bluuebunny/crossref_metadata_2025 huggingface dataset:
Examining Perceptions of and Preferences for Different Wage Systems: A Joint Space Approach
Authors: Soutar Geoffrey N. , Dufty Norman F. , Savery Lawson K.
Published: January 2010

Wage systems have an significant impact on the community and, over the years, a variety of wage policies have been used in Australia. The basic attitudes of political parties, the union movement and employer organisations are well known but public opinion has not been extensively probed. A sample of adults in Perth, Western Australia was asked a series of questions about five wage policies. Joint mapping procedures were used to explore the cognitive dimensions by which people evaluated such policies and the preferences they had towards them. The results obtained are outlined and discussed.
Shares, Bonds, Treasury Notes, Property Trusts and Inflation: Historical Returns and Risks, 1974-1985
Authors: Ball Ray , Bowers John
Published: January 2010

Historical mean returns and risk measures are presented for four classes of assets, in both nominal and inflation-adjusted for M. Over the period 1974–85, Australian stocks and property earner appreciably more than inflation, whereas Government securities earned a zero or very low real rate of return. Equity returns were of course much riskier than bond returns, and property was more like equity than fixed interest securities in terms of risk. All four classes of investment assets were poor hedges against inflation.
Defence Strategies of Listed Companies Under the Takeover Code
Authors: Casey Roger S. , Eddey Peter H.
Published: January 2010

This paper reports the results of an investigation into takeover defence strategies used by Australian listed companies since the inception of the Takeover Code in 1981. The results are compared to Trotman's (1981) analysis of defence strategies used while the Companies Act, 1961 was in force. Conclusions are drawn about the effects the Takeover Code and its administration have had on tactics employed by directors to defend a takeover bid.
Divisionalisation and Size: A Reply to Grinyer
Authors: Donaldson Lex
Published: January 2010

Adoption of the divisional for M of organisation structure has been explained with reference to size. The present author (Donaldson 1982a) has argued against this view and asserted that strategy is a more compelling explanation theoretically and empirically. Grinyer (1982) has defended the argument from size. The present paper replies to Grinyer. It points to continuing theoretical weaknesses with size. Aspects of the defence by Grinyer are challenged. And his criticisms of the empirical research of Donaldson (1982a) are answered. Several causal models are explicated from Grinyer (1982). Fresh evidence is adduced against three out of four of them. The conclusion is that strategy is a more important cause of divisionalisation than size.
A Corrected Statex-Actuaries Daily Accumulation Index
Authors: Ball Ray , Bowers John
Published: January 2010

The Statex-Actuaries Daily Accumulation Index is the only index for Australian equity markets which incorporates dividends, has daily observations, and has a long sample period. It is thus of considerable interest to researchers in finance who need to work with daily data. Unfortunately, a peculiarity in the design of the index means that it does not provide a true measure of daily total returns to equity. For example, on approximately 40% of days covered by the index, the accumulation return exceeds the corresponding price return. This is logically absurd, since dividends are not negative. The paper describes the index, identifies the problem in its construction, devises a method for overcoming this problem, and provides a computer program to implement this method.
The Share Market's Assessment of Initial Acquisitions by Seven Controversial Investors
Authors: Dechow Patricia
Published: January 2010

Recent years have seen an increase in takeover activity in the Australian share market. During this time several of the more active investors have been assigned the image of “corporate raider” by the media. This study looks at the share market reaction to seven such investors, namely, Lawrence Adler, Ron Brierley, Alan Bond, John Elliott, Lee Ming Tee, Robert Holmes à Court and John Spalvins. The findings are consistent with those of Holderness and Sheehan (1985). The evidence indicates that over the period 1981 to 1986, announcements of initial share acquisitions by these investors resulted in significant increases in the share price of the target firm. This is inconsistent with the raiding hypothesis. Some alternative explanations are discussed.
The Effects of Positive versus Negative Feedback on Rôle Ambiguity
Authors: Wood Robert E. , Arasu Sukumar
Published: January 2010

The present study examined the directing, as distinct from the motivational, effects of feedback sign. Rôle ambiguity was chosen as the dependent variable because the directing function of feedback relates directly to the level of task understanding and not, necessarily, to the level of task effort. It was hypothesised that positive feedback would have a stronger directing effect than negative feedback and, therefore, would lead to greater reductions in rôle ambiguity. Survey data were collected from 530 subjects in a variety of jobs in four different Australian organisations. The hypothesised effects were supported. However, multicollinearity between feedback amount and positive feedback reduced the latter to nonsignificance in a model including both variables. Tests for possible moderators showed that positive feedback had a greater effect on rôle ambiguity than did negative feedback for all job types in all organisations. All results were cross validated on two randomly selected sub-samples.
The Attitudes of Professionals Towards Job Sharing
Authors: Wood J. M. , Wattus G.
Published: January 2010

