Finance - Research Publications

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    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)
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    Governance structures of initial public offerings in Australia
    Shekhar, C ; Stapledon, G (WILEY, 2007-11)
    We study the relationship between venture capital financing, CEO ownership, compensation structure, and board structures for a group of Australian IPO firms. Results suggest that board structures are influenced by the industry the firm is in, and presence of venture capitalists results in a larger board with a higher number of outside directors. CEOs in non VC‐backed firms own a significantly higher fraction of firm shares, and CEO ownership is negatively related to both board size and outside blockholders. VC‐backed firms are significantly more likely to disclose information about CEO compensation packages, but the relationship between actual board size and structure and disclosure is insignificant. Finally, we also find that venture capital backing significantly decreases the time to change‐in‐status for firms, whereby firms cease to exist as independent entities.
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    Measurement of insider trading in wagering markets
    Coleman, L (Informa UK Limited, 2007-03-01)
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    Are the Fama-French factors proxying default risk?
    Gharghori, P ; Chan, H ; Faff, R (UNIV NEW SOUTH WALES, AUSTR GRAD SCH MANAGEMENT, 2007-12)
    In this paper we investigate the contention that the Fama-French (1993) model's ability to explain cross-sectional variation in equity returns occurs because the Fama-French factors, SMB and HML, are proxying for default risk. To assess the default risk hypothesis, we augment the CAPM and the Fama-French model with a default factor and run system regressions of the default enhanced models using the GMM approach. Our key findings are that: 1) default risk is not priced in equity returns; and, 2) the Fama-French factors are not proxying for default risk. Although our findings suggest that SMB and HML are not proxying for default risk, our analysis indicates that the Fama-French factors are capturing some form of priced risk However, what type of risk the Fama-French factors are capturing remains an open question.
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    The announcement effects of off-market share repurchases in Australia
    Brown, C (UNIV NEW SOUTH WALES, AUSTR GRAD SCH MANAGEMENT, 2007-12)
    This paper investigates the price and volume behaviour around the announcement of a type of off-market repurchase (equal access repurchases) in Australia. In contrast to US studies which document abnormal returns of around 8% for off-market repurchases, we find much smaller but significant abnormal returns of around 1.2% on the announcement date for equal access repurchases. The evidence suggests that the abnormal returns are related to the discount-to-market price at which the offer is made (which reflects special taxation arrangements). We also document a dramatic increase in trading volume on the announcement and subsequent day and argue that this trading may be motivated by the level of tax benefits passed on to participating shareholders.
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