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...

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...

This paper re-examines the liquidity effect on stock expected returns in the NYSE over the period 1926–2008, the pre-1963 period, for which there is a lack of research, and the post-1963 period. The results from the entire sample of 1926–2008 show that expected returns increase with the...

type="main" <p>We examine the information content of Australian credit rating announcements by measuring the abnormal changes in credit default swap (CDS) spreads. CDS spreads provide a direct view of credit quality and thus should impound information quickly when investors receive new credit risk...</p>

Company financial reports are likely to be systematically biased. In this paper, we extend the Duffie and Lando (2001) model with a skewness correction which can account for both random and directional components of reporting noise.

This study investigates the extent to which predicted electricity spot prices from a statistical model, along with consensus forecasts issued by the Australian Financial Market Association (AFMA), provide unbiased price estimates of a forward contract price over a specified time to expiration....

In May of 1994 (and on two subsequent dates), the Sydney Futures Exchange introduced futures contracts on slected issues of common stock. These new contracts, known as individual share futures (ISF's), represent a unique type of derivative product. This paper examines the impact of the...

The majority of classification models developed have used a pool of financial ratios combined with statistical variable selection techniques to maximise the accuracy of the classifier being employed. Rather than follow an "ad hoc" variable selection process, this paper seeks to provide an...

In this paper we have tested for evidence of nonlinear structure in Australian asset returns including those of real estate and investment trusts, stock market indicies and returns for listed real estate companies. While some of our test procedures are designed to test for nonlinear...