In this paper, we provide a comprehensive investigation of 260 initial public offerings (IPOs) in the Australian resource sector for the 1994 – 2004 period. Consistent with the existing IPO literature, we document a 16.13% underpricing return by firms in the sample. Despite the contention that...

In this paper, we re-examine the evidence of long memory in the Australian stock market. Using the rescaled range analysis, we find evidence of long memory and non-periodic cycles in the All Ordinaries Index. The result suggests that long memory is present in the Australian stock market....

This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets. The empirical results show that time-series-based volatility forecasts outperform...

This paper investigates the relationship between the use of financial derivatives and firm value in the Australian setting. Contrary to expectations, we find that the use of derivatives in general, and the use of interest rate derivatives in particular, are negatively related to firm value (as...

We explore the relationship between the type of derivative instrument used and firm value, in a sample of Australian firms. Specifically, we examine the impact of the corporate use of swaps, futures, forwards and options, and the extent of such usage, on firm value. Our findings suggest that a...