This paper examines the investment performance of active Australian bond funds and the impact of investor fund flows on portfolio returns. Security selection and market timing performance are evaluated using both unconditional models and conditional-performance evaluation techniques that account...

This study documents the intraday lead/lag relation between trading volumes of stocks and stock options traded on the ASX and ASX Options Market respectively. A stock lead of up to 15 minutes is initially documented. Differences in intraday lead/lag relations may occur because of the different...

This study represents the first empirical examination of the daily trading and portfolio configuration strategies of index and enhanced index equity funds. We document that passive funds benefit from employing less rigid rebalancing and investment strategies. During index revision periods,...

Prior research documents an elevation in bidâ€ask spreads at the open and close of trading in futures markets. These findings directly contradict prior literature examining option and equities markets organised as competitive dealer markets, which also document a widening in spreads at the...

This paper estimates the impact of the debt tax shield, cash dividends and imputation tax credits on the prices of Australian stock index futures. Relative to futures payoffs, the cost of financing the set of shares of the underlying index provides a mild tax shield, cash dividends are...