A5051409339- Financial Markets and Investment Strategies
- Corporate Finance and Governance
- Market Dynamics and Volatility
- Complex Systems and Time Series Analysis
- Housing Market and Economics
- Financial Literacy, Pension, Retirement Analysis
- Banking stability, regulation, efficiency
- Financial Reporting and Valuation Research
- Stock Market Forecasting Methods
- Auditing, Earnings Management, Governance
- scientometrics and bibliometrics research
- Financial Distress and Bankruptcy Prediction
- Insurance and Financial Risk Management
- Credit Risk and Financial Regulations
- Financial Risk and Volatility Modeling
- Corporate Taxation and Avoidance
- Forecasting Techniques and Applications
- Psychological Well-being and Life Satisfaction
- Urban Green Space and Health
- Data Analysis with R
- Air Quality and Health Impacts
- Housing, Finance, and Neoliberalism
- Consumer Market Behavior and Pricing
- Climate Change and Health Impacts
- Capital Investment and Risk Analysis
UNSW Sydney
2013-2022
Research Network (United States)
2021
Yale University
2019
Hudson Institute
2018
Euroquality
2018
John Wiley & Sons (United Kingdom)
2018
Australian Institute of Business
2008-2014
Macquarie University
2014
Institute of Finance and Banking
2014
The University of Western Australia
2014
Liquidity plays an important role in global research. We identify high-quality liquidity proxies based on low-frequency (daily) data, which provide 1,000× to 10,000× computational savings compared computing high-frequency (intraday) measures. find that: (i) Closing Percent Quoted Spread is the best monthly percent-cost proxy when available, (ii) Amihud, Impact, LOT Mixed High–Low and FHT Impact are tied as cost-per-dollar-volume proxy, (iii) daily version of (iv) Amihud proxy.
We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around world. use exchange co-location service that increases AT as an exogenous instrument to draw causal inferences quality. On average, improves liquidity informational efficiency but short-term volatility. Importantly, also lowers execution shortfalls for buy-side institutional investors. Our results are surprisingly consistent across thus a wide range environments. further...
ABSTRACT In statistics, samples are drawn from a population in data‐generating process (DGP). Standard errors measure the uncertainty estimates of parameters. science, evidence is generated to test hypotheses an evidence‐generating (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard (NSEs). study NSEs by letting 164 teams same on data. turn out be sizable, but smaller for more reproducible or higher rated research. Adding peer‐review stages reduces NSEs....
Abstract We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around world. use an exchange colocation service that increases AT as exogenous instrument to draw causal inferences about quality. On average, improves liquidity informational efficiency but short-term volatility. Importantly, also lowers execution shortfalls for buy-side institutional investors. Our results are surprisingly consistent across thus a wide range environments....
Abstract We study the informativeness of trades via discount and full-service retail brokers. find that brokers are statistically economically more informative than This finding holds in every year over 12-year sample period various subsamples. also past returns, volatility, news announcements positively relate to net volume brokers, but these variables unrelated Our results suggest broker type selection bias is an important consideration studying individual investors’ trades.
Liquidity plays an important role in global research. We identify high quality liquidity proxies based on low-frequency (daily) data, which provide 1,000X to 10,000X computational savings compared computing high-frequency (intraday) measures. find that: (1) Closing Percent Quoted Spread is the best monthly percent-cost proxy when available, (2) Amihud, Impact, LOT Mixed High-Low and FHT Impact are tied as cost-per-dollar-volume proxy, (3) daily version of (4) Amihud proxy.
Credit ratings of corporations are biased but the forces driving this bias unclear. We argue it would be difficult for rating agencies to issue high grades a firm's debt when there is lots objective equity analyst reports about earnings which informative default. find that an exogenous drop in coverage leads greater optimism-bias ratings, especially firms with little bond and close This coverage-induced shock less future defaults downgrades, more subsequent security mispricings.
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We use a large sample from 2001 to 2009 that incorporates intraday transactions data 39 exchanges and an average of 12,800 different common stocks assess the effect algorithmic trading (AT) on firms’ capital raising activities. Greater AT reduces net equity issues over next year, but this is only partly driven by AT’s proceeds new securities issues. Our findings suggest main driver relationship share repurchases.
