Armanious, A 2011, Anatomy of the 1929 and 2008 Financial Crises, LAP Lambert Academic Publishing.
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Furthermore, there is a highlight of the historical perspective of the global financial crisis. The book seeks a comparative analysis of the core causes, features, consequences and remedy tools of the 1929 and 2008 global financial crisis.
Armanious, A 2011, European Capital Market Integration, LAP Lambert Academic Publishing.
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This book is mainly concerned with explaining the pros, cons, impediments and prior factors of European capital market integration. Also, measures, types and theories of stock market integration.
McMillian, M, Pinto, J, Pirie, W & Van de Venter, G 2011, Investments: Analysis and portfolio management workbook, 1st, John Wiley & Sons Ltd, Australia.
McMillian, M, Pinto, J, Pirie, W & Van de Venter, G 2011, Investments: Principles of portfolio and equity analysis, 1st, John Wiley & Sons Ltd, Australia.
Alexeev, V & Tapon, F 2011, 'Testing weak form efficiency on the Toronto Stock Exchange', JOURNAL OF EMPIRICAL FINANCE, vol. 18, no. 4, pp. 661-691.
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Bird, R, Casavecchia, L, Pellizzari, P & Woolley, P 2011, 'The impact on the pricing process of costly active management and performance chasing clients', JOURNAL OF ECONOMIC INTERACTION AND COORDINATION, vol. 6, no. 1, pp. 61-82.
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One of the necessary features of markets to produce efficient pricing is competition between information-based investors who quickly impound new information into price. However, a significant proportion of funds invested in todays equity markets are in the hands of managers who pursue a style that utilises little or none of the available information.We simulate such a market where the funds are being managed using the following three investment styles: fundamental, omentum and index. We confirm that the major pricing anomalies that have been highlighted previously in the literature are a natural consequence of competition between managers utilising these three investment styles.More importantly, we show that this situation is unlikely to change as long as markets continue to be dominated by costly active managers with clients who pursue outperformance.
Cekauskas, K, Gerasimovs, R, Liatukas, V & Putniņš, TJ 2011, 'The Effects of Market Makers and Stock Analysts in Emerging Markets', International Review of Finance, vol. 12, no. 3, pp. 305-327.
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We exploit a quasi-experiment to examine the effects of market makers and stock analysts in three emerging stock markets. We find substantial differences in the effects across markets, and in contrast to existing literature, the effects of market makers are not always positive. Our results suggest that the structure of market makers' agreements and compensation matters for their effects on market quality. Stock analysts, on balance, have marginally positive effects on liquidity and informational efficiency. The benefits of market makers are weaker in the presence of stock analysts, and vice versa, suggesting that market makers and stock analysts are more like substitutes than complements in their effects on market quality.
Chan, H, Faff, R, Hill, P & Scheule, H 2011, 'ARE WATCH PROCEDURES A CRITICAL INFORMATIONAL EVENT IN THE CREDIT RATINGS PROCESS? AN EMPIRICAL INVESTIGATION', Journal of Financial Research, vol. 34, no. 4, pp. 617-640.
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The Boot, Milbourn, and Schmeits (2006) model (Boot model) predicts certain credit rating events are likely to be more informative than others and that credit watch procedures are an important driver of such differences. We test the core empirical predictions of their model. Our sample comprises U.S. corporate issuer credit ratings provided by Moody's, 1990-2006. Our findings fail to uncover compelling evidence for the empirical predictions of the Boot model in relation to the role of watch procedures as coordinating mechanisms. Rather, our findings are more supportive of the view that rating agencies are always at an informational advantage relative to investors. © 2011 The Southern Finance Association and the Southwestern Finance Association.
Chiarella, C, Maina, SC & Sklibosios Nikitopoulos, C 2011, 'Credit Derivative Pricing with Stochastic Volatility Models', University of Technology Sydney Quantitative Finance Research Centre Research Paper, vol. 16, no. 293, pp. 1-28.
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This paper proposes a model for pricing credit derivatives in a defaultable HJM framework. The model features hump-shaped, level dependent, and unspanned stochastic volatility, and accommodates a correlation structure between the stochastic volatility, the default-free interest rates, and the credit spreads. The model is finite-dimensional, and leads (a) to exponentially affine default-free and defaultable bond prices, and (b) to an approximation for pricing credit default swaps and swaptions in terms of defaultable bond prices with varying maturities. A numerical study demonstrates that the model captures stylized various features of credit default swaps and swaptions. © 2013 World Scientific Publishing Company.
