bluuebunny/crossref_metadata_2025 huggingface dataset:
A Test for Long-Term Cyclical Clustering of Stock Market Regimes
Authors: Powell John , Roa Rubén , Shi Jing , Xayavong Viliphonh
Published: January 2010

This paper finds that observed monthly United States stock index returns are consistent with an underlying mechanism of shifts in regimes amongst multiple states with differing means and volatility. An issue of especial interest is whether long-term clustering of regimes gives rise to stock market cycles. The paper therefore introduces a likelihood ratio test for long-term clustering of regimes. Clustering of regime presence tends to involve much longer term cycles than the bull and bear market cycles identified by Pagan and Sossounov (2003), thus extending the research issues that are associated with the analysis of mean returns using multiple state regime-switching models.
Are the Fama-French Factors Proxying Default Risk?
Authors: Gharghori Philip , Chan Howard , Faff Robert
Published: January 2010

In this paper we investigate the contention that the Fama-French (1993) model's ability to explain cross-sectional variation in equity returns occurs because the Fama-French factors, SMB and HML, are proxying for default risk. To assess the default risk hypothesis, we augment the CAPM and the Fama-French model with a default factor and run system regressions of the default enhanced models using the GMM approach. Our key findings are that: 1) default risk is not priced in equity returns; and, 2) the Fama-French factors are not proxying for default risk. Although our findings suggest that SMB and HML are not proxying for default risk, our analysis indicates that the Fama-French factors are capturing some form of priced risk However, what type of risk the Fama-French factors are capturing remains an open question.
Do Derivatives Have a Role in the Risk-Shifting Behaviour of Fund Managers?
Authors: Benson Karen L. , Faff Robert W. , Nowland John
Published: January 2010

In this paper we examine the extent to which derivatives are used to affect the risk-shifting behaviour of Australian equity fund managers. We find, after periods of good and poor performance, the risk-shifting behaviour of fund managers is different between derivative users and non-users. Our results support the gaming and active competition hypotheses but there is little support for the cash flow hypothesis. The study also allows for a complex reporting environment by analysing data across three alternate time periods: the calendar year, financial year and quarterly frames. Given that our results are not consistent across time periods for users and non-users of derivatives, some caution in interpretation is required.
Knowledge Transfer Process Cycle: Between Factory Floor and Middle Management
Authors: Riege Andreas , Zulpo Michael
Published: January 2010

Factory floor workers can add value to their firm from new knowledge they may discover whilst performing their daily tasks. The transfer of that knowledge to middle managers can improve process efficiencies, if they can utilise it. Researchers and practitioners perceive value in understanding a range of knowledge transfer strategies and initiatives, yet there is little empirical evidence on ground level knowledge discovery and bottom-up knowledge transfers in a manufacturing environment. Our results show that factory workers do not codify their knowledge and only articulate it personally. Thus firms must provide an environment that supports knowledge exchanges within the factory worker community and upwards to middle managers whom act as knowledge facilitators rather than knowledge creators between factory workers and upper management.
The Relevance of Family Characteristics to Individual Fund Flows
Authors: Benson Karen L , Tang Grace , Tutticci Irene
Published: January 2010

This paper examines the relevance of fund specific and family variables in the determination of money flows to Australian investment funds. The existing literature establishes the relevance of past period returns to individual fund flows. Our results show that family characteristics are also relevant to flows. Investors in individual funds are sensitive to family size, family age and product proliferation. We also find some evidence that the top performing funds within a family receive greater flows. The reported relations show that investors recognise that a fund is an embedded member of the family, where fund-level and family-strategies are important to the investment decision.
Disentangling Size from Momentum in Australian Stock Returns
Authors: Brailsford Tim , O'Brien Michael A.
Published: January 2010

Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for larger portfolios, and that this finding explains the inconsistent results of prior research. We demonstrate that momentum is present only in the top 500 stocks, and is most economically significant among the mid-cap stocks, which we call a relative size effect. However, the momentum returns are primarily generated from poor performance of the loser portfolio rather than any superior performance of the winner portfolio. In a more formal examination of the impact of size, we find significant exposure to a size factor among the combinations of size and performance portfolios. The strongest exposure to the size factor is found in small loser portfolios which also have the strongest exposure to market risk. In explaining the source of momentum returns, our findings cast doubt on the practical implementation of a trading strategy, and we suggest that successful momentum trading strategies are likely to realize ‘paper’ profits rather than generate real investment returns.
The Efficacy of the Sortino Ratio and Other Benchmarked Performance Measures Under Skewed Return Distributions
Authors: Chaudhry Ashraf , Johnson Helen L.
Published: January 2010

