bluuebunny/crossref_metadata_2025 huggingface dataset:
Tactical Asset Allocation: Australian Evidence
Authors: Faff Robert , Gallagher David R. , Wu Eliza
Published: January 2010

This paper evaluates the tactical asset allocation (TAA) capabilities, strategies and behaviour of Australian investment managers who invest assets across multiple asset classes. Specifically, we analyse the behaviour of balanced, growth and capital-stable fund managers with regard to their asset allocation activity across defensive (cash, domestic bonds, overseas bonds) and growth (domestic equities, international equities, property) asset classes, over the period December 1989 to February 2001. Overall, our evidence suggests that active managers have been unable to deliver investors with superior returns through tactical asset allocation. While the most successful asset class, domestic equities, has been value-enhancing, international shares and domestic fixed interest have generally detracted value. Finally, across all asset classes examined, our findings suggest that asset allocation into domestic equities is the most influenced by public economic information variables, with short-term interest rates, the term structure and dividend yield all having a significant explanatory role.
Hurdle Rate: Executive Stock Options
Authors: Cheung Joe , Corrado Charles , Chay J. B. , Jung Do-Sub
Published: January 2010

Executive stock options with a rising strike price are a recent innovation in executive compensation in Australia and New Zealand. These options combine a dividend protection feature and a strike price that increases at a hurdle rate set with reference to a cost of capital estimate. With a constant dividend yield, the strike price becomes a path-dependent function of the stock price and exact analytic valuation becomes intractable. However, path-dependent American options can be valued using a Monte Carlo approach proposed in Longstaff and Schwartz (2001). We examine procedures for valuing these options and compare them with Black and Scholes (1973) and Merton (1973) formula valuations.
A Time-Series Analysis of the Demand for Life Insurance Companies in Australia: An Unobserved Components Approach
Authors: Lenten Liam J. A. , Rulli David N.
Published: January 2010

We systematically explore the time-series properties of life insurance demand using a novel statistical procedure that allows multiple unobservable (but interpretable) components to be extracted. This methodology allows the data to be modelled in new and innovative ways. We find univariate series decomposition allows us to more easily explain the behaviour of life insurance demand over the sample period (1981–2003), than would otherwise be possible. A multivariate model (including a number of variables thought to influence demand) produces quite pleasing results overall. A SUTSE model involving demand and each of the explanatory variables in turn shows evidence of common components in all cases but one. Finally, an out-of-sample forecast comparison shows the univariate model to outperform the multivariate model for accuracy.
Should Executive Stock Options Be Abandoned?
Authors: Choe Chongwoo , Yin Xiangkang
Published: January 2010

Recent corporate scandals around the world have led many to single out executive stock options as one of the main culprits. More corporations are abandoning stock options and reverting to restricted stock. This paper argues that such a change is not entirely justifiable. We first provide a critical review of the pros and cons of executive stock options. We then compare option-based contracts with stock-based contracts using a simple principal-agent model with moral hazard. In a general environment without restrictions on preferences or technologies, option-based contracts are shown to weakly dominate stock-based contracts. The weak dominance relation becomes strict if the manager is risk neutral. Numerical examples are provided to show that, even if the manager is risk averse, strict dominance is more likely the case.
Time-Changing Alpha? The Case of Australian International Mutual Funds
Authors: Heaney Richard , Hallahan Terry , Josev Thomas , Mitchell Heather
Published: January 2010

Tests for active management inevitably focus on long periods. Yet, implicit in these tests is the assumption that active management generates a stable excess return. We argue that this assumption is not appropriate for active management where the emphasis is on identifying profitable trading strategies. Consistent with this conjecture, we find evidence of time-changing alpha using a sample of Australian international funds over the period from July 1995 to January 2005. Regardless, few international funds show consistent positive excess returns over the period.
The Impact of Foreign Portfolio Flows on Emerging Market Volatility: Evidence from Thailand
Authors: Pavabutr Pantisa , Yan Hong
Published: January 2010

We conduct an analysis of the impact of foreign portfolio flows on the volatility of emerging markets, using a unique dataset consisting of aggregate daily trading by foreign investors in the Thai stock market between 1995 and 2002. We find that the effect of foreign flows on the volatility of daily and weekly returns in the market comes primarily from the unexpected shocks to foreign flows. The predictable component of flows, which is attributable to positive feedback trading, has a negligible impact on the local market volatility. Our analysis reveals that the extraordinarily high volatility during the Asian financial crisis is associated with domestic selling, as foreign investors are net buyers, and thus liquidity providers, during that period. Moreover, foreign flows also play an instrumental role in promoting market liquidity.
Style Drift and Portfolio Management for Active Australian Equity Funds
Authors: Ainsworth Andrew B. , Fong Kingsley , Gallagher David R.
Published: January 2010

