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29th Australasian Finance & Banking Conference 2016 (Archive)

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ISBN: 978-0-9873127-8-5

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Viewing: 1 - 50 of 100 papers

1.

Days to Cover and Stock Returns

29th Australasian Finance and Banking Conference 2016
Number of pages: 63 Posted: 26 Feb 2015 Last Revised: 11 Nov 2016
Working Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Singapore Management University - Lee Kong Chian School of Business, Hong Kong Baptist University (HKBU), Columbia University and Quantitative Investment Strategies, Goldman Sachs Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,358
2.

Optimal Factor Strategy in FX Markets

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 77 Posted: 20 Jun 2016 Last Revised: 24 Sep 2018
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Washington University in Saint Louis - John M. Olin Business School
Downloads 858
3.

Cointegration and Relative Value Arbitrage

29th Australasian Finance and Banking Conference 2016
Number of pages: 44 Posted: 22 Aug 2016 Last Revised: 21 Sep 2016
Working Paper Series
Monash University and University of Queensland

Multiple version iconThere are 2 versions of this paper

Downloads 753
4.

Optimal Portfolio Choice with Estimation Risk: The Case without a Risk-free Asset

29th Australasian Finance and Banking Conference 2016, Rotman School of Management Working Paper No. 2819254
Number of pages: 58 Posted: 10 Feb 2016 Last Revised: 03 Jul 2018
Working Paper Series
University of Toronto - Rotman School of Management, Iowa State University and Washington University in St. Louis - John M. Olin Business School
Downloads 698
5.

Informed Trading of Out-of-the-Money Options and Market Efficiency

29th Australasian Finance and Banking Conference 2016
Number of pages: 54 Posted: 05 Jul 2016 Last Revised: 02 Nov 2017
Working Paper Series
UNSW Australia Business School, School of Banking and Finance, University of Wisconsin - Milwaukee and NH Finance Research Institute
Downloads 606
6.

On the Economic Value of Alphas

Number of pages: 80 Posted: 15 Mar 2011 Last Revised: 06 Sep 2017
Working Paper Series
University of Toronto - Rotman School of Management and Iowa State University
Downloads 470
7.

The Bottom-Up Beta of Momentum

29th Australasian Finance and Banking Conference 2016
Number of pages: 21 Posted: 11 Sep 2012 Last Revised: 04 Oct 2016
Working Paper Series
UNSW Australia Business School, School of Banking and Finance
Downloads 436
8.

Nearness to the 52-Week High and Low Prices, Past Returns, and Average Stock Returns

29th Australasian Finance and Banking Conference 2016
Number of pages: 60 Posted: 19 Jun 2016
Working Paper Series
National Chung Cheng University and University of Edinburgh - Organisation StudiesNational University of KaohsiungUniversity of Edinburgh - Accounting and Finance
Downloads 429
9.

The Gender Face-Off: Do Females Come Out on Top in Terms of Trading Performance?

29th Australasian Finance and Banking Conference 2016
Number of pages: 63 Posted: 20 Aug 2016 Last Revised: 04 Sep 2016
Working Paper Series
The University of New South Wales, University of New South Wales (UNSW Sydney and University of Sydney Business School
Downloads 396
10.

Do Venture Capital Investors Learn from Public Markets?

Number of pages: 53 Posted: 19 May 2016 Last Revised: 12 Jun 2018
Working Paper Series
Tsinghua University and Tsinghua University - PBC School of Finance
Downloads 389
11.

City Goes Dark: Dark Trading and Adverse Selection in Aggregate Markets

FCA Occasional Paper No. 29
Number of pages: 49 Posted: 16 Aug 2016 Last Revised: 03 May 2018
Accepted Paper Series
Financial Conduct Authority, University of Otago - School of Business, University of Edinburgh and Queen's University Belfast
Downloads 371
12.

Starting on the Wrong Foot: Seasonality in Mutual Fund Performance

Journal of Banking and Finance, Forthcoming, Asian Finance Association (AsianFA) 2016 Conference, 29th Australasian Finance and Banking Conference 2016
Number of pages: 49 Posted: 10 Aug 2015 Last Revised: 16 Dec 2017
Accepted Paper Series
New York University - Stern School of Business, The University of Melbourne - Department of Finance, Manchester Business School and Lancaster University - Management School
Downloads 346
13.

