The relative contribution to stock price volatility of news in expected future dividends and in expected future returns in Australia is studied. The effect of the dividend imputation tax system on such contribution is investigated. It is found that news in expected future returns contributes...

Advance production served as a means of quantity commitment. This paper shows that the pre-emption acts as strategic substitutes between oligopolists. We also show that a firm's incentive for advance production arises only if it has a quantity-setting opponent, irrespective of the firm's own...

This paper examines the relationship betwen firm size and equity volatility for two portfolios of Australian equities. Univariate and multivariate asymmetric GARCH models are used to demonstrate that conditional volatility is related to firm size. There is strong evidence to suggest that the...

The usual measure of the undiversifiable risk of a portfolio is its beta. Recent research has allowed beta estimates to vary over time, often based on symmetric multivariate GARCH models. There is, however, widespread evidence in the literature that the volatilities of asset returns, in...

This paper examines the influence of shocks in the Japanese Nikkei Index and in the U.S. S&P Index on the Australian All-Ordinaries Index. W present results from the application of three models - an autoressive linear model, a GARCH-M model and a non-linear neural network model.