Using monthly active equity fund portfolio holdings, we examine the magnitude of style drift and decompose it into active and passive components. We find that while fund style tilts are consistent with their self-stated investment objective, there is variation in the degree of style bias within style groups. We document that funds actively adjust their portfolio holdings in response to passive style drift to retain a desired portfolio tilt. The degree of adjustment varies with the frequency over which the drift is measured, with funds being most responsive to changes in book-to-market and momentum drift. We also find that certain types of style drift affect portfolio turnover.
Portfolio Construction and Performance Measurement when Returns are Non-Normal
Authors: Benson Karen , Gray Philip , Kalotay Egon , Qiu Judy
Published: January 2010

The foundation of popular approaches to portfolio construction and performance measurement lies in the mean-variance framework of Markowitz (1952, 1959). However, the suitability of such approaches in practice is questionable in light of considerable evidence of non-normalities in returns. This paper explores the potential usefulness of a non-parametric approach to portfolio construction and performance measurement recently proposed by Stutzer (2000). The Portfolio Performance Index (PPI) is based on the notion that investors associate risk with the failure to achieve a target return. Stutzer proposes that portfolio construction and performance measurement be approached by calculating the decay rate in the probability that a given portfolio will underperform its designated benchmark. By comparing the PPI and Sharpe ratio metrics, this paper presents preliminary evidence of the economic significance of non-normalities in Australian equity returns, and documents the impact of such on portfolio construction and performance evaluation practice.
The State of Origin of Australian Equity: Does Active Fund Manager Location Matter?
Authors: Fong Kingsley , Gallagher David R. , Lee Adrian D.
Published: January 2010

We examine the relation of active equity fund managers' location proximity to a stock's headquarter and fund managers' stock selection skill and investment behaviour using a representative sample of Australian institutional equity funds. Contrary to the findings of much international research, our study reveals evidence which is inconsistent with a location advantage for Melbourne and Sydney active equity funds. Both Melbourne and Sydney fund managers overweight Melbourne stocks, exhibit skill in picking Sydney stocks and avoid poor performing Melbourne and Sydney stocks. In addition, we find no evidence of word-of-mouth trading effects in Melbourne or Sydney funds. Taken together, this suggests information asymmetries arising from location are weak for Melbourne and Sydney funds.
An Empirical Investigation of the Level Effect in Australian Interest Rates
Authors: Gray Philip , Smith Daniel R.
Published: January 2010

An extensive literature examines the dynamics of interest rates, with particular attention given to the positive relationship between interest-rate volatility and the level of interest rates—the so-called level effect. This paper examines the interaction between the estimated level effect and competing parameterisations of interest-rate volatility for the Australian yield curve. We adopt a new methodology that estimates elasticity in a multivariate setting that explicitly accommodates the correlations that exist between various yield factors. Results show that significant correlations exist between the residuals of yield factors and that such correlations do indeed impact on model estimates. Within the multivariate setting, the level of the short rate is shown to be a crucial determinant of the conditional volatility of all three yield factors. Measures of model fit suggest that, in addition to the usual level effect, the incorporation of GARCH effects and possible regime shifts is important.
Progressive Income Taxes, Tax-Favoured Investments and Investment Behaviour
Authors: Chisholm Anthony H.
Published: January 2010

The current debate on the taxation of business income highlights the need for the tax to not distort investment decisions. A tax on business income that permits immediate expensing of all outlays (including investment outlays) is shown to be a tax on pure profits, whereas a true income tax that allows the write-off of economic depreciation (Samuelson tax) is shown to be a tax on both pure profits and the ‘normal’ interest earned on investments. Neither tax distorts investment decisions, though the latter distorts consumption/investment decisions.

Under existing progressive income taxes, which roughly approximate the Samuelson type of tax but which provide tax-concessions to favoured investment activities, pre-tax rates of return on the favoured investment activities will tend toward equilibrium levels below those for non-favoured investments. The tax-favoured investment areas eventually will be dominated by high tax-bracket investors.
To have and to Hold: Experimentation in Australia with a Housing Allowance Scheme
Authors: Albon Robert
Published: January 2010

The Australian Housing Allowance Voucher Experiment (HAVE) appears to be a radical change in Government policy towards low-income housing. There are moves to remove subsidies in kind, by raising government dwelling rents to market levels, and to replace them with housing allowances payable to both public and private renters. The HAVE proposals are critically assessed relative to an alternative and more efficient voucher scheme. The likely response of rental housing supply to increased demand is also examined, as is the role of the bureaucracy. It is concluded that more could be achieved than under HAVE with the same budget outlay.
Share Capitalization Changes, Information, And the Australian Equity Market
Authors: Ball Ray , Brown Philip , Finn Frank J.
Published: January 2010