How Does Investor Confidence Lead to Trading? Linking Investor Return Experiences, Confidence, and Investment Beliefs

29th Australasian Finance and Banking Conference 2016
Number of pages: 55 Posted: 30 Sep 2013 Last Revised: 23 Feb 2016
Working Paper Series
University of Adelaide - Business School and Maastricht University - School of Business and Economics - Department of Finance
Downloads 338
14.

Does Stock Market Liquidity Affect Real and Accrual-Based Earnings Management?

29th Australasian Finance and Banking Conference 2016
Number of pages: 47 Posted: 18 Aug 2016 Last Revised: 01 Jul 2017
Working Paper Series
School of Management and Economics, Chinese University of Hong Kong, Shenzhen and Monash University - Monash Business School
Downloads 300
15.

Clearinghouse Margin Requirements

Operations Research, Forthcoming
Number of pages: 70 Posted: 05 Oct 2015 Last Revised: 30 Jan 2018
Accepted Paper Series
Columbia University and AQR Capital Management, LLC
Downloads 291
16.

The Value of Growth: Changes in Profitability and Future Stock Returns

29th Australasian Finance and Banking Conference 2016, Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 56 Posted: 10 Aug 2016 Last Revised: 16 Jan 2018
Working Paper Series
The University of Melbourne - Department of Finance, Manchester Business School and Lancaster University - Management School
Downloads 288
17.

Superstar Fund Managers: Talent Revelation or Just Glamor?

29th Australasian Finance and Banking Conference 2016, Asian Finance Association (AsianFA) 2017 Conference, 8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 43 Posted: 15 Feb 2016 Last Revised: 05 Oct 2017
Working Paper Series
UNSW Australia Business School, School of Banking and Finance and University of Queensland - Business School
Downloads 286
18.

Private Debt: Volatility, Credit Risk, and Returns

Asian Finance Association (AsianFA) 2016 Conference, 29th Australasian Finance and Banking Conference 2016
Number of pages: 42 Posted: 22 May 2015 Last Revised: 20 Aug 2016
Working Paper Series
Florida Atlantic University, Continuity Capital Partners and The University of Western Australia Business School
Downloads 275
19.

Measuring the Added Value of Stock Recommendations

Saïd Business School WP 2016-04, 29th Australasian Finance and Banking Conference 2016, Swedish House of Finance Research Paper No. 16-06
Number of pages: 54 Posted: 23 Jan 2016 Last Revised: 05 Sep 2018
Working Paper Series
Swedish House of Finance, University of Oxford, Saïd Business School and University of Connecticut
Downloads 266
20.

Funding Liquidity Shocks in a Quasi-Experiment: Evidence from the CDS Big Bang

29th Australasian Finance and Banking Conference 2016
Number of pages: 58 Posted: 12 Feb 2016 Last Revised: 25 Aug 2018
Working Paper Series
Southern University of Science and Technology, Rutgers University, Newark - School of Business - Department of Finance & Economics, Driehaus College of Business, DePaul University and Rutgers University
Downloads 240
21.

Shareholder Litigation Rights and the Cost of Debt: Evidence from Derivative Lawsuits

Journal of Corporate Finance, Forthcoming, Asian Finance Association (AsianFA) 2017 Conference, 29th Australasian Finance and Banking Conference 2016
Number of pages: 47 Posted: 22 Aug 2016 Last Revised: 04 Nov 2017
Accepted Paper Series
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Miami University
Downloads 231
22.

Asset Pricing Anomalies: A Multidimensional Analysis

29th Australasian Finance and Banking Conference 2016
Number of pages: 31 Posted: 02 Jun 2016 Last Revised: 06 Mar 2017
Working Paper Series
Technische Universität München (TUM), Department of Financial Management and Capital Markets
Downloads 226
23.

Bank Monitoring and CEO Risk-Taking Incentives

2nd Annual Financial Institutions, Regulation and Corporate Governance Conference, 29th Australasian Finance and Banking Conference 2016
Number of pages: 52 Posted: 15 Oct 2014 Last Revised: 28 Jun 2017
Working Paper Series
New York University - Leonard N. Stern School of Business and Melbourne Business School, the University of Melbourne
Downloads 218
24.

Estimating Order Imbalance Using Low Frequency Data

Number of pages: 95 Posted: 01 Feb 2016 Last Revised: 15 Jan 2018
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 217
25.

