The Value of Growth and Risk in the Australian Stock Market. The pricing of stock returns remains a ?holy grail? in financial economics. This project will take us closer to this prize by investigating new models for the pricing of risk in stock prices, focusing upon key questions specific to Australia including the role of liquidity, influence of goodwill and power of dividends. Tests will be conducted in the context of a new paradigm model. Outcomes are improved data management, improved risk c ....The Value of Growth and Risk in the Australian Stock Market. The pricing of stock returns remains a ?holy grail? in financial economics. This project will take us closer to this prize by investigating new models for the pricing of risk in stock prices, focusing upon key questions specific to Australia including the role of liquidity, influence of goodwill and power of dividends. Tests will be conducted in the context of a new paradigm model. Outcomes are improved data management, improved risk control, improved tools and knowledge for investment decision-making for industry. The industry partner, DFA Australia, is a commercial fund manager highly committed through its strong links to US academe.Read moreRead less
Hedge Funds in Superannuation Portfolios: Are the Returns Worth the Risks? In recent years superannuation funds have delivered negative returns to members due to poorly performing stockmarkets. In striving to achieve higher rates of return, superannuation trustees have commenced allocating retirement savings to a new type of investment opportunity, termed hedge funds. There is a paucity of research about this new type of investment, particularly relating to the non-linear nature of hedge funds ....Hedge Funds in Superannuation Portfolios: Are the Returns Worth the Risks? In recent years superannuation funds have delivered negative returns to members due to poorly performing stockmarkets. In striving to achieve higher rates of return, superannuation trustees have commenced allocating retirement savings to a new type of investment opportunity, termed hedge funds. There is a paucity of research about this new type of investment, particularly relating to the non-linear nature of hedge funds returns. This study will investigate the risk and return trade-off of including hedge funds in superannuation portfolios and provide trustees with empirical tools to determine the optimal allocation to hedge funds.Read moreRead less
The Ethics of Socially Responsible Investment (SRI). This project investigates the ethical credentials of ethical investment - also known as Socially Responsible Investment (SRI) - in Australia. It will examine problems with SRI operations (such as screening, application of decision-making criteria and compliance monitoring) from the perspective of ethical theory; issues of shareholder advocacy; and the clash of ethical and fiduciary responsibility. It aims to make SRI more effective in connec ....The Ethics of Socially Responsible Investment (SRI). This project investigates the ethical credentials of ethical investment - also known as Socially Responsible Investment (SRI) - in Australia. It will examine problems with SRI operations (such as screening, application of decision-making criteria and compliance monitoring) from the perspective of ethical theory; issues of shareholder advocacy; and the clash of ethical and fiduciary responsibility. It aims to make SRI more effective in connecting investors? values to their investments by developing tools for SRI fund managers to exercise more sophisticated forms of ethical reasoning and decision making. This project opens up possibilities of significant transformation of capital markets within Australia.Read moreRead less
An econometric investigation of technical analysis as a portfolio selection strategy in Australia. This project will provide an in-depth analysis of the returns of portfolios of Australian equities formed by using technical trading rules. The research will determine whether or not any abnormal returns earned by these means are attributable to firm-specific or market-wide factors. This project represents the first attempt to interpret technical analysis in a portfolio framework and will provide v ....An econometric investigation of technical analysis as a portfolio selection strategy in Australia. This project will provide an in-depth analysis of the returns of portfolios of Australian equities formed by using technical trading rules. The research will determine whether or not any abnormal returns earned by these means are attributable to firm-specific or market-wide factors. This project represents the first attempt to interpret technical analysis in a portfolio framework and will provide valuable information on the informational efficiency of Australian capital markets. As there is currently no single definitive study of technical analysis in Australia, this project will fill a significant void in the current academic literature and provide evidence of great practical relevance to Australian investment practitioners.Read moreRead less
Expenditure needs and drawdown of retirement savings during later life: how important are demographic factors and financial resources? Projections of expenditure patterns in retirement which allow for population heterogeneity will provide individuals with a better appreciation of their income needs and their savings requirements for a comfortable retirement. It will also enable financial institutions to develop products which better target retirees' needs over the course of retirement, and in ad ....Expenditure needs and drawdown of retirement savings during later life: how important are demographic factors and financial resources? Projections of expenditure patterns in retirement which allow for population heterogeneity will provide individuals with a better appreciation of their income needs and their savings requirements for a comfortable retirement. It will also enable financial institutions to develop products which better target retirees' needs over the course of retirement, and in addition it will enable improved assessment of aspects of Government income support policy. Specifically, understanding the complex interactions between private and public pensions, and concession card receipt upon expenditure behaviour, will enable more accurate costings of the public support of elderly families as Australia's population ages. Read moreRead less