Bonus issues, share splits and rights issues are studied in a replication and extension of the classic Fama, Fisher, Jensen and Roll study. On the Melbourne exchange, each category on average is associated with positive abnormal returns. However, the market does not appear to value bonuses or splits in their own right: prices appear to reflect the information released in the capitalization changes (and associated events). For example, share splits which were not accompanied by effective dividend increases did not experience positive abnormal returns. With one puzzling exception, the market behaviour was “efficient”.
Dividend Changes, Earnings Reports, And Share Prices: Some Australian Findings
Authors: Brown Philip , Finn Frank J. , Hancock Phillip
Published: January 2010

Australian companies typically announce profit figures and dividend payouts at the same time. During the 60's and early 70's, profit and dividend changes were positively correlated, and were associated with significant share price changes, after abstracting from market effects. When profit and dividend reports gave conflicting signals, share prices tended to decline.
A Test of the Black and Scholes Model of Option Evaluation in the Australian Options Market
Authors: Brown R. L.
Published: January 2010

Black and Scholes' model of option valuation is tested using Australian data over the period February 1976 to June 1977. The valuation equation is solved in reverse to obtain implied standard deviation rates of return on the underlying stocks. These are compared to various historical measures of standard deviation available at the time of trade and to estimates of the standard deviations which actually resulted. In general, the model produces upward-biased estimates (implying that the model tends to under-price), but the degree of bias is lower in 1977 than in the previous year. However, it is not yet possible to be certain of the causes of this difference.
Sex-Role Stereotypes of Women in Australian Magazine Advertising
Authors: Dowling Grahame R.
Published: January 2010

Results of a survey of the sex-role stereotypes portrayed by women in Australian magazine advertising are presented so that a profile of the interface between women and print media advertising can be documented. With recourse to such actual survey findings advertisers, management, public policy makers, and social commentators are then in a better position to create informed opinions regarding the incidence and possible effects of using overt sexual suggestiveness to stimulate sales. What this survey does reveal is that overt sexuality is portrayed in only a limited number of advertisements and that these advertisements are mainly orientated to the sale of a specific range of products.
Project 3P — An Experiment in Industrial Democracy in a Small Firm
Authors: Volard S. V.
Published: January 2010

This case study deals with the introduction of a form of Industrial Democracy in a small tyre company located in Brisbane. It describes the four stages of the change program – the managing-owner's acceptance of the implications of the changes; the involvement of the employees; the immediate on-the-job results; and the first seven month settling-down period. Project 3P (for Profit, Protection and Productivity) has been remarkably successful in mobilizing the human resources of that company to achieve its objectives, and might serve as a model of change for other organizations.
On the Theory of Residual Analyses and Abnormal Performance Metrics
Authors: Ohlson James A.
Published: January 2010

In spite of the proliferation of alternative API metrics, little interpretation and comparison of them has been conducted. Their relationship with the capital asset pricing model has remained obscure. This paper attempts to clarify these and other issues. The major conclusion is that API (or residual) analysis is not satisfactory for testing market efficiency and, therefore, it seems premature to conclude that available evidence is consistent with efficiency.
Dividends and the Value of the Firm: Evidence from the Australian Equity Market
Authors: Ball Ray , Brown Philip , Finn Frank J. , Officer R. R.
Published: January 2010

A version of the Black and Scholes dividend yield experiment is conducted, with a view to determining whether there exists a preference for dividends versus capital gains. Using data from the 1960s the experiment reveals a relatively large relationship between dividend yields and risk-adjusted share returns, in the year subsequent to the payment of the dividend yields. The observed dividend effect is too large to be explained by major hypotheses concerning market-wide preferences for or against dividends.
A Corporate Model of the Australian Telecommunications Commission: Structure and Applications
Authors: Brain Peter J. , Donath S.
Published: January 2010

Amongst corporations in the United States there is widespread interest in corporate model building, or the development of equation structures which quantify and integrate all facets of corporate activity. This is not yet so in Australia, and in order to stimulate activity in this area and to contribute to research into the structure of the Australian telecommunications sector, this paper describes the detailed specification for such a model of the Australian Telecommunications Commission's activities. Equations are developed for the demand for telecommunications services, resource requirements (capital, labour and material), costs, revenue and prices.
The Value of “Almost” Perfect Weather Information to the Australian Tertiary Sector
Authors: Marks Robert E.
Published: January 2010

This paper is an attempt to determine the extent to which Australian tertiary sector organisations stand to gain from improved weather forecasts. An upper limit to this amount must be the sum of the maximum savings afforded by weather forecasts sufficiently accurate (“almost” perfect) to result in weather-error-free decisions for each organisation. The paper presents the results of a survey of tertiary sector organisations undertaken to determine the amount of these potential savings. The paper discusses operational improvements to increase the usefulneww of forecasts, and also discusses the structure of the weather forecasting industry in general.
The Market for Commonwealth Government Securities
Authors: Evans W. H. , Rozenstein H. A.
Published: January 2010

