We use a general Markov switching model to examine the relationships between returns over three different asset classes: financial assets (U.S. stocks and Treasury bonds), commodities (oil and gold) and real estate assets (U.S. Case-Shiller index). We confirm the existence of two distinct...

Purpose - The purpose of this paper is to empirically analyse the change in the gender composition of the boards of large Australian companies, after listing. Design/methodology/approach - This study investigates the gender composition of the boards of large Australian companies at the time of...

The main purpose of this paper is to explore the role of risk management, speculative industry competition effect and hot issue markets. We used a sample of 260 initial public offerings (IPOs) in the Australian resource sector for the 1994–2004 period to test the underpricing effect. We do not...

This paper examines the short-run and the long-run oil price sensitivity of Indian, Pakistani and Sri Lankan equity returns using industry share price indices that are common between at least two countries. A generalised method of moments based approach is applied to a market model augmented by...

This paper evaluates the tactical asset allocation (TAA) capabilities, strategies and behaviour of Australian investment managers who invest assets across multiple asset classes. Specifically, we analyse the behaviour of balanced, growth and capital-stable fund managers with regard to their...

This paper examines the short-run and the long-run oil price sensitivity of Indian, Pakistani and Sri Lankan equity returns using industry share price indices that are common between at least two countries. A generalised method of moments based approach is applied to a market model augmented by...

In this paper, we investigate whether the level of derivative activities of Asia-Pacific banks is associated with the market's perception of their interest rate and exchange rate risks. The results suggest that the level of derivative activities (especially interest rate derivatives) is...

This paper examines the impact of Kalman filtering as a technique for modeling the risk levels of managed funds. Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance using conventional performance models alongside Kalman filter models that allow...

Focussing on earnings-related rather than different classes of corporate announcements as in Chae (20056. Chae , J . 2005 . Trading volume, information asymmetry, and timing information . Journal of Finance , 60 : 413 – 42 . [CrossRef], [Web of Science ®] View all references), we examine...

Australian companies can choose among three different types of rights offerings: full standby (also known as “fully underwritten”); uninsured (or “non-underwritten”); and partial standby (“partly underwritten”). At the same time, each of these three kinds of rights offerings can be...