Canonical valuation is a nonparametric method for valuing derivatives proposed by M. Stutzer (1996). Although the properties of canonical estimates of option price and hedge ratio have been studied in simulation settings, applications of the methodology to traded derivative data are rare. This...

We investigate the ability of disclosed operating cash flow and indirect accruals components to explain annual returns for a sample of Australian firms. Consistent with claims made by accounting standard setters, we find evidence of significant explanatory power for disclosed operating cash flow...

We present an empirical model of systemic banking crises from an Australian perspective. Having no history of domestic banking crises in recent history, our quantitative model is estimated using an international panel data set spanning 18 countries and 30 years of observations. We evaluate in a...

Recent theoretical work argues that information risk is a non-diversifiable risk factor that is priced in the capital market. Using accruals quality to proxy for information risk, Francis et al. (2005) provide empirical support for this argument using a sample of US firms. This paper re-examines...

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result...

Given the high correlation between a firm's stock price and market capitalisation, it is possible that the well-documented size anomaly is masking a share-price effect. Using a seemingly unrelated regression model to accommodate contemporaneous correlation between portfolios, we estimate the...

Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk‐neutral framework. It is nonparametric, simple to apply, and, unlike many alternative approaches, does not require any option data. Although canonical valuation has great...