Alexeev, V, Urga, G & Yao, W 2019, 'Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management', International Review of Economics & Finance, vol. 62, pp. 20-40.
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Aman, H, Beekes, W, Berkman, H, Bohmann, M, Bradbury, M, Chapple, L, Chang, M, Clout, V, Faff, R, Han, J, Hillier, D, Hodgson, A, Howieson, B, Jona, J, Linnenluecke, M, Loncan, T, McCredie, B, Michayluk, D, Mroczkowski, N, Pan, ZT, Patel, V, Podolski, E, Soderstrom, N, Smith, T, Tanewski, G, Walsh, K, Wee, M & Wright, S 2019, 'Responsible science: Celebrating the 50-year legacy of using a registration-based framework', Pacific-Basin Finance Journal, vol. 56, pp. 129-150.
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© 2019 Elsevier B.V. This paper represents the intersection of three spheres of influence, relevant to the global research community interested in a more reliable understanding of capital market phenomena. First, as a timely context, we celebrate the 50-year legacy of an iconic event study of accounting information and the evolution of stock prices, namely Ball and Brown (1968). Second, we add our voice to the growing call for researchers to follow principles of “responsible science”. Third, using the Ball and Brown paper as the inspiration, we report on an experiment in which several teams of researchers follow a registration-based editorial process, which illustrates one fruitful avenue for fostering responsible research into the future.
Armanious, A 2019, 'ECONOMIC PRINCIPLES IN THE INTERNATIONAL HANDBOOK ON TEACHING AND LEARNING ECONOMICS', Australasian Journal of Economics Education, vol. 16, no. 1, pp. 43-50.
Bertoni, F, Smales, LA, Trent, B & Van de Venter, G 2019, 'Do Item Writing Best Practices Improve Multiple Choice Questions for University Students?', SSRN Electronic Journal.
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Bohmann, M, Michayluk, D & Patel, V 2019, 'Price discovery in commodity derivatives: Speculation or hedging?', Journal of Futures Markets, vol. 39, no. 9, pp. 1107-1121.
Bohmann, M, Michayluk, D, Patel, V & Walsh, K 2019, 'Liquidity and earnings in event studies: Does data granularity matter?', Pacific-Basin Finance Journal, vol. 54, pp. 118-131.
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© 2019 Elsevier B.V. Market microstructure data availability has significantly improved over time and it is now possible to estimate liquidity measures at the nanosecond level. However, this level of data is unavailable in all markets and time periods and there is a significant cost and computational burden of high-frequency data. Goyenko et al. (2009) and Fong et al. (2017) show that various low-frequency liquidity measures can proxy for high-frequency benchmarks and show that the results are robust across countries and time. However, liquidity measures do not always behave in the expected fashion during periods of information asymmetry (Collin-Dufresne and Fos, 2015). Drawing from Ball and Brown (1968), we use an event study methodology to investigate whether the low-frequency measures of liquidity can proxy for high-frequency measures around earnings announcements (i.e., periods of information asymmetry). We find that the Closing-Price-Quoted-Spread is the best proxy for the percent-cost high-frequency benchmarks. In contrast, using cross-sectional, portfolio and individual time-series correlations the most consistent low-frequency cost-per-dollar proxies are the High-Low-Impact and Closing-Price-Quoted-Spread-Impact, however, the performance of these proxies weakens in the pre- and post-announcement periods around the earnings announcement.
Casavecchia, L & Ge, C 2019, 'Jack of all trades versus specialists: Fund family specialization and mutual fund performance', International Review of Financial Analysis, vol. 63, pp. 69-85.
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© 2019 This study is the first to explore the impact of specialization decisions by a fund family, as reflected by its asset-based concentration in the active management segment (ACF), on the performance of its equity mutual funds. We find that active funds of fund families with higher ACF enjoy superior performance and greater investor capital allocation. Importantly, funds of fund families with higher ACF exhibit greater reliance on private information production, a clear signal of managerial skill. Our findings are not explained by heterogeneity in total ownership costs and outsourcing arrangements of the fund family. By exploiting a quasi-experiment involving fund families’ sponsorship acquisition events, we show that fund performance deteriorates markedly when the acquiring fund family has lower ACF than the selling fund family. Last, we show that funds affiliated to fund families with higher ACF enjoy significant institutional advantages from better family-level allocation of resources to information production.