This paper will investigate the suitability of existing performance measures under the assumption of a clearly defined benchmark. A range of measures are examined including the Sortino Ratio, the Sharpe Selection ratio (SSR), the Student's t-test and a decay rate measure. A simulation study is used to assess the power and bias of these measures based on variations in sample size and mean performance of two simulated funds. The Sortino Ratio is found to be the superior performance measure exhibiting more power and less bias than the SSR when the distribution of excess returns are skewed.
The Stairway to the Top: The Remuneration of Academic Executives
Authors: Clements Kenneth W. , Izan H. Y.
Published: January 2010

Australian universities have in recent times been undergoing a substantial transformation in the way in which they are managed. They have moved away from the (British-based) traditional collegiate model to one in which professional managers play a centre-stage role. This paper investigates an important element of the managerialism at Australian universities, the market for what we call ‘academic executives' (AEs). We analyse the remuneration of the top AEs at Australian universities over the past six years and show that institutional size is a dominant driving factor of remuneration, as has been found with compensation of CEOs in the private sector. We also find the pay-size elasticity to be about 0.25 and is the same for both the university and private sectors; and remarkably, this value has also been found in previous studies on executive remuneration for the US and the UK. The remuneration schedule for the university sector is about half as steep as that for the private sector, suggesting that it is a much harder climb to the top of the corporate ladder. We analyse the structure of remuneration among AEs and the Group of Eight universities are found to have a pay parity structure that is closest to (hat for the private sector.
Size, Book to Market and Momentum Effects in the Australian Stock Market
Authors: Kassimatis Konstantinos
Published: January 2010

We examine the significance of the size, book-to-market and momentum risk factors in explaining portfolio returns in the Australian stock market. We compare the CAPM to a four-factor model assuming static risk premia, and find that the additional factors have significant explanatory power. Under the assumption of time-varying factor loadings, though, the significance of the three additional factors becomes marginal, which suggests that size, book-to-market and momentum may proxy for misspecified market risk.
Persistence in Growth Versus Market Expectations
Authors: Hall Jason , Tochterman Matthew
Published: January 2010

We measure the persistence and predictability of sales and earnings growth for Australian-listed firms from 1989 to 2006. In contrast to results from the United States, there is evidence of persistence in growth. There is close to a two-thirds chance that a firm reporting growth above the industry median in one year repeats this performance in the following year. However, there is little evidence that valuation ratios—measured as revenue, earnings or book value of equity relative to market capitalisation—are particularly useful in predicting future growth. Instead, they reflect recent historical growth, especially in the case of the book-to-market ratio. Firms with low book-to-market ratios have relatively high growth over the previous five years, but their growth over the subsequent five years is almost indistinguishable from firms with high book-to-market ratios. The results are consistent with the hypothesis that value stocks outperform growth stocks because investors overstate firms' ability to consistently make high-growth investments.
Explaining Credit Ratings of Australian Companies—An Application of the Merton Model
Authors: Tanthanongsakkun Suparatana , Treepongkaruna Sirimon
Published: January 2010

This paper examines how the default likelihood indicator computed from the option-based model of Merton (1974) together with two default-related factors, namely firm size and book-to-market ratio, effectively explain credit ratings when compared to accounting ratios. Using Australian companies that are rated by Standard and Poor's during 1992–2003 and ordered probit analysis we find that the market-based model is more informative in explaining credit ratings than the accounting-based model.
Employee Participation in Continuous Improvement Programs: The Interaction Effects of Accounting Information and Control
Authors: Wynder Monte
Published: January 2010

The design of management accounting control systems (MACS) is an important factor affecting the extent and success of employee involvement in continuous improvement (CI) programs. The results of an experiment reported here indicate that the combination of Activity-Based Cost (ABC) information and an emphasis on idea generation are both important in determining the number of recommendations received. Cost information is important in determining the overhead reduction associated with those recommendations. Furthermore, results-based control leads to less overhead reduction when Volume-Based Cost information (VBC) is provided, but greater average overhead reduction per recommendation when ABC information is provided.
The Impact of Regulations on the Informational Basis of Insider Trading
Authors: Gilbert Aaron , Tourani-Rad Alireza
Published: January 2010

In this paper, we examine the impact of major regulatory changes in New Zealand on the profitability and informational basis of insider transactions. Legislation around the world appears to have tried to encourage insiders to trade only in specified instances. We examine the efficacy of this approach. We conclude that the law changes have had a negative impact on the profitability of insider trading and appear to have forced insiders to stop trading on the knowledge of upcoming price-sensitive events. The results show that well constructed insider-trading laws could be effective in minimising the most harmful aspects of insider trading.
Fundamental Indexation: An Australian Investigation
Authors: Mar Joanne , Bird Ron , Casavecchia Lorenzo , Yeung Danny
Published: January 2010

