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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 103 papers

1.

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 Business School, UNSW Australia Business School, School of Banking and Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 152
2.

Agreeing on Disagreement: Heterogeneity or Uncertainty?

Norges Bank Working Paper 4/2016, 29th Australasian Finance and Banking Conference 2016
Number of pages: 28 Posted: 26 Aug 2016 Last Revised: 03 Aug 2018
Working Paper Series
Norges Bank, Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 56
3.

Reciprocity in Shadow Bank Lending: Evidence from the Cross-Holding Relation in Money Market Funds

29th Australasian Finance and Banking Conference 2016
Number of pages: 55 Posted: 25 Aug 2016 Last Revised: 09 Oct 2019
Working Paper Series
University of South Carolina - Darla Moore School of Business
Downloads 38
4.

Predicting US Banks Bankruptcy: Logit versus Canonical Discriminant Analysis

29th Australasian Finance and Banking Conference 2016
Number of pages: 32 Posted: 25 Aug 2016
Working Paper Series
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - CES/CNRS
Downloads 60
5.

Minority Acquisitions and Information Risk

29th Australasian Finance and Banking Conference 2016, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 19-7
Number of pages: 52 Posted: 25 Aug 2016 Last Revised: 25 Sep 2019
Working Paper Series
University of Waikato, UNSW Business School and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 102
6.

Correlated Idiosyncratic Volatility Shocks

29th Australasian Finance and Banking Conference 2016
Number of pages: 33 Posted: 24 Aug 2016 Last Revised: 09 Jan 2019
Working Paper Series
Paraconic Technologies US Inc. and University of Chicago - Booth School of Business
Downloads 48
7.

Dynamic Conditional Correlations between Chinese Sector Returns and the S&P500 Index: An Interpretation Based on Investment Shocks

29th Australasian Finance and Banking Conference 2016
Posted: 23 Aug 2016 Last Revised: 17 Oct 2017
Working Paper Series
Seoul National University of Science and Technology and Nankai University - Business School
8.

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 155
9.

Commodity Futures Momentum: Sources of Risk and Anomalies

Number of pages: 44 Posted: 23 Aug 2016 Last Revised: 19 Feb 2020
Working Paper Series
Griffith University, Griffith University and Griffith University - Department of Accounting, Finance and Economics
Downloads 27
10.

Passive Investors and Corporate Social Responsibility: a Risk-Management Perspective

Number of pages: 48 Posted: 23 Aug 2016 Last Revised: 22 Sep 2018
Working Paper Series
University of Edinburgh - Business School and VU Amsterdam
Downloads 73
11.

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: 11 Feb 2019
Working Paper Series
Stockholm School of Economics, Riga, Stockholm School of Economics, Riga and University of Technology Sydney (UTS)
Downloads 371
12.

When Are Pre-Crisis Winners Post-Crisis Losers?

29th Australasian Finance and Banking Conference 2016
Number of pages: 55 Posted: 23 Aug 2016 Last Revised: 09 Mar 2017
Working Paper Series
University of Groningen, Tilburg University and TIAS School for Business and Society
Downloads 39
13.

High Frequency Trading, Market Volatility and Trading Counterparty Performance

29th Australasian Finance and Banking Conference 2016
Number of pages: 36 Posted: 23 Aug 2016 Last Revised: 07 Dec 2016
Working Paper Series
University of Sydney Business School
Downloads 120
14.

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 161
15.

Corporate Bond Price Reactions to Dividend Changes

29th Australasian Finance and Banking Conference 2016
Number of pages: 39 Posted: 22 Aug 2016 Last Revised: 16 May 2017
Working Paper Series
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Monash University and Monash University - Department of Accounting
Downloads 108
16.

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 208
17.

Term Structure of Recession Probabilities and the Cross Section of Asset Returns

AFA 2018 Annual Meeting (Philadelphia), 29th Australasian Finance and Banking Conference 2016
Number of pages: 77 Posted: 22 Aug 2016 Last Revised: 14 Jan 2020
Working Paper Series
Southern University of Science and Technology
Downloads 15
18.

