Governance and the investment performance of not-for-profit endowments. Governance and the investment performance of not-for-profit endowments. This project aims to examine the relation between performance and governance for Australian not for profit (NFP) endowments. The not-for-profit sector now accounts for over 4 per cent of the gross domestic product (GDP) (almost $43 billion) and employs volunteers who contribute an additional $14.6 billion in unpaid work. Little research has been done on ....Governance and the investment performance of not-for-profit endowments. Governance and the investment performance of not-for-profit endowments. This project aims to examine the relation between performance and governance for Australian not for profit (NFP) endowments. The not-for-profit sector now accounts for over 4 per cent of the gross domestic product (GDP) (almost $43 billion) and employs volunteers who contribute an additional $14.6 billion in unpaid work. Little research has been done on the investment performance of the endowments held by NFPs, even though this is an important contributor to their revenues. Expected outcomes include a publicised set of principles and periodically updated index of endowment governance quality, and attendant improvement in NFP investment management.Read moreRead less
Do wealth creating mergers and acquisitions really hurt acquirer shareholders? The purpose of this project is to investigate the benefit to the community of acquisitions, especially when the stock price of the acquirer falls on the announcement. This project is likely to show that acquiring shareholders still gain substantially in these circumstances. The outcome will be fewer failed bids with better regulatory outcomes.
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
An Examination of Strategic Investment Arrangements for Institutional Investors: The Case for Centralised Portfolio Management. The aim of this project is to examine the extent to which Australian superannuation funds are able to enhance their overall returns, achieve investment objectives, and minimise operating costs incurred. This will be achieved by examining the benefits of centralised portfolio management for superannuation funds, and consideration of how active and index management can be ....An Examination of Strategic Investment Arrangements for Institutional Investors: The Case for Centralised Portfolio Management. The aim of this project is to examine the extent to which Australian superannuation funds are able to enhance their overall returns, achieve investment objectives, and minimise operating costs incurred. This will be achieved by examining the benefits of centralised portfolio management for superannuation funds, and consideration of how active and index management can be utilised within the overall fund structure. We will show the problems associated with the current portfolio configuration system adopted by super funds, and to identify areas where more optimal investment arrangements can significantly improve overall portfolio returns and reduce expenses.Read moreRead less
An Investigation of Country- and Firm-Level Barriers to Australian Institutional Investments in Foreign Equity Markets. Australia's investment assets pool is ranked fourth in the world and is the largest in the Asia-Pacific region, yet Australia is ranked the second worst among 16 developed countries in internationally diversifying its investment portfolio. This project will identify global growth/diversification opportunities for Australian funds and assess their portfolio allocation practices ....An Investigation of Country- and Firm-Level Barriers to Australian Institutional Investments in Foreign Equity Markets. Australia's investment assets pool is ranked fourth in the world and is the largest in the Asia-Pacific region, yet Australia is ranked the second worst among 16 developed countries in internationally diversifying its investment portfolio. This project will identify global growth/diversification opportunities for Australian funds and assess their portfolio allocation practices against their international peers. The findings will encourage Australian funds to expand their investments in global equity markets, including Asia. This will enhance investment performance and make it possible to grow Australia's investment assets pool to the second largest in the world after the US, thereby increasing our long-term national wealth.Read moreRead less
An Integrated Approach to Credit Risk Management and the Valuation of Credit Derivatives. Financial positions subject to risk of default typically involve three components: risk which is traded, diversifiable or neither. The project will analyse the relationship of these default risk components by rigorously modeling default dependence between obligors and harnessing the information in liquid market prices, such as credit spreads. On the basis of risk capital allocation, it will eliminate the ar ....An Integrated Approach to Credit Risk Management and the Valuation of Credit Derivatives. Financial positions subject to risk of default typically involve three components: risk which is traded, diversifiable or neither. The project will analyse the relationship of these default risk components by rigorously modeling default dependence between obligors and harnessing the information in liquid market prices, such as credit spreads. On the basis of risk capital allocation, it will eliminate the arbitrariness in pricing non-traded risks. This will yield an integrated credit risk management methodology ready for the next generation of regulatory requirements currently under discussion by the Basel Committee on Banking Supervision.Read moreRead less
Implied distributions and implied asset dynamics: Calibration and visualisation of models on market data. Global money markets represent a very complex interlinked system. Market prices of derivative financial instruments bear information about this system, information that is critical for the effective management of interest rate and currency risks in a global context. The project will develop and test methods to extract this information. It will provide an interactive environment to explore (n ....Implied distributions and implied asset dynamics: Calibration and visualisation of models on market data. Global money markets represent a very complex interlinked system. Market prices of derivative financial instruments bear information about this system, information that is critical for the effective management of interest rate and currency risks in a global context. The project will develop and test methods to extract this information. It will provide an interactive environment to explore (numerically and visually) sensitivities of asset dynamics and derivatives prices to input data and modelling assumptions, thus permitting a detailed analysis of market and model risk.Read moreRead less
News Arrival and Stock Market Trading: An Investigation of Investor Reactions to Information. The Australian Stock Exchange (ASX) is an important vehicle for attracting a large amount of capital into Australia and hence its efficiency, transparency and orderliness are important to induce even more active stock market participation from local investors, and to make the ASX more competitive against other investment destinations such as Tokyo, Hong Kong, Singapore and Shanghai. This project will ....News Arrival and Stock Market Trading: An Investigation of Investor Reactions to Information. The Australian Stock Exchange (ASX) is an important vehicle for attracting a large amount of capital into Australia and hence its efficiency, transparency and orderliness are important to induce even more active stock market participation from local investors, and to make the ASX more competitive against other investment destinations such as Tokyo, Hong Kong, Singapore and Shanghai. This project will provide evidence that can promote better understanding of the impact of information flows on volatility, price discovery and trading activity. Using data that include ASX-mandated information releases, the results of this project will be highly useful and relevant to the ASX in its quest to become a more efficient stock market. Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE180100649
Funder
Australian Research Council
Funding Amount
$363,996.00
Summary
Slow diffusion of information in asset pricing and risk management. This project aims to develop a unified investment and asset pricing theory for the slow diffusion of information in financial markets, such as momentum, reversal and post-earnings announcement drift. Expected outcomes of this project include the development of optimal methods to explore historical information, a systematic understanding of the impact of investor sentiment and heterogeneity on the speed of asset price response to ....Slow diffusion of information in asset pricing and risk management. This project aims to develop a unified investment and asset pricing theory for the slow diffusion of information in financial markets, such as momentum, reversal and post-earnings announcement drift. Expected outcomes of this project include the development of optimal methods to explore historical information, a systematic understanding of the impact of investor sentiment and heterogeneity on the speed of asset price response to news, and novel empirical hypotheses and tests that improve return predictability and reduce crash risks. The project will provide a potential competitive advantage and guidance to Australian investors, including superannuation fund managers, in competitive globalised financial markets.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