Capitalisation-weighted indexes provide the basis for passive investment strategies designed to capture market performance. However, these cap-weighted indexes are claimed to be sub-optimal because of their tendency to overweight overvalued shares and underweight undervalued shares. U.S. evidence suggests that fundamental indexes, which select, rank and weight stocks according to fundamental measures of size such as book value and revenue, outperform cap-weighted indexes. This study examines fundamental indexation in an Australian context over the period 1995 to 2006 and finds support for the U.S. results. However, we also find that the superiority of fundamental indexation is largely explained by its inherent bias towards value stocks, which raises the question as to whether a more overt value tilt may not provide a superior means for exploiting mispricings in markets.
Revisiting the Vexing Question: Does Superior Corporate Social Performance Lead to Improved Financial Performance?
Authors: Lee Darren D. , Faff Robert W. , Langfield-Smith Kim
Published: January 2010

The empirical evidence documenting the association between a firm's level of corporate social performance (CSP) and corporate financial performance (CFP) remains divided. This paper reinvestigates the CSP/CFP association using a more rigorous methodology whilst taking advantage of a superior measure of CSP. In contrast to the findings of much of the prior research, the market-based tests suggest a negative association between CSP and CFP, while the accounting tests indicate no association exists. We suggest that the negative market CSP/CFP relation should not be interpreted as CSP having no value. Rather, our results may suggest that leading CSP firms trade at a price premium (i.e. returns discount) relative to lagging CSP firms, thereby indicating that financial markets value CSP and are prepared to realise lower returns. For firms, this signals an ability to obtain a lower cost of equity capital when they proactively manage their CSP profiles.
Fund Size, Transaction Costs and Performance: Size Matters!
Authors: Chan Howard W. H. , Faff Robert W. , Gallagher David R. , Looi Adrian
Published: January 2010

Recent studies find evidence that small funds outperform large funds. This fund size effect is commonly hypothesized to be caused by transaction costs. Due to the lack of transactions data, prior studies have investigated the transaction costs theory indirectly. Our study, however, analyses the daily transactions of active Australian equity managers and finds aggregate market impact costs incurred by large managers are significantly greater than those incurred by small managers. Furthermore, we show large managers exhibit preferences for trade package formation and portfolio characteristics consistent with transaction cost intimidation. We analyse the interaction between transaction cost intimidation and the fund size effect, and document that large managers pursuing a highly active trading strategy suffer more from fund size, than large funds following a more passive strategy. This suggests the fund size effect is related to transaction costs, as trading activity is a good proxy for expected market impact. Finally, based on a simulation experiment, we find that transaction cost intimidation is at least as important as the increase in market impact costs due to fund size.
The Value of Alpha Forecasts in Portfolio Construction
Authors: Fong Kingsley , Gallagher David R. , Lee Adrian D.
Published: January 2010

This study examines a portfolio strategy which selects stocks using the undisclosed monthly holdings of Australian active fund managers. When considering a large range of strategies incorporating fund portfolio holdings information, the top performing strategies are robust to data snooping and are both statistically significant and economically significant when incorporating transaction costs. These strategies are short term in nature, with statistically significant performance lasting up to nine months. When we account for look-ahead bias in the formation of a strategy, we find statistically significant alpha when following the best performing strategy holding 20 stocks or more in the previous month.
The Prices Justification Tribunal: Retrospect and Prospect
Authors: Officer R. R.
Published: January 2010

Because empirical measurement of the PJT's effectiveness is very difficult, the PJT is evaluated analytically. It is concluded that the only sensible role for the PJT is to reduce inflationary expectations when the underlying causes of inflation are no longer present. There is little or no evidence that the PJT has been successful in this regard. An examination of the PJT's decisions indicate many inconsistencies with those of other government bodies and with optimal resource allocation. The PJT owes its continued existence almost completely to political factors.
The Role of the Monetary Base in Australia
Authors: Purvis Douglas D.
Published: January 2010

While the monetary base might be a useful concept for analyzing variation in the money supply, it is a misleading indicator of the central bank's monetary policy. Three intervening institutional considerations are: (1) regulation of interest rates and the central bank's trading in LGS assets with the banks; (2) Government banking with the central bank; and (3) the role of Australian savings banks. Institutional change would increase the authorities' control over the money supply.
Sources of Growth of the Australian Money Supply
Authors: Sharpe Ian G.
Published: January 2010

Variation in the Australian money supply is analyzed in two frameworks: (1) the “formations table” framework; and (2) a framework obtained by modifying traditional monetary decomposition to accommodate the ability of Australian banks to change their LGS assets by transacting with the central bank at a policy-determined interest rate. Evidence is presented on the determinants of the Australian money supply over the period 1960-75. Variation in the augmented monetary base (monetary base plus trading banks' holdings of government securities) is found to be a major source of variation in the money supply.
On The Question of Seasonal Regularities in Australian Capital Markets
Authors: Dyer James C. , Keating Gary R.
Published: January 2010

