This paper is concerned with investigating the order placement behavior of different types of traders on the ASX. We find strong evidence of informed traders use of limit orders, as well as insights into the evolution of liquidity over a trading day. The greatest increase of informed traders use...

This paper analyses bank relative riskiness by testing the sensitivity of Asia-Pacific banks to overall market risk, global credit risk shocks, interest rate risk shocks and maturity risk shocks. The banks' risk profiles are categorised according to their capitalisation levels and functional...

In this paper we analyse the performance of fixed interest managed funds. We examine five measurement models across three risk-free proxies, nine benchmarks (covering conditional and unconditional as well as single and multi factor definitions) over two independent periods in an effort to...

In his seminal article, Samuelson (1965) formulated the proposition that futures prices are more volatile the closer a particular contract is to expiry. This paper applies testing procedures for the Samuelson Hypothesis (or maturity effect) to commodity futures contracts on the Sydney Futures...

The paper uses Australian bond futures data from the Sydney Futures Exchange to critically assess some of the potential problems involved in the use of cointegration techniques in the calculation of minimum variance hedge ratios. Following Ghosh (1993a,b) there have been a number of papers which...

This paper examines the deviation of Australian stock prices from their fundamentals by decomposing stock price into four fundamental components and one non-fundamental component in three multivariate-moving-average models. The four components of stock prices, earnings, dividends, interest rates...

Macaulay duration matched strategy is a key tool in bond portfolio immunization. It is well known that if term structures are not flat or changes are not parallel, then Macaulay duration matched portfolio can not guarantee adequate immunization. In this paper the approximate duration is proposed...

This paper provides a Markov chain model for the term structure and credit risk spreads of bond prices. It allows dependency between the stochastic process modeling the interest rate and the Markov chain process describing changes in the credit rating of the bonds by their mutual dependency on a...

This study will show that firms issuing seasoned equity have unique beta characteristics and that the beta itself has a very strong impact on the extent of post-issue underperformance. We develop a benchmark that accounts for such unique characteristic, and will subsequently measure the extent...

This paper uses Australian data to show that the long run underperformance of seasoned equity offerings is related to the definition of 'long-run'. We demonstrate that following the period delimited by other writers as the long run, issuing firms turn around in their performance and in fact...