This paper investigates the attitudes of a sample of engineers, medical technologists and primary school teachers regarding the perceived effects that job sharing may have upon: (a) the working conditions of these professionals; (b) the supply and demand of labour to these professions; (c) the administration of these professionals; and (d) the social relationships and interactions of these professionals. The findings strongly support the introduction of job sharing into these professions as an overall benefit-cost ratio of 6:1 was obtained. The results of this study are then compared against a number of other recent Australian studies in this area.
On Redesigning an Academic Journal
Authors: Marks Robert
Published: January 2010

The purpose of this paper is to explain the process of redesign that the JOURNAL has recently undergone, and to discuss likely changes in the submission and editing process which may soon affect authors, editors, and reviewers. Written by one of the editors of the JOURNAL in his capacity as designer of its new appearance and overseer of its production editing, the paper argues for the importance of design and layout—elements of the delivery of the theory and results of papers almost entirely overlooked by authors. After outlining pitfalls in moving from typewriter to typesetter, the paper describes the design choices made at the JOURNAL, and its partly automated copy-editing. Using standard protocols, authors and editors will increasingly communicate electronically. The paper includes discussion of mark-up text processors and suggestions for authors who wish to submit their manuscripts on computer disk.
Managerial Decision Making: Comparison of Participative Decision Methods in Australian and Singaporean/Hong Kong Chinese Samples
Authors: Bottger Preston C. , Yetton Philip W.
Published: January 2010

This exploratory study compares the decision-making styles of Singaporean and Hong Kong Chinese (SHK) managers and Australian (AUS) managers. On hypothetical standardised problems, these managers appear to use similar levels of participation in response to similar situational contingencies. However, on actual problems the decision-making effectiveness of SHK managers appears to be more sensitive to variations in leader infor Mation than in leader power, and viceversa for Australian managers. This finding is consistent with reported differences in value dimensions across the two samples. Subjects are 93 managers from Singapore and Hong Kong and 99 managers from Australia.
An Empirical Study of Product Management in Australia
Authors: Dawes P. L. , Patterson P. G.
Published: January 2010

This study examines the use of the product management system in Australia, the nature of the product manager's rôle, and product manager perfor Mance. Responses from 201 senior marketing executives showed that product managers are now used in many different types of industries. Factor analysis revealed that product managers typically perfor M four basic rôles: (a) coöordination/implementation; (b) short-term analysis/forecasting; (c) long-term/strategic planning and, (d) product development. The results show that marketing executives do not view these rôles to be of equal importance. Importance-perfor Mance analysis indicated that the perfor Mance of product managers varied considerably across these four rôles.
Bonus Issues, Share Splits and Ex-Day Share Price Behaviour: Australian Evidence
Authors: Sloan Richard G.
Published: January 2010

A number of recent U.S. studies have documented positive abnormal returns on, and in the period immediately surrounding, the day stocks trade “ex” stock dividends and splits. This paper investigates return behaviour on and around the ex-days of similar Australian capitalisation changes. Using daily transaction prices for a sample of Australian bonus issues and share splits, the U.S. findings of positive abnormal returns on the ex-day itself are not confirmed. However, on extending the sample to include “buy-sell” quote estimates of share prices, positive abnormal ex-day returns appear. Possible explanations for these results are considered.
Arson and Its Management in NSW
Authors: Hall Chris
Published: January 2010

Arson is a serious and growing problem in N.S.W. Results presented here suggest that the replacement costs alone of arson damage amount to as much as $65 million p.a., and that the incidence of arson is doubling about every eight years. As a crime, arson is particularly wasteful. Most commercial crime is neutral in that it is simply redistributive, but commercial arson achieves the redistribution by destroying resources. The management of arson poses special problems because of the diffuse and complex nature of its impact. The existing organisational framework is not as well suited as it might be to the development and coördination of portfolio of arson management strategies. Some avenues for improvement in the management of arson are explored.
Put Call Parity Theory: Evidence From The Big Australian
Authors: Loudon Geoffrey F.
Published: January 2010

This paper provides Australian evidence, obtained during unusual trading conditions, on put call parity theory. The empirical results show that observed violations of the theory are insufficient to indicate that economic profits can be derived therefrom after allowing for normal transaction costs. Observed violations cannot be explained by the presence of nonsimultaneous price data. The impact of certain institutional restrictions is considered and the existence of transaction costs appears to have the most significant influence.
Some Observations on Wage-Setting Practices in The Australian Labour Market System
Authors: Chapman Bruce J.
Published: January 2010

