Weather, climate & geological risks: derivative pricing & risk management. This project aims to create new mathematical models and approaches for the fair valuation and hedging of financial derivatives, tackling funding for climate change adaptation and catastrophic disaster risk management. Businesses use derivatives to strategically mitigate financial losses from adverse climate conditions and geological hazards. Expected outcomes are improved models for weather variables and hazard risk asses ....Weather, climate & geological risks: derivative pricing & risk management. This project aims to create new mathematical models and approaches for the fair valuation and hedging of financial derivatives, tackling funding for climate change adaptation and catastrophic disaster risk management. Businesses use derivatives to strategically mitigate financial losses from adverse climate conditions and geological hazards. Expected outcomes are improved models for weather variables and hazard risk assessment; richer methodology from the fusion of mathematical techniques, data analysis and earth sciences perspectives; and quantitative solutions to pressing societal concerns. Significant benefits also include highly qualified personnel training and international collaboration on common multidisciplinary research priorities.Read moreRead less
International Trade, Climate Change and Economic Policy. The research project addresses the role of, and interactions between, environmental and international trade policies within the context of a global economy with increasingly open economies whose production and consumption activities generate emissions of greenhouse gases that accumulate in the atmosphere and have potentially adverse effects on the world’s climate, which then impacts the environment, production and households. The objective ....International Trade, Climate Change and Economic Policy. The research project addresses the role of, and interactions between, environmental and international trade policies within the context of a global economy with increasingly open economies whose production and consumption activities generate emissions of greenhouse gases that accumulate in the atmosphere and have potentially adverse effects on the world’s climate, which then impacts the environment, production and households. The objective is to develop better understanding of the nexus between the international economy, climate change through the environment, and international trade and environmental policies. It will achieve this objective by analyses of multi-country models of international trade, climate change and policy design.Read moreRead less
Do Some Firms Grow Too Quickly? An Investigation of Common Factors in the Underperformance of IPOs, SEOs and Mergers. Findings in line with our expectation, that equity financing transactions are followed by substantial share market losses, will greatly benefit managers of public companies, investment analysts and professional fund managers. Firms that overuse equity financing will be highlighted and can expect closer monitoring by the capital market. Analysts would review past equity raisings a ....Do Some Firms Grow Too Quickly? An Investigation of Common Factors in the Underperformance of IPOs, SEOs and Mergers. Findings in line with our expectation, that equity financing transactions are followed by substantial share market losses, will greatly benefit managers of public companies, investment analysts and professional fund managers. Firms that overuse equity financing will be highlighted and can expect closer monitoring by the capital market. Analysts would review past equity raisings and build them into their investment recommendations. The added attention should trigger changes to managers' compensation contracts and companies' governance systems. Investment funds would be redirected away from companies that squander their equity capital and channelled into more worthwhile investment opportunities. Widespread community benefits will result.Read moreRead less
Illiquidity, momentum traders, incentives, and book to market: explaining and testing the factor drivers of stock market returns. I build on my new illiquidity explanation for the equity premium based on the realisation that government bonds turn over many times faster than equity and that trading is both voluntary and endogenous. By introducing these new theoretical developments and new factors such executive incentives I aim to enhance our knowledge of what drives returns in global stock marke ....Illiquidity, momentum traders, incentives, and book to market: explaining and testing the factor drivers of stock market returns. I build on my new illiquidity explanation for the equity premium based on the realisation that government bonds turn over many times faster than equity and that trading is both voluntary and endogenous. By introducing these new theoretical developments and new factors such executive incentives I aim to enhance our knowledge of what drives returns in global stock markets. As a result researchers will have a better understanding of, and controls for, market factors to enable sound empirical work and companies will be able to lower the cost of capital via greater liquidity and improve their corporate governance structures and performance.Read moreRead less
Political connections and the cleantech transition in China and Australia. Estimates show that the transition to clean technology will likely create $20 trillion in wealth worldwide. This project aims to analyse how corporate investment and government strategies are deployed in China and Australia to maximise wealth capture. Taking into consideration the critical role of government policy in the cleantech transition, the project attempts to determine how carbon-intensive and cleantech firms use ....Political connections and the cleantech transition in China and Australia. Estimates show that the transition to clean technology will likely create $20 trillion in wealth worldwide. This project aims to analyse how corporate investment and government strategies are deployed in China and Australia to maximise wealth capture. Taking into consideration the critical role of government policy in the cleantech transition, the project attempts to determine how carbon-intensive and cleantech firms use political connections as a mechanism for mitigating risks and taking advantage of opportunities. This project focuses on the relation between politically connected boards and the cleantech transition, and seeks to empirically show the economic importance and value effects of political connections in two countries.Read moreRead less
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
Creating Sustainability-Oriented Fintech Lending Platforms in Australia. This project aims to investigate how FinTech lending companies can use customers' environmental information to access their creditworthiness, and whether lending decisions based on environmental information can promote pro-environmental behaviour and expedite the societal transformation towards a low-carbon economy. These aims will be achieved through a quantitative analysis that evaluates the use of a customer's "carbon fo ....Creating Sustainability-Oriented Fintech Lending Platforms in Australia. This project aims to investigate how FinTech lending companies can use customers' environmental information to access their creditworthiness, and whether lending decisions based on environmental information can promote pro-environmental behaviour and expedite the societal transformation towards a low-carbon economy. These aims will be achieved through a quantitative analysis that evaluates the use of a customer's "carbon footprint" for predicting default risk, and a field experiment that analyses the economic and environmental benefits of the proposal. The project intends to develop a new approach that contributes to developing a sustainable lending platform for Fintech firms and establishing sustainable FinTech standards for policymakers.Read moreRead less
Reshaping the landscape of bank monitoring and risk disclosures. The project will develop an innovative machine-learning-based approach for measuring, monitoring and evaluating bank lending activities and risk disclosures to take advantage of the big data available. It will use multidimensional data to produce more relevant metrics for assessing bank risks and risk disclosure quality and apply them in regulatory policy evaluation. The project findings will significantly advance the knowledge on ....Reshaping the landscape of bank monitoring and risk disclosures. The project will develop an innovative machine-learning-based approach for measuring, monitoring and evaluating bank lending activities and risk disclosures to take advantage of the big data available. It will use multidimensional data to produce more relevant metrics for assessing bank risks and risk disclosure quality and apply them in regulatory policy evaluation. The project findings will significantly advance the knowledge on mitigating banking misconduct. They will also equip regulatory authorities with an efficient monitoring tool and an early-warning device to promote better lending and risk disclosure practices, and foster a more transparent and stable financial system to support financial intermediation in Australia and worldwide.Read moreRead less