21st Australasian Finance & Banking Conference 2008 (Archive)最新文献

{"title":"Domestic Liquidity Costs and Cross-Listing in the US","authors":"N. Nguyen, H. Berkman","doi":"10.2139/ssrn.1253063","DOIUrl":"https://doi.org/10.2139/ssrn.1253063","url":null,"abstract":"Using intraday data from domestic markets for a sample of US-cross-listed firms, we document evidence that cross-listing leads to significant reductions in domestic liquidity costs and significant increases in local trading volume. The average effective spread goes down by 12 percent, the cost of adverse information reduces by 24%, and trading volume increases by 19 percent in the year after US cross-listing. Consistent with the bonding hypothesis, we find that these reductions in trading costs, and increases in trading volume, are significantly larger for firms from countries with weaker investor protection, poorer information quality, and less developed capital markets. Also consistent with the bonding hypothesis, we find that liquidity cost reductions, and trading volume increases, are larger for stocks that are cross-listed on the NYSE versus stocks crossed-listed on NASDAQ or OTC.","PeriodicalId":370682,"journal":{"name":"21st Australasian Finance & Banking Conference 2008 (Archive)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125696927","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Return Predictability and Intertemporal Asset Allocation: Evidence from a Bias-Adjusted VAR Model","authors":"Tom Engsted, Thomas Q. Pedersen","doi":"10.2139/ssrn.1138186","DOIUrl":"https://doi.org/10.2139/ssrn.1138186","url":null,"abstract":"Within a VAR based intertemporal asset allocation model we explore the effects on return predictability and optimal asset allocation of adjusting VAR parameter estimates for small-sample bias. We apply a simple and easy-to-use analytical bias formula instead of bootstrap or Monte Carlo bias-adjustment. Regarding return predictability we show that bias-adjustment in the multivariate setup can yield very different results than in the univariate case. Furthermore, bias-correcting the VAR parameters has both quantitatively and qualitatively important effects on the optimal portfolio choice. For intermediate values of risk-aversion, the intertemporal hedging demand for bonds and stocks is heavily affected by the bias-correction. Utility calculations also show large effects of bias-adjustment, both in-sample and out-of-sample.","PeriodicalId":370682,"journal":{"name":"21st Australasian Finance & Banking Conference 2008 (Archive)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126644545","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Prioritizing the Main Influencer Factors of Service Quality by Using the Hysteresis Model: A Case Study on Retail Banking","authors":"A. Amin Beidokhti, Armon Rezai, M. A. Saboorynia, M. Abdolshah","doi":"10.2139/ssrn.1259856","DOIUrl":"https://doi.org/10.2139/ssrn.1259856","url":null,"abstract":"Purpose - previous researches in service quality and customer satisfaction in retail banking because of their partial viewpoint have only partial applications. Fact is that, managers in the process of decision making need comprehensive information about customers. Decisions made with partial information have a little reliability. This study attempts to debate about service quality and customer satisfaction in comprehensive way.Design/methodology/approach - the sample of the study consists of Iran's Melli bank customers located in Tehran, the capital of Iran. The questionnaire was based on hysteresis model's variables (Attractiveness, zone of tolerance) and effect. Psychometric properties of the scale (such as reliability) were tested.Findings - the hysteresis model presented here and the results of the study reveal the integrity of staff, security of account information and accuracy in operations as the most important factors in retail banking.Research limitations/implications - first the sample of the study is small and is limited to the Melli bank customers. Second, the number of factors which were investigated are low.Originality/value - it has not been conducted any empirical research using hysteresis model to see whether it replicates previous researches. This study is necessary, useful and relevant because; it focuses on the service quality and the study explores service quality in a comprehensive way (hysteresis model).","PeriodicalId":370682,"journal":{"name":"21st Australasian Finance & Banking Conference 2008 (Archive)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115016855","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Do Asset Returns Hedge Against Inflation in Pakistan","authors":"K. Mustafa, Mohammed Nishat","doi":"10.2139/ssrn.1259576","DOIUrl":"https://doi.org/10.2139/ssrn.1259576","url":null,"abstract":"This paper attempts to explore an empirical relationship between asset returns and inflation in Pakistan. Using simple Foreign currency, gold, real estate, saving deposits, silver, stock prices, treasury bills, and government securities are considered as asset. To establish the relationship between asset return and inflation