The Theme of this paper is that an inherent conflict exists both for those who want to radically refor M the Australian institutional wage-setting system and for those who want to maintain the status quo. There is evidence from theory, supported in the main by empirical evidence, consistent with the view that wage regulation has inhibited the attainment of on-the-job training, with concomitant implications for the development of technological change and economic growth. On the other hand, a centralised wage settlement system facilitates the adoption of a concensual incomes policy, such as the Accord, which has apparently helped deliver favourable wage and industrial disputation outcomes. The challenge is to find processes that promote movements towards establishment-based wage bargaining without threatening the benefits of economy-wide income settlement.
Are Workers Overpaid By Big Firms?
Authors: Oi Walter Y.
Published: January 2010

What is pay? Under what conditions might overpayment be said to occur? The author develops a theory of wages. He explores reasons for firm size differentials. He examines post-war developments in the U.S. labour market to attempt to answer the question posed in the paper's title.
Directors' Recommendations in Response to Takeover Bids: Do They Act in Their Own Interests?
Authors: Eddey Peter H. , Casey Roger S.
Published: January 2010

The extent to which directors of target companies act in their own interests, and not shareholder interests, when a takeover bid is received is examined using data from 400 takeover bids for Australian listed companies. A series of hypotheses is developed from theoretical inquiry into the motives of target company directors. Using univariate and multivariate analysis to test these hypotheses, it is found that directors' accept/reject recommendations to shareholders are associated with target leverage, bid premium, bidder's initial shareholding, ownership concentration (univariate only) and directors' shareholding in the target (univariate only). It is concluded that, overall, directors have acted in a manner consistent with shareholder interests, even though personal wealth effects are greatest for directors of bid-accept targets.
Relationships Among Work Values and the Self-Perceived Perfor Mance and Effort of Chartered Accountants in Australia: An Exploratory Study
Authors: Peirson C. G. , Simnett R. , Pratt J. H.
Published: January 2010

This study examines the work values of chartered accountants in Australia. Four distinct work values (Career-Orientation, Certainty-Seeking, Altruism, Conflict-Avoidance) were identified and it was found that these work values were associated with the chartered accountants' self-perceptions of work perfor Mance and work-related effort. The sample is 154 accountants working in five firms.
Some Estimates of Direct and Indirect Bankruptcy Costs in Australia: September 1978–May 1983
Authors: Pham T. , Chow D.
Published: January 2010

This study estimates some direct and indirect costs of bankruptcy in the Australian context from September 1978 to May 1983.

The findings are: first, there was some degree of capital market inefficiency in the processing of infor Mation relevant to the bankrupt firms; second, bankruptcy costs, in particular indirect costs, were sizeable, approximately over 20% of firm's value; third, the expected present value of bankruptcy costs greatly exceeded the tax benefits from leverage for thirteen of the fourteen firms under study; and, fourth, there was a negative relationship between corporate leverage and the probability of bankruptcy (or expected bankruptcy costs), implying capital structure decisions are affected by the prospect of bankruptcy costs.
Explaining the Incidence of Worker Participation in Management: Evidence from the Australian Metal Industry
Authors: Frenkel Stephen J.
Published: January 2010

The paper begins with a brief summary of arguments regarding the development of employee participation in decision-making. The incidence of various types of employee participation schemes in the Australian metal industry are described using a survey of management respondents. Probit analysis is then employed to estimate the most significant factors influencing the incidence of these schemes. Variables associated with management choice theory rather than organisational or structuralist arguments are found to have most explanatory power. The paper argues for more research on the connection between management style and employee participation.
The Impact of Microelectronics on Scale in Manufacturing Industries
Authors: Markowski S. , Jubb C. D.
Published: January 2010

The traditional treatment of economies of scale ignores the complexity of manufacturing processes and is inadequate for an analysis of the impact of technological change. Complexity in manufacturing processes results, inter alia, from the multi-product capabilities of production facilities and the need to control the production of several outputs. This aspect of production activity must be addressed if the economics of diffusion of microelectronics-based technologies is to be studied.

This paper examines the sensitivity of cost functions to changes in the characteristics and utilisation of production facilities and discusses the impact of microelectronics on scale, scope and scheduling flexibility of manufacturing facilities.
Behaviour of CAPM Anomalies in Smaller Firms: Australian Evidence
Authors: Anderson Don , Lynch Anthony , Mathiou Nicholas
Published: January 2010

This study considers the behaviour of the size, price earnings and book value anomalies in smaller firms. It does so by first separately, and then simultaneously, examining the effect of all three firm variables in the Australian stock market, where large firms are no bigger than the smaller firms in the United States. Of the three effects only the book value and (previously confirmed) small firm main effect, but not the P/E effect, is present for Australian stocks. This result suggests that the P/E effect reported in the U.S. literature may disappear in (very) small U.S. stocks. With regard to possible subsumptions and interactions between the effects, our results indicate, though inconclusively, that the small firm effect is driving the book value main effect.
Predictive Disequilibria and the Short Run Dynamics of Asset Prices
Authors: Bowden Roger J.
Published: January 2010

