ORCID Profile
0000-0002-9059-0416
Current Organisation
Ton Duc Thang University
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Publisher: Informa UK Limited
Date: 09-1996
Publisher: SAGE Publications
Date: 20-01-2015
Abstract: This paper investigates the ability of Morningstar superannuation fund ratings to predict future performance in the context of the Australian superannuation fund industry. In this context, we make provisions for fund size and fund age. We draw three broad conclusions. First, fund ratings can assist in predicting funds that are likely to significantly underperform in subsequent periods. Second, the ratings are mostly unable to distinguish between highly and moderately performing funds. Third, the likelihood of a fund being highly rated is negatively related to the size of assets under management and positively related to its age. Accordingly, the paper should be of benefit not only to fund managers seeking to identify underperforming funds, but also to fund advisers, retail investors, and trustee boards choosing SF products for investment choice menus.
Publisher: Wiley
Date: 09-2014
DOI: 10.1111/ABAC.12030
Publisher: Informa UK Limited
Date: 05-2002
Publisher: LLC CPC Business Perspectives
Date: 28-11-2017
DOI: 10.21511/IMFI.14(3-2).2017.07
Abstract: The authors consider Lévy processes with conditional distributions belonging to a generalized hyperbolic family and compare and contrast full density-based Lévy-expected shortfall (ES) risk measures and Lévy-spectral risk measures (SRM) with those of a traditional tail-based unconditional extreme value (EV) approach. Using the futures data of leading markets the authors find that ES and SRM often differ in recognizing the risk profiles of different assets. While EV (extreme value) is often found to be more consistent than Lévy models, Lévy measures often perform better than EV measures when compared with empirical values. This becomes increasingly apparent as investors become more risk averse.
Publisher: Virtus Interpress
Date: 2011
DOI: 10.22495/COCV8I3C2P4
Abstract: In the context of Australian stock markets, we examine how a company’s size and stock idiosyncratic volatility relate to return performance. The paper’s main conclusions may be summarized as follows. The stocks of the smallest firms markedly outperform the largest capitalized stocks, and for such small capitalized stocks, those with greater idiosyncratic volatility have markedly superior returns. It appears that the relationship of higher returns with higher idiosyncratic volatility is consistent with the mathematics of idiosyncratic volatility. In which case, the small size effect may also be interpreted as the mathematical outcome of idiosyncratic volatility. The paper further examines the condition on which the higher returns reported for either small firm size or high idiosyncratic volatility are likely to be wealth-forming. Finally, we observe that the high performances of the stocks of the smallest firms are likely irrelevant to the class of firms that are of interest to the institutional investor.
Publisher: Virtus Interpress
Date: 2011
DOI: 10.22495/COCV8I3C6P1
Abstract: We investigate those features of Australian firms that make them likely takeover targets. To this end, we apply a logit probability model similar to the one developed by Palepu (1986). Our findings reveal that takeovers are most likely to be motivated by market under-valuation combined with high levels of tangible assets. Takeover targets may also be financially distressed with high levels of leverage and low liquidity, and may exhibit declining sales growth with decreasing profitability. Notwithstanding these insights, we find that the prediction models are unable to provide abnormal returns with a high statistical significance, thereby lending support to market efficiency.
Publisher: Elsevier BV
Date: 12-2015
Publisher: Elsevier BV
Date: 05-2015
Publisher: LLC CPC Business Perspectives
Date: 23-01-2018
DOI: 10.21511/IMFI.15(1).2018.06
Abstract: The authors study the Fama and French three-factor (FF-3F) model in relation to a developing market. To this end, they consider Chinese stock markets over the period 1995–2008, which is to say, over a period when these markets are recognized as “developing” markets influenced by speculative activity. The authors find that the model appears to be working as a form of “principal component analysis for the determinants of stock price formation with book-to-market (B/M) as the “variable of choice” on account of that it captures the earnings-to-price (E/P), cash-flow-to-price (C/P) and sales-to-price (S/P) variables while remaining largely uncorrelated with firm size (whereas E/P, C/P and S/P are themselves positively correlated with firm size). The variables, however, are unrelated to risk as represented by market exposure, volatility, or leverage.
Publisher: Informa UK Limited
Date: 02-08-2017
Publisher: Wiley
Date: 25-08-2013
Publisher: Informa UK Limited
Date: 03-1998
Publisher: Elsevier BV
Date: 08-1999
Publisher: Wiley
Date: 06-2015
Publisher: Elsevier BV
Date: 12-2016
Publisher: Virtus Interpress
Date: 2011
Abstract: The capital asset pricing model (CAPM) states that higher beta stocks are priced to deliver higher returns. Even when this is not the case, however, goods and services that are inherently more (less) sensitive to the economy are expected to display stable higher (lower) betas. By this we mean, that when the economy rises, the underlying stocks of those firms that benefit the most are those that we expect to raise the most, and thereby have higher betas. And, in reverse, for economic downturns. In the present paper, we apply both considerations (higher beta stocks have higher average performances, and higher beta identifies those firms that respond most sensitively to the economy) to the Chinese markets. Our essential finding is that the level of stability of beta found in U.S. markets is not replicated in Chinese markets. Over the period of 1997-2006, the betas of Chinese stocks tend to revert to the mean (beta = 1). Not surprisingly, Chinese betas provide only weak value as indicators of portfolio exposure to subsequent market movements.
