Australasian Finance & Banking Conference 2019

Existing studies relate the puzzling low average returns on out-of-the-money index call and put options to non-standard preferences. We argue the low option returns are primarily due to the pricing of market volatility risk.

Early life experience may influence an executive’s psychology and behavior. The study shows that “down to the countryside” experience of the chairmen of the boards of Chinese firms increases their risk aversion and reduces innovation investments.

6 November 2019 | Donghua Zhou, Min Bai, Yafeng Qin, Xianqin Liang, Yujie Zhao

A study of competition between slow and fast market makers in Australian equities shows that the increased competition from high-frequency market makers reduces, but does not completely eliminate, participation of slower liquidity providers.

6 November 2019 | Sean Foley, Arseny Gorbenko, Thomas Ruf

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A study examines the profitability of time-series momentum strategies on stocks in the Chinese stock market. It shows that such active technical strategies significantly outperform, on average, buy-and-hold strategies.

6 November 2019 | Yafeng Qin, Guoyao Pan, Min Bai

A study of the relation between cross-sectional stock return dispersion and active fund performance in Australia shows that Australian active funds earn positive active returns when return dispersion is moderate-to-high, but not when it is low.

8 November 2019 | Ying Cao, Anna von Reibnitz, Geoffrey J. Warren

An investigation of the intra-industry spill-over effect of bond defaults on the price of stocks, outstanding bonds and new bond issuances in China shows a strong contagion effect in the bond market and a more limited reaction in equities.

10 November 2019  | Xiaolu Hu, Haoyi (Leslie) Luo, Zijin (Vivian) Xu, Jiang Li

Australian small and medium enterprises (SMEs) constitute a vast and rapidly evolving sector, the largest client for the banking industry. This paper addresses SMEs’ financing, from the perspective of the traditional banking and alternative lenders.

12 November 2019 | Mariya Yesseleva-Pionka

Japanese companies that have adopted integrated reporting are more likely to report conservative earnings. This supports the view that integrated reporting promotes internal decision making with a long-term focus.

19 November 2019 | Yuji Shirabe, Makoto Nakano

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Social interactions of company directors at golf courses allows them to acquire information that helps realize higher profits. Such interactions help developers buy new land and sell new units at lower prices, but there are spillover effects.

19 November 2019 | Sumit Agarwal, Yu Qin, Tien Foo Sing, Xiaoyu Zhang

The paper proposes a 4-factor model for the Chinese stock market by adding the trend factor to Liu, Stambaugh, and Yuan’s (2019) 3-factor model. This model strongly outperforms existing factor models in explaining anomalies and mutual fund returns.

19 November 2019 | Yang Liu, Guofu Zhou, Yingzi Zhu 

Political events and reforms in China have a substantial effect on stock returns of Chinese firms. However, Chinese stocks listed in China and those listed in the US react differently, as investors’ perceptions of the events differ.

19 November 2019 | Seungho Lee, Thomas Walker, Aoran Zhang, and Yunfei Zhao

This study analyzes how information costs affect the acquisition of private information and investment decisions. Using data on Chinese mutual fund managers’ visits to geographically dispersed firm headquarters, it exploits the introduction of high-speed rail lines as a source of quasi-experimental variation in the cost of acquiring information.

19 Nov 2019 | David Xiaoyu Xu 

In 2011 Korea significantly relaxed regulation of shares, giving firms greater freedom to choose which share classes they issue. How are issuers using two newly emergent classes of preferred stocks and what effect does it have on the firms’ value?

19 November 2019 | Sojung Kim, Sunwoo Hwang, Woochan Kim

A study of the switching behaviour of Australian superannuation funds across four broad asset classes shows that smaller funds tend to be active during stable periods while larger funds tend to switch during volatile periods.

19 November 2019 | Emawtee Bissoondoyal-Bheenick, Robert Brooks, Hung Xuan Do 

An empirical study of 432 initial coin offerings (ICOs) identifies factors - such as investor sentiment, time horizon and correlation with other assets - that can provide predictability of an ICO’s success and its returns.

19 November 2019 | Tobias Dean, D Dulani Jayasuriya, Alastair Marsden 

An analysis of Korean companies shows that group trademarks, comprising the business group’s name and logo, can be used for the benefit of controlling families at the expense of outside minority shareholders.

19 November 2019 | Sojung Kim, Woochan Kim

Despite the introduction of deposit insurance scheme and more stringent capital requirements, systemic risk of the Australian banking sector after the global financial crisis in 2008 is typically higher than in the pre-crisis period.

20 Nov 2019 | Md Lutfur Rahman, Victor Troster, Gazi Salah Uddin, Muhammad Yahya

A study of US-based financial advisers shows that as advisers gain the opportunity to earn commissions, the probability of them engaging in misconduct increases. However, industry competition reduces the incidence of misconduct.

20 November 2019 | Tarun Patel 

A study of companies in the renewable and non-renewable resource sectors examines the role of the business cycle and uncertainties in the degree of overinvestment, and the effect of overinvestment on the companies’ performance.

20 November 2019 | Denny Irawan, Tatsuyoshi Okimoto

This study examines private investment in public equity (PIPE) with a majority stake post-placement. Why are certain firms and acquiring funds attracted to PIPE rather than a tender offer? Do the economic consequences differ?

20 November 2019 | Tsung-ming Yeh

Using data from Korean firms, the study examines the impact of ownership concentration on M&A activity and outcomes, from the point of view of the agency theory. Do the outcomes change if the acquirer chooses a cash payment method?

20 November 2019 | Seonhyeon Kim, Jin-young Jung