calibration and visualisation of models on market data. Global money markets represent a very complex interlinked system. Market prices of derivative financial instruments bear information about this system, information that is critical for the effective management of interest rate and currency risks in a global context. The project will develop and test methods to extract this information. It will provide an interactive environment to explore (n ....Implied distributions and implied asset dynamics: Calibration and visualisation of models on market data. Global money markets represent a very complex interlinked system. Market prices of derivative financial instruments bear information about this system, information that is critical for the effective management of interest rate and currency risks in a global context. The project will develop and test methods to extract this information. It will provide an interactive environment to explore (numerically and visually) sensitivities of asset dynamics and derivatives prices to input data and modelling assumptions, thus permitting a detailed analysis of market and model risk.Read moreRead less
News Arrival and Stock Market Trading: An Investigation of Investor Reactions to Information. The Australian Stock Exchange (ASX) is an important vehicle for attracting a large amount of capital into Australia and hence its efficiency, transparency and orderliness are important to induce even more active stock market participation from local investors, and to make the ASX more competitive against other investment destinations such as Tokyo, Hong Kong, Singapore and Shanghai. This project will ....News Arrival and Stock Market Trading: An Investigation of Investor Reactions to Information. The Australian Stock Exchange (ASX) is an important vehicle for attracting a large amount of capital into Australia and hence its efficiency, transparency and orderliness are important to induce even more active stock market participation from local investors, and to make the ASX more competitive against other investment destinations such as Tokyo, Hong Kong, Singapore and Shanghai. This project will provide evidence that can promote better understanding of the impact of information flows on volatility, price discovery and trading activity. Using data that include ASX-mandated information releases, the results of this project will be highly useful and relevant to the ASX in its quest to become a more efficient stock market. Read moreRead less