This study of the market for Commonwealth government securities in Australia pays particular attention to the influence of interest rate expectations on demand. Attempts to estimate expectations with current and past information, including the use of a Box-Jenkins time series model are unsuccessful. An assumption that interest rate expectations are based on perfect foresight proves valuable in explaining the demand for government securities. The picture of the market which emerges is one of a private sector which acts on new information more quickly than it is incorporated in the official yield curve.
Exercising of Options in the Australian Options Market
Authors: Brown R. L. , Rainbow K. A.
Published: January 2010

Conditions defining rational and irrational exercising of options are presented and explained. These conditions are tested empirically by studying actual exercises in the Australian Options Market. It is found that two weak conditions are confirmed but the evidence on two strong conditions is mixed. Although most exercising appears to be consistent with the strong conditions, a significant number of exercises appear to violate them. Factors explaining these violations are not examined in detail, but it is suggested that transaction costs may be important.
Some Time Series Properties of Accounting Income Numbers
Authors: Caird Kathryn G. , Emanuel David M.
Published: January 2010

Tests of serial correlation, and runs tests, are applied to net profit after tax, return on shareholders' funds, and earnings per share time series of 42 New Zealand listed public companies. The results are consistent with a “random walk” interpretation, and hence consistent with results from other countries.
The Trading Stock Valuation Adjustment and Economic Rents to Shareholders
Authors: Sinclair N. A. , Whittred G. P.
Published: January 2010

In August 1976 the then Federal Treasurer foreshadowed the incorporation in the Income Tax Assessment Act, 1936 of a severely modified form of the Mathews Committee's (1975) recommendations on trading stock. This paper documents the existence of substantial “tax-free” capital gains to those invested in the equity of affected companies, in particular retailer-merchants, at the time of this announcement. The observed price response was immediate and consistent with subsequent realizations of the “trading stock valuation adjustment” – both of which would be expected if capital markets are efficient.
Social Influence and Structure: Elements of A General Theory of Leadership
Authors: Yetton Philip , Crouch Andrew
Published: January 2010

The contemporary leadership theories of Fiedler (LPC Contingency Theory), House (Path Goal, Vroom and Yetton (Decision Making) and Graen (Vertical Dyad Linkage) are commonly viewed as divergent, if not competing. The result is a fragmented leadership literature which contains little theoretical or empirical integration. The apparent diversity of these theories is substantially reduced and their common basic structures revealed if they are reconsidered in the context of a social influence-structure matrix, where social influence is the form or level of subordinate involvement in task matters, and social structure is the context in which managersubordinate interaction takes place.
Influence of Reliance on Accounting Performance Measures and Job Structure on Role Ambiguity for Production and Non-Production Jobs
Authors: Hirst Mark K , Yetton Philip
Published: January 2010

This study examines the relationship between managers' reliance on accounting based performance measures and their perceptions of role ambiguity. The sensitivity of this relationship to both job function (i.e. production versus non-production) and job structure is explored. The strong relationship previously found for production jobs does not generalise to non-production jobs, for which there is only a weak relationship between reliance on accounting performance measures and role ambiguity. In addition, this weak general relationship is not independent of job structure.
Australian Takeovers: Capital Market Efficiency and Shareholder Risk and Return
Authors: Walter Terry S.
Published: January 2010

This paper explains the share market's response to Australian takeover bids. Both successful and unsuccessful bids are considered. Two issues are addressed. Firstly, takeovers are viewed in terms of corporate investment decisions; the profitability of these decisions to the offeree and to the offeror are investigated. Secondly, takeover bids are seen as a valuable source of information relevant to the determination of a firm's share market capitalisation. The adjustment of share prices to this information source is studied within the context of the Efficient Markets Hypothesis. The results indicate that offeree shareholder returns are normal or below normal prior to a bid; whereas offerors exhibit above average returns. When a bid is made, offeree shareholders typically receive significant positive excess returns; whereas offeror shareholders gain no additional benefit. Australian share markets are confirmed to be semi-strong efficient in the Fama sense, namely that information made public during takeover negotiations is rapidly and without bias incorporated into share prices.
An Evaluation of Alternative Methods for Estimating Systematic Risk
Authors: Castagna A. D. , Greenwood L. H. , Matolcsy Z. P.
Published: January 2010

The available evidence on the properties of return distributions does not convincingly support a particular method for estimating the parameters of the market model. The underlying stimulus for this paper is to resolve this issue empirically by evaluating the performance of three alternative estimational methods to OLS for deriving the beta or systematic risk of securities. These are the mean absolute deviation, a non-parametric method, and the generalised least square method. The empirical tests include estimates of beta using the four estimators, an examination of whether the beta estimates belong to the same underlying distribution, and finally, an evaluation of the performance of the estimators for predicting monthly rates of return.
Measuring The Use of the Product Life Cycle Concept by Marketing Managers: Problems and Prospects
Authors: Dowling G. R.
Published: January 2010