Publisher: Springer Science and Business Media LLC
Date: 08-2009
DOI: 10.1057/JAM.2009.8
Publisher: Informa UK Limited
Date: 19-02-2015
Publisher: Wiley
Date: 15-04-2018
DOI: 10.1111/ACFI.12361
Publisher: Informa UK Limited
Date: 29-08-2018
Publisher: Wiley
Date: 03-12-2013
Publisher: Emerald
Date: 09-01-2017
DOI: 10.1108/IJEBR-05-2015-0103
Abstract: The purpose of this paper is to contribute to a unified theory of entrepreneurial orientation. To this end, the study considers the nexus of entrepreneurial orientation and venture performance contingent on entrepreneurial political skill, as well as in relation to organizational justice as it influences stakeholder commitment. A erse s le of 237 entrepreneurs from private entrepreneurial enterprises throughout an eastern province (Zhejiang) of China participated in a questionnaire study during three years. The study applies structural equation modeling and hierarchical moderated regression analyses to test the hypotheses. In the context of a developing economy (China), the study verifies the influence of entrepreneurial political skill on entrepreneurial performance. Amongst those involved in the venture, a sense of organizational justice combined with entrepreneurial orientation work to moderate the entrepreneur’s political skill in achieving outcomes. Limitations of the study are the questionnaire survey identifies entrepreneurial “perceptions” of success or failure with actual success or failure and responses are weighted to founders and top managers as representing entrepreneurial actors more generally. The study concludes that access to scarce resources and maintenance of goal congruence are more likely to be achieved when entrepreneurial innovativeness and pro-activeness are combined with entrepreneurial political skill in a setting of organizational justice. The study finds that entrepreneurs are able to improve performance by instilling a group culture of trust and social justice. The study is located contextually in the guanxi-centered social exchange atmosphere of China as the economy transforms from a planned to a market model, with institutional arrangements of a mixed economy of state-owned and privately owned enterprises. In this context, the study explores the constructs of entrepreneurial orientation in relation to entrepreneurial political skill in a context of organizational justice as they combine to influence a venture’s success.
Publisher: World Scientific Pub Co Pte Lt
Date: 03-2016
DOI: 10.1142/S0219091516500028
Abstract: In Australia, the equivalent of a US VIX indicator has recently become available. In response, we consider whether the information captured in the implied volatility of options on the Australian SPI 200 Futures index is superior to the information content of a generalized autoregressive conditional heteroskedasticity (GARCH) approach to volatility prediction. We conclude that the implied volatility of at-the-money (ATM) call options on the SPI 200 Index futures is more powerful, dominating other modes of moneyness options as well as GARCH predictions.
Publisher: Elsevier BV
Date: 09-2017
Publisher: Emerald
Date: 02-09-2014
Abstract: – The purpose of this paper is to understand that option pricing is the response of option implied volatility (IV) to macroeconomic announcements. – The authors use high-frequency data on ASX SPI 200 index options to examine the response of option IV, as well as higher moments of the underlying return distribution, to macroeconomic announcements. Additionally, the authors identify the response of the moments as a function of moneyness of the options. – The findings suggest that in-the-money and out-of-the money options have difference characteristics in their responses, leading to the conclusion that heterogeneity in investor beliefs and preferences affect option IV through the state price density (SPD) function. – The research contributes to the literature that examines whether IV captures the beliefs of market participants about the likelihood of future states together with the preferences of market participants towards these states. In particular, the authors relate changes in option IV to changes in macroeconomic announcements, through the impact of these announcements on the moments of the SPD function.
Publisher: Elsevier BV
Date: 12-1996
Publisher: Elsevier BV
Date: 08-2018
Publisher: Wiley
Date: 04-2001
Abstract: This paper advances expressions for the firm's valuation and cost of capital as a function of leverage. The framework is arrived at by introducing leverage in Dempsey's (1996 and 1998) cost of capital framework and is applicable in the context of both classical and imputation tax systems. The framework reveals that both the historical stability of corporate leverage and the firm's choice of financing structure as revealed by the Pecking Order hypothesis are consistent with a tax‐based explanation.
Publisher: Wiley
Date: 06-1998
Abstract: The discounted idends model advanced by Dempsey (1996) is extended to provide a weighted average cost of capital (WACC) assessment of investment opportunities with irregular cash flows. Thereafter, the framework is extended to an assessment of the implications of government tax policy for the firm’s investment behaviour. The developed framework is consistent with the empirical evidence of Poterba and Summers (1985) which — over the period of UK tax history 1950–1983 encompassing four major tax on equity reforms — observes how the related idend and investment politics of UK firms appear to be influenced by the level of idend taxes.