The received theory of efficient capital markets is based on an equilibrium to a predictive game. As such, it does not cope with the observed volatility of many asset markets, or with the evident existence of contingent or actional rules such as chartism. Choosing a simple martingale (random walk) for the fundamental equilibrium model, we show that the coexistence of a commonly used chartist rule will imply an evolutionary mixture of rules, all of which represent attempts at unbiased forecasts, but which are unavoidably myopic in their concentration on the structure as it exists at any one point in time. Rule mixtures do not as such create patterns; these are instead generated as disequilibrium traverses by the continual revision of rules. Once a pattern becomes evident, ad-hoc rules such as adaptive or extrapolative expectations will have local success, leading to overshooting behaviour that ex-post can validate the original chartist recommendation and may also induce speculative bubbles. Empirically, such local patterns contradict the fractal character of the random walk.
Models of Inflation Forecasts: Some Australian Evidence
Authors: Chan Keith K.W. , Pham Toan M.
Published: January 2010

This paper provides Australian evidence of the comparative forecasting power of the three inflation models (interest rate, time series, and survey forecasts). In particular, it examines the rationality (in the Muthian sense) of the survey forecasts.

The following results are obtained: first, the survey forecasts are rational; and, second, the survey has the highest forecasting power.
The Predictiveness of Bankruptcy Models: Methodological Problems and Evidence
Authors: Pacey John W. , Pham Toan M.
Published: January 2010

This paper addresses three methodological problems in previous studies of bankruptcy models using MDA and logit/probit techniques: (i) the use of choice-based and equally distributed samples in model estimation and validation; (ii) the use of arbitrary cut-off probabilities; and, (Hi) the assumption of equal costs of errors in prediction tests. Corrected MDA and probit models are estimated for a sample of Australian companies from 1966 to 1986.

In contrast to previous studies our results show that first, bankruptcy prediction models based upon publicly available financial statement infor Mation possess insignificant predictive power; and second, the variables chosen for such models are characterised by non-multivariate normality and heteroskedasticity.
Sex of Applicant and the Availability of Business “Start-Up” Finance
Authors: Fay Michael , Williams Lesley
Published: January 2010

While women are undoubtedly disadvantaged in the process of preparing for a career in business ownership, there is a lack of experimental evidence to verify the belief that loan managers discriminate against women at the point of loan application. This study, therefore, investigates the extent to which concerns that women in business face discrimination from trading banks when seeking to raise start-up capital are valid. Scenarios of an application for loan finance to purchase a commercial enterprise were mailed to loan officers of major trading bank branches. The scenarios were identical in all respects, except that half included a photograph of a male applicant and the remainder a photograph of a female.

Loan officers were asked whether or not they would approve loan finance for the proposed business, and to indicate factors that contributed to their decision. Significant differences in loan officer response to female and male applicants were observed. This supported the widely held perception that women face discrimination in seeking start-up capital.
A Note on the Accuracy of Business Economists' Gold Price Forecasts
Authors: Selvanathan E. A.
Published: January 2010

Until recently the Economic Research Centre (ERC) panel at the University of Western Australia published forecasts of future gold prices in The West Australian newspaper. This note assesses the accuracy of these forecasts. The results show that the actual gold price series follows a simple random walk and that the forecasts obtained from this model perfor M slightly better than those of the ERC panel.
Inflation Insurance for Australian Annuitants
Authors: Formica Andrew , Kingston Geoffrey
Published: January 2010

In the burgeoning market for immediate annuities, products offering payments escalated at a fixed rate of 5% per year have been greatly outselling their CPI-indexed counterparts, thanks to the lure of high early payments. Modifying recent analogies between inflation insurance of annuity streams and sequences of call options on synthetic CPI futures, we estimate the cost of insuring fixed-escalation annuity streams against prespecified drops in purchasing power. With such insurance, annuitants could enjoy reasonably high early payments without risking an inordinately low standard of living after some years of sustained high inflation, or towards the end of a long life.
The Emerging Australian Manufacturing Export Response to Microeconomic Reform
Authors: Swan Peter L. , Zeitsch John
Published: January 2010

Is removal of tariff protection the key to the growth of manufacturing exports? Existing analyses of microeconomic reform have shown large improvements to mining. We use a less constrained version of the economic model ORANI to show that manufacturing exporters are the major beneficiaries of free trade and adoption of international best practice. A multi-attributable model is used to identify industries with export potential. Benefiting areas include transport, electronic and electrical equipment, construction machinery, chemicals, and iron and steel.
Strategy-Comprehensiveness Fit and Perfor Mance
Authors: Bahaee Mahmood S.
Published: January 2010