Comerton-Forde, C, Putniņš, TJ & Tang, KM 2011, 'Why Do Traders Choose to Trade Anonymously?', Journal of Financial and Quantitative Analysis, vol. 46, no. 4, pp. 1025-1049.
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AbstractThis paper examines the use, determinants, and impact of anonymous orders in a market where disclosure of broker identity in the trading screen is voluntary. We find that most trading occurs nonanonymously, contrary to prior literature that suggests liquidity gravitates to anonymous markets. By strategically using anonymity when it is beneficial, traders reduce their execution costs. Traders select anonymity based on various factors including order source, order size and aggressiveness, time of day, liquidity, and expected execution costs. Finally, we report how anonymous orders affect market quality and discuss implications for market design.
Cotton, D & Trück, S 2011, 'Interaction between Australian carbon prices and energy prices', Australasian Journal of Environmental Management, vol. 18, no. 4, pp. 208-222.
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The aim of carbon trading is to encourage reduction in greenhouse gas emissions by rewarding the production of power through green sources and penalising power produced by the higher-emitting sources. This article investigates the longterm interaction between carbon permit prices of the two most heavily traded Australian carbon trading schemes with electricity prices using a structural cointegrated vector autoregression model. This is analysed over two consecutive periods to determine if the scheme effectiveness changes over time. The analysis indicates that only in the second, or most recent, period do carbon prices relate to electricity prices. Our results indicate that some problems with the design of the current schemes, however, do provide some promise of an improvement more recently. © 2011 Environment Institute of Australia and New Zealand Inc.
Glover, K, Peskir, G & Samee, F 2011, 'The British Russian Option', STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS, vol. 83, no. 4-6, pp. 315-332.
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Following the economic rationale of the British put and call option, we present a new class of lookback options (by first studying the canonical 'Russian' variant) where the holder enjoys the early exercise feature of American options, whereupon his payoff (deliverable immediately) is the 'best prediction' of the European payoff under the hypothesis that the true drift of the stock price equals a contract drift. Inherent in this is a protection feature which is key to the British Russian option. Should the option holder believe the true drift of the stock price to be unfavourable (based upon the observed price movements) he can substitute the true drift with the contract drift and minimize his losses. The practical implications of this protection feature are most remarkable as not only is the option holder afforded a unique protection against unfavourable stock price movements (covering the ability to sell in a liquid option market completely endogenously), but also when the stock price movements are favourable he will generally receive high returns. We derive a closed-form expression for the arbitrage-free price in terms of the rational exercise boundary and show that the rational exercise boundary itself can be characterized as the unique solution to a nonlinear integral equation. Using these results, we perform a financial analysis of the British Russian option that leads to the conclusions above and shows that with the contract drift properly selected, the British Russian option becomes a very attractive alternative to the classic European/American Russian option. © 2011 Copyright Taylor and Francis Group, LLC.
Platen, E & Hulley, H 2011, 'A visual criterion for identifying Itô diffusions as martingales or strict local martingales', Seminar on Stochastic Analysis, Random Fields and Applications, vol. 6, pp. 147-157.
Putniņš, TJ & Sauka, A 2011, 'Size and determinants of shadow economies in the Baltic States', Baltic Journal of Economics, vol. 11, no. 2, pp. 5-25.
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This study develops and estimates an index of the size of shadow economies in Estonia, Latvia and Lithuania, and analyses the factors that influence participation in the shadow sector. The index can be used to track shadow economies through time or across sectors and therefore is a useful tool to evaluate the effectiveness of policies aimed ar reducing the size of shadow economies. Our results suggest that the shadow economy in Latvia in 2010 is considerably larger than in neighbouring Estonia and Lithuania. While the shadow economy as a percentage of GDP in Estonia contracted from 2009 to 2010, it expanded in Latvia and Lithuania. An important driver of shadow activity in the Baltic States is entrepreneurs' dissatisfaction with and distrust in the government and the tax system. We also find involvement in the shadow economy is more pervasive among younger firms and firms in the construction sector. The findings of this study have a number of policy implications: (i) the relatively large size of shadow economies in the Baltic States and their different expansion/contraction trends cause significant error in official estimates of GDP and its rates of change; (ii) tax compliance can be encouraged by addressing the high level of dissatisfaction with the tax system and with government (e.g., making tax policy more stable and increasing the transparency with which taxes are spent); and (iii) significant scope exists for all three governments to increase their tax revenues by bringing entrepreneurs 'out of the shadows'.