The Management of Asymmetric Risk in a Modern Investment Portfolio. Due to compulsory superannuation legislation, the future lifestyle of all Australians is dependent upon the successful management of investment funds. A large component of funds management is risk management. This project will generate practical management tools to enable portfolio managers to significantly enhance their risk-management strategies. A direct link between risk management and performance drives funds managers to ....The Management of Asymmetric Risk in a Modern Investment Portfolio. Due to compulsory superannuation legislation, the future lifestyle of all Australians is dependent upon the successful management of investment funds. A large component of funds management is risk management. This project will generate practical management tools to enable portfolio managers to significantly enhance their risk-management strategies. A direct link between risk management and performance drives funds managers to carefully manage their risk exposure. Any developments that reduce the risk of a portfolio will ultimately enhance portfolio returns. Higher returns on superannuation investments will result in an improved future standard of living for all Australians.Read moreRead less
Integrated Financial Fraud Detection in Enterprise Applications. Fraud costs the Australian economy at least $3 billion per year. The incidence of fraud within the Australian economy is increasing. Australian entities are ill-prepared to detect and prevent fraud against their businesses with very few developing or implementing any form of fraud control strategy (AS 8001-2003). The growing use of the Internet by organisations for electronic commerce increases their exposure to fraudulent activiti ....Integrated Financial Fraud Detection in Enterprise Applications. Fraud costs the Australian economy at least $3 billion per year. The incidence of fraud within the Australian economy is increasing. Australian entities are ill-prepared to detect and prevent fraud against their businesses with very few developing or implementing any form of fraud control strategy (AS 8001-2003). The growing use of the Internet by organisations for electronic commerce increases their exposure to fraudulent activities. Inevitably much of the cost of fraud is passed on to the customers and the community at large. By providing large organisations with an approach to assist in detecting fraudulent behaviour in accounting systems, it is envisaged that this research will assist in reducing the impact of fraud on society.Read moreRead less
Transforming Banking Service Delivery Through Connected Communities. This project aims to develop a deeper understanding of the potential that the increased connectedness between customers has for organisations in the services sector. The massive uptake of social technologies demonstrates the high demand for connectedness. However, to date corporations and their customers have insufficient means to utilise such communities. Using the banking sector as an example, the project's outcomes intend to ....Transforming Banking Service Delivery Through Connected Communities. This project aims to develop a deeper understanding of the potential that the increased connectedness between customers has for organisations in the services sector. The massive uptake of social technologies demonstrates the high demand for connectedness. However, to date corporations and their customers have insufficient means to utilise such communities. Using the banking sector as an example, the project's outcomes intend to show how digital communities can improve the delivery of services and facilitate new co-delivery and brokerage models.Read moreRead less
Optimising Digital Compliance Processes in the Financial Services Sector. This project aims to develop a new approach to optimise digital compliance processes in Australian financial services firms. Effective digital compliance is needed to reduce growing regulatory burden and improve compliance with increasingly complex laws. This project expects to deliver new ways to optimise digital compliance that drive innovation and reduce the societal risks of non-compliance for end-users. Expected outco ....Optimising Digital Compliance Processes in the Financial Services Sector. This project aims to develop a new approach to optimise digital compliance processes in Australian financial services firms. Effective digital compliance is needed to reduce growing regulatory burden and improve compliance with increasingly complex laws. This project expects to deliver new ways to optimise digital compliance that drive innovation and reduce the societal risks of non-compliance for end-users. Expected outcomes include industry guidance strategies and innovative digital tools that capture the complexity of digital compliance and inform practical solutions. This will provide significant cost reduction benefits for firms and ensure that new digital compliance processes promote the public interest goals of law and regulation. Read moreRead less
Empowering Australia’s Visual Arts via Creative Blockchain Opportunities. This project investigates the provision of a blockchain-based solution for protecting the intellectual property and provenance of visual art, and ways to empower its economic, cultural, and social value and benefits. By exploring innovative non-fungible token (NFT) opportunities in a global cyber security context, we will co-design a user-friendly and compliant tool for expanding the creation and movement of art on existin ....Empowering Australia’s Visual Arts via Creative Blockchain Opportunities. This project investigates the provision of a blockchain-based solution for protecting the intellectual property and provenance of visual art, and ways to empower its economic, cultural, and social value and benefits. By exploring innovative non-fungible token (NFT) opportunities in a global cyber security context, we will co-design a user-friendly and compliant tool for expanding the creation and movement of art on existing virtual galleries and smart contract-enabled platforms. Building on interdisciplinary synergies between creative and IT practices, we will interrogate the efficacy, risks and governance surrounding this global technology, and produce vital new knowledge for engaging with risks and opportunities in the digital economy.Read moreRead less