Skewed Target Range Strategy for Multiperiod Portfolio Optimization Using a Two-Stage Least Squares Monte Carlo Method

Journal of Computational Finance, Forthcoming
Number of pages: 25 Posted: 22 Aug 2016 Last Revised: 14 Jun 2019
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 157
19.

What Drives Trustee-Director Compensation in Australian Superannuation Funds?

29th Australasian Finance and Banking Conference 2016
Number of pages: 46 Posted: 22 Aug 2016 Last Revised: 13 Feb 2017
Working Paper Series
School of Risk and Actuarial Studies, UNSW Business School | University of New South Wales, Australia and The University of Western Australia - UWA Business School
Downloads 45
20.

Innovative Efficiency and Insider Trading: Korea Evidence

29th Australasian Finance and Banking Conference 2016
Number of pages: 19 Posted: 22 Aug 2016
Working Paper Series
Sungkyunkwan University, School of Business Administration, Students
Downloads 35
21.

Relationship between the Projections and Recommendations of Equity Analysts and the Behavior of Fund Managers in an Emerging Market

29th Australasian Finance and Banking Conference 2016
Number of pages: 26 Posted: 22 Aug 2016
Working Paper Series
University of São Paulo (USP) and University of São Paulo (USP) - Department of Administration
Downloads 57
22.

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 122
23.

Self-Assessment of Retirement Preparedness

29th Australasian Finance and Banking Conference 2016
Number of pages: 20 Posted: 22 Aug 2016 Last Revised: 01 Sep 2016
Working Paper Series
Massey University, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 75
24.

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 874
25.

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 of Ohio
Downloads 280
26.

Investor Protection and the Value Impact of Stock Liquidity

29th Australasian Finance and Banking Conference 2016
Number of pages: 52 Posted: 22 Aug 2016
Working Paper Series
Beijing Normal University-Hong Kong Baptist University United International College, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), The University of Western Australia - Department of Accounting and Finance and The Chinese University of Hong Kong, Shenzhen
Downloads 29
27.

Non- and Semi-Parametric Quantile Models for Recovery Rate

29th Australasian Finance and Banking Conference 2016
Number of pages: 42 Posted: 22 Aug 2016 Last Revised: 24 Aug 2016
Working Paper Series
Monash Business School, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University
Downloads 58
28.

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 130
29.

Forecast Bankruptcy Using a Blend of Clustering and MARS Model - Case of US Banks

29th Australasian Finance and Banking Conference 2016
Number of pages: 35 Posted: 22 Aug 2016
Working Paper Series
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - CES/CNRS
Downloads 97
30.

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 246
31.

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 - Finance and Odette School of Business - University of Windsor
Downloads 245
32.

What Does It Mean to Be in a Team? Evidence from U.S. Mutual Fund Managers

29th Australasian Finance and Banking Conference 2016
Number of pages: 59 Posted: 21 Aug 2016
Working Paper Series
University of Auckland - Department of Accounting and Finance
Downloads 90
33.

Bond–Equity Yield Ratio Market Timing in Emerging Markets

29th Australasian Finance and Banking Conference 2016
Posted: 20 Aug 2016
Working Paper Series
University of Vaasa, University of St. Gallen - School of Finance and University of Vaasa, Department of Accounting and Finance
34.

The Impact of Capital Buffers on Future Loan Growth, Interest Income and Tier 1 Capital Ratios

29th Australasian Finance and Banking Conference 2016
Number of pages: 35 Posted: 20 Aug 2016 Last Revised: 24 Aug 2016
Working Paper Series
Torrens University Australia and University of Adelaide
Downloads 59
35.

Safe As Australian Houses? Financial Returns, Volatility and Taxation Policy 1999-2015

29th Australasian Finance and Banking Conference 2016
Number of pages: 31 Posted: 20 Aug 2016
Working Paper Series
Curtin University - Centre for Research in Applied Economics
Downloads 36
36.

Trading of Takeover Target Shares

29th Australasian Finance and Banking Conference 2016
Number of pages: 39 Posted: 20 Aug 2016 Last Revised: 23 Nov 2016
Working Paper Series
Australian National University (ANU), Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics and Australian National University (ANU)
Downloads 49
37.

