Time discounting in late career financial and activity planning. A new career decision model of retirement activity and financial planning will be tested that combines hyperbolic delay discounting with exponential interest growth, while also examining the impact of risk framed in terms of changing goverment tax legislation and uncertain health. The role of expertise and simulated training in reducing time discounting will be examined, and results combined to form a late career web assistance pro ....Time discounting in late career financial and activity planning. A new career decision model of retirement activity and financial planning will be tested that combines hyperbolic delay discounting with exponential interest growth, while also examining the impact of risk framed in terms of changing goverment tax legislation and uncertain health. The role of expertise and simulated training in reducing time discounting will be examined, and results combined to form a late career web assistance program. Improving predictions of the decision to retire will benefit individuals, financial planners, investors and employing organisations.Read moreRead less
Nonlinear Panel Data Econometrics: Theory and Practice. This research addresses the ARC National Research Priorities Goal of 'An Environmentally Sustainable Australia', specifically 'Reducing and capturing emissions in transport and energy generation'. Avoiding, managing, and/or adapting to the climate change impacts is now the most pressing global environmental problem. This project will produce tangible and original insights into policy options for institutional adjustment to future climate ....Nonlinear Panel Data Econometrics: Theory and Practice. This research addresses the ARC National Research Priorities Goal of 'An Environmentally Sustainable Australia', specifically 'Reducing and capturing emissions in transport and energy generation'. Avoiding, managing, and/or adapting to the climate change impacts is now the most pressing global environmental problem. This project will produce tangible and original insights into policy options for institutional adjustment to future climate change in Australia; will provide insight into the scope for positive community behavioural change; and possible transformations in Australian social debate to maximise adaptive capacity. It will also strengthen and produce original conceptual approaches and research methods.Read moreRead less
Modelling multivariate financial time series using copulas. What are the chances that the losses in the market value of investments exceed the anticipated levels? Given that one country's financial market collapsed, what are the chances that it would lead to financial crises in other countries? These questions often arise in risk management and international finance. This project takes a significant step forward from the existing literature to develop new flexible and innovative methods to an ....Modelling multivariate financial time series using copulas. What are the chances that the losses in the market value of investments exceed the anticipated levels? Given that one country's financial market collapsed, what are the chances that it would lead to financial crises in other countries? These questions often arise in risk management and international finance. This project takes a significant step forward from the existing literature to develop new flexible and innovative methods to answer the foregoing type of questions. Further, this project proposes new measures of market risks that are suitable for communicating to the broader public as well as the experts.Read moreRead less
Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation. Australia suffers some of the most adverse and extreme weather globally. Its government and industries, especially agriculture and electricity, stand to benefit from improved understanding of weather derivatives and capability to price them accurately. Tailored to Australian weather scenarios, weather derivatives will be tools to manage local risk f ....Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation. Australia suffers some of the most adverse and extreme weather globally. Its government and industries, especially agriculture and electricity, stand to benefit from improved understanding of weather derivatives and capability to price them accurately. Tailored to Australian weather scenarios, weather derivatives will be tools to manage local risk factors, and increase global competitiveness by hedging against competitors' good weather-related advantage. The US weather derivative market, capitalised at over US$7.5b, began just 7 years ago; there is no organised Australian market. This project's smart techniques for improving pricing accuracy will support the development and vigorous growth of a local market.Read moreRead less
Strengthening the Role of Financial Disclosure in the Governance of Superannuation Funds. This project will provide evidence about the usefulness of superannuation fund financial reports and whether funds are disclosing unbiased measures of their financial position and performance. This evidence will directly assist regulators in their deliberations in reforming accounting standards and other disclosure regulation governing superannuation fund financial reporting. Such reforms are necessary to e ....Strengthening the Role of Financial Disclosure in the Governance of Superannuation Funds. This project will provide evidence about the usefulness of superannuation fund financial reports and whether funds are disclosing unbiased measures of their financial position and performance. This evidence will directly assist regulators in their deliberations in reforming accounting standards and other disclosure regulation governing superannuation fund financial reporting. Such reforms are necessary to ensure that all Australians in superannuation funds have access to relevant, reliable and comparable financial information to facilitate full accountability of superannuation fund trustees and informed decision making by stakeholders, and in turn, enhance the security of superannuation savings and maximise retirement incomes.Read moreRead less