This paper attempts to establish the applicability of the Miles and Snow typology of strategic orientation to small, entrepreneurial organisations. It posits that congruence between strategic orientation and decision making comprehensiveness of the strategic planning process is a superior determinant of firm perfor Mance to planning alone. An empirical study in the Regional Airline industry was conducted to investigate this proposition. Results support the importance of the congruence construct in determining perfor Mance in small, entrepreneurial ventures.
The Ex-Dividend Day Behaviour of Australian Share Prices Before and After Dividend Imputation
Authors: Brown Philip , Clarke Alex
Published: January 2010

We document shifts in the ex-dividend day pricing of Australian shares that paid cash dividends between 1973 and 1991, and relate these shifts to three major changes in the taxation of capital gains, dividends and superannuation funds. Despite the changes, which on the whole increasingly favoured dividends over capital gains, shareholders have continued to prefer capital gains. One change was the introduction of dividend imputation in 1987. While the market took some time to adjust to dividend imputation, by 1990 shareholders typically obtained 80% of the benefit of the imputed tax credit.
Australian Tax Changes and Dividend Reinvestment Announcement Effects: A Pre- and Post-Imputation Study
Authors: Chan Keith K.W. , McColough Damien W. , Skully Michael T.
Published: January 2010

This paper used an event study approach to examine the impact of dividend reinvestment plans on shareholders' returns in the pre- and post-imputation environments. The daily share return behaviour indicated that the announcement to introduce a dividend reinvestment plan (DRP) was received indifferently by the market before 1 July 1988, but was valued positively after superannuation funds were able to benefit from the imputation credits. Moreover, the simple market-adjusted returns model and the market model had similar power in detecting abnormal returns in an Australian context.
The Hassled Decision Maker: The Effects of Perceived Time Pressure on Information Processing in Decision Making
Authors: Mann Leon , Tan Charlotte
Published: January 2010

Managers are often required to make complex decisions under severe time constraints. We predicted that the perception of time pressure, even when there is sufficient time to make a decision, may impair decision making activity. A pilot study and two experiments were conducted on a sample of 162 university students, who were assigned to a time-pressure condition or a no time-pressure condition. In support of the prediction, time-pressured students generated fewer objectives and alternatives and considered fewer consequences. The “hassled decision maker” effect may be due to: the disruptive effects of psychological stress; the need for rapid cognitive closure; interruptions due to continual monitoring of time and deadlines; and, resentment at the demand to work quickly. Implications of the findings for management practice are discussed.
Non-simultaneity and Apparent Option Mispricing in Tests of Put-Call Parity
Authors: Easton Stephen A.
Published: January 2010

Transaction costs have been offered as the most likely explanation for apparent mispricing found in recent studies of the Australian options market. This paper suggests that another feature of the market, namely non-simultaneity between option prices and the price of the underlying share, offers a more powerful explanation. It is demonstrated that the types of violations of put-call parity that have been observed in Australia are the types of violations that are to be expected when non-simultaneity is present. It is shown that apparent mispricing in tests of put-call parity will, in the presence of non-simultaneity, be greater for short-term options. Conversely, mispricing will be less for options which are at-the-money, and when the risk-free rate of interest is high. Non-simultaneity is likely to result in put options appearing to be undervalued relative to call options and the underlying share.
New “Brainstorming” Principles
Authors: Rossiter John R. , Lilien Gary L.
Published: January 2010

This article presents six new principles emerging from four decades of academic and industry research on the generation of high-quality creative ideas by “brainstorming”. The principles are: (a) brainstorming insructions are essential and should emphasize, paradoxically, number and not quality of ideas; (b) a specific, difficult target should be set for the number of ideas; (c) individuals, not groups, should generate the initial ideas; (d) groups should then be used to amalgamate and refine the ideas; (e) individuals should provide the final ratings to select the best ideas, which will increase commitment to the ideas selected; and, (f) the time required for successful brainstorming should be kept remarkably short. By following these principles, brainstorming will more dependably produce high-quality creative results.
Australian Business Associations: New Opportunities and Challenges
Authors: Bell Stephen
Published: January 2010

This paper reports and analyses the findings of interview based research dealing with the changing rôle of business associations in Australian politics and public policy. The paper argues that the traditional rôles and the context in which such associations operated are now rapidly changing. New challenges and opportunities now present themselves. The challenges include the winding down of traditional industrial relations and tariff administration work, as well as a much tougher and more complex lobbying environment. The opportunities include the possibility of higher levels of associational coöperation. The paper concludes by exploring new options for associational activity, including research based advocacy, expanding the range of services to members, and coöperative alliances with the state.
The Pricing of Underwriting Risk in Relation to Australian Rights Issues
Authors: Handley John C.
Published: January 2010

