Understanding market mechanisms to achieve greater efficiency in institutional equities and futures markets. This project investigates the impact of high frequency trading on financial market quality. Financial markets are essential for capital raising and form a critical part of the Australian economy. Ordinary residents have billions invested in it through superannuation. Deterioration in market quality leads to poor consumer confidence, increases firms’ cost of capital and transaction costs, ....Understanding market mechanisms to achieve greater efficiency in institutional equities and futures markets. This project investigates the impact of high frequency trading on financial market quality. Financial markets are essential for capital raising and form a critical part of the Australian economy. Ordinary residents have billions invested in it through superannuation. Deterioration in market quality leads to poor consumer confidence, increases firms’ cost of capital and transaction costs, and ultimately reduces retirement quality. The proliferation of high frequency trading in financial markets requires a thorough understanding of their impact on market quality. This project aims to lead to more efficient regulation, improving financial markets and making Australia attractive to investors and enhancing the quality of retirement for residents.Read moreRead less
An Evaluation of the Morningstar System of Managed Fund Ratings in Australia and New Zealand. This project evaluates the Morningstar system of rating managed funds. Fund ratings considerably influence who manages A$590 billion (June 2000 - AXISS Australia) in investment funds and are thus important to the efficient operation of the Australian capital market. Key project elements are: (1) thorough investigation of the domestic Morningstar ratings methodology, identifying its strengths and weaknes ....An Evaluation of the Morningstar System of Managed Fund Ratings in Australia and New Zealand. This project evaluates the Morningstar system of rating managed funds. Fund ratings considerably influence who manages A$590 billion (June 2000 - AXISS Australia) in investment funds and are thus important to the efficient operation of the Australian capital market. Key project elements are: (1) thorough investigation of the domestic Morningstar ratings methodology, identifying its strengths and weaknesses; (2) comparison of the US and Australasian methodologies; (3) analysis of the predictive ability of ratings; (4) an investigation into the feasibility of rating funds on stock selection and market timing; and (5) an investigation of the impact of Morningstar ratings on fund flows.Read moreRead less
Risk and Prudential Regulation and Supervision of Australian Financial Institutions. The project seeks to enhance the effectiveness of prudential regulation and supervision of financial institutions (FIs) by examining the risk of FIs, as reflected in default risk premiums on FI international debt issues and variability of revenue/profitability measures, and the effect of broadening FI activities and the shift towards fee/commission income on FI risk. This forms the basis for the development and ....Risk and Prudential Regulation and Supervision of Australian Financial Institutions. The project seeks to enhance the effectiveness of prudential regulation and supervision of financial institutions (FIs) by examining the risk of FIs, as reflected in default risk premiums on FI international debt issues and variability of revenue/profitability measures, and the effect of broadening FI activities and the shift towards fee/commission income on FI risk. This forms the basis for the development and testing of statistical early warning systems of impending financial problems in Australian FIs. The models are compared with examiner rating systems currently used in prudential supervision.Read moreRead less
Religion, Finance and Ethics: Islamic and conventional perspectives on shared principles, practices, and financial institutions and instruments. By linking together specialists in finance, banking and religious history, with the Muslim Community Cooperative (Australia), this project explores communication and mutual benefit between international Islamic finance and conventional Western finance. It will propose new financial structures and instruments to expand the scope of Islamic finance, to m ....Religion, Finance and Ethics: Islamic and conventional perspectives on shared principles, practices, and financial institutions and instruments. By linking together specialists in finance, banking and religious history, with the Muslim Community Cooperative (Australia), this project explores communication and mutual benefit between international Islamic finance and conventional Western finance. It will propose new financial structures and instruments to expand the scope of Islamic finance, to maximise lending and investment opportunities in Australia, and to promote interaction between the Islamic and conventional financial sectors. The project will enable Australian researchers to work with international authorities in Islamic finance, promoting dialogue between Islamic and other groups, and increase investment and development within the Australian financial market.Read moreRead less
The contribution of the private equity and venture capital industry to the Australian economy and society. This study enables the priority goal of promoting an innovation culture and economy through research, by assessing the contribution of private equity investment in dynamic firms and evaluating industry practices. It guides the industry body (AVCAL) and the Government in formulating private equity and venture capital policy and initiatives to stimulate innovation and success in the Australia ....The contribution of the private equity and venture capital industry to the Australian economy and society. This study enables the priority goal of promoting an innovation culture and economy through research, by assessing the contribution of private equity investment in dynamic firms and evaluating industry practices. It guides the industry body (AVCAL) and the Government in formulating private equity and venture capital policy and initiatives to stimulate innovation and success in the Australian economy. The results allow the assessment of the success of the government programs and assists the private equity industry in quantifying its effectiveness in stimulating economic growth. Further, the study assists entrepreneurial firms developing innovative concepts, in understanding the benefits of seeking venture capital support in Australia.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
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
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
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