Cheng, B, Nikitopoulos, CS & Schlögl, E 2019, 'Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?', Journal of Futures Markets, vol. 39, no. 1, pp. 109-127.
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AbstractWe empirically assess hedging interest rate risk beyond the conventional delta, gamma, and vega hedges in long‐dated crude oil options positions. Using factor hedging in a model featuring stochastic interest rates and stochastic volatility, interest rate hedges consistently provide an improvement beyond delta, gamma, and vega hedges. Under high interest rate volatility and/or when a rolling hedge is used, combining interest rate and delta hedging improves performance by up to four percentage points over the common hedges of gamma and/or vega. Thus, contrary to common practice, hedging interest rate risk should have priority over these “second‐order” hedges.
Cheng, Y, Lv, K, Wang, J & Xu, H 2019, 'Energy efficiency, carbon dioxide emission efficiency, and related abatement costs in regional China: a synthesis of input–output analysis and DEA', Energy Efficiency, vol. 12, no. 4, pp. 863-877.
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This paper attempts to examine energy efficiency, carbon dioxide (CO2) emission efficiency, and related abatement costs of China’s regions in 2012 by considering embodied carbon caused by trade. To this end, a combined approach with environmentally extended input–output analysis (EEIO) and DEA is proposed. We first apply the EEIO model to measure CO2 emissions of 30 China’s regions from the consumption perspective, which can identify the described embodied carbon. According to the amounts of CO2 emissions with respect to the production-based and consumption-based principles, 30 regions are divided into two groups, i.e., emission-importing regions and emission-exporting regions. For emission-importing regions, CO2 emissions from the consumption perspective exceed that from the production-based perspective. The emission-exporting regions exhibit the opposite case. Our results show that energy efficiency and CO2 emission abatement costs will be underestimated in both groups when ignoring the embodied carbon emissions. The emission-importing regions evidence higher efficiency scores and abatement costs than those emission-exporting regions, and there is a significant difference between these two groups in terms of energy efficiency and CO2 emission efficiency, whereas there is no significant difference with respect to CO2 emission abatement costs. It is interesting that emission-exporting regions enjoy a slight increase in CO2 emission efficiency whereas emission-importing regions suffer from a decrease. Some useful policy implications are achieved.
Michayluk, D, Neuhauser, K & Walker, S 2019, 'Are All Dividends Created Equal? Australian Evidence Using Dividend‐Increase Track Records', Accounting & Finance, vol. 59, no. 4, pp. 2621-2643.
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© 2017 AFAANZ Recent research indicates that the signal sent by a dividend change is more powerful for longer histories of unchanged dividends. We study the dividend history of Australian firms to investigate whether the signalling power of a dividend increase varies with the frequency of repetition. We find that the first three consecutive dividend increases are associated with significantly positive abnormal returns, and subsequent increases are generally not significant, even after controlling for the interaction effect with the simultaneously announced earnings information. Our results support the hypothesis that repeating a dividend increase eventually leads to a reputation for further increases and weakens the value of subsequent increases as a means of disseminating management's private information.
Michayluk, D, Walker, S & Neuhauser, K 2019, 'Dividend Consistency: Rewards, Learning, and Expectations', Journal of Applied Corporate Finance, vol. 31, no. 4, pp. 118-128.
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Park, RJ, Xu, S, In, F & Ji, PI 2019, 'The long-term impact of sovereign wealth fund investments', Journal of Financial Markets, vol. 45, pp. 115-138.
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Putniņš, TJ & Sauka, A 2019, 'Why Does Entrepreneurial Orientation Affect Company Performance?', Strategic Entrepreneurship Journal, vol. 14, no. 4, pp. 711-735.