Wang, J 2011, 'Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors', Asian Development Review, vol. 28, no. 2, pp. 32-57.
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This paper examines volatility forecasting for the broad market indices of 12 Asian stock markets. After considering the long memory in volatility and volatility jumps, the paper incorporates local, regional, and global factors into a heterogeneous autoregressive model for volatility forecasting. Compared to several existing studies, the model produces smaller forecasting errors. The empirical findings shed new light on the spillover effect from regional and global factors to local market volatility. Despite the common perception of increased globalization, the paper finds that volatility in Asia is primarily driven by local factors. During the period January 2005 to April 2010, regional and global factors explain 2%-3% of the volatility in the next 10 days for Asian emerging markets, and 3%-6% for Asian developed markets. There was no significant increase in the contribution of global factors to local market volatility
Armanious, A 1970, 'Impact of European Sovereign Debt Crisis on Sustainable Development', 18th International DAVO Congress, Berlin, Germany.
Armanious, A 1970, 'The Sovereign Debt Crisis in EU and MENA: Mechanisms and Challenges', Fourth Euro-Mediterranean Dialogue on Public Management (MED4), Rabat, Morocco.
Bird, RG, Choi, DFS & Yeung, D 1970, 'Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift', SSRN Electronic Journal, Australasian Finance and Banking Conference, Elsevier BV, Sydney, Australia, pp. 1-43.
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The post-earnings announcement drift (PEAD) first identified over 40 years ago seems to be as much alive today as it ever was. Numerous attempts have been made to explain its continued existence. In this paper we provide evidence to support a new explanation: that the PEAD is a reflection of the level of market uncertainty and sentiment that prevails during the post-announcement period. The finding that uncertainty plays a role in explaining how investors respond to information suggests that it should be included as a factor in pricing models while the fact that market sentiment also has a role is another instance of the importance of human behaviour in establishing prices
Bird, RG, Choi, DFS & Yeung, D 1970, 'Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift', Annual Conference of the Multinational Finance Society, Rome, Italy.
Bird, RG, Pellizzari, P & Yeung, D 1970, 'Performance Implications of Active Management of Institutional Mutual Funds', SSRN Electronic Journal, Annual Conference of the Multinational Finance Society, Elsevier BV, Rome, Italy.
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Bugeja, M, Patel, VG & Walter, T 1970, 'The Microstructure of Australian Takeover Announcements', Financial Management Association Conference, Denver, Colarado, USA.
Bugeja, M, Patel, VG & Walter, T 1970, 'The microstructure of Australian takeover announcements', Asian Finance Association Conference, Macau, China.
Bugeja, M, Patel, VG & Walter, TS 1970, 'The microstructure of Australian takeover announcements', Annual Conference of the Multinational Finance Society, Rome, Italy.
Cotton, DJ 1970, 'Climate change: Level of concern and policy preferences', The Third International Conference on Climate Change: Impacts and Responses, Rio de Janeiro, Brazil.
Cotton, DJ 1970, 'Emissions trading in Australia - Past, present and future?', The Low Carbon Earth Summit 2011, Dailan, China.
Fernandez, L & Michayluk, D 1970, 'Continuous disclosure requirements and the timeliness of price discovery in Australia', Edwards Symposium on Financial Markets and Institutions, Saskatoon, Saskatchewan, Canada.
Fernandez, L & Michayluk, D 1970, 'Continuous disclosure requirements and the timeliness of price discovery in Australia', Financial Management Association Annual Meeting, Denver, USA.
Gerig, A & Michayluk, D 1970, 'Automated liquidity provision and the demise of traditional market making', Financial Management Association Annual Meeting, Denver, USA.
Glover, K 1970, 'A heterogeneous agent model for gold and stock prices', The Paul Woolley Centre for Capital Market Dysfunctionality 2011 Conference, Sydney Australia.
Glover, K 1970, 'Efficient computation of a general class of two-dimensional optimal stopping problems', Quantitative Methods in Finance 2011 Conference, Sydney Australia.
