The Role of Directors in CorporateTakeovers. This research deals with one of the causes and consequences of mergers and acquisitions (M&A) for boards of directors of companies involved in M&As. The Federal Government's Corporate Law and Economic Reform Program (CLERP), Paper No:3 states that corporate governance practices by Australian companies should be continuously monitored by the Australian Stock Exchange and relevant industries and professional bodies. Our research on the extent to which ....The Role of Directors in CorporateTakeovers. This research deals with one of the causes and consequences of mergers and acquisitions (M&A) for boards of directors of companies involved in M&As. The Federal Government's Corporate Law and Economic Reform Program (CLERP), Paper No:3 states that corporate governance practices by Australian companies should be continuously monitored by the Australian Stock Exchange and relevant industries and professional bodies. Our research on the extent to which directors get penalised and/or rewarded for acquisition decisions depending on the outcomes of the M&A, contribute towards this monitoring.Read moreRead less
Innovations in Enterprise Risk Management: Risk Aggregation, Dependence, and Efficiency. Enterprise risk management is of critical importance to the successful management of business corporations. The savings from the integrated measurement and management of risk at the enterprise level allowing for diversification in business activities is massive. The Australian insurance and actuarial science profession is highly regarded internationally. Innovative contributions to the rapidly developing are ....Innovations in Enterprise Risk Management: Risk Aggregation, Dependence, and Efficiency. Enterprise risk management is of critical importance to the successful management of business corporations. The savings from the integrated measurement and management of risk at the enterprise level allowing for diversification in business activities is massive. The Australian insurance and actuarial science profession is highly regarded internationally. Innovative contributions to the rapidly developing area of enterprise risk management will benefit Australia by maintaining its high profile at an international level in this newly emerging area. This will lead to increased demand at an international level for Australian graduate students and international research students wishing to study at Australian universities in these disciplines.Read moreRead less
Investing over the Life Cycle. This project will investigate efficiency questions raised by the private and public management of assets within defined contribution pension plans. Because investment risk in such plans falls on the contributing household, they need to be managed with care. The first phase of the project will examine optimal equity investments on behalf of contributing households. The second phase will consider the scope and limits of market-timing endeavours involving switches bet ....Investing over the Life Cycle. This project will investigate efficiency questions raised by the private and public management of assets within defined contribution pension plans. Because investment risk in such plans falls on the contributing household, they need to be managed with care. The first phase of the project will examine optimal equity investments on behalf of contributing households. The second phase will consider the scope and limits of market-timing endeavours involving switches between broad asset classes. The third phase will consider optimal currency hedging. The final phase will consider the optimal taxation of pension fund assets at different points in the household's life cycle.Read moreRead less
Risk Management for Bonds, Currencies and Commodities. Understanding maturity-structure policy is a neglected topic. It needs research before we can determine whether public debt policy should accommodate the emerging needs of self-funded retirees - for long-term debt, new issues of index bonds, and 'survivor' bonds. Planning for annuity-rate risk has lagged far behind the sales of complying pensions. Over 2003 the Australian dollar rose by 34 percent, revealing major deficiencies in the standar ....Risk Management for Bonds, Currencies and Commodities. Understanding maturity-structure policy is a neglected topic. It needs research before we can determine whether public debt policy should accommodate the emerging needs of self-funded retirees - for long-term debt, new issues of index bonds, and 'survivor' bonds. Planning for annuity-rate risk has lagged far behind the sales of complying pensions. Over 2003 the Australian dollar rose by 34 percent, revealing major deficiencies in the standard advice on managing currency risks to retirement incomes. Uninsured disruptions to electricity supply have been an issue (eg in California), and demonstrate a need for innovative financial instruments that cushion and spread the costs.Read moreRead less
Security in Retirement: Forecasting and Managing Macro Investment Risks. In his Boyer Lectures Ian Macfarlane, former RBA governor, observed that risks once borne by employers or governments are in the process of being transferred to households. Retirement incomes are a case in point. Not only do most households belong to accumulation funds which shift investment risks to members, but exposure to growth assets (equities and property) in the typical account is in the 60% - 70% range, even in the ....Security in Retirement: Forecasting and Managing Macro Investment Risks. In his Boyer Lectures Ian Macfarlane, former RBA governor, observed that risks once borne by employers or governments are in the process of being transferred to households. Retirement incomes are a case in point. Not only do most households belong to accumulation funds which shift investment risks to members, but exposure to growth assets (equities and property) in the typical account is in the 60% - 70% range, even in the case of retirees. Our project will focus on the forecasting and management of economy-wide risks, as distinct from the equity risks or credit risks attached to investments in particular companies.Read moreRead less