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© 2019 Strategic Management Society Research summary: To better understand why entrepreneurial orientation (EO) is positively associated with company performance, we propose and test a reconceptualization of how the components of EO (risk-taking, innovativeness, proactiveness) combine in driving performance. Drawing on financial economics theory, our conceptualization highlights that all three components positively contribute to performance, but in different ways. Risk-taking has a direct positive relationship with performance, which can be understood through the risk–return tradeoff that is central in financial economics theory. The relationship between risk-taking and performance is conditional on the level of innovativeness and thus innovativeness contributes to performance through its effect on the type of risk-taking. Proactiveness contributes to performance through its positive effect on the level of risk-taking. Managerial summary: This study analyzes three key drivers of company performance: risk-taking, innovativeness, and proactiveness. We show that constructive risk-taking is the central driver of company performance, mirroring the principle of risk and return in financial investment settings. Risk- taking that is associated with innovation has a particularly strong positive relationship with performance, consistent with innovation being a driver of growth and profitability. More proactive firms tend to take on more risk and thus also perform better than less proactive firms.
Pysarenko, S, Alexeev, V & Tapon, F 2019, 'Predictive Blends: Fundamental Indexing Meets Markowitz', Journal of Banking and Finance, vol. 100, pp. 28-42.
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Wang, Y & Wang, J 2019, 'Does industrial agglomeration facilitate environmental performance: New evidence from urban China?', Journal of Environmental Management, vol. 248, pp. 109244-109244.
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© 2019 This paper presents new evidence on the impact of industrial agglomeration on environmental performance with a sample of prefectural-cities in China. When environmental performance is represented by pollution intensity, the impacts of industrial agglomeration on pollution intensity in terms of sulfur dioxide and soot show the heterogeneous pattern. The results support the existence of a non-linear pattern between agglomeration and emission intensity of sulfur dioxide, whereas the non-linear model could not hold for the emission intensity of soot. However, when we measure environmental performance with environmental efficiency estimated by a data envelopment analysis approach, it documents a U-shape relationship between industrial agglomeration and environmental efficiency. Specifically, environmental efficiency deteriorates in the early stage of industrial agglomeration and then improves as local industrial agglomeration proceeds. Different estimation strategies provide consistent evidence to verify such U-shape pattern.
Bohmann, MJM, Michayluk, D & Patel, V 1970, 'Price discovery in commodity derivatives: Speculation or hedging?', Journal of Futures Markets, Vietnam International Conference in Finance, Wiley, Ho Chi Minh City, pp. 1107-1121.
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AbstractWe investigate whether commodity futures or options markets play a more important role in the price discovery process in the six most actively traded markets: crude oil, natural gas, gold, silver, corn, and soybeans. Using new information leadership techniques, we report new evidence and report that both markets make a meaningful contribution to price discovery in recent times; however, on average, options lead futures in reflecting new information for a majority of these commodities. We find that increased speculation, rather than hedging activity, in commodity derivatives is a key determinant of price discovery in the options markets.
Felez Vinas, E 1970, 'Effects of market fragmentation on resiliency', New Zealand Finance Meeting, Auckland, New Zealand.
Felez Vinas, E 1970, 'Short selling bans and resiliency', 2019 FIRN Annual Meeting, Byron Bay, Australia..
Kang, B, Nikitopoulos Sklibosios, C & Prokopczuk, M 1970, 'An anatomy of the volatility term structure in crude oil futures markets', 3rd Australasian Commodity Markets Conference, Sydney, Australia.
Patel, V, Putniņš, TJ, Michayluk, D & Foley, S 1970, 'Price Discovery in Stock and Options Markets', 1st Paris Financial Management Conference, Paris, France.
Xu, J 1970, 'The Gender Gap in Executive Promotions', 2019 China International Finance Conference, Guangzhou, China.
Xu, J & Choi, S 1970, 'Why Do Underperforming CEOs Retain Their Jobs? Evidence from Executive Turnover', FIRN Women 2019 Conference, Brisbane, Australia.