The folklore that rates of return on the Australian capital market exhibit seasonals is tested. Previous studies by Praetz (1973) and Officer (1975) have reported seasonals. Rozeff and Kinney (1976) follow up these studies and confirm the seasonal in U.S. data. Using spectral techniques, this study provides evidence which, on balance, supports the hypothesis that the generation process for rates of return on Australian equity shares is devoid of seasonal regularity.
Inflation and the Investing Borrower
Authors: Everett J. E.
Published: January 2010

The Mathews Committee report recommends that assets should be depreciable for tax purposes according to replacement cost rather than historic cost, to compensate for inflation. But there is a reverse side to the argument. Under the present taxation system, part of the interest expense allowed on borrowed funds is really a repayment of capital in times of inflation.

This paper examines the two effects quantitatively. It is shown that, for a project financed entirely by borrowings, the extra tax benefit on interest expenses exceeds the extra tax cost on depreciation allowances. If the Mathews Committee recommendations on depreciation are adopted and borrowers are allowed to deduct interest payments in full, then inflationary distortions might be accentuated rather than relieved.
A Note on Errors in Variables and Estimates of Systematic Risk
Authors: Ball Ray
Published: January 2010

Australian capital markets, being relatively “thin”, present the researcher with a potentially large “errors in the variables” problem. The standard formulation of the problem is inappropriate for estimating securities' systematic risks. The unusual feature in this context is that the regressor (the rate of return on the “market index”) is defined as the sum of the feasible regressands (the rates of return on individual securities). As a result, errors in the regressor are not independent of errors in the regressand. An alternative formulation is suggested, which is simple and similar to the conventional formulation. While the alternative is more realistic, it is not sufficiently so: the real problem of errors in this context is much more complex.
A Concept of Organizational Ecology
Authors: Trist Eric
Published: January 2010

This paper introduces a concept of organizational ecology. This refers to the organizational field created by a number of organizations, whose interrelations compose a system at the level of the field as a whole. The overall field becomes the object of inquiry, not the single organization as related to its organization-set. The emergence of organizational ecology from earlier organization theory is traced and illustrated from empirical studies. Its relevance to the task of institution-building, in a world in which the environment has become exceedingly complex and more interdependent, is argued.
An Econometric Analysis of Deposit Rates, Security Holdings and Last-Resort Borrowing in the Short-Term Money Market
Authors: Allan R. H. , Valentine T. J.
Published: January 2010

The model developed in this paper explains the last-resort borrowing, deposit rate and portfolio decisions of dealers in the official short-term money market. Equations based on the model have been estimated from monthly data and they provide a very good explanation of the variables which are the subject of the study. They indicate that the last-resort rate has a significant influence on the rates paid on deposits with the dealers. Some equations explaining the supply of funds to the dealers have also been estimated. An important implication of these equations is that trading banks hold these deposits as a liquidity reserve against drawings on overdraft accounts. The policy implications of the results are discussed in the final section of the paper.
The Distribution of Stock Market Returns: 1958-1973
Authors: Praetz Peter , Wilson Edward J.G.
Published: January 2010

The empirical frequency distributions of continuously-compounded monthly share returns on the Melbourne Stock Exchange over 1958-73 are studied for individual securities and portfolios. The typical distributional shape is observed and the stable Paretian and Student t distributions are fitted to the returns. The latter clearly is superior and even normality is a reasonable approximation for medium sized portfolios. The most likely explanation seems to be non-stationarity in the generating process for returns, rather than infinite-variance distributions or data errors. The implications for future empirical work and the theory of asset pricing are discussed.
The Relationship Between Accounting Variables and Systematic Risk and the Prediction of Systematic Risk
Authors: Castagna A. D. , Matolcsy Z. P.
Published: January 2010

This paper conducts several tests of association between accounting information and the systematic risks of firm's equities. It also evaluates several models of the prediction of systematic risk from past rate-of-return information.
Resources Rent Taxation
Authors: Dowell Richard
Published: January 2010

In the past, revenue from government owned mineral rights have been collected through a combination of lease auctions, ad valorem or per unit royalties, overcharges for state services, price controls and export levies. The resource rents tax (RRT) is a recently proposed royalty which purportedly has an efficiency advantage over other forms of rent collection. This paper critically reviews the arguments which have been used to justify RRT. Possible problems with RRT are discussed, some of which have been ignored in the current literature. In addition, a new royalty is introduced, which combines an auction with a two-part output-based levy.
Skewness and Data Errors: An Australian Replication
Authors: Rainbow K. A.
Published: January 2010