This paper examines the difficulties associated with attempting to ascertain whether marketing managers use the Product Life Cycle concept to help formulate marketing strategy. The strengths and weaknesses of a number of possible research methodologies are reviewed.
Financial Targeting for Public Enterprise: The Criterion of a Rate of Return to Capital
Authors: Officer R. R.
Published: January 2010

The rate of return to capital employed is the most common of the control and perfor Mance measures used in the private sector. It is often suggested that public sector enterprises, particularly statutory trading authorities, should be compelled to adopt a target rate of return to encourage the efficient allocation of resources by such enterprises. This paper outlines the problem of such a control measure for public sector enterprises. It is difficult to conceive of any single line measure of perfor Mance for control that can be adopted for a non-competitive public sector enterprise that does not risk creating more problems than it solves.
Assessing Competition in The Market for Corporate Control: Australian Evidence
Authors: Brown Philip , Horin Andrew
Published: January 2010

Ruback (1983) proposed a novel test of competition in the market for corporate control. He argued the market would be competitive if, in the context of two or more bidders, it did not pay an unsuccessful offeror to lift his bid to the successful offeror's price. Ruback's evidence was consistent with the American corporate acquisitions market being competitive, in this sense. We use Australian data to replicate Ruback's test. Our results mirror Ruback's, in that 58 out of 72 takeovers were consistent with a competitive Australian market. The 14 inconsistencies could have been due to bidder collusion, strategic behaviour, legal impediments, or quite possibly, confounding events.
Some Perspectives on the Management of Infor Mation Technology
Authors: Bailey Trevor C.
Published: January 2010

Recently a number of articles have drawn attention to management problems associated with growth in the use of infor Mation technology. Indeed, several authors argue that we have entered an era when the most difficult computer problems confronting organisations are managerial, rather than technical. Certainly, the technology is pervasive, and the issues involved in its management are wide-ranging and complex. This paper reviews the recent literature and identifies nine recurrent themes that tend to dominate much of the discussion. Thereby it defines a set of dimensions under which contemporary management of infor Mation technology must operate and attempts to clarify the constraints and conflicts which it must address.
Development of a Method to Assess the Relevant Variables and the Probability of Financial Distress
Authors: Crapp Harvey R. , Stevenson Maxwell
Published: January 2010

This study develops a method to select variables, and to specify the relative importance of those variables, as input for failure models. In addition, our method provides estimates of the failure probabilities of organisations at a point in time. The results of tests of our method on Australian credit unions are intuitively appealing, given the recent experiences of the Australian financial market generally, and the credit union industry in particular.
The Case For A Less-Regulated Labour Market
Authors: Fisher Malcolm R.
Published: January 2010

We review the development of the labour market and industrial relations in Australia, including the relationship between wage determination and protection of industry. We argue the case for much greater deregulation of the Australian labour market and a much reduced rôle for the Arbitration Commission.
The Political Economy of the Symbiosis between Labour Market Regulation and the Social Welfare System
Authors: Swan Peter L. , Bernstam Mikhail S.
Published: January 2010

Labour market regulation and social welfare policies live in a symbiotic relationship. The growing social welfare safety net has made acceptable, at least for a time, the centralised system of wage fixation in Australia which appears to have contributed to a high level of unemployment. By subsidising those denied access to the labour market due to minimum wages, the social welfare system puts a politically acceptable face on otherwise unsustainable policies. The cost is not confined to groups receiving benefits. The higher taxation levels needed to sustain the social welfare system have depressed the after-tax earnings of those workers remaining in employment to the point where wage restraint in exchange for increased numbers of jobs and lower taxes becomes worthwhile.
The Progress of the Interstate Banking Movement in the United States and Effects on Owners of Banking Organisations
Authors: Peavler Rosemary C.
Published: January 2010

This study details the evolution of the interstate banking movement in the United States and the resultant effect on the wealth of shareholders of the affected banking organisations.

State regulations regarding interstate banking are being relaxed at an increasing rate. Using an event-study methodology, this study investigates the resultant wealth positions of shareholders affected by the passage of liberalised interstate banking laws.