The Determinants and Impacts of Analyst Activity in Australian Equity Markets. Deep and liquid markets are essential ingredients to a well functioning capital market, and can assist in capital formation and the growth of firms. A rich information environment is in turn necessary to ensure liquidity and the minimisation of cost of capital. A greater understanding of what promotes a rich information environment, specifically through the activity of financial analysts, will assist in formulation ....The Determinants and Impacts of Analyst Activity in Australian Equity Markets. Deep and liquid markets are essential ingredients to a well functioning capital market, and can assist in capital formation and the growth of firms. A rich information environment is in turn necessary to ensure liquidity and the minimisation of cost of capital. A greater understanding of what promotes a rich information environment, specifically through the activity of financial analysts, will assist in formulation of policies at both the Australian Stock Exchange and individual company level, and indeed at the government level given Federal and State Government initiatives to encourage the growth of corporate Australia.Read moreRead less
The Theory and Measurement of Stock-Market Indices. This project should promote an innovation culture in Australia by
designing new benchmark indices for evaluating the performance of
fund managers (and other uses), thus encouraging the allocation of
funds to their most productive uses. It will produce a better
measure of asset price inflation than any currently in existence
which will be of use to the Reserve Bank in the setting of
monetary policy. This project will also enhance the reput ....The Theory and Measurement of Stock-Market Indices. This project should promote an innovation culture in Australia by
designing new benchmark indices for evaluating the performance of
fund managers (and other uses), thus encouraging the allocation of
funds to their most productive uses. It will produce a better
measure of asset price inflation than any currently in existence
which will be of use to the Reserve Bank in the setting of
monetary policy. This project will also enhance the reputation of
Australian universities as centres of cutting-edge academic
research, provide a thesis topic for a PhD student, and help build
links between the academic and private sectors.Read moreRead less
Information Content of Order Flows in the Foreign Exchange and Commodities Markets. The Australian economy depends heavily on resources and commodities markets. The Australian dollar is the sixth most actively traded currency in the world and is more volatile than all other major currencies except the Japanese yen. The proposed study seeks to improve volatility forecasts and hedging effectiveness for foreign exchange and commodity risks, which will create significant benefits for the Australian ....Information Content of Order Flows in the Foreign Exchange and Commodities Markets. The Australian economy depends heavily on resources and commodities markets. The Australian dollar is the sixth most actively traded currency in the world and is more volatile than all other major currencies except the Japanese yen. The proposed study seeks to improve volatility forecasts and hedging effectiveness for foreign exchange and commodity risks, which will create significant benefits for the Australian economy, corporations, and investors. In addition, the project will enhance investment performance and risk management practice of financial institutions, improving the overall safety of our financial system. It will also foster research culture and increase research capacity of Australian financial institutions.Read moreRead less
Managing Risk with Insurance and Superannuation as Individuals Age. Financial stability lies at the heart of any market economy. The financial risks associated with uncertainty about longevity change comprise one of the most pressing challenges facing financial systems, nationally and globally. While insurance companies and superannuation funds hold significant reserves against future risks, the ageing of the population increases the number of people potentially exposed to loss in the event that ....Managing Risk with Insurance and Superannuation as Individuals Age. Financial stability lies at the heart of any market economy. The financial risks associated with uncertainty about longevity change comprise one of the most pressing challenges facing financial systems, nationally and globally. While insurance companies and superannuation funds hold significant reserves against future risks, the ageing of the population increases the number of people potentially exposed to loss in the event that insurers and pension funds cannot deliver on their obligations. With an increasing range of financial service products and markets developing to meet the needs of the aged, research into the issues of longevity risk and the financial impact of uncertainty in mortality and morbidity trends is vital.Read moreRead less
Retirement asset decumulation: Adequacy, institutions and products. This proposal seeks to evaluate the present and future adequacy of retirement provision, and offers alternative, practical solutions to the problem of how to maximise the value of a retiree's accumulated assets and facilitate a financially secure retirement. First, a re-evaluation of the replacement rate as a measure of retirement provision adequacy will be undertaken. Second, the efficacy of new financial products and instituti ....Retirement asset decumulation: Adequacy, institutions and products. This proposal seeks to evaluate the present and future adequacy of retirement provision, and offers alternative, practical solutions to the problem of how to maximise the value of a retiree's accumulated assets and facilitate a financially secure retirement. First, a re-evaluation of the replacement rate as a measure of retirement provision adequacy will be undertaken. Second, the efficacy of new financial products and institutions designed to enhance the value of a retirement accumulation for retirement consumption will be analysed. Global trends towards population aging and increasing reliance on self-provision for retirement lends both urgency and significance to the proposed research.Read moreRead less