Investment and Financing Decisions of Private and Public Firms

29th Australasian Finance and Banking Conference 2016
Number of pages: 55 Posted: 08 Mar 2016 Last Revised: 20 Jan 2018
Working Paper Series
Hamburg University, University of Hamburg and HEC Montreal - Department of Finance
Downloads 212
26.

Reporting Bias in Private Equity: Reporting Frequency, Endowments, and Governance

29th Australasian Finance and Banking Conference 2016
Number of pages: 65 Posted: 21 Aug 2016
Working Paper Series
Florida Atlantic University, College of Business and Odette School of Business - University of Windsor
Downloads 208
27.

Risk Perceptions and International Stock Market Liquidity

29th Australasian Finance and Banking Conference 2016
Number of pages: 59 Posted: 25 May 2016 Last Revised: 27 May 2018
Working Paper Series
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 203
28.

Earnings Transparency and Corporate Cash Holdings

29th Australasian Finance and Banking Conference 2016
Number of pages: 48 Posted: 21 Aug 2016 Last Revised: 21 Feb 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business
Downloads 198
29.

Monetary Policy Implementation and Financial Vulnerability: Evidence from the Overnight Reverse Repurchase Facility

29th Australasian Finance and Banking Conference 2016
Number of pages: 57 Posted: 07 Jul 2016 Last Revised: 22 Oct 2017
Working Paper Series
Board of Governors of the Federal Reserve System (FRB) and Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 191
30.

Trading Momentum: How Shares and Investors Behave During Momentum Periods

29th Australasian Finance and Banking Conference 2016
Number of pages: 35 Posted: 22 Aug 2016 Last Revised: 12 Dec 2016
Working Paper Series
University of Sydney Business School, University of Sydney - Discipline of Finance, Faculty of Economics and Business and University of Sydney Business School
Downloads 187
31.

Interdependencies and Causalities in Coupled Financial Networks

I. Vodenska, H. Aoyama, Y. Fujiwara, H. Iyetomi, Y. Arai, Interdependencies and causalities in complex financial networks, PLoS ONE 11(3): e0150994. doi:10.1371/journal.pone.0150994 (2016), 29th Australasian Finance and Banking Conference 2016
Number of pages: 30 Posted: 08 Aug 2014 Last Revised: 11 May 2016
Accepted Paper Series
Boston University Metropolitan College, Kyoto University, University of Hyogo - Graduate School of Simulation Studies, Niigata University and Niigata University
Downloads 178
32.

Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders

Second Annual Volatility Institute at NYU Shanghai (VINS) 2016, 29th Australasian Finance and Banking Conference 2016
Number of pages: 64 Posted: 12 Aug 2016
Working Paper Series
Shanghai Jiaotong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 176
33.

A BIT of Investor Protection: How Bilateral Investment Treaties Impact the Terms of Syndicated Loans

29th Australasian Finance and Banking Conference 2016
Number of pages: 65 Posted: 17 Feb 2015 Last Revised: 14 Jan 2017
Working Paper Series
State of New York (SUNY) at Buffalo, State University of New York (SUNY) - Buffalo and University of Oklahoma
Downloads 164
34.

Seed-Stage Success and Growth of Angel Networks

Paris December 2016 Finance Meeting EUROFIDAI - AFFI, 29th Australasian Finance and Banking Conference 2016
Number of pages: 59 Posted: 05 Jun 2016 Last Revised: 02 Aug 2018
Working Paper Series
University of Houston - C.T. Bauer College of Business, Students and University of Houston, C. T. Bauer College of Business
Downloads 150
35.

Why Do Individuals Not Participate in the Stock Market?

Number of pages: 39 Posted: 12 Aug 2016 Last Revised: 22 Jun 2018
Working Paper Series
New York University - Stern School of Business, Monash University and Monash University - Department of Finance
Downloads 147
36.

Government Spending Shocks and Asset Prices

29th Australasian Finance and Banking Conference 2016
Number of pages: 50 Posted: 25 Jun 2016 Last Revised: 25 May 2018
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads 142
37.

Skewed Target Range Strategy for Multi-Period Portfolio Optimization by a Two-Stage Least Squares Monte Carlo Method

Accepted by Journal of Computational Finance
Number of pages: 25 Posted: 22 Aug 2016 Last Revised: 21 Sep 2018
Accepted Paper Series
Commonwealth Scientific and Industrial Research Organization (CSIRO), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University - School of Mathematical Sciences and Monash University
Downloads 142
38.

