The predictive, behavioural and economic forecasting performance of alternative credit risk and bankruptcy models: a global study. This study empirically evaluates a range of "new age" credit risk models using a large global sample of failed firms and bond ratings data. The study will provide a substantive body of empirical evidence to assist regulators, creditors, investors and other users assess the merits, strengths and limitations of alternative risk modelling approaches.
Discovery Early Career Researcher Award - Grant ID: DE150101889
Funder
Australian Research Council
Funding Amount
$350,000.00
Summary
Insider trading in financial markets. Insider trading destroys confidence in financial markets and undermines their fairness and efficiency. Substantial amounts of taxpayer money are spent each year in combatting insider trading, and yet cases of insider trading remain abundant. This project aims to advance our understanding of insider trading, its prevalence, social costs, characteristics and determinants, and how it responds to different penalties. This project aims to allow for more efficient ....Insider trading in financial markets. Insider trading destroys confidence in financial markets and undermines their fairness and efficiency. Substantial amounts of taxpayer money are spent each year in combatting insider trading, and yet cases of insider trading remain abundant. This project aims to advance our understanding of insider trading, its prevalence, social costs, characteristics and determinants, and how it responds to different penalties. This project aims to allow for more efficient use of regulatory resources through better rules, more accurate detection methods, and increased deterrence. It aims to benefit society through fairer and more efficient markets.Read moreRead less
Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the ....Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the potential to be a significant improvement in the real-time identification of emerging turmoil in financial markets and provide an improved method for the detection of systemic risk. The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.Read moreRead less
Bayesian Inference for Flexible Parametric Multivariate Econometric Modelling. The anticipated outcomes include the development of enhanced multivariate econometric models and innovative computationally intensive methods for their estimation. These models are used in numerous and diverse applications which are data-intensive and where more complete models will greatly enhance data-based decision-making. Results include improved information use in the wholesale electricity markets, in financial m ....Bayesian Inference for Flexible Parametric Multivariate Econometric Modelling. The anticipated outcomes include the development of enhanced multivariate econometric models and innovative computationally intensive methods for their estimation. These models are used in numerous and diverse applications which are data-intensive and where more complete models will greatly enhance data-based decision-making. Results include improved information use in the wholesale electricity markets, in financial market investment decision-making and for the assessment of the impact of internet advertising.Read moreRead less
What Is the Optimal Level of Transparency and Should Off-Market Block Trading exist in Futures Markets? The aims of this project are twofold; to assess (i) what level of transparency is optimal and (ii) whether off-market block trading should be allowed in futures markets. Transparency refers to how much of the trading process is made visible to participants. The issue has been researched only very recently and findings have been limited. Off-market block trading procedures allow large trades ....What Is the Optimal Level of Transparency and Should Off-Market Block Trading exist in Futures Markets? The aims of this project are twofold; to assess (i) what level of transparency is optimal and (ii) whether off-market block trading should be allowed in futures markets. Transparency refers to how much of the trading process is made visible to participants. The issue has been researched only very recently and findings have been limited. Off-market block trading procedures allow large trades to be executed away from the market. This project will undertake the first study of large trades on futures markets and will also compare the impact of large trades on market quality when executed on- and off-market.Read moreRead less
The Role of Corporate Governance Mechanisms in Maximising the Performance of Listed Australian Corporations. The recent spake of corporate collapses and scandals highlights the need for an ongoing commitment to the development, implementation and maintenance of strong systems of governance within Australian corporations. This commitment necessitates an understanding of which suite of governance mechanisms are most effective in positively impacting upon corporate performance rather than just the ....The Role of Corporate Governance Mechanisms in Maximising the Performance of Listed Australian Corporations. The recent spake of corporate collapses and scandals highlights the need for an ongoing commitment to the development, implementation and maintenance of strong systems of governance within Australian corporations. This commitment necessitates an understanding of which suite of governance mechanisms are most effective in positively impacting upon corporate performance rather than just the performance impact of a particular mechanism in isolation. To date, research facilitating such an understanding is all but non-existent. However, our study will yield this much-needed evidence and, therefore, provide the foundations for ongoing corporate governance reform on the part of regulators and practitioners alike.Read moreRead less
Fragmentation, globalization and the architecture of stock markets: How should the ASX be redesigned to ensure its long-term survival? The ASX is only at 10% of its potential relative to world best practice in architectural design. Reforms that we investigate, such as a massive reduction in the minimum tick and greater transparency to reduce asymmetric information, could lift traded value by several fold and by billions of dollars to efficiency levels achieved by South Korea and reduce trading c ....Fragmentation, globalization and the architecture of stock markets: How should the ASX be redesigned to ensure its long-term survival? The ASX is only at 10% of its potential relative to world best practice in architectural design. Reforms that we investigate, such as a massive reduction in the minimum tick and greater transparency to reduce asymmetric information, could lift traded value by several fold and by billions of dollars to efficiency levels achieved by South Korea and reduce trading costs by hundreds of millions pa. For each dollar of actual trading costs saved there is a further saving of 12 dollars in trades currently forgone. The ASX can be preserved from the threat of annihilation by a new global exchange and set up common trading platforms like Euronext in our region. The result will be more successful stocks to replace NewsCorp.Read moreRead less
Equity Market Integrity and Liquidity. This project seeks to increase our understanding of market integrity. Market integrity directly impacts investor confidence which influences liquidity and the cost of capital. It is imperative that exchanges implement policies to enhance integrity to survive in a competitive market. The Australian Stock Exchange Limited (ASX) has provided access to unique data of alleged market manipulation to undertake this research. Previous researchers have been cons ....Equity Market Integrity and Liquidity. This project seeks to increase our understanding of market integrity. Market integrity directly impacts investor confidence which influences liquidity and the cost of capital. It is imperative that exchanges implement policies to enhance integrity to survive in a competitive market. The Australian Stock Exchange Limited (ASX) has provided access to unique data of alleged market manipulation to undertake this research. Previous researchers have been constrained by their inability to access such data. We now have an opportunity to complete unique research to develop a measure of market integrity and assess its impact on liquidity and the cost of capital.Read moreRead less
Endgame: managing superannuation in later life. This project aims to come up with strategies for improving superannuation advice for the elderly - including retirees, and also those on the cusp of retirement, who often have little or no scope for working harder or longer to restore their finances. It applies recent developments in financial economics to improve the quality of financial planning advice.
Building flexible multivariate models and their application in Finance. The project will develop methods for analyzing the properties of dependent measurements that may evolve through time. The new methods will significantly improve on current best statistical practice and will be applied to important problems in the financial sector such as asset allocation and risk management. The financial sector is a vital part of the Australian economy and it is important to understand the joint behavior of ....Building flexible multivariate models and their application in Finance. The project will develop methods for analyzing the properties of dependent measurements that may evolve through time. The new methods will significantly improve on current best statistical practice and will be applied to important problems in the financial sector such as asset allocation and risk management. The financial sector is a vital part of the Australian economy and it is important to understand the joint behavior of financial assets in order to understand and allow for risk. The methods will have immediate application in other disciplines such as medicine, engineering and the environmental sciences. The project will train a postdoctoral student and three PhD students in cutting edge financial econometrics. Read moreRead less