The possibility of errors exists in all data bases although checks are usually wade to find and eliminate them. Beedles and Simkowitz identified potential errors in recording prices of New York Stock Exchange securities by studying their measured relative skewness. A similar procedure is applied to Brown's file of Melbourne share returns, with the results indicating that it is virtually error free.
Capitalisation Changes and Share Price Movements: New Zealand Evidence
Authors: Emanuel D. M.
Published: January 2010

This paper examines the reaction of prices on the New Zealand Stock Exchange to the announcement of two classes of capitalisation change: bonus issues and rights issues. The reaction is rapid and unbiased. Capitalisation changes are almost always accompanied by effective dividend increases, which can be interpreted as proxies for relevant parameters of firms' probability distributions of future cash flows. The evidence is consistent with capital market efficiency.
An Economic Assessment of Australia's Two Airline Policy
Authors: Kirby Michael G.
Published: January 2010

The market structure and performance of the Australian domestic air transport industry are largely determined by the Government's Two Airline Policy. Under this regulatory framework the Government has control over most factors affecting the provision of air services. This regulation and its resultant industry performance are subjected to economic analysis, where it is concluded that massive welfare costs are imposed on the Australian community.
Project 3P-12 Months Later
Authors: Volard S. V.
Published: January 2010

This paper updates a case study published in the April, 1978 issue of this journal. The case study described a change programme in a small tyre company in Brisbane, based on three inter-related factors that appear to underpin much of what we call “Industrial Democracy”: employees participating in important decisions about group objectives, contributing to group performance in a significant way and sharing the rewards of group accomplishment.

The description covered the first seven months of that change programme, during which some remarkable changes took place in performance as a result of the initiatives of employees. Problems became apparent during that first stage and other problems have surfaced during the next twelve months. This paper discusses the nature of these problems, their possible causes, and the measures taken (or not taken) to correct them.
Export Promotion Policy-A New Approach
Authors: Welch Lawrence S. , Wiedersheim-Paul Finn
Published: January 2010

We argue for a new approach to export promotion policy in which programmes are tailored to the different stages of the internationalisation process in order to achieve maximum effectiveness, especially in the crucial pre-export and early exporting stages. Encouragement and support of the learning process within the firm, through greater direct involvement of outside assistance, are particularly important. The approach places less stress on financial incentives and more on developing such factors as information handling capacity and international attitudes.
Inter-Industry Strike Patterns: Towards a New Analytical Framework
Authors: Frenkel Stephen J.
Published: January 2010

Strikes have been examined from a variety of theoretical perspectives and at different levels of analysis. But for various reasons associated with theoretical developments in industrial relations and sociology, inter-industry strike studies have been neglected. This article discusses these issues and argues for a new approach to strike analysis. It is one which concentrates on identifying strike patterns in different industries and emphasises the interplay between workplace characteristics and the institutional context. A theoretical framework is developed along these lines and then used to interpret the strike patterns characteristic of Broken Hill metal mining, New South Wales coal mining, the Queensland meat slaughtering and New South Wales furniture industries.
Trade Union Law and the Proliferation of Trade Unions in Hong Kong
Authors: Yerbury D.
Published: January 2010

Commentators, including the author, have argued that many of the reasons for the proliferation and survival of small unions in Australia can be traced to the law. In 1977, the author was called upon to consider not-dissimilar arguments in the context of a very different industrial relations system, namely, Hong Kong. Her findings indicated a number of reasons underlying the preference for small, particularistic unions - notwithstanding ample opportunity within the legal provisions for the union movement to achieve rationalisation if it chose to do so. The law was found to be permissive toward proliferation, but only in respect of federation could it be said to act as a possible constraint on rationalisation.
The Prediction of Corporate Failure: Testing the Australian Experience
Authors: Castagna A. D. , Matolcsy Z. P.
Published: January 2010

The purpose of this paper is to address some of the methodological issues which have evolved from the literature on corporate failures, and to report the results of an empirical investigation on the usefulness of financial models for the prediction of corporate failures.

The experimental design is based on the 21 listed public companies that failed in Australia during the period 1963 to 1977, inclusive, and which met with minimum data requirements. It examines the performance of linear versus quadratic classification rules; temporal versus atemporal models; equal versus unequal priors of failure, variable dimension reduction, and a validation test proposed by Lachenbruch (1967).