The majority of rights issues undertaken by companies listed on the Australian Stock Exchange are underwritten whereby the underwriter, for a fixed fee, assumes the risk of a shortfall in subscriptions for the new shares on offer. This paper examines the pricing of underwriting risk within an option pricing framework. Using a sample of sixty rights issues of ordinary shares undertaken during the three year period ending 30 June, 1993, the risk of a shortfall that is sold by the issuer to the underwriter is found to be significantly overpriced by 0.60% of the offer price, representing 49% of the underwriting fee, on average. These excess returns to underwriting are found to be unrelated to the size of the issue and the condition of the market at the time of the issue, however, significantly higher excess returns are associated with lower volatility stocks and deeper discount issues. Further, underwriter reputation and the existence of a prior relationship between the underwriter and the issuer are also found to influence the size of the excess returns.
Valuing Infor Mation in Decision Making Under Uncertainty
Authors: Hughes Warren R.
Published: January 2010

A methodology is outlined for objectively determining the potential value of infor Mation in a decision theoretic context in the absence of any prior infor Mation. Accordingly, two or more decision situations can be valued to determine where scarce infor Mation resources are best deployed. It is shown how minimum and maximum EVPI can be determined for a given payoff matrix as a game against nature. The infor Mation gains (or losses) in dollar or percentage terms can also be determined as the decision maker moves through various infor Mation stages such as null, vague and proper prior distributions. Differences between this methodology and an entropy approach to infor Mation valuation are illustrated.
Estimating the Dollar Value Contribution of Human Resource Intervention Programs: Some Comments on the Brogden Utility Equation
Authors: Law Kenneth S.
Published: January 2010

This paper addresses the issue of interpreting dollar value utility estimates using the Brogden utility equation. It shows that estimates of the standard deviation of job perfor Mance in dollars (SDy) must be compatible with the effect size measure in order to produce meaningful final utility estimates. With this interpretation of the utility estimates, it is argued that most existing SDy estimation methods would not produce accurate utility estimates of future cash flow.
Compliance and Corporate Culture: Making the Most Out of Codes of Ethics
Authors: Kaye Bruce
Published: January 2010

Codes of ethics are attracting more interest in Australian business corporations. They have often been used simply to garnish the public image, or to remind employees of the law. However, they can fulfil a more important educational role in the corporation in shaping and maintaining corporate culture. They also can translate into instruments to achieve volitional and creative compliance, and in turn have a direct impact on transaction costs in the corporation.
Volatility Spillovers Across the Tasman
Authors: Brailsford Timothy J.
Published: January 2010

The study of volatility inter-dependence provides useful insights into how information is transmitted and disseminated across markets. Research results in this area have implications for international diversification and market efficiency. This paper explores volatility spillovers between the Australian and New Zealand stock markets. The objective of the paper is to determine if volatility surprises in one market influence the volatility of returns in the other market. The existing literature in this area has typically focused on the US market's influence and employed standard ARCH class models to account for the time-variation in volatility. This paper focuses on the trans-Tasman markets and utilises more complex models which allow for an asymmetric response of volatility to past innovations. Time-zone differences in trading hours between Australia and New Zealand are analysed and four models are developed to test for spillover effects. The overnight return (& volatility) from the US market is used to account for the impact of international news. The results indicate that volatility surprises in the larger Australian market influence the subsequent conditional volatility of the smaller New Zealand market. Similarly, the Australian market also appears to be influenced by volatility surprises from the New Zealand market. However, this latter finding is also consistent with contemporaneous market reactions to international news which the daily data set used in this study is unable to isolate.
Capital Structure Dynamics with Interrelated Adjustment: Australian Evidence
Authors: Gatward Paul , Sharpe Ian G.
Published: January 2010

The paper examines the dynamics of financial structure decisions through the specification and estimation of a dynamic model of capital structure choice. Using a multivariate adjustment model and pooled annual time series/crosssectional data for 164 publicly listed Australian firms over the 1967–1985 period, we find evidence of interrelated adjustment, interdependence in investment and financing decisions, and very slow adjustment to the desired capital structure. The model also sheds light on the long-run determinants of capital structure of Australian firms, including their debt maturity choice.
Orders vs Trades: Price Effects and Size Measures
Authors: Walsh David M.
Published: January 2010

By examining the relationship between price changes and trade sizes, we can draw conclusions on three issues. These are: (i) why order flow data is better than trade data in testing for infor Mation content; (ii) the relationship between simple permanent and temporary price effects and order size; and (iii) whether it is possible to measure infor Mation asymmetry using a simple specification test. As a subsidiary issue, we compare different order/trade size measures. We find: (i) orders are clearly better measures than trades; (ii) both permanent and temporary price effects are order‐size‐related; and (iii) it is possible to measure infor Mation asymmetry in order flow in this way, and the ability to do so increases with trading volume. (An alternative explanation for the last result is that it is purely driven by sample size.)
Expiration‐Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures
Authors: Stoll Hans R. , Whaley Robert E.
Published: January 2010

