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...

In this paper we investigate short-term contrarian investment strategies in the Australian stock market using weekly data of those stocks comprising the All Ordinaries Index during the period 1994–2001. We find both the (Rev. Financ. Stud. 3 (1990) 175) equal-weighted strategy and a new...

In this paper we explore some of the potential determinants of foreign exchange (FX) exposure and firm value. We contribute to previous research on stock returns and firm value as we have access to a unique survey database and can include as determinants in our empirical analysis the objectives...

The empirical evidence documenting the association between a firm's level of corporate social performance (CSP) and corporate financial performance (CFP) remains divided. This paper reinvestigates the CSP/CFP association using a more rigorous methodology whilst taking advantage of a superior...

This paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multi-variate GARCH-M model is used to analyse the impact of deregulation on the...

This paper evaluates the out-of-sample forecasting accuracy of eleven models for monthly volatility in fifteen stock markets. Volatility is defined as within-month standard deviation of continuously compounded daily returns on the stock market index of each country for the ten-year period 1988...

In this paper we explore some of the potential determinants of foreign exchange (FX) exposure and firm value. We contribute to previous research on stock returns and firm value as we have access to a unique survey database and can include as determinants in our empirical analysis the objectives...