The results of the study suggest that it is difficult to identify a unique model to predict corporate failures, without specifying the utility preference of the user. Utility preference in this context refers to the minimization of either Type I, Type II, or the overall error rate of a failure model.
Measuring Abnormal Performance on the Australian Securities Market
Authors: Shevlin Terrence J.
Published: January 2010

This paper reports the results of simulation tests on various models that have been employed by researchers in testing the share market response to information releases. The study employs methodology similar to that used by Brown and Warner (1980) in the United States. This study based on Australian monthly return data reports generally similar results. The methodologies of the semi-strong market efficiency tests are most powerful when the date on which the information is first released to the share market is accurately identified.
International Diversification: An Ex Post and Ex Ante Analysis of Possible Benefits
Authors: Watson John , Dickinson John P.
Published: January 2010

In 1972 the Australian Federal Government partially relaxed exchange controls prohibiting overseas portfolio investment by Australian investors. The purpose of this paper is to examine the benefits which might have accrued to Australian investors over the period 1970 to 1977 had they been able to take full advantage of international diversification. The analysis is carried out on both an ex post and ex ante basis and looks at both “Markowitz” and “naive” diversification strategies.
Growth in Holdings of A New Financial Asset: A Logistic Analysis
Authors: Broadbent John , Clements Kenneth W. , Johnson Lester W.
Published: January 2010

This paper introduces the logistic model for the analysis of holdings of a new financial asset. The evolution of holdings of saving investment accounts in Australia is shown to follow extremely closely Oliver's (1969) generalized logistic process and that these holdings are reaching a saturation level. It is further shown that this saturation level is a function of the asset's relative rate of return.
The Determinants of Holdings of Financial Assets in Australia
Authors: Clements Kenneth W. , Taylor John C.
Published: January 2010

The growth in building societies in Australia over the 1970s mirrors the relative decline in the savings banks. The growth in deposits with building societies is shown to be due mainly to increased total wealth, rather than changes in interest rates. The responsiveness of holdings of four important financial assets to changes in interest rates and wealth is also discussed.
Introducing Technological Change: A Case Study
Authors: Jackson K. R. , Yerbury D.
Published: January 2010

The introduction of electronic news gathering equipment in the ABC illustrates the barriers to consensus-based consultation when the associated demarcation dispute reflects management's pursuit of its “territorial” interests, as well as the different but interacting apprehensions of various workgroups; and when those workgroups are all covered by the same “house union”. If the ABC is to accommodate such technological change, it would seem desirable for it to develop more flexible organisational and job structures. It would also seem necessary for it to improve its decision-making and consultative mechanisms.
Student Assessment and GMAT: Quantitative Versus Verbal Components in Performance on Examinations and Assignments
Authors: Bottger Preston , Yetton Philip
Published: January 2010

Student failures in individual MBA courses most frequently occur in those units with an emphasis on quantitative techniques. This has led some management schools to give, or consider giving, higher weight to GMAT(q) than GMAT(v) in selection decisions. This paper shows that GMAT(q) is a good predictor of examination but a poor predictor of assignment performance in quantitative MBA courses. In contrast, GMAT(v) is a good predictor of grades in both examinations and assignments. If assignments rather than examinations more appropriately test managerial skills, these findings question any relative emphasis on GMAT(q) over GMAT(v) in selection decisions. The results highlight the link between assessment procedures and admission policy. The subjects are 102 MBA students in an Australian management school.
Sharemarket Efficiency and the Experts: Some Australian Findings
Authors: Brown Philip , Walter Terry
Published: January 2010

This paper analyses the investment performance of 625 investment recommendations made by practitioners attending five Australian courses on portfolio management held between 1973 and 1979. It was found that course participants consistently out-performed the market, on a risk-adjusted basis. Their success was not due to picking winners to buy, but to nominating losers to sell.
The Assessment of Payroll Internal Control Systems and Auditors' Experience, Tolerance of Ambiguity, and Dogmatism
Authors: Hall Chris , Yetton Philip , Zimmer Ian
Published: January 2010

Professional judgments, such as an auditor's assessment of an internal control system, require the exercise of discretion which is likely to reflect individual differences across auditors. Here significant effects are reported for dogmatism and tolerance of ambiguity in auditor's assessments of payroll internal control systems, and, supporting Joyce's early result (Joyce, 1976), a weak negative effect of experience on inter-auditor consensus. In contrast, existing research reports null findings for the effect of personality differences on financial judgments (Savich, 1977; McGhee, Shields, and Birnberg, 1978; Weber, 1978) and a weak positive effect for experience (Ashton and Kramer, 1980). The previous null findings with respect to personality differences are explained as a subject/task interaction. The subjects were 23 auditors who each assessed 32 internal control checklists.
The Behaviour of the Australian Forward Exchange Market
Authors: Levis Mario
Published: January 2010

The efficiency of the Australian official forward exchange market is tested for the period September 1974 to June 1981. The results indicate that while the 90-days US dollar forward rate was an unbiased predictor of the future spot rate for the period as a whole, substantial differences between the two rates have been evident over prolonged short-run periods. Such evidence raises some important policy questions about the existing arrangements in the forward exchange market.
Management of the Radio Frequency Spectrum in Australia
Authors: Hall Chris , Schou Kirsten
Published: January 2010

