This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility risk. Consistent with theoretical predictions, aggregate...

Tax arbitrage was extensive within the convertible market in Australia. The Treasury sought ways to minimize the tax misclassification issue and in 2001, the Commonwealth enacted the New Business Tax System (Debt and Equity) Bill 2001. This paper investigates whether the new tax rules classify...