Stock index futures were the most successful financial innovation of the 1980s. In spite of their widespread use internationally, they continue to be criticised for causing ‘aberrations’ in the stock market, particularly on expiration days when futures contracts are cash‐settled. This paper examines expiration‐day effects of the Sydney Futures Exchange's All Ordinaries Share Price Index (SPI) futures and discusses alternative futures settlement procedures. Our investigations indicate that, while index stock trading volume is abnormally high near the close on expiration days, price movements are not different from those observed on other days. In other words, the SPI futures cash settlement at the close appears to have worked well through our sample period. This study also describes and analyses the two basic alternative cash settlement procedures—a single price settlement and an average price settlement.
Risk Management Issues for Mandatory Private Retirement Provision: Roles for Options
Authors: Bateman Hazel
Published: January 2010

Following the introduction of mandatory superannuation provision in Australia, superannuation fund managers and trustees are faced with the conflicting objectives of high returns and minimal year‐on‐year volatility. This paper investigates whether repeat portfolio insurance implemented over the working life time of superannuation saving can offer a solution. Stochastic simulations show that the options‐based strategies perfor M well in comparison to traditional investment practices. Strategies combining protective puts with age phasing produce the most appealing results.
Do Interventions Contain Infor Mation? Evidence from the Australian Foreign Exchange Market
Authors: Hopkins Sandra , Murphy Jonathon
Published: January 2010

In 1993, the political uncertainty regarding the passage of the Federal Budget through the Senate was reflected in the foreign exchange market. During August and September 1993, the Australian dollar depreciated by 7.5%. We present the results of a case study of the impact of official intervention and the infor Mation available to the market participants on the Australian dollar value over this period. We use daily data on the volume of intervention, the movement of the dollar and Reserve Bank of Australia announcements on intervention to consider the relative importance of infor Mation in the market. Our results indicate that the infor Mational content of interventions is a major factor in the success of intervention policy.
Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques
Authors: Brooks Robert D. , Faff Robert W. , McKenzie Michael D.
Published: January 2010

This paper investigates three techniques for the estimation of conditional time‐dependent betas: (a) a multivariate generalised ARCH approach; (b) a time‐varying beta market model approach suggested by Schwert and Seguin (1990); and (c) the Kalman filter technique. These approaches are applied to a sample of returns on Australian industry portfolios over the period 1974–1996. The evidence found in this paper, based on in‐sample forecast errors, overwhelmingly supports the Kalman filter approach When out‐of‐sample forecasts are considered the evidence again finds in favour of the Kalman filter approach.
Evidence of Price Change Volatility Induced by the Number and Proportion of Orders of a Given Size
Authors: Walsh David M.
Published: January 2010

We examine the contribution of order flow parameters (order size, number of orders and proportions of orders conditioned on order size) to the volatility of price change. To a lesser extent, we also examine the impact of these parameters on the mean of price change. Innovations in this study include the use of orders rather than trades and the testing of robustness of results across calendar and transaction time sampling.

We find that: (a) there is a positive correlation between the number of orders, of any size, and volatility; (b) the price change in each order size category increases as order size increases; (c) number and proportion of orders are uncorrelated with price change per se; and (d) volatility appears negatively correlated with the proportion of small orders, uncorrelated with the proportion of medium‐sized orders, and positively correlated with the proportion of large orders.
The Pricing of Australian Index Futures Contracts with Taxes and Transaction Costs
Authors: Twite Garry J.
Published: January 2010

This paper examines the pricing behaviour of the Australian share price index futures contracts, incorporating taxes and transaction costs. The Australian SPI futures contract provides an interesting research setting to investigate futures pricing because of the combination of a relatively liquid futures market and a broadly based index portfolio with significant transaction costs, together with a tax system which differentiates between trades in the spot and the futures markets for at least one class of investors. The results presented are consistent with the existence of transaction costs as an explanation for the divergence between observed futures prices and predicted prices. The observed futures prices generally lay within the estimated transaction cost bounds.
Predicting Earnings Growth Using E/P Ratios: Australian Evidence
Authors: Allen Dave E. , Lisnawati Henrietta , Clissold Martyn
Published: January 2010

The classic ‘higgledy‐piggledy growth’ studies by Little (1962), Rayner and Little (1966), Brealey (1967), and Lintner and Glauber (1967) essentially reported that earnings changes over time appear to be randomly distributed. More recently Fuller, Huberts and Levinson (1992) have undertaken a US study which challenges some of these earlier findings. Their study utilised the earnings‐to‐price ratio as the market's implicit forecast of future earnings changes. Their results suggested that high E/P stocks tend to have relatively lower earnings changes whilst low E/P stocks tend to have higher earnings changes.