the study uses the annual data from 1972 to 2006 using OLS techniques. The empirical results indicate that most of the asset returns are hedged expected inflation. None of the asset returns are hedging unexpected inflation and total inflation. However, the treasury bills and government securities are significant to total and unexpected inflation, but the coefficients are less than one. The stock prices and gold prices neither hedge to total inflation nor expected and unexpected inflation. The reason is that the individuals are used gold for precautionary purpose not for hedging against inflation. For stock prices the reasons may be the people are not interested to invest in risky assets. A matter of fact is that a significant relationship exists between un-expected inflation and assets in various cases but slope coefficients are less than one and therefore are not hedges against inflation. The Pakistani investors are interested in risk free investment and not risky investment.","PeriodicalId":370682,"journal":{"name":"21st Australasian Finance & Banking Conference 2008 (Archive)","volume":"718 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116127342","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Capital Gains Tax, Supply-Driven Trading and Ownership Structure: Direct Evidence of the Lock-In Effect","authors":"D. Hanlon, Sean Pinder","doi":"10.2139/ssrn.1246422","DOIUrl":"https://doi.org/10.2139/ssrn.1246422","url":null,"abstract":"The lock-in effect suggests that capital gains tax (CGT) creates a disincentive to sell appreciated stocks, as CGT is imposed once stocks are sold. A CGT rate decrease reduces the reluctance to sell appreciated stocks, thereby increasing the supply available for sale. Our study tests the lock-in effect by examining supply-side trading for a sample of 410 Australian initial public offerings (IPOs) immediately following their 12-month anniversary of listing, the passing of which entitles their initial individual investors to a 50% discount on CGT payable. Doing so extends prior research in a number of ways. First, we combine buy-sell order imbalance and ownership structure data to provide direct evidence of the lock-in effect. Second, we analyze shifts in buy-sell order imbalance upon IPOs' qualification for discounted CGT treatment, as opposed to the effective date of CGT legislative reform, to minimize any compounding demand-side effects on order imbalance. Third, we examine whether selling pressure (upon qualification for discounted CGT treatment) is more pronounced at the beginning of the financial year, as individual investors delay the realization of capital gains until July to postpone their resultant CGT liability, whilst also controlling for the passing of escrow-expiration dates. Our results confirm an increase in selling pressure around the 12-month anniversary of listing, which is strongest when the 12-month anniversary occurs in July. These results are consistent with investors realizing their capital gains at the beginning of the financial year to delay payment of their CGT liability for 12 months. We also find that post-anniversary selling pressure declines as a function of institutional ownership, indicating the strength of the lock-in effect is correlated with the proportion of stock ownership by tax-sensitive investors. Moreover, our results indicate that the supply-side trading initiated by individual investors causes stock prices to fall. We also find that this result is present after accounting for the potentially confounding influence of the passing of escrow-expiration dates.","PeriodicalId":370682,"journal":{"name":"21st Australasian Finance & Banking Conference 2008 (Archive)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133141331","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Impact of a Firm's Payout Policy on Stock Prices and Shareholders' Wealth in an Inefficient Market","authors":"Peter Nippel","doi":"10.2139/ssrn.1253662","DOIUrl":"https://doi.org/10.2139/ssrn.1253662","url":null,"abstract":"Recent literature has almost exclusively focused on the announcement effects of payout policy. However, in an inefficient stock market payout policy may not only affect stock prices at the announcement date but also at the payment date. Our theoretical approach is based on the rational demand of risk averse investors and passive investors holding shares in a firm which may or may not pay out free cash flow. The joint existence of both investor types in an inefficient market may lead to a positive impact at the payment date. We predict a positive effect for a share buyback and a dividend payment that is associated with reinvestment, e.g. via a dividend reinvestment plan (DRIP). This price impact affects shareholders' current and long run net wealth. Both buyback and divi-dend with DRIP cause a wealth transfer between smart and passive investors in the long run, with the direction of the wealth transfer depending on the level of the firm's market valuation relatively to expected future value.","PeriodicalId":370682,"journal":{"name":"21st Australasian Finance & Banking Conference 2008 (Archive)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122265602","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Information Content of Implied Volatility: Evidence from Australia","authors":"Bart Frijns, Christian Tallau, A. Tourani-Rad","doi":"10.2139/ssrn.1246142","DOIUrl":"https://doi.org/10.2139/ssrn.1246142","url":null,"abstract":"This study develops an implied volatility index for the Australian stock market, termed as the AVX, and assesses its information content. The AVX is constructed using S&P/ASX 200 index options with a constant time‐to‐maturity of three months. It is observed that the AVX has a significant negative and asymmetric relationship with S&P/ASX 200 returns. When evaluating the forecasting power of the AVX for future stock market volatility, it is found that the AVX contains important information both in‐sample and out‐of‐sample. In‐sample, the AVX significantly improves the fit of a GJR‐GARCH(1, 1) model. Out‐of‐sample, the AVX significantly outperforms the RiskMetrics approach and the GJR‐GARCH(1, 1) model, with its highest forecasting power at the one‐month forecasting horizon. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:134–155, 2010","PeriodicalId":370682,"journal":{"name":"21st Australasian Finance & Banking Conference 2008 (Archive)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123557649","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Is Switching Banks Easy? Perception vs. Experience","authors":"Claire Matthews, Chris, Malcolm J. Wright","doi":"10.2139/ssrn.1236464","DOIUrl":"https://doi.org/10.2139/ssrn.1236464","url":null,"abstract":"Attracting customers from other banks is important for banks in markets such as New Zealand, where there is a very small proportion of the population that is unbanked. However, limited research exists to understand the expectations and experiences of bank customers in relation to how easy switching banks is. This paper reports findings on these expectations and experiences drawn from a larger study that explored a range of issues related to switching banks, using a mail survey to 2983 people in New Zealand.We find that, overall, switching is not expected to be either easy or difficult, although in practice it is found to be somewhat easy. Expectations related to how easy switching banks will be do not have any relationship to the likelihood of switching. Those who had switched recently were found to perceive switching costs to be lower than those who had not switched.","PeriodicalId":370682,"journal":{"name":"21st Australasian Finance & Banking Conference 2008 (Archive)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132622009","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Creditor Protection and Banking System Development in India","authors":"S. Deakin, Panicos O. Demetriades, Gregory A. James","doi":"10.2139/ssrn.1208866","DOIUrl":"https://doi.org/10.2139/ssrn.1208866","url":null,"abstract":"We use a new legal dataset tracking changes in creditor protection law over several decades to study the impact of legal reforms on banking system development in India. Cointegration analysis is used to show that the strengthening of creditor rights in relation to the enforcement of security interests in the 1990s and 2000s led to an increase in bank credit. We show that the change in the law was not endogenous to trends in stock market development and GDP per capita, and that the direction of causation ran from legal reform to banking development, rather than the reverse.","PeriodicalId":370682,"journal":{"name":"21st Australasian Finance & Banking Conference 2008 (Archive)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124987668","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Pricing and Performance of Initial Public Offerings in Australia, 1996-2007: A Comparison of Ordinary, Venture Capital and Private Equity-Backed Issues","authors":"Nancy Vu, A. Worthington, Phillip Laird","doi":"10.2139/ssrn.1199682","DOIUrl":"https://doi.org/10.2139/ssrn.1199682","url":null,"abstract":"This paper examines the pricing and performance of ordinary, venture capital and private equity-backed initial public offerings in the Australian stock market from June 1996 to May 2007. Headline underpricing, underpricing issuer loss, underpricing loss by market value, and underpricing loss by issue price are used to measure underpricing. Cumulative buy-and-hold abnormal returns with equal and value-weighted market indexes, market and book-to-market value quintile adjustments and the Fama-French three-factor model used to compare performance. The measures of underpricing indicate that venture capital and private equity-backed issues are less underpriced than ordinary issues. Further, all three forms of issuance outperform the nominal performance benchmarks. However, there is no statistically significant difference in the risk-adjusted performance of initial public offerings, regardless of backing.","PeriodicalId":370682,"journal":{"name":"21st Australasian Finance & Banking Conference 2008 (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129072616","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}