Glover, K 1970, 'Efficient computation of a general class of two-dimensional optimal stopping problems', 17th International Conference on Computing in Economics and Finance, San Francisco, California, USA.
Glover, K & Hambusch, G 1970, 'Agency conflicts and the provision of debt when prices are mean reverting', International Finance and Banking Society Conference 2011, Rome, Italy.
Glover, K & Hulley, H 1970, 'The limits of arbitrage and the term structure of stock index futures mispricing', Fourth International Conference on Mathematics in Finance, Berg-en-Dal, Kruger National Park, South Africa.
Hambusch, G 1970, 'The implications of mean reversion on investment and corporate financial policy', Quantitative Methods in Finance 2011 Conference, Sydney Australia.
Hulley, H & Platen, E 1970, 'A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales', SSRN Electronic Journal, Seminar on Stochastic Processes, Random Fields and Applications, Elsevier BV, Ascona, Switzerland, pp. 147-157.
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It is often important, in applications of stochastic calculus to financial modelling, to know whether a given local martingale is a martingale or a strict local martingale. We address this problem in the context of a time-homogenous diffusion process with a finite lower boundary, presented as the solution of a driftless stochastic differential equation. Our main theorem demonstrates that the question of whether or not this process is a martingale may be decided simply by examining the slope of a certain increasing function. Further results establish the connection between our theorem and other results in the literature, while a number of examples are provided to illustrate the use of our criterion.
Navone, M 1970, 'Investors' distraction and strategic repricing decisions', Financial Research Network Frontiers in Finance 2011 Annual Conference, Gold Coast, Australia.
Roesch, D & Scheule, H 1970, 'Systematic risk and parameter uncertainty in mortgage securitizations', Fifth Annual Risk Management Conference, Singapore.
Roesch, D & Scheule, HH 1970, 'Securitization Rating Performance and Agency Incentives', Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP, Fourth Joint BIS/ECB/World Bank Public Investors Conference, Washington DC, USA.
Scheule, H 1970, 'Systematic risk and credit ratings: How bonds and mortgage securitizations are different', Quantitative Methods in Finance 2011 Conference, Sydney Australia.
Schmidt, CH, Zhao, L & Terry, C 1970, 'Index effects: Further evidence for the S&P/ASX200', 24th Australasian Finance and Banking Conference 2011, Sydney Australia.
Yang, M & Wang, J 1970, 'Modelling the risk-return relationship which simultaneously takes into account of the risk premium and the volatility-feedback effect', Frontiers in Financial Econometrics Workshop, Brisbane, Queensland, Australia.
Zhao, L 1970, 'Signaling or Wealth Transfer: Evidence from the Response of Corporate Bonds to Payout Changes', Global Business & International Management Conference - Journal of Global Business Management, Global Business and International Management Conference, Global Business & International Management Conference, Seattle, USA, pp. 55-63.
Bird, R & Casavecchia, L 2011, 'Conditional style rotation model on enhanced value and growth portfolios: The European experience', Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality.
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This article analyses the extent of the excess returns that can be generated within the European markets by rotating one's portfolio between value and growth stocks. Academic and professional attention has been devoted in the past to the analysis of the potential value-enhancement generated by rotation strategies based on macroeconomic models and applied to value and growth portfolios and/or indexes. We demonstrate that such models can be employed successfully to rotate between value and growth portfolios that are formed using traditional valuation metrics. However, we find that the value-enhancing potential of such rotation strategies is eroded when the value and growth portfolios are themselves enhanced using market sentiment and financial health indicators. © 2011 Macmillan Publishers Ltd.
Hulley, H & Platen, E 2011, 'A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales', Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney.
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Research Paper Number: 263 Abstract: It is often important, in applications of stochastic calculus to financial modelling, to know whether a given local martingale is a martingale or a strict local martingale. We address this problem in the context of a time-homogenous diffusion process with a finite lower boundary, presented as the solution of a driftless stochastic differential equation. Our main theorem demonstrates that the question of whether or not this process is a martingale may be decided simply by examining the slope of a certain increasing function. Further results establish the connection between our theorem and other results in the literature, while a number of examples are provided to illustrate the use of our criterion.
Zhao, L 2011, 'Signaling or Wealth Transfer: Evidence from the Response of Corporate Bonds to Payout Changes'.
