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
Ownership linkages and the functioning of inter-firm capital markets during the Global Financial Crisis. A firm's dependence on outside funding can lead to catastrophic consequences in the face of a crisis that severely curtails the functioning of external capital markets. This project investigates how ownership linkages between firms improve their fundraising and investment capabilities even when facing substantial shocks to the financial system.
Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the ....Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the potential to be a significant improvement in the real-time identification of emerging turmoil in financial markets and provide an improved method for the detection of systemic risk. The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.Read moreRead less
Towards High-Order Structure Search on Large-Scale Graphs. High-order structure search over large-scale graphs has many applications including cybersecurity, crime detection, social media, marketing recommendation, and public health. The project aims to lay the scientific foundations and develop novel computing techniques for efficiently conducting structure search. The outcomes include novel computing paradigms, algorithms, indexing, incremental computation, and distributed solutions. The succe ....Towards High-Order Structure Search on Large-Scale Graphs. High-order structure search over large-scale graphs has many applications including cybersecurity, crime detection, social media, marketing recommendation, and public health. The project aims to lay the scientific foundations and develop novel computing techniques for efficiently conducting structure search. The outcomes include novel computing paradigms, algorithms, indexing, incremental computation, and distributed solutions. The success of the project will directly contribute to the scientific foundation of Big Data computation. It will also contribute to the development of local industry involving cybersecurity, social media based recommendation, network management, and E-business.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.
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
Global Financial Crisis and financial stability: an investigation of the systemic risk for financial institutions. The aim of this project is to provide information about the systemic risk of major financial institutions around the world on a real time basis. The findings of this study will allow both financial markets and regulators to monitor in real time, on a daily and weekly basis, the financial risk of large financial institutions from around the world.
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