Novel econometric techniques for dealing with point processes in high frequency financial data with applications to financial risk management. The recent global financial crisis highlighted the inherent risk involved in investing in financial assets. This project aims to develop novel statistical methods for forecasting the onset of instability in asset prices. The outcomes of this research will lead to improvements in the management of financial risk.
Limiting False Positives in Empirical Asset Pricing Tests. The project aims to address the issue of data mining in asset pricing tests using innovative interdisciplinary approaches that mitigate the occurrence of false positives. The expected outcomes include extended options in finance for alleviating data mining, as well as new guidelines for rigorously evaluating the explanatory power of risk factors on expected returns. The project findings are expected to significantly advance our understan ....Limiting False Positives in Empirical Asset Pricing Tests. The project aims to address the issue of data mining in asset pricing tests using innovative interdisciplinary approaches that mitigate the occurrence of false positives. The expected outcomes include extended options in finance for alleviating data mining, as well as new guidelines for rigorously evaluating the explanatory power of risk factors on expected returns. The project findings are expected to significantly advance our understanding of the pricing of risk. Additionally, the proposed tools are anticipated to have broad applications, such as corporate finance and fraud detection, and offer significant value to finance research and its stakeholders, such as the Australian asset management industry and government regulatory bodies.
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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
Understanding and improving rare earth corrosion inhibitors. This project aims to investigate rare earth corrosion inhibitors by an interdisciplinary program of chemistry and materials science.
The project will generate new knowledge as to how rare earth corrosion inhibitors function and can be improved.
Expected outcomes include a better understanding of inhibitor induced protective films and improved inhibitors.
Significant benefits are eventually better protection of infrastructure from .... Understanding and improving rare earth corrosion inhibitors. This project aims to investigate rare earth corrosion inhibitors by an interdisciplinary program of chemistry and materials science.
The project will generate new knowledge as to how rare earth corrosion inhibitors function and can be improved.
Expected outcomes include a better understanding of inhibitor induced protective films and improved inhibitors.
Significant benefits are eventually better protection of infrastructure from corrosion with greener inhibitors and a new bulk use for rare earths to aid Australia’s emerging rare earth industry.
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