Melbourne Business School - Theses
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ItemRetail marketing at Golden Fleece(University of Melbourne, 1976)
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ItemThe task force approach to rationalisation(University of Melbourne, 1975)
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ItemLiquidity of German covered bonds before and during the financial crisis( 2015)Following the 2008 financial crisis, covered bonds (bank-issued debt instruments with credit enhancements such as dual-recourse and dynamic cover pool) have been discussed as an alternative to mortgage-backed-securities (MBS) because of their potential of adding stability to the banking system. While being liquid is a key feature of the MBS market, the liquidity of covered bonds remains less well-understood by investors and academics. To better understand covered bonds, this project measures the liquidity of German covered bonds using transactional data and several common proxies. Results show that German covered bond liquidity is resilient: German covered bonds became less liquid after the Lehman Brothers default and recovered to the pre-crisis level in only one year. Surprisingly, jumbo covered bonds (a conventionally more liquid covered bond market) have lost their liquidity advantage since the onset of the fi nancial crisis. Furthermore, although the covered bond market remained relatively liquid after the Lehman shock, the illiquidity risk premium has become larger post-Lehman compared to pre-Lehman, implying that investors require a higher compensation for holding illiquid covered bonds. The result of this study may have implications for countries that are new to covered bonds to emphasize on managing the liquidity of this market.
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ItemThe role of modern portfolio theory in current portfolio management practice in Australia( 1983)The Australian securities market exists to channel savings and funds of individuals, companies and institutions into the hands of firms and governments who are in need of additional funds to finance their activities. Since these activities are at the core of the business community, the capital market is a vital factor in the health of the economy of this country. The financial institutions which provide the greater part of monies into the Australian securities market are: - Banks - Life Insurance Companies - Pension Funds - Cash Management Trusts. The task of the fund manager is to identify and value worthwhile enterprises in which to invest and in order for him to do this he needs to find acceptable, appropriate and objective criteria on which to base his judgements. These criteria generally revolve around a critical evaluation of the capital structure and dividend policy of a firm in relation to its valuation as a whole with a view to assessing its prospects for future growth and continued high dividend potential. The arguments of the theorists of the 1950's and 60's that with efficient financial markets without imperfections, the debt and dividend policies of firms were really of no consequence has not turned out to be the case. However these theories did have an impact on the thinking of the Fund Managers in the application of the techniques with which they were already familiar so that much of the work done since then has been directed at the identification of market imperfections and their likely effect on the valuation of firms. It was during the fifties that a development occurred which was considered at the time to be a major advance in the techniques available to Fund Managers to assist them in the placement and assessment of their performance in their portfolio management. This was the Markowitz Portfolio Theory which was later extended and refined by Sharpe, Treynor and Jensen. This theory in essence suggests that individual assets in a portfolio should not be judged on the merit of their performance on a short term basis but rather in relation to their marginal contribution to an overall portfolio of assets. Thus the overall risk of a portfolio of such assets is considerably reduced when a diversity of these assets has been selected. It is the Fund Managers' attitude to the utilisation of this tool as a result of a significant period of availability and experience within the financial community in Australia which is the subject of this report.