This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other microstructure-induced noise, which will affect the estimation...

We investigate whether the effect of liquidity on equity returns can be attributed to the liquidity level, as a stock characteristic, or a market wide systematic liquidity risk. We develop a CAPM liquidity-augmented risk model and test the characteristic hypothesis against the systematic risk...

The issue of gold and silver price manipulation, in particular price suppression, is examined. We use a mixture of normal approach to decompose the returns into abnormal and control samples. Price suppression is a form of market manipulation of the runs type where longer negative runs with lower...

Establishing the relation between oil price movements and macroeconomic performance is of great importance for firms and policymakers, alike. Prior studies established this relation using the assumption that the long-run relation is intertemporally constant. However, there is much recent...

Early analysis of Bitcoin concluded that it did not meet the economic conditions to be classified as a currency. Since this analysis interest in bitcoin has increased substantially. We investigate whether the introduction of futures trading in bitcoin is able to resolve the issues that stopped...

We use a sample survey to analyse the capital budgeting practices of Australian listed companies. We find that NPV, IRR and Payback are the most popular evaluation techniques. Real options techniques have gained a toehold in capital budgeting but are not yet part of the mainstream. Discounting...

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge...

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge...

This paper investigates whether CEOs that have active share trading accounts engage in higher levels of corporate innovation. Prior studies show that individuals who trade on the stock market are less financially conservative. We find that this behavioural attribute is consistent over both the...