The Australian Equities Database (AED) provided by the Australian Centre for Financial Studies (ACFS) provides the opportunity for a timely investigation of Australia's stock-listed firms and its stock markets. In this paper, the aim is to assess (i) the effectiveness of a firm's reinvestment of...

Although a good deal of research effort has been allocated to understanding the time-series volatility of stock returns – as both market (or systematic) volatility and idiosyncratic (or non-systematic) volatility – the relationship of such volatility with cross-sectional volatility or...

We report that whereas firms with high earnings distributions tend to have low to moderate growth (consistent with conventional theory), firms with low earnings distributions run the range between high and low performers. We interpret our findings for firm growth and payout policy in relation to...

This paper focuses on the links that exist between corporate governance attributes and equity agency conflicts for the top 500 Australian listed firms. Our proxies for equity agency conflicts (asset utilisation and discretionary operating expense ratios) vary significantly across firms and are...

The Australian Equities Database (AED) provided by the Australian Centre for Financial Studies (ACFS) provides the opportunity for a timely investigation of Australia’s stock-listed firms and its stock markets. Two elements that are crucial to the effective functioning of markets are (1) the...

<section xml:id="fut21636-sec-0001"> This article investigates the impact of the London PM gold price fixing on two exchange‐traded gold instruments: the GC gold futures contract and the GLD exchange‐traded fund. We find significantly elevated levels of trade volume and price volatility immediately following the fixing's...</section>

The pricing of commodity futures contracts is important both for professionals and academics. It is often argued that futures prices include a convenience yield, and this article uses a simple trading strategy to approximate the impact of convenience yields. The approximation requires only three...

Commodity pricing models generally explain the link between commodity prices and stock levels in terms of a stock‐out constraint or a convenience yield. Analysis of this link is provided using monthly London Metals Exchange copper, lead, and zinc prices obtained for the period November 1964 to...

The market for unseasoned equity has the unusual and distinguishing feature of periods of concentrated activity in terms of both volume and underpricing. This paper formally documents the existence of such periods using a regime-switching model that dates transitions between hot and cold states....