This paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multivariate GARCH-M model is used to analyse the impact of deregulation on the...

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for...

This paper investigates the reasons that lead to modification of auditors' opinions. We revisit the conclusions of prior US-based research on whether a modification highlights likely earnings management activities. Extending this research, we consider an alternate explanation that managers...

This study proposes an alternative approach for examining volatility linkages between Standard & Poor's 500, Eurodollar futures and 30 year Treasury Bond futures markets using implied volatility from the three markets. Simple correlation analysis between implied volatilities in the three markets...

This paper examines evidence of predictability in Australian equities using both statistical and economic metrics of significance. A probit-based predictive model is used to forecast the probability that the 1 month ahead excess market return will be positive. Funds under management are then...