Publisher: SAGE Publications
Date: 04-2010
Abstract: Crucial to the interpretation of the Fama and French three-factor model is the question of whether the book-to-market equity ratio should be assigned as a ‘risk-based,’ as opposed to a ‘mispricing’ explanation of share price formation. In the context of Australian stock markets, we examine the role of the book-to-market equity ratio in the formation of stock returns. Notwithstanding the distinctive characteristics of Australian markets, our findings are complementary with findings for U.S. stocks. We succeed in revealing a strong association between stock returns and the firm’s book-to-market equity ratio, and find strong evidence that the association derives from the book-to-market ratio’s absorption of the implications of market leverage as a risk factor. In addition, we determine evidence of mispricing as contributing to the formation of market leverage itself.
Publisher: Elsevier BV
Date: 07-2015
Publisher: Elsevier BV
Date: 09-2001
Publisher: Emerald
Date: 03-08-2015
Abstract: – This paper aims to establish the relation between corporate governance – as represented by investor protection at both the legal and firm levels – and stock market liquidity. – This paper avails of the unique features of Hong Kong- and China-based stocks that are traded on the Hong Kong Stock Exchange so as to test whether differences between “common law” and “civil law” legal environments contribute to differences in stock liquidity. In addition, by constructing an internal corporate governance index score for each firm based on board size, board independence and information on the audit and remuneration committee, we document whether firms with better corporate governance scores have narrower spreads, greater depth and higher trading volumes. – Overall, results provide support for a linkage between corporate governance issues – as investor rights protection at both the environment and firm protection levels – and stock market liquidity. – This paper recognizes that investor protection constitutes a single component of the desirability of investing in a firm’s stock. Nevertheless, it does appear to constitute an important component of a stock’s attractiveness. – The practical implications are clear, namely, that good corporate governance of firms leads to their attractiveness as investment vehicles (for both the shorter and the longer terms). – The paper has clear social implications. In particular, the paper serves to highlight that prospects for enduring wealth creation are contingent on the safeguards accorded to the equity ownership of a firm’s stock. – The originality lies in taking advantage of the unique features of the Chinese and Hong Kong firms on the Hong Kong Exchange, so as to examine the contrasting influences of common law and civil law on stock liquidity. Thus, the authors allow for the effects of corporate governance across the two legal environments (China and Hong Kong) to be compared and contrasted while maintaining other influences unchanged across Chinese and Hong Kong shares.
Publisher: Informa UK Limited
Date: 08-1998
Publisher: Informa UK Limited
Date: 06-1991
Publisher: Emerald
Date: 13-06-2016
Abstract: – The purpose of this paper is to assign fair values to options reduces to the attempt to attribute correct implied volatilities. Here, the authors extend the study by Tanha et al. (2014) to determine the impact of macro economic announcements on the option smile. – First, the authors estimate the implied volatility function in terms of moneyness. The authors next analyse the impact of macroeconomic announcements on the estimated coefficients ( b 0 , b 1 , b 2 ) by regressing the coefficients on the macroeconomic announcements. – The authors find that in-the-money options are sensitive to such announcements, but that out-of-the money options are not. This is consistent with the interpretation of investor behaviour from prospect theory. – The systematic pricing errors that have been documented using the Black-Scholes model have stimulated attempts to improve the model predictions. The approach uses DVF model to improve the B-S model.
Publisher: Wiley
Date: 30-10-2019
DOI: 10.1111/ACFI.12550
Publisher: Informa UK Limited
Date: 12-1991
Publisher: Wiley
Date: 03-12-2013
Publisher: Elsevier BV
Date: 10-2000
Publisher: Wiley
Date: 12-08-2008
Publisher: Elsevier BV
Date: 07-2016
Publisher: Emerald
Date: 16-01-2017
Abstract: The purpose of the paper is to back-test value-at-risk (VaR) models for conditional distributions belonging to a Generalized Hyperbolic (GH) family of Lévy processes – Variance Gamma, Normal Inverse Gaussian, Hyperbolic distribution and GH – and compare their risk-management features with a traditional unconditional extreme value (EV) approach using data from future contracts return data of S& P500, FTSE100, DAX, HangSeng and Nikkei 225 indices. The authors apply tail-based and Lévy-based calibration to estimate the parameters of the models as part of the initial data analysis. While the authors utilize the peaks-over-threshold approach for generalized Pareto distribution, the conditional maximum likelihood method is followed in case of Lévy models. As the Lévy models do not have closed form expressions for VaR, the authors follow a bootstrap method to determine the VaR and the confidence intervals. Finally, for back-testing, they use both static calibration (on the entire data) and dynamic calibration (on a four-year rolling window) to test the unconditional, independence and conditional coverage hypotheses implemented with 95 and 99 per cent VaRs. Both EV and Lévy models provide the authors with a conservative proportion of violation for VaR forecasts. A model targeting tail or fitting the entire distribution has little effect on either VaR calculation or a VaR model’s back-testing performance. To the best of the authors’ knowledge, this is the first study to explore the back-testing performance of Lévy-based VaR models. The authors conduct various calibration and bootstrap techniques to test the unconditional, independence and conditional coverage hypotheses for the VaRs.
Location: United Kingdom of Great Britain and Northern Ireland
No related grants have been discovered for Michael Joseph Dempsey.