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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 98 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 2,314
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: 64 Posted: 20 Jun 2016 Last Revised: 13 May 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 818
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 721
4.

On the Value of Portfolio Optimization under Estimation Risk: The Case without Risk-Free Asset

29th Australasian Finance and Banking Conference 2016, Rotman School of Management Working Paper No. 2819254
Number of pages: 92 Posted: 10 Feb 2016 Last Revised: 06 Oct 2017
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 658
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 578
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 462
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 429
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 416
9.

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 361
10.

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 361
11.

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 347
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 339
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 337
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
Faculty of Business and Economics, University of Hong Kong and Monash University - Monash Business School
Downloads 291
15.

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 Otago - Department of Accountancy and Finance
Downloads 277
16.

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 272
17.

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

29th Australasian Finance and Banking Conference 2016
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 261
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
York University - Schulich School of Business, Continuity Capital Partners and The University of Western Australia Business School
Downloads 260
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: 53 Posted: 23 Jan 2016 Last Revised: 24 Nov 2017
Working Paper Series
Swedish House of Finance, University of Oxford, Saïd Business School and University of Connecticut
Downloads 246
20.

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, Students
Downloads 224
21.

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

29th Australasian Finance and Banking Conference 2016
Number of pages: 51 Posted: 12 Feb 2016 Last Revised: 31 Dec 2017
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 224
22.

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 University of Arizona, Eller College of Management, Department of Finance
Downloads 222
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 214
24.

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
York University - Schulich School of Business and Odette School of Business - University of Windsor

Multiple version iconThere are 2 versions of this paper

Downloads 206
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 200
26.

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 188
27.

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 187
28.

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 184
29.

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 179
30.

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 177
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 176
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 166
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 157
34.

How Do Investors Accumulate Network Capital? Evidence from Angel Networks

Paris December 2016 Finance Meeting EUROFIDAI - AFFI, 29th Australasian Finance and Banking Conference 2016
Number of pages: 51 Posted: 05 Jun 2016 Last Revised: 15 Mar 2017
Working Paper Series
University of Houston - C.T. Bauer College of Business, Students and University of Houston, C. T. Bauer College of Business
Downloads 144
35.

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 135
36.

Sharp Target Range Strategies with Application to Dynamic Portfolio Selection

29th Australasian Finance and Banking Conference 2016
Number of pages: 28 Posted: 22 Aug 2016 Last Revised: 15 May 2017
Working Paper Series
Monash University - School of Mathematical Sciences, 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 134
37.

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 126
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 124
39.

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
ESSEC Business School
Downloads 124
40.

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
Downloads 123
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 121
42.

Why Do Individuals Not Participate in the Stock Market?

29th Australasian Finance and Banking Conference 2016
Number of pages: 43 Posted: 12 Aug 2016 Last Revised: 16 Jun 2017
Working Paper Series
New York University - Stern School of Business, Monash University and Monash University - Department of Finance
Downloads 120
43.

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 115
44.

Bank Capital and Loan Monitoring

Number of pages: 61 Posted: 06 Jun 2016 Last Revised: 31 Jul 2017
Working Paper Series
Southern Methodist University (SMU) - Accounting Department and Southern Methodist University (SMU) - Accounting Department
Downloads 112
45.

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
IMC University of Applied Sciences Krems, Vienna University of Economics and Business - Department of Corporate Finance and Modul University Vienna - Department of International Management
Downloads 109
46.

Toward a General Model of Financial Markets

29th Australasian Finance and Banking Conference 2016
Number of pages: 40 Posted: 03 May 2016 Last Revised: 23 Jan 2017
Working Paper Series
University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 108
47.

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 102
48.

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 100
49.

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 99
50.

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

Multiple version iconThere are 2 versions of this paper

Downloads 95