This study reworks Fuller, Huberts and Levinson's study on a sample of 207 listed Australian companies for the period 1972–1984. On balance, our results support their findings.
The Dynamics of the Australian Short‐Term Interest Rate
Authors: J. Brailsford T. , Maheswaran K.
Published: January 2010

This paper examines various models of the short‐term interest rate in Australia. The analysis centres on three classes of models. First, the generalised diffusion model of Chan et al. (1992) is examined which allows the variance to be a function of interest rate levels. This model nests a number of the traditional term structure models. We find initial support for the generalised model. Second, we examine models which incorporate time‐varying volatility dynamics. Third, a class of models that incorporates both time‐varying volatility and the levels model is analysed. We extend these models by allowing an asymmetric reaction to news resulting in a threshold‐type model. The paper examines each of the models and then proposes and perfor Ms prediction tests that allow different classes of models to be benchmarked. The second and third class of models appear to produce the most accurate estimates. The results indicate a number of important differences between the Australian market and overseas markets.
Reset Put Options: Valuation, Risk Characteristics, and an Application
Authors: Gray Stephen F. , Whaley Robert E.
Published: January 2010

A reset put option is similar to a standard put option except that the exercise price is reset equal to the stock price on the pre‐specified reset date if this stock price exceeds the original exercise price. In this paper we derive a valuation for Mula for a reset put option and present a range of comparative statics designed to highlight the differences between a reset put and a standard put We also develop a numerical technique for valuing American‐style reset puts. Finally, we apply our valuation results to assess the interest rate premiums embedded in the Geared Equity Investments offered by Macquarte Bank.
The Volatility Structure Implied by Options on the SPI Futures Contract
Authors: Brown Christine A.
Published: January 2010

The Asay (1982) option pricing model prices options on futures contracts where the premia are margined. The model assumes that the volatility of the underlying futures contract is constant over the life of the option. However it is an empirical observation in many markets that options on the same underlying futures contract with the same maturity, but at different strikes, trade at different implied volatilities. Since the 1987 crash, it has been documented that in many markets the volatility implied by out‐of‐the‐money put options is higher than that implied by out‐of‐the‐money call options. This phenomenon has become known as the ‘volatility skew’. This paper examines the volatility structure for options on the SPI futures contract over the period June 1993 to June 1994, and provides theoretical explanations consistent with its shape.
Are Physical Capacity Constraints Relevant?: Applying Finance‐Economics Theory to a Management Accounting Misconception
Authors: Black Terry , Gallagher Lynn
Published: January 2010

The management accounting literature presents a view that firms normally operate at full physical capacity and consequently often cannot meet customer demand which results in the frequent rejection of profitable business. The finance‐economics literature presents a contrary view that firms, seeking to maximise their value, will plan for sufficient physical capacity to meet all profitable business. Finance‐economics theory predicts that firms will have spare capacity since economic constraints apply before physical constraints become relevant. This paper presents the results of an empirical study of Australian manufacturing firms which supports the finance‐economics view.
Verbatim: Une Experience De Capitalisation D'Entretiens Qualitatifs
Authors: Le Roux Dominique , Vidal Jean
Published: January 2010

Verbatim, An Experiment in Capitalizing on quantitative Interviews. Archiving qualitative data for use in secondary analysis is an established part of Anglo-Saxon sociology. In this article, we present encouraging preliminary results of an experiment m this domain in France and carried out in a business environment.
L'analyse de situations a l'epreuve des scenarios: l'exemple des actions qualite dans l'organisation
Authors: Bonnet Estelle
Published: January 2010

The Analysis of Situations by Scenarios - The Example of Quality Campalgns in Organisations. Scenarios are brief discourses submitted to a survey population. This method constitutes a useful manner for obtaining statements and discourse from the respondents. It helps reveal norms and rules of action about which individuals talk little and for which it is difficult to obtain information. The method can complement and enrich data obtained by more classic methods such as interviews. Through the comments and arguments of these respondents or actors, the method obtains access to the different logics of action revealed by the responses and the judgements provided in the framework of the proposed situations. The method can also reveal the capabilities mobilized by respondents in relation to the different problems encountered during work and also access the different forms of expertise used by cach member of an organization in daily activity.
Observation et modele lineaire ou logistique: Reponse a Aris et Hagenaars
Authors: Cibois Philippe
Published: January 2010

Observation and Linear or Logistic Models - Reply to Aris and Hagenaars. The answer proposed here to Aris and Hagenaars (2000) stresses the fact that inadequate application of logistic modeling in analyzing data only concerns marginal effects in percentages. We call for the abandon of the indicator in favor of either logistic regression odds ratio estimations, or observations of tabular analysis (or their estimation by marginal effects in percentage of a linear regression).