This study uses the trading records of institutional equity funds to examine their ex-dividend behaviour. We argue that is influenced by tax incentives facing fund, characteristics individual stocks and changes in legislation. In aggregate, institutions trade avoid dividend franking credit. Changes fund’s status also affect day trading, with unit trusts dominating avoidance trades. The results indicate taxes, transactions costs cum-dividend price run-up influence investors around day.
Abstract Credit ratings of corporations are biased, but the forces driving this bias unclear. We argue it would be difficult for rating agencies to issue high grades a firm’s debt when there lot objective equity analyst reports about earnings that informative its default. find an exogenous drop in coverage leads greater optimism-bias ratings, especially firms with little bond and those close This coverage-induced shock less future defaults downgrades more subsequent security mispricings....
Using monthly active equity fund portfolio holdings, we examine the magnitude of style drift and decompose it into passive components. We find that while tilts are consistent with their self-stated investment objective, there is variation in degree bias within groups. document funds actively adjust holdings response to retain a desired tilt. The adjustment varies frequency over which measured, being most responsive changes book-to-market momentum drift. also certain types affect turnover.
We use unique data from Australia to analyze the nature and determinants of order flow frag-mentation across all trades every security traded. Our panel regression estimates shows that cross-sectional difference in off-market trading (ECNs, after-hours upstairs alike) is driven by institutional interest (trading volume, indexation) liquidity (bid-ask spread market depth). At transaction level, we study primary downstairs block find strong evidence trade size, a trader?s reputation af-fect...
Abstract This study proposes methodological adjustments to the widely adopted performance benchmarking methodology of Daniel et al . (1997 ) as a means improving precision alpha measurement for active equity fund managers. We achieve this by considering monthly updating characteristic benchmarks and ensure neutrality Standard & Poor's/Australian Stock Exchange 300 index. Applying benchmark representative sample Australian funds simulated passive portfolios that mimic manager‐style...
ABSTRACT This study provides an empirical examination of derivative instruments used by institutional investors. Our analysis a unique insight into the role and benefits securities in active equity portfolio management. We contribute to literature using database that comprises periodic holdings daily trades fund managers. The consequence use is analyzed number performance risk measures. Overall, we find derivatives have negligible impact on returns, primarily attributed low levels exposure...
In statistics, samples are drawn from a population in data-generating process (DGP). Standard errors measure the uncertainty sample estimates of parameters. science, evidence is generated to test hypotheses an evidence-generating (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams six on same sample. find sizeable, par with standard Their size (i) co-varies only weakly team merits, reproducibility, or peer rating, (ii)...
Conventional discounted cash flow valuation techniques are inappropriate for mining companies because operational flexibilities deemed an essential component of mine values. In this article the authors review real options literature on mines and their embedded option to close mine. They use a model based Brennan Schwartz (1985) empirically value Australian gold companies. One difficulty with doing empirical research in area is obtaining relevant complete data, given nature assets fact that...
Abstract A costly arbitrage model, developed for the Australian imputation tax system, shows that stocks paying dividends with a credit are likely targets ex‐dividend arbitrage. We show order imbalance, based on direct observation of buyer and seller initiated trades, is key factor in price movements around day. Buying pressure before day aimed at capturing dividend leads to an increase prices subsequently reverse period. This effect concentrated those distributing their payments. The...
We examine the relation of active equity fund managers' location proximity to a stock's headquarter and stock selection skill investment behaviour using representative sample Australian institutional funds. Contrary findings much international research, our study reveals evidence which is inconsistent with advantage for Melbourne Sydney Both managers overweight stocks, exhibit in picking stocks avoid poor performing stocks. In addition, we find no word-of-mouth trading effects or Taken...
Abstract When fund managers trade sequentially in the same direction, information confirmation hypothesis predicts long‐term profitability of leader to be increasing number subsequent trades. The cascade a non‐positive relationship. Using active equity funds’ daily trading data, we document transition from cascades as followers increase. We find that highly disguised multiple‐broker packages exhibit higher market impact, returns and are associated with fewer followers. Our study also...