The electro-magnetic spectrum is a resource of crucial significance to communications and to the economy. Efficient economic management of the spectrum requires that it be allocated to users and uses so as to maximise the discounted net social benefit. The paper outlines the existing system of spectrum management in Australia, and developes an economic framework for analysing relevant spectrum management issues. By reference to a number of alternative spectrum management systems it is argued that whilst market based allocations are unlikely to achieve optimum allocation, there is room for improvement in the present system of management.
Modelling Option Prices in Australia Using the Black-Scholes Model
Authors: Brown R. L. , Shevlin T. J.
Published: January 2010

This paper provides evidence on the ability of the Black-Scholes model to price options traded on the Australian market. The only variable in the Black-Scholes model which is likely to be subject to significant measurement error is the standard deviation rate. Two different methods of estimation are examined here: historically-based and implied standard deviations. Using historical estimates of the standard deviation rates resulted in significant underpricing by the model relative to the market. This underpricing was consistent across in/out and short/long options with the latter proving particularly troublesome for the model. As would be expected, the use of weighted implied standard deviation (lagged one month), greatly improves the pricing ability of the model. Mean pricing differences were small in absolute terms and very few remained statistically significant.
New Information and Australian Equity Returns: A Multivariate Analysis
Authors: Sharpe I. G.
Published: January 2010

Utilising multivariate techniques the study investigates the relationship between new macroeconomic information and weekly Australian equity returns and tests the joint hypothesis of market efficiency and constant equilibrium expected equity returns (or constant risk premium). The joint hypothesis is strongly rejected for the 1978–1981 sample period. On the other hand, Australian equity returns are found to be significantly positively related to U.S. equity returns, growth of the monetary base, and the rate of change of the US$/A$ exchange rate.
Parameter Stationarity in the Distribution of Stock Market Returns
Authors: Stokie Michael D.
Published: January 2010

Population parameters in the distributions of security returns are examined for stationarity. Mean returns are found to be stationary over a sixteen year period. Variances, beta coefficients and covariances between pairs of securities can be taken as stationary in five year periods but not for sixteen years.
Stock Market Efficiency and Price Predictions Implicit in Option Trading
Authors: Brown R. L. , Shevlin T. J.
Published: January 2010

The Black-Scholes option pricing model (with approximate adjustments for dividends and exercise price changes) was used to generate stock prices which are “implied” by the model. If the stock market is efficient, these implied prices should not be capable of being used profitably by traders. This hypothesis is tested using prices established in the Australian Options Market and the Sydney Stock Exchange over the period February 1976 to December 1980. A close correspondence is found between implied stock prices and actual stock prices. Tests of the predictive power of the implied prices were unable to discover evidence of market inefficiency. However, a simulated trading strategy executed over one trading day and based on the largest discrepancies between actual and implied prices did meet with some success.
Support in Managerial Work Groups: Psychological Climate, Role, Feedback, Behaviour and Satisfaction
Authors: Crouch Andrew
Published: January 2010

Theory and evidence across several organisational literatures identify a complex and ill defined set of factors which relate to support in managerial work teams. This article delineates a pattern of relationships among a set of theoretically relevant and contiguous variables including job feedback, hierarchical role, supportive psychological climate, support behaviour and satisfaction with supervision. This pattern is tested and some anomalies are identified which are explained in terms of different perceptions of support by people with different vertical dyad relationships with their manager. As such, vertical dyad relationships are argued to be important factors of work group social structure. Subjects are 309 managers and subordinates from 59 managerial work teams.
Aspects of the Factor Structure Implicit in the Australian Industrial Equity Market: February 1958 to August 1977
Authors: Sinclair N. A.
Published: January 2010

Several asset pricing models have been developed in the literature, all of which can be treated as special theoretical cases of the Arbitrage Pricing Theory (APT). This paper examines aspects of the factor structure implicit in securities' monthly return data. Part of the approach is directly analogous to an examination of market model beta stationarity. It is found that a single factor, typically identified as a market factor, is dominant and remains intertemporally stable. Ceteris paribus, the implicit factor structure is consistent with a one factor APT of which the mean-variance CAPM is a special case.
Explaining Structural Change in Organisations: Contingency Determinism or Contingency Fit
Authors: Donaldson Lex
Published: January 2010