Corporate Governance and the Insolvency Risk of Financial Institutions

29th Australasian Finance and Banking Conference 2016
Number of pages: 54 Posted: 20 Aug 2016 Last Revised: 26 Jan 2018
Working Paper Series
affiliation not provided to SSRN and University of Vaasa, School of Accounting and Finance
Downloads 99
38.

Bank Soundness and Cash Holdings: Evidence from a Bank-Centered Financial Market

Number of pages: 40 Posted: 20 Aug 2016 Last Revised: 13 Nov 2017
Working Paper Series
Toyo University - Faculty of Business Administration and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 94
39.

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 486
40.

Does Corporate Social Responsibility Reduce Information Asymmetry? New Empirical Evidence from Australia

29th Australasian Finance and Banking Conference 2016
Number of pages: 34 Posted: 20 Aug 2016
Working Paper Series
The University of Newcastle, Australia, University of Newcastle (Australia) and University of Newcastle (Australia) - Newcastle Business School
Downloads 26
41.

Liquidity Timing in the Higher Moment Framework: Evidence from Bank Affiliated Fund

29th Australasian Finance and Banking Conference 2016
Number of pages: 47 Posted: 20 Aug 2016
Working Paper Series
Mahidol University International College (MUIC), Thammasat Business School, Thammasat University and Mahidol University International College (MUIC)

Multiple version iconThere are 2 versions of this paper

Downloads 33
42.

The Value Relevance of Regulatory Capital Components

29th Australasian Finance and Banking Conference 2016
Number of pages: 48 Posted: 20 Aug 2016 Last Revised: 20 Jul 2018
Working Paper Series
Victoria University of Wellington - School of Accounting and Commercial Law and Victoria University of Wellington - Victoria Business School
Downloads 96
43.

Do Index Futures Cause Spot Market Volatility? An Investigation of the Australian Resources Index

29th Australasian Finance and Banking Conference 2016
Number of pages: 19 Posted: 20 Aug 2016
Working Paper Series
Western Sydney University, KPMG and Western Sydney University
Downloads 64
44.

An International Examination of the Role of Default and Liquidity Risks in the Interbank Market.

29th Australasian Finance and Banking Conference 2016
Number of pages: 38 Posted: 19 Aug 2016
Working Paper Series
University of Sussex and City University London - Sir John Cass Business School
Downloads 53
45.

Information Content of the Limit Order Book for Crude Oil Futures Price Volatility

Energy Economics, Forthcoming, 29th Australasian Finance and Banking Conference 2016
Number of pages: 49 Posted: 19 Aug 2016 Last Revised: 30 Apr 2019
Accepted Paper Series
La Trobe University, Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 16
46.

Sample Selection Bias, Return Moments, and the Performance of Optimal versus Naive Diversification

29th Australasian Finance and Banking Conference 2016
Number of pages: 53 Posted: 18 Aug 2016 Last Revised: 10 Nov 2016
Working Paper Series
University of Melbourne, Department of Finance, Students
Downloads 57
47.

International Financial Integration: Stock Return Linkage and Volatility Transmission between Vietnam and Other Advanced Countries.

29th Australasian Finance and Banking Conference 2016
Number of pages: 18 Posted: 18 Aug 2016
Working Paper Series
University of Economics Ho Chi Minh City and Education Centre Australia
Downloads 76
48.

Bank Lending Decisions and the Value Effect of Loan Announcements: New Evidence from the Sensitivity between Bank Loans and Firm Performance Adjusted for Earnings Management in China

29th Australasian Finance and Banking Conference 2016
Number of pages: 35 Posted: 18 Aug 2016
Working Paper Series
University of Wollongong, School of Accounting, University of Wollongong and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 56
49.

Directors’ Career Concerns: Evidence from Proxy Contests and Board Interlocks

Number of pages: 71 Posted: 18 Aug 2016 Last Revised: 13 Nov 2018
Working Paper Series
The Hong Kong Polytechnic University
Downloads 84
50.

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 119