Results indicate that shareholders do gain, although modestly, when regulations regarding interstate banking are relaxed. Thus, there seems to be some benefit to owners of these regulated firms when geographic expansion is permitted.
The Revenue and Efficiency Implications of Timed Local Calls
Authors: Albon Robert
Published: January 2010

The case for timed local calls (TLC) is overwhelming on both equity and efficiency grounds. However, Telecom's example of a pricing structure for (TLC) would probably have raised revenue substantially. The efficiency effects depend on the structure of local prices and on what is done with the additional revenue (e.g. reducing STD). There could also be considerable savings in capital equipment requirements. Alternative TLC pricing structures are considered which may be both superior to, and more acceptable than, the original proposal.
Australian All Ordinaries Share Price Index Futures and Random Walks
Authors: Heaney Richard
Published: January 2010

The study covers the period 16/3/83 to 31/12/87, using daily futures prices to provide descriptive statistics and statistical tests for a random walk. The study period falls naturally into two periods, the pre-crash and period including the 1987 crash. The random walk hypothesis provides a “rough” description of futures price changes in the pre-crash period but is rejected for the full period. Some indication of the effect of the 1987 crash period on share price index futures prices is demonstrated via descriptive statistics. Day in the week effects are isolated both in terms of variance and returns. The existence of these effects suggest that random walk is at best an imperfect description of price changes over time.
Risk-Based Capital Adequacy of Australian Banks
Authors: Hogan Warren P. , Sharpe Ian G.
Published: January 2010

This paper analyses the capital adequacy provisions introduced by the Reserve Bank of Australia from September, 1988 and examines its initial application to three major Australian banks. This risk-adjusted capital adequacy ratio is partial in its coverage and thus a misleading measure of total bank risk. As well, it may distort the allocation of credit. An alternative approach based on option pricing theory is considered.
Yield Reversals and the Yin-Yang Trap: A Note on Time Valuation and Interest Rate Swaps
Authors: Bowden Roger J.
Published: January 2010

The time value function for a vanilla interest rate swap is derived in this note. For monotonic and stationary yield curves, value is zero at the end points and either wholly negative or wholly positive over the life of the swap. But reversals in the term structure of interest rates from inverted to normal produce a swing between positive and negative values and result in an apparently alarming loss of value in an exposed swap. This rationalises recent profitability loss in unmatched swaps books.
Pay for Perfor Mance Incentives and Work Attitudes
Authors: Drago Robert , Estrin Saul , Wooden Mark
Published: January 2010

Using survey data from 565 private sector employees in Australia, this article tests how perfor Mance-related incentives influence worker attitudes. It is concluded that job satisfaction is related to incentives based on individual or small group perfor Mance, while organisational commitment is more strongly related to company-level incentives (gains-sharing). Tests for the bundling of incentives and participatory management and for the interactive effects of incentives, participatory managment and job security are insignificant in this data set.
A Multivariate Test of an Equilibrium APT with Time Varying Risk Premia in the Australian Equity Market
Authors: Faff Robert W.
Published: January 2010

This paper applies an asymptotic principal components technique, developed by Connor and Korajczyk (1988), to test an equilibrium version of the Arbitrage Pricing Theory (APT), which permits time varying risk premia, using Australian equity data. Cross-equation restrictions imposed by the APT on a multivariate regression of excess returns on derived factors are tested. Both one-step and iterative versions of the technique are used and results are compared to the capital asset pricing model (CAPM). While the APT appears to perfor M better than the CAPM, neither model can adequately explain monthly seasonal mispricing in Australian equities.
Methodological Complementarism or Separate Paradigm Development—Examining the Options for Enhanced Operational Research
Authors: Brocklesby John
Published: January 2010

Although operational research traditionally has concerned itself with quantitative and technical aspects of managerial problem solving, it has gradually built up a capacity to deal with “softer” issues, and broader societal problems. This paper considers the notion of “enhanced” operational research within the context of the practical and philosophical difficulties brought about through combining problem solving methodologies from different theoretical traditions. The paper argues that separate paradigm development for EOR may be justified on theoretical grounds and on the basis of its cultural feasibility.
Board Size and Potential Corporate and Director Interlocks in Australasia 1984-1993
Authors: Roy Matthew R. , Fox Mark A. , Hamilton Robert T.
Published: January 2010

This paper examines all New Zealand listed public companies in the years 1987, 1990 and 1993 to highlight changes over time in interlocking directorates. Potential company and individual director interlocks, as well as average board size, are found to have decreased since 1984. This points to a marked reversal of the trends identified in Firth (1987). The prevalence of interlocks in New Zealand appears no greater than in Australia and may fall with the implementation of the Companies Act 1993.
Measurement of Economies of Scale in Victorian Credit Unions
Authors: Brown Rayna , O'Connor Ian
Published: January 2010

This study on economies of scale in credit unions differs from the only previous Australian study in three important ways: (a) the cost function is derived from the translog production function; (b) estimates of economies of scale are made for four cross‐sectional periods, not one; and (c) the total sample of credit unions is divided into subsamples by asset size and bond of association type. Significant diseconomies of scale are found for some subsamples of small credit unions but for most subsamples the null hypothesis of constant returns to scale is not rejected.
Valuing Bonds with Embedded Average Price Options
Authors: Easton Stephen A.
Published: January 2010