Cross-sectional studies of organisation have yielded a number of relationships between contingencies and structure. However, some diachronic studies of changes in contingency and structure have not produced the results expected. The suggestion of this paper is that this may reflect inappropriate forms of data analysis based on a theoretical orientation of contingency determinism rather than contingency-fit. The former posits that a change in contingency directly causes a change in structure. The latter states that it is the lack of fit, a mismatch between contingency and structure, which leads to structural change. An illustration of the two alternative approaches is given by reference to longitudinal data on changes in strategy and structure. Two hypotheses derived from the contingency-fit model are confirmed, whereas the one derived from the contingency determinism approach is not.
A Partial Meta-Analysis of the Relationship between Organisational Structure and Production Technology
Authors: Hirst Mark K.
Published: January 2010

This paper identifies problems with studies which review the literature on the relationship between structure and technology. Meta-analysis is used to reduce these problems, and as a means of aggregating results across studies.
The Trading Stock Valuation Adjustment: Some Extensions and Modifications
Authors: Aitken Michael J. , Walter Terry S.
Published: January 2010

This paper seeks independent confirmation of the research conclusions reached by Sinclair and Whittred (1982) regarding a capital market reaction to the introduction of the Trading Stock Valuation Adjustment (TSVA). This analysis extends and modifies that research and uses the date of the subsequent withdrawal of the TSVA to test for evidence of any reversal impact on the stock prices of the firms initially affected. We are unable to document such evidence.
Book Review
Authors: Crawford Michael
Published: January 2010

Strategic Management: An Integrative Perspective, by Arnoldo C. Hax and Nicolas S. Majluf. Prentice-Hall, Inc., Englewood Cliffs, New Jersey, 1984. 468pp.
Standard-Setters' Responsiveness to Submissions on Exposure Drafts: Australian Evidence
Authors: Coombes Robert J. , Stokes Donald J.
Published: January 2010

In this paper, we examine specific aspects of the responsiveness of the accounting profession in Australia to the written submissions of respondents to exposure drafts of accounting standards. Our findings suggest that the accounting profession has released standards which are consistent with the views of a majority of respondents to exposure drafts. Moreover, the content of the standards do not appear to be aligned with the stated preferences of any particular respondent group. Finally, there is a significant positive correlation between publication lags and the level of respondent dissonance on policies contained in official exposure drafts. This suggests that controversial aspects of exposure drafts may be reassessed by the standards-setter before authoritative statements of accounting standards are released.
A Vector Autoregressive Forecasting Model of The US$/$A Exchange Rate
Authors: Hogan Lindsay I. , Urban Peter J. , Anh V. V.
Published: January 2010

A forecasting model of the US$/$A exchange rate is derived through the application of vector autoregression (VAR) techniques. The major theoretical models of exchange rate determination are reviewed to identify relevant variables to include in the VAR model. For the within-sample period of September 1974 to May 1983, the VAR forecasts are found to be clearly superior to the naive no-charge extrapolated forecasts. However, the position is reversed when the out-of-sample forecasts are examined.
Asymmetry in Australian Equity Returns
Authors: Beedles William L.
Published: January 2010

The importance of asymmetry in investment assessment is established and past research into the matter for Australian and U.S. equities is reviewed. Asymmetry, especially of the positive variety, is found to be a prevalent empirical phenomenon for Australian shares. Diversification is found to increase average asymmetry decreases with diversification. Evidence regarding the stationarity of cross-sectional asymmetry distributions is mixed.
Effect of Assimilation of Work Experience on Growth Satisfaction: Assessment of an Internal Validity Threat Due to Higher Order Needs
Authors: Chew Irene K-H , Bottger Preston C.
Published: January 2010

Within the context of the job characteristics model, Bottger and Chew (1986) argue that capacity for growth, rather than need for growth, would predict individual differences in growth satisfaction. In three large samples, they show that propensity to assimilate work experience (AWE) has a significant main effect on growth satisfaction, independent of job scope and context satisfaction. By contrast, growth need strength (GNS) has a null main effect and weak interaction effect on growth satisfaction. The present study assesses a possible threat to the internal validity of the Bottger and Chew findings. It examines whether higher order needs, namely growth need strength and needs for achievement, dominance and autonomy actually explain the AWE effect on growth satisfaction. Two samples of managers (N = 440 and N = 708) from the original Bottger and Chew study are used here. Using regression analysis, we show that the AWE effect is not attributable to needs.
Sex Differences in Supervisory Consideration: A Short Note
Authors: Ryder Paul A.
Published: January 2010

This paper investigates sex effects in the role behaviours of practising managers: Do female managers show high levels of consideration, consistent with existing stereotypes? The literature suggests conversely that female managers are male-oriented in their approach. Using a matched sample of 38 university administrators, from the same institution, and self-reports of job behaviours, this conclusion is not supported for this group. There are no significant differences between the sexes on the Hersey and Blanchard (1982) measures. The importance of contextual factors which might influence these findings is discussed.