Recently added articles from Australian Journal of Management:
The subprime mortgage meltdown.(Editorial)
Jun 01, 2008; ... 'The mortgage industry, a mutant monster organization of lapsed lending standards and arrant grift on the grand scale, is going to implode like a death star under the weight of these non-performing loans and drag every tradable instrument known to man into the quantum vacuum of finance ...
The stairway to the top: the remuneration of academic executives.(Report)
Jun 01, 2008; ... Abstract: Australian universities have in recent times been undergoing a substantial transformation in the way in which they are managed. They have moved away from the (British-based) traditional collegiate model to one in which professional managers play a centre-stage role ....
An empirical investigation of the level effect in Australian interest rates.(Report)
Jun 01, 2008; ... Abstract: An extensive literature examines the dynamics of interest rates, with particular attention given to the positive relationship between interest-rate volatility and the level of interest rates--the so-called level effect. This paper examines the interaction between the ...
The influence of analyst and management forecasts on investor decision making: an experimental approach.(Report)
Jun 01, 2008; ... Abstract: Analyst and management forecasts signal a firm's future prospects, and research suggests that investors are conscious of the differing incentives to release news. We examine investor reaction to the information contained in these forecasts by considering whether ...
Australian options.(Report)
Jun 01, 2008; ... We study European options on the ratio of the stock price to its average and vice versa. Some of these options have been traded in the Australian Stock Exchange since 1992, thus we call them Australian options. For geometric averages, we obtain closed-form expressions for option prices ....
Cost-of-capital estimation and capital-budgeting practice in Australia.(Report)
Jun 01, 2008; ... Abstract: 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 ...
Pricing bonds in the Australian market.(Report)
Jun 01, 2008; ... Abstract: This paper provides an examination of term structure models in the Australian bond market. Specifically, we examine the comparative ability of various models to forecast at the short, medium and long ends of the yield curve. Overall, we find that model performance ...
Size, book to market and momentum effects in the Australian stock market.(Report)
Jun 01, 2008; ... Abstract: We examine the significance of the size, book-to-market and momentum risk factors in explaining portfolio returns in the Australian stock market. We compare the CAPM to a four-factor model assuming static risk premia, and find that the additional factors have ...
Persistence in growth versus market expectations.(Report)
Jun 01, 2008; ... Abstract: We measure the persistence and predictability of sales and earnings growth for Australian-listed firms from 1989 to 2006. In contrast to results from the United States, there is evidence of persistence in growth. There is close to a two-thirds chance that a firm ...
A functionalist framework for identifying business clusters: applications in far North Queensland.(Report)
Jun 01, 2008; ... Abstract: The extant literature on industry-cluster identification recommends the use of both quantitative and qualitative data to uncover clusters. We argue for a functionalist approach to identifying clusters. The logic here is that since spatial proximity of firms is an ...
Special issue on 'delegated portfolio management'.(Preface)
Mar 01, 2008; ... A number of countries, including Australia, have adopted a move to compulsory retirement saving as a policy response to the demographic challenge of an aging population. One key result of this response has been a huge increase in the amount of money available for investment in those ...
1 Style drift and portfolio management for active Australian equity funds.
Mar 01, 2008; ... Abstract: Using monthly active equity fund portfolio holdings, we examine the magnitude of style drift and decompose it into active and passive components. We find that while fund style tilts are consistent with their self-stated investment objective, there is variation in the ...
2 The relevance of family characteristics to individual fund flows.
Mar 01, 2008; ... Abstract: This paper examines the relevance of fund specific and family variables in the determination of money flows to Australian investment funds. The existing literature establishes the relevance of past period returns to individual fund flows. Our results show that family ...
3 Portfolio construction and performance measurement when returns are non-normal.
Mar 01, 2008; ... Abstract: The foundation of popular approaches to portfolio construction and performance measurement lies in the mean-variance framework of Markowitz (1952, 1959). However, the suitability of such approaches in practice is questionable in light of considerable evidence of ...
4 Disentangling size from momentum in Australian stock returns.(Report)
Mar 01, 2008; ... Abstract: Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for larger portfolios, and that ...
5 The efficacy of the Sortino ratio and other benchmarked performance measures under skewed return distributions.
Mar 01, 2008; ... Abstract: This paper will investigate the suitability of existing performance measures under the assumption of a clearly defined benchmark. A range of measures are examined including the Sortino Ratio, the Sharpe Selection ratio (SSR), the Student's t-test and a decay rate ...
6 The state of origin of Australian equity: does active fund manager location matter?
Mar 01, 2008; ... Abstract: We examine the relation of active equity fund managers' location proximity to a stock's headquarter and fund managers' stock selection skill and investment behaviour using a representative sample of Australian institutional equity funds. Contrary to the findings of ...
7 Are Australian investors smart?
Mar 01, 2008; ... Abstract: This paper examines the smart money effect on Australian superannuation funds. Specifically, we investigate whether Australian investors make smart choices in selecting funds. We build on previous research which shows that sophisticated investors have the ability to ...
8 An insight into overconfidence in the forecasting abilities of financial advisors.
Mar 01, 2008; ... Abstract: Financial market participants exercise judgment in decision making and psychological studies have shown that individuals are overconfident about their ability to evaluate financial securities. Range estimation calibration studies indicate that individuals tend to ...
The old order changeth.(Editorial)
Dec 01, 2007; ... As I write, it is less than a week since we heard that the University, in its wisdom, has decided to close the Frank Lowy Library, move the collection out of the AGSM Building across to the University Library, with only four of its staff. As the best business research library in Australia, ...