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Publications

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Books

Ross, S.A., Trayler, R., Van de Venter, T.W., Bird, R., Westerfield, R.W. & Jordan, B.D. 2017, Essentials of Corporate Finance, 4th, McGraw Hill, Sydney, Australia.

Chapters

Cotton, D.J. & Buzevska, M. 2017, 'Trading under uncertainty: An investigation of the Australian emissions market' in Lehner, O.M. (ed), Routledge Handbook of Social and Sustainable Finance, Taylor and Fracis, London, UK, pp. 571-586.

Cotton, D.J. & Buzevska, M. 2017, 'Trading under uncertainty: An investigation of the Australian emissions market' in Routledge Handbook of Social and Sustainable Finance, Taylor and Francis, London, UK, pp. 571-586.
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Journal articles

Alexeev, V., Dungey, M. & Yao, W. 2017, 'Time-varying continuous and jump betas: The role of firm characteristics and periods of stress', Journal of Empirical Finance, vol. 40, pp. 1-19.
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Using high frequency data we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents over 2003-2011 generally exceed the corresponding continuous betas. Smaller stocks are more sensitive to discontinuities than their larger counterparts, and during periods of financial distress, high leverage stocks are more exposed to systematic risk. Higher credit ratings and lower volatility are each associated with smaller betas. Industry effects are also apparent. We use the estimates to show that discontinuous risk carries a significantly positive premium, but continuous risk does not.

Anthonisz, S. & Putnins, T.J. 2017, 'Asset pricing with downside liquidity risks', Management Science, vol. (Forthcoming).
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Bird, R., Gao, X. & Yeung, D. 2017, 'Time-series and cross-sectional momentum strategies under alternative implementation strategies', Australian Journal of Management.
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Cerrato, M., Crosby, J., Kim, M. & Zhao, Y. 2017, 'Relation between higher order comoments and dependence structure of equity portfolio', Journal of Empirical Finance, vol. 40, pp. 101-120.
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© 2016 Elsevier LtdWe study a relation between higher order comoments and dependence structure of equity portfolio in the US and UK by relying on a simple portfolio approach where equity portfolios are sorted on the higher order comoments. We find that beta and coskewness are positively related with a copula correlation, whereas cokurtosis is negatively related with it. We also find that beta positively associates with an asymmetric tail dependence whilst coskewness negatively associates with it. Furthermore, two extreme equity portfolios sorted on the higher order comoments are closely correlated and their dependence structure is strongly time-varying and nonlinear. Backtesting results of value-at-risk and expected shortfall demonstrate the importance of dynamic modeling of asymmetric tail dependence in the risk management of extreme events.

Chen, Z., Gallagher, D.R. & Lee, A.D. 2017, 'Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure', Accounting and Finance, vol. 57, no. 1, pp. 113-129.
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© 2016 AFAANZ.This study examines a number of portfolio disclosure regimes with respect to accuracy and susceptibility to copycat behaviour in an environment absent of mandatory disclosure. We find that periodic portfolio disclosure tends to underestimate true excess performance as well as idiosyncratic risk in top-quartile fund managers, with longer inter-reporting intervals tending to result in greater differences. 'Copycat funds' following the disclosed holdings of top-tier managers significantly underperform the underlying fund, while copycats following bottom-tier managers significantly outperform the underlying fund. Our findings suggest that periodic reporting at monthly intervals or longer would not affect fund alpha generation.

Chiarella, C., He, X.Z., Shi, L. & Wei, L. 2017, 'A behavioural model of investor sentiment in limit order markets', Quantitative Finance, vol. 17, no. 1, pp. 71-86.
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© 2016 Informa UK Limited, trading as Taylor & Francis GroupBy incorporating behavioural sentiment in a model of a limit order market, we show that behavioural sentiment not only helps to replicate most of the stylized facts in limit order markets simultaneously, but it also plays a unique role in explaining those stylized facts that cannot be explained by noise trading, such as fat tails in the return distribution, long memory in the trading volume, an increasing and non-linear relationship between trade imbalance and mid-price returns, as well as the diagonal effect, or event clustering, in order submission types. The results show that behavioural sentiment is an important driving force behind many of the well-documented stylized facts in limit order markets.

Claussen, A., Löhr, S., Rösch, D. & Scheule, H. 2017, 'Valuation of systematic risk in the cross-section of credit default swap spreads', Quarterly Review of Economics and Finance.
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© 2016 Board of Trustees of the University of Illinois.We analyze the pricing of systematic risk factors in credit default swap (CDS) contracts in a two-stage empirical framework. Firstly we estimate contract-specific sensitivities (betas) to several systematic risk factors by time-series regressions using quoted CDS spreads of 339 U.S. entities from January 2004 to December 2010. Secondly, we show that these contract-specific sensitivities are cross-sectionally priced in CDS spreads after controlling for individual risk factors. We find that the credit market climate, the Cross-market Correlation, and the market volatility explain CDS spread changes and that their corresponding sensitivities (betas) are particularly priced in the cross-section. Our basic risk factors explain about 83% (90%) of the CDS spreads prior to (during) the crisis.