Dynamic Asset Pricing and Portfolio Decision Rules under Heterogeneous Expectations and Adaptive Learning. The outcomes of this project will provide two benefits to Australian financial market researchers in academe, in industry and financial market regulators. First, a better theoretical and empirical foundation for understanding and analysing optimal portfolio decision rules in a setting that captures many realistic features of market behaviour such as heterogeneity of investor types and adapt ....Dynamic Asset Pricing and Portfolio Decision Rules under Heterogeneous Expectations and Adaptive Learning. The outcomes of this project will provide two benefits to Australian financial market researchers in academe, in industry and financial market regulators. First, a better theoretical and empirical foundation for understanding and analysing optimal portfolio decision rules in a setting that captures many realistic features of market behaviour such as heterogeneity of investor types and adaptive behaviour by market participants. Second, new tools to more effectively understand and manage portfolio risk in financial markets. Consequently Australia will have a more efficient and competitive financial system. It also has the potential to lead to the development of more finance related industries such as financial market software.Read moreRead less
Quantifying Country Credit Risk Ratings and Volatility, and Measuring the Impact of Fundamentals. National/community benefits include developing a superior quantifiable ratings method to the qualitative rankings produced by leading international country credit risk ratings agencies, measuring the impact of economic/financial fundamentals on risk ratings, and analysing their fluctuations across countries and risk categories over time. The project provides a solution to the major problems underlyi ....Quantifying Country Credit Risk Ratings and Volatility, and Measuring the Impact of Fundamentals. National/community benefits include developing a superior quantifiable ratings method to the qualitative rankings produced by leading international country credit risk ratings agencies, measuring the impact of economic/financial fundamentals on risk ratings, and analysing their fluctuations across countries and risk categories over time. The project provides a solution to the major problems underlying qualitative country risk ratings, namely the irregularity and infrequency of their measurement, and emphasizes the practicality of the results. Expected outcomes include a clearer understanding of how to quantify qualitative rankings and their fluctuations, using information intelligently, and promoting an innovation and knowledge culture.Read moreRead less
An Examination of the Structure, Performance, Trading Activity and Portfolio Compositions of Small-Cap Equity Managers. Australian investment managers currently manage $A904 billion in assets. Given that Australians compulsorily commit 9% of their salaries this figure is set to rise rapidly. Developing a better understanding of the performance and trading activities of these managers offers significant benefit to all Australians. The growth in assets under management has forced managers to in ....An Examination of the Structure, Performance, Trading Activity and Portfolio Compositions of Small-Cap Equity Managers. Australian investment managers currently manage $A904 billion in assets. Given that Australians compulsorily commit 9% of their salaries this figure is set to rise rapidly. Developing a better understanding of the performance and trading activities of these managers offers significant benefit to all Australians. The growth in assets under management has forced managers to invest in alternative assets such as small cap stocks. Small companies have been described as the engine room of economic growth, promoting employment, national prosperity, and innovation and entrepreneurship. Our research considers a significant and growing part of Australia's national economy.Read moreRead less
Evaluating the Performance of Active Australian Equity Managers Utilising their Daily Portfolio Holdings and Trades. The aim is to evaluate the performance of active institutional Australian equity fund managers by statistical and mathematical modelling of their trades. Using a unique dataset of daily portfolio holdings and trades, we compare the trading styles of those who have persistently outperformed the market with those that have not so as to reveal drivers of superior performance. Such a ....Evaluating the Performance of Active Australian Equity Managers Utilising their Daily Portfolio Holdings and Trades. The aim is to evaluate the performance of active institutional Australian equity fund managers by statistical and mathematical modelling of their trades. Using a unique dataset of daily portfolio holdings and trades, we compare the trading styles of those who have persistently outperformed the market with those that have not so as to reveal drivers of superior performance. Such a study has been impossible until now due to non-disclosure of trades. Understanding the fundamental origins of fund performance enhances the overall returns to investors, provides a new ratings system yielding superior information, and redirects the nest-eggs of "mums and dads" towards better-performing managers.Read moreRead less
Efficient Processing of Complex Spatial Queries. Similarity search and join are two of the most popular yet complex queiries in spatial databases. They are also two of the major spatial data analysis paradigms. To complement the existing techniques, this project aims to investigate a more complex and important form of these two problems, and to develop novel framework to approach the proposed problems. The successful achievements of the project will not only bring new spatial data analysis techn ....Efficient Processing of Complex Spatial Queries. Similarity search and join are two of the most popular yet complex queiries in spatial databases. They are also two of the major spatial data analysis paradigms. To complement the existing techniques, this project aims to investigate a more complex and important form of these two problems, and to develop novel framework to approach the proposed problems. The successful achievements of the project will not only bring new spatial data analysis techniques but also deliever effective solutions to a number of real-life apllications.Read moreRead less