Finance - Research Publications

Permanent URI for this collection

http://hdl.handle.net/11343/408

Filters

2007 - 2009 8 2010 - 2019 4
3
Reset filters

Settings
Statistics
Citations
Start date: 2003 × Author: Chan, Howard ×

Search Results

Now showing 1 - 10 of 12
  • Item
    Thumbnail Image
    Do brokers' recommendation changes generate brokerage? Evidence from a central limit order market
    Chan, HWH ; Faff, RW ; Ho, YK ; Brown, R ; Smith, T (Wiley, 2019-03-01)
    We examine the short‐term response to recommendation changes on the Australian Securities Exchange, a central limit order market. In both central limit order markets and dealer‐driven markets, clients may reward the recommending broker with increased trade volumes. But a central limit order market does not have mandatory market makers and hence provides greater opportunity to free ride. We find evidence supporting the hypothesis that recommending brokers are rewarded with higher trade volumes and brokerage commission. Consistent with the tipping hypothesis, these rewards are concentrated in the period shortly before the release. There is no evidence of free riding.
  • Item
  • Item
  • Item
    Thumbnail Image
    Australian evidence on the implementation of the size and value premia
    Docherty, Paul ; CHAN, HOWARD ; Easton, Steve ( 2013)
  • Item
    Thumbnail Image
    Analysts’ recommendation changes or disagreements with market consensus: from which signal does the market take its lead?
    Brown, RL ; Chan, HWH ; Ho, YK (European Financial Management Association, 2007)
  • Item
    Thumbnail Image
    THE RELATIONSHIP BETWEEN DIRECTOR INDEPENDENCE, REPUTATION AND MANAGEMENT EARNINGS FORECASTS
    Chan, H ; Faff, R ; Mather, P ; Ramsay, A (Virtus Interpress, 2008)
  • Item
    Thumbnail Image
    Analysts' recommendations: from which signal does the market take its lead?
    Brown, R ; Chan, H ; Ho, Y (SPRINGER, 2009-08-01)
  • Item
    Thumbnail Image
    Fund Size, Transaction Costs and Performance: Size Matters!
    Chan, HWH ; Faff, RW ; Gallagher, DR ; Looi, A (UNIV NEW SOUTH WALES, AUSTR GRAD SCH MANAGEMENT, 2009-06-01)
    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.
  • Item
    Thumbnail Image
    The relation between R&D intensity and future market returns: Does expensing versus capitalization matter?
    Chan, HWH ; Faff, RW ; Gharghori, P ; Ho, YK (Springer Science and Business Media LLC, 2007-07-01)
  • Item
    Thumbnail Image
    The effects of forecast specificity on the asymmetric short-window share market response to management earnings forecasts
    Chan, H ; Faff, R ; Ho, YK ; Ramsay, A (Emerald, 2009-09-13)
    Purpose This study aims to test the effects of forecast specificity on the asymmetric short‐window share market response to management earnings forecasts (MEF). Design/methodology/approach The paper examines a large sample of hand‐checked Australian data over the period 1994 to 2001. Using an analyst news benchmark, it estimates a series of regressions to investigate whether the short‐term impact from bad news announcements is greater in magnitude than from good news announcements and whether this differs between routine and non‐routine MEFs. Additionally, it examines whether (after controlling for news content of MEF) there is a differential market impact conditional on specificity: minimum versus maximum versus range versus point. Findings The results indicate that an asymmetric response is evident for the overall sample and a sub‐set of non‐routine forecasts. Contrary to predictions, the results show that forecast specificity, minimum, maximum, range and point MEFs make no additional contribution to the differences in the market reaction to bad or good news. Originality/value The study extends the research investigating the short‐run market impact of MEFs. The main element of innovation derives from the interaction between specificity and news content, as well as distinguishing between routine versus non‐routine cases. Notably, it found little support for the view that more specific forecasts elicit greater market responses. What the results do suggest is that managers appear to choose the form of the forecast to suit the news being delivered. In particular, bad news delivered in a minimum forecast seems to be ignored by the market.