Ekstrom, E., Glover, K. & Leniec, M. 2017, 'Dynkin games with heterogeneous beliefs', Journal of Applied Probability.

He, X. & Shi, L. 2017, 'Index Portfolio and Welfare Analysis Under Heterogeneous Beliefs', Journal of Banking and Finance, vol. 75, pp. 64-79.
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He, X. & Treich, N. 2017, 'Prediction market prices under risk aversion and heterogeneous beliefs', Journal of Mathematical Economics, vol. 70, pp. 105-114.
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He, X.Z., Lütkebohmert, E. & Xiao, Y. 2017, 'Rollover Risk and Credit Risk under Time-varying Margin', Quantitative Finance, vol. 17, no. 3, pp. 455-469.

Karlsson, P., Pilz, K. & Schlogl, E. 2017, 'Calibrating a Market Model with Stochastic Volatility to Commodity and Interest Rate Risk', Quantitative Finance.

Khan, M.S., Scheule, H. & Wu, E. 2017, 'Funding liquidity and bank risk taking', Journal of Banking and Finance.
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© 2016 Elsevier B.V.This study examines the relationship between funding liquidity and bank risk taking. Using quarterly data for U.S. bank holding companies from 1986 to 2014, we find evidence that banks having lower funding liquidity risk as proxied by higher deposit ratios, take more risk. A reduction in banks' funding liquidity risk increases bank risk as evidenced by higher risk-weighted assets, greater liquidity creation and lower Z-scores. However, our results show that bank size and capital buffers usually limit banks from taking more risk when they have lower funding liquidity risk. Moreover, during the Global Financial Crisis banks with lower funding liquidity risk took less risk. The findings of this study have implications for bank regulators advocating greater liquidity and capital requirements for banks under Basel III.

Michayluk, D.M. & Gerig, A. 2017, 'Automated Liquidity Provision', Pacific-Basin Finance Journal.

Navone, M., Dahiya, S. & Iannotta, G. 2017, 'Firm Opacity Lies in the Eye of the Beholder', Financial Management.

Nguyen, P., Rahman, N. & Zhao, R. 2017, 'Returns to acquirers of listed and unlisted targets: An empirical study of Australian bidders', Studies in Economics and Finance, vol. 34, no. 1, pp. 24-48.
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Purpose This paper aims to evaluate the robustness of the listing effect in Australia, that is whether acquisitions of private firms create more value to the bidding firm’s shareholders than acquisitions of publicly listed firms. Design/methodology/approach The authors analyze the market reaction to the announcement of takeover bids initiated by Australian public firms on private and public targets over the period 1990-2011. The analysis controls for a wide range of bidder, deal and target country characteristics that are likely to correlate with the target’s listing status and acquirer abnormal returns. The authors also use a selection model to address the endogenous choice of the target’s listing status. Findings The results indicate that bidders experience significantly higher abnormal returns of about 1.7 per cent in the 11-day event window when the target is a private firm. The authors show that this result is broad-based and persistent. It does not appear to depend on whether the target is small or large; whether it is related or unrelated to the bidder’s industry; whether it is in the resources sector; and whether the transaction is domestic or cross-border. They find some evidence that bidder returns might be stronger for larger acquisitions, for unrelated targets, and in poor market conditions such as in the wake of the recent global financial crisis. Research limitations/implications The research would benefit from the inclusion of the bidding firm’s ownership and governance characteristics. Practical implications The results support the view that market frictions contribute to make private firms attractive targets. Originality/value The analysis confirms the pervasiveness of the listing effect in a market characterized by a lesser degree of competition, higher search costs and the significance of the natural resources sector.

Parlapiano, F., Alexeev, V. & Dungey, M. 2017, 'Exchange rate risk exposure and the value of European firms', European Journal of Finance, vol. 23, no. 2, pp. 111-129.
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© 2015 Taylor & FrancisThis paper presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011, we assess the impact of unexpected fluctuations in the USD, JPY, GBP and CHF against the Euro, and show that the proportion of firms subject to exchange rate risk is considerably larger when estimation accounts for potential common drivers and firm-specific factors than otherwise. Firm exposure to exchange rate risk is affected by the level of international involvement, industry, firm size and country of origin. European firms with largely domestic operations reveal the greatest vulnerability to unexpected exchange rate movements, suggesting an opportunity to improve risk management for these companies.

Conferences

Hutcheson, T.J. & Newell, G. 2017, 'Property Investment Decision-Making by Superannuation Funds', Pacific Rim Real Estate Society 23rd Annual Conference, Sydney, Australia.

Other

Aliyev, N. & He, X. 2017, 'Ambiguous market making', SSRN.

He, X., Li, K. & Shi, L. 2017, 'Social interactions, stochastic volatility, and momentum', SSRN.

Hommes, C.H. & Li, K. 2017, 'Production Delay and Belief Distributions in a Continuous-Time Cobweb Model'.