Average price options are based on the average (either arithmetic or geometric) price of the underlying asset during an option's life. Recently, Australia's largest private bank, the National Australia Bank, and the regional Metway Bank, have issued bonds that contain embedded arithmetic average share index options. The purpose of this paper is to value these options using Monte Carlo simulation, and then to value the bonds themselves. Using a wide range of estimates of the parameters that determine the values of these bonds, it would appear that the fixed-term deposits offered by these same banks represent more profitable investments.
The Attractiveness of Countries to Foreign Direct Investors
Authors: Jackson Sharon , Markowski Stefan
Published: January 2010

The present paper is concerned with the attractiveness of countries to direct foreign investments, that is, the host country characteristics that attract direct foreign investment (FDI). It focuses on two types of national characteristics —those that attract inflows of all foreign investment (intermediate products), including FDI, that is, mobility factors; and those that influence the modality of these inflows, that is, reflect the preference for FDI rather than other forms of foreign investment or ‘straight (unbundled) imports of intermediate products by indigenous firms (modality factors)’. The paper reports preliminary findings from a study of plausible determinants of FDI inflows into a sample of 25 countries.
Contracts and Electricity Pool Prices
Authors: Gans Joshua S. , Price Danny , Woods Kim
Published: January 2010

This paper provides a simple discussion of the interaction between forward contracts for electricity and electricity spot markets. Using a Cournot model of electricity pools, it is demonstrated that generators have a purely strategic incentive to sign forward contracts so as to raise their market share, by lowering price over the elastic portion of their individual demand curves. This, in turn, implies that the existence of the contract market lowers prices in pool markets and hence, over the industry. By mutually committing not to sign contracts, generator profits would be higher. But the existence of the contract market precludes such pre‐commitment. We demonstrate that when there are asymmetries between generators, contracting also allows efficient plants to operate relatively more, lowering the cost structure of the industry. Finally, we consider the effect of contracts on entry and find that it is possible that the existence of a contract market could deter otherwise efficient entry.
Testing the Multivariate Normality of Australian Stock Returns
Authors: Gray Philip , Kalotay Egon , McIvor Julie
Published: January 2010

The multivariate normality of stock returns is a crucial assumption in many tests of assets pricing models. While past Australian research has examined the univariate normality of returns, univariate test statistics are unreliable for testing multivariate normality since they ignore the contemporaneous correlation between asset returns. This paper utilises a multivariate test procedure, based on the generalised method of moments, to test whether residuals from market model regressions are multivariate normal. The results suggest violations of the multivariate normality assumption which cast doubt over the validity over inferential procedures commonly used in the extant empirical literature.
Trading Volume Lead/Lag Relations Between the ASX and ASX Option Market: Implications of Market Microstructure
Authors: Jarnecic Elvis
Published: January 2010

This study documents the intraday lead/lag relation between trading volumes of stocks and stock options traded on the ASX and ASX Options Market respectively. A stock lead of up to 15 minutes is initially documented. Differences in intraday lead/lag relations may occur because of the different nature of equities and options as instruments of investment, or market microstructure differences, or both these factors The study finds no evidence that trading on private infor Mation causes the option market to lead. Instead, market microstructure differences induce relatively infrequent trading in option markets and consequently cause stocks to lead Specifically, we find the stock lead is eliminated when only periods of frequent trading are examined. Also, the infrequent trading induced stock lead is partly explained by the different opening procedures of the two markets
Price Discovery and Causality in the Australian Share Price Index Futures Market
Authors: Turkington Joshua , Walsh David
Published: January 2010

The high‐frequency causal relationship between prices of share price index futures and the All‐Ordinaries Index (AOI) in Australia is studied. This allows conclusions to be drawn on the impact of market structure on infor Med trading and on the nature of the cost‐of‐carry model. The usual result of futures leading spot is strongly rejected, with clear bi‐directional causality, and with many significant lags. This suggests that an electronic market may enhance price discovery. However, price discovery is quite slow which suggests that there is no preferred market for infor Med trading in this environment, and that tests for the presence of arbitrage opportunities and for the correctness of the cost‐of‐carry model may be ineffective unless the lag structure is taken into account.
Survey Data Fusion
Authors: Aluja-Banet Tomàs , Thiô Santiago
Published: January 2010