A Model-Free Tail Risk Index and Its Return Predictability

Number of pages: 63 Posted: 23 Aug 2016 Last Revised: 04 Oct 2017
Working Paper Series
Victoria University of Wellington - School of Economics and Finance
Downloads 135
39.

Hedge Fund Ownership, Funding Liquidity Constraints and Excess Return Co-Movement

29th Australasian Finance and Banking Conference 2016
Number of pages: 39 Posted: 06 Sep 2016
Working Paper Series
UNSW Australia Business School, School of Banking and Finance, UNSW Australia Business School, School of Banking and Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 132
40.

Environmental, Social and Governance Proposals and Shareholder Activism

29th Australasian Finance and Banking Conference 2016
Number of pages: 43 Posted: 22 Jun 2016 Last Revised: 08 Mar 2017
Working Paper Series
Southwestern University of Finance and Economics (SWUFE)
Downloads 129
41.

Improving the Naive Portfolio Strategy

29th Australasian Finance and Banking Conference 2016
Number of pages: 26 Posted: 23 Aug 2016 Last Revised: 11 Jan 2017
Working Paper Series
Durham Business School
Downloads 127
42.

Trust and Debt Contracting: Evidence from the Backdating Scandal

Number of pages: 53 Posted: 03 Jul 2016 Last Revised: 07 Nov 2017
Working Paper Series
State of New York (SUNY) at Buffalo, University at Buffalo - School of Management, State University of New York (SUNY) - Buffalo and University of Iowa - Henry B. Tippie College of Business
Downloads 127
43.

Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?

29th Australasian Finance and Banking Conference 2016, International Review of Financial Analysis, Vol. 52, No. July, 2017
Number of pages: 36 Posted: 19 Apr 2016 Last Revised: 10 Apr 2018
Working Paper Series
La Trobe University - School of Economics and Finance
Downloads 126
44.

DEA Portfolio Modeling - The Case of Socially Responsible Investing

29th Australasian Finance and Banking Conference 2016
Number of pages: 28 Posted: 22 Aug 2016 Last Revised: 24 Jan 2018
Working Paper Series
Vienna University of Economics and Business - Institute for Finance, Banking and Insurance, Vienna University of Economics and Business - Department of Corporate Finance and Modul University Vienna - Department of International Management
Downloads 113
45.

Do Banks Differently Set Their Liquidity Ratios Based on Their Network Characteristics?

29th Australasian Finance and Banking Conference 2016
Number of pages: 51 Posted: 25 Jun 2016 Last Revised: 03 Mar 2017
Working Paper Series
Université de Limoges, LAPE, Université de Limoges, LAPE and University of Limoges - Faculty of Law and Economic Science
Downloads 105
46.

The Performance of Governmental Venture Capital Firms: A Life Cycle Perspective and Evidence from China

29th Australasian Finance and Banking Conference 2016
Number of pages: 43 Posted: 22 Aug 2016 Last Revised: 07 Dec 2016
Working Paper Series
University of Auckland and University of Auckland (Deceased)
Downloads 104
47.

Asset Diversification and Efficiency: Evidence from the Chinese Banking Sector

29th Australasian Finance and Banking Conference 2016
Number of pages: 27 Posted: 18 Aug 2016
Working Paper Series
University of Adelaide, Griffith University and University of Queensland
Downloads 102
48.

High Frequency Trading and Co-Movement in Financial Markets

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50 Posted: 23 Aug 2016 Last Revised: 03 Apr 2018
Working Paper Series
Stockholm School of Economics, Riga, Stockholm School of Economics, Riga and University of Technology Sydney (UTS) - Faculty of Business

Multiple version iconThere are 2 versions of this paper

Downloads 101
49.

Is Market Volatility Systematically Priced While Illiquidity Is Only Priced on the Down-Side?

29th Australasian Finance and Banking Conference 2016
Number of pages: 43 Posted: 26 Feb 2016 Last Revised: 21 Aug 2016
Working Paper Series
University of New South Wales (UNSW Sydney
Downloads 99
50.

Lethal Lapses – How a Positive Interest Rate Shock Might Stress Life Insurers

Number of pages: 35 Posted: 25 Apr 2016 Last Revised: 12 May 2018
Working Paper Series
Deutsche Bundesbank and University of Ulm

Multiple version iconThere are 2 versions of this paper

Downloads 99