Finance - Research Publications
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ItemAnalysts' recommendations: from which signal does the market take its lead?(SPRINGER, 2009-08)
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ItemInvestor sentiment, executive compensation, and corporate investment(ELSEVIER SCIENCE BV, 2010-10)
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ItemEmployee well-being, firm leverage, and bankruptcy risk(ELSEVIER, 2010-05)
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ItemIndex composition changes and the cost of incumbency(ELSEVIER, 2010-10)
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ItemCapital management in mutual financial institutions(ELSEVIER, 2009-03)
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ItemThe Role of Executive Stock Options in On‐Market Share Buybacks*(Wiley, 2010-09)ABSTRACT The increasing use of on‐market buyback programs in Australia may not be fully explained by the typical motivations of information signaling and free cash flows offered by previous researchers. For some firms at least, management may believe the shares are overvalued. It is in this context that we examine whether managers of firms with high levels of executive stock options have an incentive to initiate buyback programs. It has been argued that managers may be motivated to undertake on‐market buyback programs in order to neutralize the dilution of earnings per share caused by their stock options, rather than for signaling purposes. Our findings are consistent with this argument because we find that the higher the proportion of executive stock options outstanding the more likely it is for firms to undertake larger on‐market buyback programs. Overall our results indicate that the existence of executive stock options influences managers' decision to implement on‐market buyback programs but that it is not the only factor that managers take into consideration.
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ItemEmployee Entitlements and Secured Creditors: Assessing the Effects of the Maximum Priority Proposal(UNIV NEW SOUTH WALES, AUSTR GRAD SCH MANAGEMENT, 2009-06)Corporate failures and consequent default on obligations have, in some circumstances, led to significant losses for employees with accumulated unpaid leave entitlements. The Australian government responded initially to this problem by implementing a government-funded compensation scheme. Subsequently it announced a proposal involving legislating for seniority (maximum priority) of entitlements in corporate liquidation which has not been implemented. This paper analyses and provides quantitative estimates of the consequences of changing creditor priority in this manner. Contrary to conventional wisdom and arguments mounted in opposition to such a change, the effect on corporate funding costs would be extremely small. The paper argues that legislation to effect such a change warrants further consideration as a complement to the existing compensation scheme.
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ItemFund Size, Transaction Costs and Performance: Size Matters!(UNIV NEW SOUTH WALES, AUSTR GRAD SCH MANAGEMENT, 2009-06)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.
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ItemPricing errors and estimates of risk premia in factor models(SPRINGER HEIDELBERG, 2010-07)