Greffe de données d'enquêtes. Cet article concerne la fusion de données venant de sources indépendantes. Les enquêtes sont un des moyens les plus utilisés pour obtenir des données quantitatives souvent à des coûts élevés. Toute fois, la fiabilité des informations saisies dans les sociétés modernes diminue à cause de la "pression des enquêtes" sur les répondants, rendant ainsi intéressants les moyens indirects d'obtenir des données. Mais cette tache est à la limite de ce que les statistiques sont capables de faire. Toute greffe peut être réduite à sa version canonique qui est un fichier complet "donneur", avec des variables x et y, et un autre fichier "destinataire" avec seulement des variables x. La greffe consiste dans le transfert des variables y "donneur" dans le fichier "destinataire". On note que la greffe n'engendre pas de nouvelles informations mais utilise celles présentes d'une manière plus approfondie. L'objectif est d'estimer des données individuelles importantes pour l'analyse agrégée. Il y a deux principales méthodes de greffe d'enquêtes: l'une est la modélisation de la relations des variables y par rapport aux variables x du fichier "donneur" et l'application de ce modèle au fichier "destinataire". L'autre méthode est le "Hot Deck" (plateau chaud) impliquant la désignation, pour chaque individu "destinataire", d'un ou plusieurs individus "donneur" similaires afin de transférer les valeurs y des "donneurs" au "destinataire". Quoi que le problème est de nature plus générale, ici nous nous limitons aux greffes des données d'enquêtes d'audience de télé et de consommation des ménages. Le "Hot Deck" par greffe des k voisins les plus proches est utilisé actuellement pour les enquêtes d'audience mais il réduit considérablement la variabilité des données "donneur". Notre objectif est de comparer la greffe des k voisins les plus proches avec l'imputation PCAR et la régression PLS pour voir leurs points forts et leurs points faibles.
Renouvellement du terrain par la photographie: La cooperation d'une ethnologue et d'un photographe
Authors: Maurines Béatrice , Sanhueza Angel
Published: January 2010

Renewing Field Work through Photography, Cooperation between an Ethnologist and a Photographer: This article is dedicated to the discovery of sensitive worlds rich in import for the analysis of social representations. At its origin is a joint research project of an ethnologist and a photographer in industrial anthropology. The article describes the development of the research project where pictures were used not only as a means of illustration but with the intention of obtaining a better understanding of this field work. Indeed, certain sectors are barely explorable with "classic" qualitative and quantitative means (interviews, observations, questionnaires). In our perspective, the enthnologist's work should facilitate the passage "from the visible to the readable", but it should be able to address the invisible -- invisible for the researcher and often even for the informant -- and the non-expressible without mediation.
Academy Colloquium on "Creation and Returns of Social Capital. the State of the Art"
Authors: Flap Henk , Völker Beate
Published: January 2010

Colloque académique sur "la création et les retombées du capital social - état de la question": Les 30-31 octobre 2003, un colloque international sur la création et les retombées du capital social a été organisé par l'Académie royale néerlandaise des arts et des sciences au Trippenhuis (Kloveniersburgwal 29) à Amsterdam, Pays Bas. A peu près cinquante personnes ont participé à la conférence. Ci-dessous, on trouvera les résumés des présentations, l'adresse des présentateurs et une brève synthèse des discussions qui ont eu lieu lors de la conférence.
Méthode et stratégie d'analyse des questions ouvertes du panel electoral français
Authors: Brugidou M. , Mandran N. , Moine M. , Salomon A-C.
Published: January 2010

Method and Strategy of Analysis of Open Quesitons of the French Electoral Panel: This article presents a voting survey method which includes many open questions, the detailed strategies of analysis employed and also, based on analyzed examples, the methodololgical advances - and their limits - of such strageties which mix quantitative and qualitative approaches. During the spring 2002 elections, a survey apparatus was set up including a panel which would permit the measuring of French political opinions and behavior over three waves of the survey. The first part of this article addresses problems engendered by this survey apparatus and how they have been handled. This involves the creation of a typology of open questions, the place of open questions in a questionnaire, interviewer/interviewee interactions, etc. Replies to part of the questions were transcribed and analyzed using the Alceste program. The choice of these questions and the use of a text analysis approach are discussed in the second part of the article. To retum to a more explanatory approach, it is possible to cross-tabulate the classes produced by Alceste and the closed quesitons of the questionnaire. This procedure encounters several difficult problems that are both technical and epistomological that we address in the third part of the article.
Aux abonnés absents : Liste rouge et téléphone portable dans les enquêtes en population générale sur les drogues
Authors: Beck François , Legleye Stéphane , Peretti-Watel Patrick
Published: January 2010

Missing Subscribers, The Red List and Mobile Telephones in General Population Surveys Concerning Drugs: Survey designers using Computer-Assisted Téléphone Interviews (CATI) are confronted with four types of populations: Owners of land-line telephones which include those on the Red (unlisted number) List; Owners of only mobile telephones; and those who don't own a telephone. Over the past few years, the proportion of land-line users has decreased as only mobile users increased. Even if the telephone remains an excellent means for contacting individuals residing in France (only 1.2% have no telephone), the increase in Red List numbers and only mobile users complicates methods developed since the early 1990; the choice of not contacting these persons should be made on a knowledgeable basis. Two types of research presented here allow us to extend our knowledge of these populations in relation to the use of psychoactive substances: a random survey of land-line users (n=13,685) allows us to characterize Red List members conceming declared drug use and associated opinions; a survey (n=2,009) concerning the social representation of drug users, including a sub-sample of only mobile users (n=201) permits us to obtain a summary description of the later and measure differences between them and line-liner users on these same questions.